TY - GEN AU - Trezzi, Riccardo T1 - I AM IMMORTAL. JO - Economic Inquiry JF - Economic Inquiry Y1 - 2017/04// VL - 55 IS - 2 M3 - Other SP - 1161 EP - 1166 SN - 00952583 AB - I suggest a model to forecast life expectancy based on the electrocardiogram signal. I show how the heart electrical activity can be decomposed in the state-space and that the suggested model has superior out-of-sample properties compared to a set of alternatives. When the model is used to forecast my own electrocardiogram, a striking result arises: the n-step ahead forecast remains bounded and positive even after one googol period. Therefore, my life expectancy tends to infinity implying that I am immortal. ( JEL I10, I19) [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Inquiry is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIFE expectancy KW - ELECTROCARDIOGRAPHY KW - IMMORTALITY of the body KW - CARDIOLOGY -- Research KW - ECONOMETRICS N1 - Accession Number: 121659212; Trezzi, Riccardo 1; Affiliation: 1: Board of Governors of the Federal Reserve System; Source Info: Apr2017, Vol. 55 Issue 2, p1161; Subject Term: LIFE expectancy; Subject Term: ELECTROCARDIOGRAPHY; Subject Term: IMMORTALITY of the body; Subject Term: CARDIOLOGY -- Research; Subject Term: ECONOMETRICS; Number of Pages: 6p; Illustrations: 2 Charts, 2 Graphs; Document Type: Other L3 - 10.1111/ecin.12419 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121659212&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Calem, Paul S. AU - Sarama, Robert F. T1 - Why Mortgage Borrowers Persevere: An Explanation of First and Second Lien Performance Mismatch. JO - Real Estate Economics JF - Real Estate Economics Y1 - 2017///Spring2017 VL - 45 IS - 1 M3 - Article SP - 28 EP - 74 SN - 10808620 AB - Borrowers with a pair of mortgages collateralized by the same property sometimes continue to make payments on one while defaulting on the other. We articulate a framework for understanding this performance mismatch that emphasizes two types of borrowers: those with stable equity positions who perceive they are facing moderate or temporary liquidity shocks, and those facing severe financial stress in combination with negative equity. The former have an incentive to enter mismatch and subsequently cure, while the latter would default on both contracts. Our empirical analysis using newly available, national samples of matched first- and second-lien mortgages supports this view. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGES KW - LOANS KW - LIENS KW - PROPERTY KW - CONTRACTS N1 - Accession Number: 120785775; Calem, Paul S. 1; Sarama, Robert F. 2; Affiliations: 1: Federal Reserve Bank of Philadelphia; 2: Board of Governors of the Federal Reserve System; Issue Info: Spring2017, Vol. 45 Issue 1, p28; Thesaurus Term: MORTGAGES; Thesaurus Term: LOANS; Thesaurus Term: LIENS; Thesaurus Term: PROPERTY; Thesaurus Term: CONTRACTS; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 47p; Illustrations: 19 Charts, 5 Graphs; Document Type: Article L3 - 10.1111/1540-6229.12139 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120785775&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dumas, Bernard AU - Lewis, Karen K. AU - Osambela, Emilio T1 - Differences of Opinion and International Equity Markets. JO - Review of Financial Studies JF - Review of Financial Studies Y1 - 2017/03// VL - 30 IS - 3 M3 - Article SP - 750 EP - 800 SN - 08939454 AB - We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages of domestic investors in the interpretation of home public signals affect equity markets. We evaluate the ability of our model to generate four international-finance anomalies: (i) the co-movement of returns and capital flows, (ii) home-equity preference, (iii) the dependence of firm returns on home and foreign factors, and (iv) abnormal returns around foreign firm cross-listing in the home market. Their relationships with empirical differences-of-opinion proxies are consistent with the model. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL finance KW - CAPITALISTS & financiers -- Attitudes KW - ACCESS to information KW - CAPITAL movements KW - FOREIGN investments KW - RATE of return KW - STOCK exchanges N1 - Accession Number: 121490801; Dumas, Bernard 1; Lewis, Karen K. 2; Osambela, Emilio 3; Email Address: emilio.osambela@frb.gov; Affiliations: 1: INSEAD, University of Torino, NBER, and CEPR; 2: The Wharton School of the University of Pennsylvania and NBER; 3: Board of Governors of the Federal Reserve System; Issue Info: Mar2017, Vol. 30 Issue 3, p750; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: CAPITALISTS & financiers -- Attitudes; Thesaurus Term: ACCESS to information; Thesaurus Term: CAPITAL movements; Thesaurus Term: FOREIGN investments; Thesaurus Term: RATE of return; Thesaurus Term: STOCK exchanges; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 51p; Document Type: Article L3 - 10.1093/rfs/hhw083 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121490801&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Constant focus: Engaging to measure wealth. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 13 EP - 22 SN - 18747655 AB - This essay is intended to place the selection of my papers in this issue of the SJIAOS in the context of other research on wealth measurement and to provide an overview of their part in the history of the constant focus in the Survey of Consumer Finances to engage in measuring wealth more effectively. It also makes some recommendations for future work on that survey and possibly other systems of measurement. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - MEASUREMENT KW - CONSUMERS KW - FINANCE KW - HOUSEHOLD surveys KW - SURVEYS -- Methodology KW - survey methodology KW - wealth distribution KW - Wealth measurement KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNIVERSITY of Chicago N1 - Accession Number: 121705421; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p13; Subject Term: WEALTH; Subject Term: MEASUREMENT; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: HOUSEHOLD surveys; Subject Term: SURVEYS -- Methodology; Author-Supplied Keyword: survey methodology; Author-Supplied Keyword: wealth distribution; Author-Supplied Keyword: Wealth measurement; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.) Company/Entity: UNIVERSITY of Chicago; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Document Type: Article L3 - 10.3233/SJI-170347 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705421&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Wealth measurement in the survey of consumer finances: Methodology and directions for future research. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 23 EP - 39 SN - 18747655 AB - This paper summarizes, as of 2000, the history of the Survey of Consumer Finances (SCF) and the supporting structure for measuring household wealth with that survey. Surveys are the large scientific measurement devices of the social sciences. Each set of observations rests heavily on theories - statistical theories about sampling, missing data, inference, and other such formal issues, cognitive theories about how people perceive the data collection process and respond to it, behavioral theories that deal with the different incentives that operate on all parties in the data collection, and even social theories that address the ways that we interpret the process and its outcomes. Each aspect of these theories has a role in characterizing the "results" of the cumulation of processes that make up a survey. For the SCF, the most pressing issues are persuading respondents to participate and, given participation, to provide accurate data. Many measurement problems are amplified by the fact that the distribution of wealth is highly skewed. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH management services KW - HOUSEHOLD surveys KW - INCOME KW - ACQUISITION of data KW - INTERVIEWING KW - SOCIAL theory KW - history KW - survey of consumer finances KW - Wealth measurement N1 - Accession Number: 121705406; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p23; Subject Term: WEALTH management services; Subject Term: HOUSEHOLD surveys; Subject Term: INCOME; Subject Term: ACQUISITION of data; Subject Term: INTERVIEWING; Subject Term: SOCIAL theory; Author-Supplied Keyword: history; Author-Supplied Keyword: survey of consumer finances; Author-Supplied Keyword: Wealth measurement; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 17p; Document Type: Article L3 - 10.3233/SJI-160274 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705406&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Using income data to predict wealth. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 41 EP - 49 SN - 18747655 AB - This paper considers the relationship between income and wealth using data from three sources: the Survey of Consumer Finances (SCF), the IRS and Forbes Magazine. Because of the legal and ethical constraints on the use of some of these data, the focus of the paper is limited to a few issues that are relevant to improving the design of the SCF and understanding better the quality of the information collected. The most important goal of the paper is estimation of functional relationships between income and wealth. Work to this end results in model predictions that are more effective than using income alone as a proxy for wealth. However, it is clear that the relationship is not strong, and more work is needed, particularly to address the noise introduced into the relationship by year-to-year income variability. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH -- Mathematical models KW - CONSUMERS KW - FINANCE KW - SAMPLING (Statistics) KW - AFFLUENT consumers KW - HOUSEHOLDS KW - UNITED States KW - sampling KW - survey of consumer finances KW - Wealth modeling N1 - Accession Number: 121705418; Kennickell, Arthur B. 1; Email Address: arthur.kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p41; Subject Term: WEALTH -- Mathematical models; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: SAMPLING (Statistics); Subject Term: AFFLUENT consumers; Subject Term: HOUSEHOLDS; Subject Term: UNITED States; Author-Supplied Keyword: sampling; Author-Supplied Keyword: survey of consumer finances; Author-Supplied Keyword: Wealth modeling; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 9p; Document Type: Article L3 - 10.3233/SJI-160312 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705418&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Modeling wealth with multiple observations of income: Redesign of the sample for the 2001 Survey of Consumer Finances. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 51 EP - 58 SN - 18747655 AB - This paper reports on the research that underlies the redesign of a key part of the sample for the Survey of Consumer Finances (SCF) for the 2001 wave of the survey, building on the history of sampling research for the survey dating back to the 1983 wave. The sample for the SCF includes an oversample of relatively wealthy families selected from statistical records derived from individual tax returns, using a stratified design based on a mapping from observations of components of income to an estimate of wealth. The mapping is imperfect, and three factors seem particularly important: First, at any given time, rates of return that connect assets with capital income may vary widely across individuals depending on luck, information, and local economic conditions. Second, some assets, such as 401(k) accounts and residences, do not generate returns that are observable on a regular basis. Finally, temporally transitory factors, such as the timing of income receipts or unusually good luck, may cause the income that is observed in a given period to have a noisy relationship to the underlying assets that generate those returns. It is very difficult to address the first two concerns directly. However, the third can be addressed by using multiple observations of income to model wealth; an effort to do so is the principal focus here. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - MEASUREMENT KW - CONSUMER surveys KW - CONSUMERS KW - FINANCE KW - INCOME KW - 401(K) plans KW - SAMPLING (Statistics) KW - administrative data KW - Sampling KW - wealth measurement N1 - Accession Number: 121705407; Kennickell, Arthur B. 1; Email Address: arthur.kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p51; Subject Term: WEALTH; Subject Term: MEASUREMENT; Subject Term: CONSUMER surveys; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: INCOME; Subject Term: 401(K) plans; Subject Term: SAMPLING (Statistics); Author-Supplied Keyword: administrative data; Author-Supplied Keyword: Sampling; Author-Supplied Keyword: wealth measurement; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 8p; Document Type: Article L3 - 10.3233/SJI-160275 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705407&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Lining up: Survey and administrative data estimates of wealth concentration. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 59 EP - 79 SN - 18747655 AB - The Survey of Consumer Finances (SCF) has a dual-frame sample design that supplements a standard area-probability frame with a sample of observations drawn from statistical records derived from tax returns. The tax-based frame is stratified on the basis of a "wealth index" constructed largely from observed income flows, with the intent of heavily oversampling wealthy households. Although the SCF is not specifically designed to estimate wealth concentration, the design arguably provides sufficient support to enable such analysis with a reasonable level of credibility. Similar estimates may also be made by using tax-based data directly, as in Saez and Zucman [1], by using a construct very close to a key part of the SCF wealth index. Such an approach has appeal as a way of tapping a much larger set of information to improve SCF estimates. Not surprisingly, there are differences in the two approaches, largely as a result of conceptual differences or complications in the survey implementation. This paper focuses on the top 1 percent of the wealth distribution, the group most intensively covered by the SCF list sample and it explores the stability of the relationship between the patterns of concentration in the survey data and parallel patterns in tax-based estimates and considers how those patterns differ across survey participants, the full sample and the entire survey frame. In addition, the paper makes as series of recommendation for further research on the technical support of the survey. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - MEASUREMENT KW - SAMPLING (Statistics) KW - NONRESPONSE (Statistics) KW - SKEWNESS (Probability theory) KW - TAX returns KW - CONSUMERS KW - FINANCE KW - nonresponse KW - oversampling KW - sampling KW - skewed distributions KW - Wealth measurement N1 - Accession Number: 121705422; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p59; Subject Term: WEALTH; Subject Term: MEASUREMENT; Subject Term: SAMPLING (Statistics); Subject Term: NONRESPONSE (Statistics); Subject Term: SKEWNESS (Probability theory); Subject Term: TAX returns; Subject Term: CONSUMERS; Subject Term: FINANCE; Author-Supplied Keyword: nonresponse; Author-Supplied Keyword: oversampling; Author-Supplied Keyword: sampling; Author-Supplied Keyword: skewed distributions; Author-Supplied Keyword: Wealth measurement; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 21p; Document Type: Article L3 - 10.3233/SJI-170349 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705422&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - What do the "late" cases tell us? Evidence from the 1998 Survey of Consumer Finances. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 81 EP - 92 SN - 18747655 AB - As is the case in most other government surveys, the Survey of Consumer Finances (SCF) makes strenuous efforts to maintain response rates. These efforts are quite costly. The argument for pursuing the relatively difficult "late" cases is twofold: First, sample size is important for more efficient estimation. Second, there is an implicit assumption that higher response rates lessen the possibilities of bias. The former argument is straightforward, but the latter is less so. This paper investigates the information contained in the later observations of the SCF. The data presented here suggest that there are differences in some of the economic and other characteristics of respondents and nonrespondents, and that these differences are present in a weaker form in the contrast between the cases that are early and those that are late. However, for general purposes, the differences between the early and late cases are not dependably strong. Because nonresponse is affected both by respondent-specific characteristics and management decisions about the deployment of interviewers, it unlikely that we can make substantial progress without separating these effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NONRESPONSE (Statistics) KW - SURVEYS KW - PROBABILITY theory KW - CONSUMERS KW - FINANCE KW - AFFLUENT consumers KW - paradata KW - Unit nonresponse N1 - Accession Number: 121705417; Kennickell, Arthur B. 1; Email Address: arthur.kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p81; Subject Term: NONRESPONSE (Statistics); Subject Term: SURVEYS; Subject Term: PROBABILITY theory; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: AFFLUENT consumers; Author-Supplied Keyword: paradata; Author-Supplied Keyword: Unit nonresponse; Number of Pages: 12p; Document Type: Article L3 - 10.3233/SJI-160302 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705417&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - The bitter end? The close of the 2007 SCF field period. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 93 EP - 99 SN - 18747655 AB - Typically, the end of a survey field period is a point when a survey struggles to achieve what is seen as an acceptable response rate. Response is shaped by the decisions of field staff to continue applying effort and respondents to be open to persuasion. The situation is an uncomfortable one in that it is quite difficult to apply measurable standards to the process in a way that can be mapped with any precision into response probabilities. The Survey of Consumer Finances (SCF) has long gone to the bitter end of the field period where the remaining possibilities of completed interviews are very slim, and in doing so has held response rates approximately constant over time. The hope is that this operational approach will allow as much constancy across time as possible in any response biases. Yet this is a costly approach that could not be justified easily if the last cases are not sufficiently different from cases collected earlier. This paper examines the set of the last cases collected for the 2007 SCF and describes the ways in which they differ from ones collected earlier in the field period. Some limited comparisons are also made with the nonrespondents. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMERS KW - FINANCE KW - HOUSEHOLD surveys -- Response rate KW - STATISTICAL bias KW - CONSUMER surveys KW - PROBABILITY theory KW - field work KW - late cases KW - response bias KW - response rates KW - Survey of consumer finances KW - unit nonresponse N1 - Accession Number: 121705413; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Main Stop 153, Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p93; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: HOUSEHOLD surveys -- Response rate; Subject Term: STATISTICAL bias; Subject Term: CONSUMER surveys; Subject Term: PROBABILITY theory; Author-Supplied Keyword: field work; Author-Supplied Keyword: late cases; Author-Supplied Keyword: response bias; Author-Supplied Keyword: response rates; Author-Supplied Keyword: Survey of consumer finances; Author-Supplied Keyword: unit nonresponse; Number of Pages: 7p; Document Type: Article L3 - 10.3233/SJI-160296 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705413&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Darkness made visible: Field management and nonresponse in the 2004 SCF. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 101 EP - 111 SN - 18747655 AB - Nonresponse in field surveys is the joint outcome of the decision of survey staff to apply effort to inform and persuade respondents, and the evaluation of such inputs by respondents. In most such surveys, the field staff are under great pressure to produce completed interviews. Thus, they have an incentive to apply effort to cases that are most likely, in their view, to be completed with least effort. To the extent that interviewers' perceptions are unbiased, such behavior would tend to amplify latent patterns of nonresponse. When the characteristics of respondents that affect the likelihood of participation are correlated with variables of analytical interest in the survey, bias results, unless a means can be found of discovering and adjusting for the underlying behavioral structures. But, absent constraints on the behavior of interviewers, the observed outcomes are contaminated by the endogeneity of effort, and only strong a priori assumptions could disentangle the interviewer effects from the respondent effects. To address the problem of endogenous effort, the 2004 Survey of Consumer Finances introduced a phased plan of sample management to make effort more nearly exogenous through the first two of three phases of field work. Thus, nonresponse in these controlled stages should largely reflect respondent characteristics, not a mixture of respondent and interviewer characteristics. The dual frame design of the SCF offers two classes of sample cases for modeling nonresponse. For the area-probability sample, tract-level data are available from the 2000 Census of Population. For the list sample, case-specific data based on statistical records derived from tax returns are available. For both set of cases, some interviewer observations are also available. This paper presents estimates of nonresponse models based on these data. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER surveys KW - CONSUMERS KW - FINANCE KW - NONRESPONSE (Statistics) KW - CENSUS KW - INTERVIEWERS KW - interviewers KW - Nonresponse KW - paradata N1 - Accession Number: 121705408; Kennickell, Arthur B. 1; Email Address: akennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p101; Subject Term: CONSUMER surveys; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: NONRESPONSE (Statistics); Subject Term: CENSUS; Subject Term: INTERVIEWERS; Author-Supplied Keyword: interviewers; Author-Supplied Keyword: Nonresponse; Author-Supplied Keyword: paradata; Number of Pages: 11p; Document Type: Article L3 - 10.3233/SJI-160277 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705408&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Getting to the top: Reaching wealthy respondents in the SCF. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 113 EP - 123 SN - 18747655 AB - This paper examines the effort devoted to securing interviews with a very wealthy part of the sample for the 2007 Survey of Consumer Finances (SCF). Only about a quarter of the group completed an interview. At the close of the field period, more than a third of this part of the sample was judged by the field staff to be still workable - that is, those cases were neither complete nor final refusals. The evolution of the field work was driven both by the behavior of respondents and the behavior of the field staff. The paper uses the formal data coded in the call records for each case to describe the work. But that information is inconclusive about the factors that drove the work. However, informal notes in the call records do provide a clear picture of the points of resistance among respondents. Although it was difficult to locate, contact, and convince respondents of the legitimacy and value of the survey, it appears that the ultimate constraint in a large proportion of cases was the length of the interview - potentially several hours for these respondents. Examination of the available auxiliary data provides little evidence of nonresponse bias. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMERS KW - FINANCE KW - CONSUMER surveys KW - RESPONDENTS KW - WEALTH KW - HOUSEHOLD surveys -- Response rate KW - STATISTICAL bias KW - HOUSEHOLDS KW - ATTITUDES KW - UNITED States KW - nonresponse bias KW - paradata KW - Survey field operations N1 - Accession Number: 121705412; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p113; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: CONSUMER surveys; Subject Term: RESPONDENTS; Subject Term: WEALTH; Subject Term: HOUSEHOLD surveys -- Response rate; Subject Term: STATISTICAL bias; Subject Term: HOUSEHOLDS; Subject Term: ATTITUDES; Subject Term: UNITED States; Author-Supplied Keyword: nonresponse bias; Author-Supplied Keyword: paradata; Author-Supplied Keyword: Survey field operations; Number of Pages: 11p; Document Type: Article L3 - 10.3233/SJI-160295 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705412&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - What's the chance? Interviewers' expectations of response in the 2010 SCF. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 125 EP - 129 SN - 18747655 AB - Many household surveys collect and maintain process paradata. Such information has particular appeal, because variations in the level or particular patterns of effort might bear on understanding unit nonresponse or other aspects of survey participation. But for such information to be useful, it is necessary to understand the process that generates them. For surveys that lack a highly structured contact protocol, choices of survey managers or interviewers determine whether and when a record is generated; if that choice is not neutral with respect to characteristics of respondents, then the process data may not be directly usable to study such topics as response propensity, unless there is some means of controlling for choice. For such surveys, one a priori plausible control is the subjective likelihood that a given case can be successfully completed. Effort might be thought to be most likely to be applied to cases that are most likely to be completed. This paper examines data from the 2010 Survey of Consumer Finances (SCF), on the subjective evaluation of the likelihood of case completion that interviewers were required to complete for each effort on each case. In general, the data suggest that interviewers cannot predict the outcome of cases sufficiently reliably or precisely to be systematically useful. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERVIEWERS KW - EXPECTATION (Psychology) KW - NONRESPONSE (Statistics) KW - HOUSEHOLD surveys KW - CONSUMERS KW - FINANCE KW - expectations KW - interviewers KW - nonresponse KW - Paradata N1 - Accession Number: 121705419; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p125; Subject Term: INTERVIEWERS; Subject Term: EXPECTATION (Psychology); Subject Term: NONRESPONSE (Statistics); Subject Term: HOUSEHOLD surveys; Subject Term: CONSUMERS; Subject Term: FINANCE; Author-Supplied Keyword: expectations; Author-Supplied Keyword: interviewers; Author-Supplied Keyword: nonresponse; Author-Supplied Keyword: Paradata; Number of Pages: 5p; Document Type: Article L3 - 10.3233/SJI-160313 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705419&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Using range techniques with CAPI in the 1995 Survey of Consumer Finances. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 131 EP - 141 SN - 18747655 AB - The Survey of Consumer Finances (SCF) collects dollar amounts for a wide variety of assets, liabilities, payments, incomes, and other items. Non-negligible problems with item nonresponse for these variables in the past has been mitigated by the collection of range information. However, reports from interviewers suggested that probing for ranges was sometimes awkward. The redesign of the 1995 SCF for computer-assisted personal interviewing (CAPI) allowed the collection of range data to be incorporated more formally into the interview process than was feasible with a paper questionnaire and to capture more detailed information about the nature of probing. The results from the use of the new approach suggest that many responses that would previously have been recorded as "don't know" were instead collected as range information, and that ranges may have displaced some point estimates made by the respondent. In addition, the data suggest there are complex interactions effects that determine the types of ranges that interviewers and respondents negotiate. One justification for imposing this additional burden on interviewers and respondents is the potential for addressing nonignorable item nonresponse more fully. Although the results presented here tend to support the collection of range data as an efficiency-improving measure, there is not strong evidence that imputations would otherwise be biased. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMERS KW - FINANCE KW - CONSUMER surveys KW - MULTIPLE imputation (Statistics) KW - INTERVIEWING KW - QUESTIONNAIRES KW - imputation KW - Item nonresponse N1 - Accession Number: 121705410; Kennickell, Arthur B. 1; Email Address: arthur.kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p131; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: CONSUMER surveys; Subject Term: MULTIPLE imputation (Statistics); Subject Term: INTERVIEWING; Subject Term: QUESTIONNAIRES; Author-Supplied Keyword: imputation; Author-Supplied Keyword: Item nonresponse; Number of Pages: 11p; Document Type: Article L3 - 10.3233/SJI-160283 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705410&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Multiple imputation in the Survey of Consumer Finances. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 143 EP - 151 SN - 18747655 AB - The Survey of Consumer Finances (SCF) focuses intensely on the details of households' finances. Owing to the perceived sensitivity of this topic to some people and the difficulty of answering some questions, unit and item nonresponse rates in the SCF are substantial. The FRITZ Multiple imputation (MI) routine developed for the SCF has provided a means of providing a public data set that is more informative overall than anything that could be constructed with the data available to the public while also providing a more honest picture of the limits of our knowledge about the missing data. MI also plays a key role in the SCF in disclosure limitation as a tool for a limited form of data simulation in the public version of the data. This paper reviews the implementation of MI for the SCF and provides some empirical evidence on the performance of the FRITZ system. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMERS KW - FINANCE KW - CONSUMER surveys KW - MULTIPLE imputation (Statistics) KW - ASSETS (Accounting) KW - HOUSEHOLDS KW - Item nonresponse KW - multiple imputation N1 - Accession Number: 121705409; Kennickell, Arthur B. 1; Email Address: arthur.kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p143; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: CONSUMER surveys; Subject Term: MULTIPLE imputation (Statistics); Subject Term: ASSETS (Accounting); Subject Term: HOUSEHOLDS; Author-Supplied Keyword: Item nonresponse; Author-Supplied Keyword: multiple imputation; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 9p; Document Type: Article L3 - 10.3233/SJI-160278 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705409&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Interviewers and data quality: Evidence from the 2001 survey of consumer finances. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 153 EP - 163 SN - 18747655 AB - The most obvious pressure on field interviewers during a survey is to complete interviews. Comparable efforts to enforce data quality standards are hampered because many of the most important indicators of quality are embedded in the data in ways that are typically very difficult to extract quickly enough to be useful during a survey field period. This paper examines a number of important indicators of data quality based on the data in the 2001 Survey of Consumer Finances and uses that information to assess variations over interviewers. Of particular interest is the low correlation across interviewers between some measures of the quality of the data they collected and the rate at which they completed cases. The paper argues for three things: (1) development of feedback systems to monitor and enforce data quality, (2) reexamination of the role of interviewers with particular attention to the possibility of dividing their tasks, and (3) investigation of the labor market for interviewers. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DATA quality KW - INTERVIEWERS KW - CONSUMERS KW - FINANCE KW - CONSUMER surveys KW - LABOR market KW - EDITING KW - Data quality KW - editing KW - interviewers N1 - Accession Number: 121705420; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p153; Subject Term: DATA quality; Subject Term: INTERVIEWERS; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: CONSUMER surveys; Subject Term: LABOR market; Subject Term: EDITING; Author-Supplied Keyword: Data quality; Author-Supplied Keyword: editing; Author-Supplied Keyword: interviewers; Number of Pages: 11p; Document Type: Article L3 - 10.3233/SJI-160314 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705420&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Bricker, Jesse AU - Kennickell, Arthur B. T1 - Shared understanding and data quality in the SCF. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 165 EP - 174 SN - 18747655 AB - In a survey, data quality is most vulnerable is at the point of data collection. Because the Survey of Consumer Finances (SCF) queries respondents on topics that are particularly technical and private, the role of the interviewer as facilitator is crucial; to be an effective facilitator, the interviewer must be well informed and motivated. To this end, SCF interviewers participate in trainings with NORC staff, and historically Federal Reserve Board (FRB) staff has reviewed completed cases for data quality issues. Although the review is partly driven by software that is used to identify many classes of potential systematic problems, the focus on reviewing individual cases has made larger data quality patterns less salient. Moreover, because the review usually proceeds with a considerable lag, it has often been difficult to get to the roots of problems, to educate interviewers where necessary and to change other procedures where appropriate. Understanding and well-conceived change rest on effective communication, but despite the best efforts of all involved, communication between the FRB staff and the field staff has been inefficient. This paper focuses on advances in the communication channel in the 2013 SCF. The work builds on the recognition that goals are easier to reach when everyone involved in the data collection process has a common understanding of them. To move closer to this ideal, some detailed elements of data quality review have been diffused through NORC staff. By engaging with the actual data, all players in the data creation process have developed a stronger common understanding of emergent issues and communicate more clearly about elements of data quality. This progress will serve as a basis for subsequent improvement. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DATA quality KW - CONSUMERS KW - FINANCE KW - COMMUNICATION KW - ACQUISITION of data KW - communication KW - Data quality KW - survey methods KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 121705416; Bricker, Jesse 1 Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p165; Subject Term: DATA quality; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: COMMUNICATION; Subject Term: ACQUISITION of data; Author-Supplied Keyword: communication; Author-Supplied Keyword: Data quality; Author-Supplied Keyword: survey methods; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Document Type: Article L3 - 10.3233/SJI-160300 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705416&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Tossed and turned: Wealth dynamics of U.S. households 2007-2009. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 175 EP - 183 SN - 18747655 AB - For many years, the cross-sectional Survey of Consumer Finances has shown relatively weak or inconsistent changes in the shape of the distribution of net worth, despite many shifts in income and other economic factors. In 2009, households that had taken part in the 2007 SCF were re-interviewed to obtain information on the changes in their financial condition over the period of the intervening financial crisis. Looked at as a second cross section, the 2009 data show a pattern of wealth distribution very similar in shape to what had been seen in the earlier cross sections. Between the two years, however, there was considerable variation in the relative positions of households within the wealth distribution. This paper presents data on the changed situation of households and it decomposes the observed wealth changes in terms of underlying portfolio shifts. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSEHOLD surveys KW - HOUSEHOLDS KW - INCOME distribution KW - RECESSIONS -- 2008-2013 KW - UNITED States KW - UNITED States -- Economic conditions -- 2017- KW - Great Recession KW - Wealth distribution N1 - Accession Number: 121705414; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.) , Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p175; Subject Term: HOUSEHOLD surveys; Subject Term: HOUSEHOLDS; Subject Term: INCOME distribution; Subject Term: RECESSIONS -- 2008-2013; Subject Term: UNITED States; Subject Term: UNITED States -- Economic conditions -- 2017-; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Wealth distribution; Number of Pages: 9p; Document Type: Article L3 - 10.3233/SJI-160297 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705414&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - The other, other half: Changes in the finances of the least wealthy 50 percent, 2007-2009. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 185 EP - 193 SN - 18747655 AB - In discussions of household wealth, it is not surprising that discussion often tends to focus on the upper half of the wealth distribution: According to the 2007 Survey of Consumer Finances (SCF), that group held 97.5 percent of all directly owned household wealth. This paper investigates the wealth dynamics of the lower half of the distribution using data from the 2007-2009 SCF panel to examine the degree of distributional mobility among this group, the demographic characteristics associated with such change and the role of initial portfolio allocation. It also provides information from earlier SCFs and the 2010 SCF to put the results in perspective. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - CONSUMERS KW - FINANCE KW - HOUSEHOLDS KW - RECESSIONS -- 2008-2013 KW - AFFLUENT consumers KW - UNITED States KW - Great Recession KW - Wealth distribution N1 - Accession Number: 121705415; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p185; Subject Term: WEALTH; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: HOUSEHOLDS; Subject Term: RECESSIONS -- 2008-2013; Subject Term: AFFLUENT consumers; Subject Term: UNITED States; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Wealth distribution; Number of Pages: 9p; Document Type: Article L3 - 10.3233/SJI-160298 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705415&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Look again: Editing and imputation of SCF panel data. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 195 EP - 202 SN - 18747655 AB - In 2009, a re-interview with participants in the 2007 Survey of Consumer Finances (SCF) was undertaken to provide information on the effects of the financial crisis on households. The panel questionnaire was designed to maximize comparability with the earlier data. The subject matter of the survey, wealth and related issues, is often considered sensitive or conceptually difficult. Consequently, editing and imputation of the data are very important considerations. Although the baseline data had already been edited and imputed cross sectionally, they were re-edited along with the new panel data. Similarly, the data for both waves of the survey were imputed jointly. This paper has two goals: to discuss the importance of the re-editing of the baseline data and to gauge the effects of the joint imputation of data from the two waves. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERVIEWING KW - MULTIPLE imputation (Statistics) KW - HOUSEHOLD surveys KW - FINANCIAL crises KW - BUDGET baselines KW - CROSS-sectional method KW - Editing KW - imputation KW - panel data N1 - Accession Number: 121705405; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p195; Subject Term: INTERVIEWING; Subject Term: MULTIPLE imputation (Statistics); Subject Term: HOUSEHOLD surveys; Subject Term: FINANCIAL crises; Subject Term: BUDGET baselines; Subject Term: CROSS-sectional method; Author-Supplied Keyword: Editing; Author-Supplied Keyword: imputation; Author-Supplied Keyword: panel data; Number of Pages: 8p; Document Type: Article L3 - 10.3233/SJI-160268 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705405&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Try, try again: Response and nonresponse in the 2009 SCF panel. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 203 EP - 209 SN - 18747655 AB - The 2007 SCF was designed as a continuation of a series of cross-sectional surveys on the financial condition of U.S. households. In light of the serious economic downturn that followed that survey, the Federal Reserve Board decided to pursue a second interview with the survey participants to understand how the aggregate changes played out across households. Great care was taken to prepare interviewers to deal with respondents, who would not have expected an additional contact and some of whom had earlier expressed a strong desire never to be bothered again. Ultimately, the survey achieved a re-interview rate of almost 89 percent and a relatively low item nonresponse rates for such a complex survey. This paper uses the formal and informal paradata to examine key factors in survey response. If the nonrespondents to the re-interview are representative of marginal respondents in both years, there is an advantage in studying the group, because so much is known about them from their earlier interview and the process of obtaining that interview. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSEHOLD surveys -- Response rate KW - HOUSEHOLDS KW - CONSUMERS KW - FINANCE KW - CONSUMER surveys KW - WEALTH KW - UNITED States KW - longitudinal response KW - Panel survey KW - wealth survey N1 - Accession Number: 121705411; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC 20551, USA; Source Info: 2017, Vol. 33 Issue 1, p203; Subject Term: HOUSEHOLD surveys -- Response rate; Subject Term: HOUSEHOLDS; Subject Term: CONSUMERS; Subject Term: FINANCE; Subject Term: CONSUMER surveys; Subject Term: WEALTH; Subject Term: UNITED States; Author-Supplied Keyword: longitudinal response; Author-Supplied Keyword: Panel survey; Author-Supplied Keyword: wealth survey; Number of Pages: 7p; Document Type: Article L3 - 10.3233/SJI-160294 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705411&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kennickell, Arthur B. T1 - An Afterword. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2017/03// VL - 33 IS - 1 M3 - Article SP - 263 EP - 265 SN - 18747655 AB - An introduction is presented in which the editor discusses articles in the issue on topics including the relations between income and wealth, the use of interviews in conducting a survey, and the history of multiple imputation (MI). KW - WEALTH management services KW - INTERVIEWING KW - MULTIPLE imputation (Statistics) N1 - Accession Number: 121705404; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@gmail.com; Affiliation: 1: Board of Governors of the Federal Reserve System (Ret.), Washington, DC, USA; Source Info: 2017, Vol. 33 Issue 1, p263; Subject Term: WEALTH management services; Subject Term: INTERVIEWING; Subject Term: MULTIPLE imputation (Statistics); NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 3p; Document Type: Article L3 - 10.3233/SJI-171059 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121705404&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Byrne, David AU - Fernald, John G. AU - Reinsdorf, Marshall T1 - Does Growing Mismeasurement Explain Disappointing Growth? JO - FRBSF Economic Letter JF - FRBSF Economic Letter Y1 - 2017/02/13/ VL - 2017 IS - 4 M3 - Article SP - 1 EP - 5 PB - Federal Reserve Bank of San Francisco SN - 0890927X AB - The article offers information on the economic conditions in the U.S. as of 2017. Topics include the slowing growth in the country's productivity due to measurement problems, importance of innovation for economic growth, and information technology (IT)-related production. Also mentioned are the labor productivity, gross domestic product (GDP), and computer prices. KW - ECONOMIC development KW - INNOVATION management KW - LABOR productivity KW - COMPUTERS KW - GROSS domestic product KW - INFORMATION technology industry KW - UNITED States KW - SALES & prices N1 - Accession Number: 121364356; Byrne, David 1 Fernald, John G. 2 Reinsdorf, Marshall 3; Affiliation: 1: Principal economist at the Board of Governors of the Federal Reserve System 2: Senior research advisor in the Economic Research Department of the Federal Reserve Bank of San Francisco 3: Senior economist at the International Monetary Fund; Source Info: 2/13/2017, Vol. 2017 Issue 4, p1; Subject Term: ECONOMIC development; Subject Term: INNOVATION management; Subject Term: LABOR productivity; Subject Term: COMPUTERS; Subject Term: GROSS domestic product; Subject Term: INFORMATION technology industry; Subject Term: UNITED States; Subject Term: SALES & prices; NAICS/Industry Codes: 417310 Computer, computer peripheral and pre-packaged software merchant wholesalers; NAICS/Industry Codes: 423430 Computer and Computer Peripheral Equipment and Software Merchant Wholesalers; NAICS/Industry Codes: 443142 Electronics Stores; NAICS/Industry Codes: 334111 Electronic Computer Manufacturing; NAICS/Industry Codes: 334110 Computer and peripheral equipment manufacturing; NAICS/Industry Codes: 443144 Computer and software stores; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121364356&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Pool, Veronika K. AU - Sialm, Clemens AU - Stefanescu, Irina T1 - CFA Digest: It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans. JO - CFA Digest JF - CFA Digest Y1 - 2017/02// VL - 47 IS - 2 M3 - Article SP - 1 EP - 2 SN - 00469777 AB - Mutual fund management companies that provide services to sponsors of 401(k) savings plans exhibit favoritism toward their own affiliated funds. Underperforming affiliated funds are less likely to be removed from the menu of available investment options compared with similarly underperforming non-affiliated funds. The investment choices of plan participants tend to suggest that they are unaware of the potential conflicts of interest involved and continue to invest in underperforming investment options. [ABSTRACT FROM AUTHOR] AB - Copyright of CFA Digest is the property of CFA Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) N1 - Accession Number: 121499955; Pool, Veronika K. 1; Sialm, Clemens 2; Stefanescu, Irina 3; Affiliations: 1: Kelley School of Business, Indiana University; 2: McCombs School of Business, University of Texas at Austin, and at the National Bureau of Economic Research; 3: Board of Governors of the Federal Reserve System; Issue Info: Feb2017, Vol. 47 Issue 2, p1; Number of Pages: 2p; Document Type: Article L3 - 10.2469/dig.v47.n2.8 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121499955&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Borochin, Paul AU - Yang, Jie T1 - Options, equity risks, and the value of capital structure adjustments. JO - Journal of Corporate Finance JF - Journal of Corporate Finance Y1 - 2017/02// VL - 42 M3 - Article SP - 150 EP - 178 SN - 09291199 AB - We use exchange-traded options to identify risks relevant to capital structure adjustments in firms. These forward-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting data. They matter most during contractionary periods and for growth firms. We form market-based indices that capture firms' magnitudes of, and propensity for, net leverage increases. Firms with larger predicted leverage increases outperform firms with lower predicted increases by 3.1% to 3.9% per year in buy-and-hold abnormal returns. Finally, consistent with the quality, leverage, and distress risk puzzles, firms with lower predicted leverage increases are riskier but earn lower abnormal returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Corporate Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - OPTIONS (Finance) KW - CAPITAL structure KW - FINANCIAL risk management KW - FINANCIAL leverage KW - EQUITY KW - Capital structure KW - Financial leverage KW - G12 KW - G14 KW - G30 KW - G32 KW - Implied volatility KW - Options N1 - Accession Number: 121173930; Borochin, Paul 1; Email Address: paul.borochin@uconn.edu; Yang, Jie 2; Email Address: jie.yang@frb.gov; Affiliations: 1: School of Business University of Connecticut, Storrs, CT06269,United States; 2: Board of Governors of the Federal Reserve System, Washington, D.C.20551,United States; Issue Info: Feb2017, Vol. 42, p150; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: CAPITAL structure; Thesaurus Term: FINANCIAL risk management; Thesaurus Term: FINANCIAL leverage; Subject Term: EQUITY; Author-Supplied Keyword: Capital structure; Author-Supplied Keyword: Financial leverage; Author-Supplied Keyword: G12; Author-Supplied Keyword: G14; Author-Supplied Keyword: G30; Author-Supplied Keyword: G32; Author-Supplied Keyword: Implied volatility; Author-Supplied Keyword: Options; Number of Pages: 29p; Document Type: Article L3 - 10.1016/j.jcorpfin.2016.11.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121173930&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dew-Becker, Ian AU - Giglio, Stefano AU - Le, Anh AU - Rodriguez, Marius T1 - The price of variance risk. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2017/02// VL - 123 IS - 2 M3 - Article SP - 225 EP - 250 SN - 0304405X AB - Between 1996 and 2014, it was costless on average to hedge news about future variance at horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance was significantly priced. These results present a challenge to many structural models of the variance risk premium, such as the intertemporal CAPM and recent models with Epstein–Zin preferences and long-run risks. The results are also difficult to reconcile with macro models in which volatility affects investment decisions. At the same time, the data allows us to distinguish between different disaster models; a model in which the stock market has a time-varying exposure to disasters and investors have power utility fits the major features of the variance term structure. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL assets pricing model KW - HEDGE funds KW - CAPITALISTS & financiers KW - VOLATILITY (Finance) KW - DECISION making KW - Disasters KW - G12 KW - G13 KW - Recursive preferences KW - Variance risk premium N1 - Accession Number: 121050406; Dew-Becker, Ian 1,2; Giglio, Stefano 3,4; Email Address: Stefano.giglio@chicagobooth.edu; Le, Anh 5; Rodriguez, Marius 6; Affiliations: 1: Kellogg School of Management, Northwestern University, USA; 2: National Bureau of Economic Research; 3: Booth School of Business, University of Chicago, USA; 4: National Bureau of Economic Research and the Centre for Economic Policy Research; 5: Smeal College of Business, Pennsylvania State University, USA; 6: Board of Governors of the Federal Reserve System, USA; Issue Info: Feb2017, Vol. 123 Issue 2, p225; Thesaurus Term: CAPITAL assets pricing model; Thesaurus Term: HEDGE funds; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: DECISION making; Author-Supplied Keyword: Disasters; Author-Supplied Keyword: G12; Author-Supplied Keyword: G13; Author-Supplied Keyword: Recursive preferences; Author-Supplied Keyword: Variance risk premium; NAICS/Industry Codes: 525910 Open-End Investment Funds; Number of Pages: 26p; Document Type: Article L3 - 10.1016/j.jfineco.2016.04.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121050406&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ecer, Sencer1, ecer@itu.edu.tr AU - Magro, Mark2 AU - Sarpça, Sinan3 T1 - The Relationship Between Nonprofits' Revenue Composition and Their Economic-Financial Efficiency. JO - Nonprofit & Voluntary Sector Quarterly JF - Nonprofit & Voluntary Sector Quarterly J1 - Nonprofit & Voluntary Sector Quarterly PY - 2017/02// Y1 - 2017/02// VL - 46 IS - 1 CP - 1 M3 - Article SP - 141 EP - 155 SN - 08997640 AB - We study financial efficiency in the nonprofit sector and document that organizations that rely mainly on commercial revenues are more efficient in managing their overhead and administrative expenses compared with nonprofits that rely mainly on donations. We also record a positive relationship between the extent of a nonprofit's reliance on donations and its efficiency in generating them. Our findings suggest economies of scale in the nonprofit sector and also a positive (negative) relationship between receiving government grants (membership income) and overall efficiency. We discuss what our findings imply for social enterprises and traditional nonprofits. [ABSTRACT FROM AUTHOR] KW - Grants (Money) KW - Nonprofit organizations KW - Charitable giving N1 - Accession Number: 120615672; Authors:Ecer, Sencer 1 Email Address: ecer@itu.edu.tr; Magro, Mark 2; Sarpça, Sinan 3; Affiliations: 1: Istanbul Technical University, Istanbul, Turkey; 2: Board of Governors of the Federal Reserve System, Washington, DC, USA; 3: Koç University, Istanbul, Turkey; Subject: Nonprofit organizations; Subject: Charitable giving; Subject: Grants (Money); Author-Supplied Keyword: earned income; Author-Supplied Keyword: financial ratios; Author-Supplied Keyword: not-for-profit institutions; Author-Supplied Keyword: social enterprises; Number of Pages: 15p; Record Type: Article; Full Text Word Count: 6194 L3 - 10.1177/0899764016649693 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eft&AN=120615672&site=ehost-live&scope=site DP - EBSCOhost DB - eft ER - TY - JOUR AU - Anbil, Sriya T1 - Managing Stigma during a Financial Crisis. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 57 AB - How should regulators design effective emergency lending facilities to mitigate stigma during a financial crisis? I explore this question using data from an unexpected disclosure of partial lists of banks that secretly borrowed from the lender of last resort during the Great Depression. I find evidence of stigma in that depositors withdrew more deposits from banks included on the lists in comparison with banks left of the lists. However, stigma dissipated for banks that were revealed earlier after subsequent banks were revealed. Overall, the results suggest that an emergency lending facility that never reveals bank identities would mitigate stigma. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - BANK deposits KW - BANK runs KW - INTERBANK market KW - DEPRESSIONS (Economics) KW - STIGMA (Social psychology) N1 - Accession Number: 121537376; Anbil, Sriya 1; Email Address: sriya.l.anbil@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, 20th St. and Constitution Ave., NW, Washington, DC 20551, USA; Issue Info: Feb2017, p1; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BANK deposits; Thesaurus Term: BANK runs; Thesaurus Term: INTERBANK market; Thesaurus Term: DEPRESSIONS (Economics); Subject Term: STIGMA (Social psychology); Number of Pages: 58p; Document Type: Article L3 - 10.17016/FEDS.2017.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537376&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Buhui Qiu AU - Teng Wang T1 - Does Knowledge Protection Benefit Shareholders? Evidence from Stock Market Reaction and Firm Investment in Knowledge Assets. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 54 AB - This paper studies whether knowledge protection affects shareholder value and firms' investment in knowledge assets using the staggered adoptions and rejections of the inevitable disclosure doctrine (IDD) by U.S. state courts as exogenous changes in the level of knowledge protection. We find positive (negative) abnormal stock returns around the IDD adoption (rejection) day for firms headquartered in the state and uncover a positive IDD treatment effect on firms' investment in knowledge assets. Moreover, the effects on stock returns and knowledge assets investment are stronger in more knowledge-oriented industries and firms. Finally, enhancing knowledge protection does not discourage local entrepreneurial activity. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKHOLDERS KW - STOCK exchanges KW - STOCKHOLDER wealth KW - KNOWLEDGE management KW - STOCKS (Finance) -- Rate of return KW - ECONOMIC aspects KW - Inevitable Disclosure Doctrine KW - Investment in Knowledge Assets KW - Knowledge Protection KW - Shareholder Value N1 - Accession Number: 121537381; Buhui Qiu 1; Email Address: buhui.qiu@sydney.edu.au; Teng Wang 2; Email Address: teng.wang@frb.gov; Affiliations: 1: University of Sydney, NSW 2006, Australia; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Ave NW, Washington, DC 20551, USA; Issue Info: Feb2017, preceding p1; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: STOCK exchanges; Thesaurus Term: STOCKHOLDER wealth; Thesaurus Term: KNOWLEDGE management; Thesaurus Term: STOCKS (Finance) -- Rate of return; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Inevitable Disclosure Doctrine; Author-Supplied Keyword: Investment in Knowledge Assets; Author-Supplied Keyword: Knowledge Protection; Author-Supplied Keyword: Shareholder Value; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 57p; Document Type: Article L3 - 10.17016/FEDS.2017.012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537381&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Byrne, David AU - Corrado, Carol T1 - ICT Prices and ICT Services: What do they tell us about Productivity and Technology? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 40 AB - This paper reassesses the link between ICT prices, technology, and productivity. To understand how the ICT sector could come to the rescue of a whole economy, we introduce a simple model that sets out the steady-state contribution of the sector to the growth in U.S. labor productivity. The model extends Oulton (2012) to include ICT services (e.g., cloud computing) which has implications for the relationship between prices for ICT services and prices for the capital stocks (i.e., ICT assets) used to supply them. ICT asset prices are then put under a microscope, and official prices are found to substantially understate ICT price declines. And because ICT use continues to diffuse through the economy--increasingly via cloud and related services which are not fully accounted for in the standard narrative on ICT's contribution to economic growth--the contribution of ICT to growth in output per hour going forward is calibrated to be substantially larger than thought in the past. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFORMATION & communication technologies KW - PRODUCTION (Economic theory) KW - EFFECT of technological innovations on industrial productivity KW - LABOR productivity KW - ECONOMIC aspects KW - CLOUD computing -- Economic aspects KW - UNITED States KW - Cloud services KW - High-performance computing KW - Information and Communication Technology (ICT) KW - Price measurement KW - Productivity KW - Technology N1 - Accession Number: 121537384; Byrne, David 1; Corrado, Carol 2; Email Address: carol.corrado@tcb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C.; 2: The Conference Board and Center for Business and Public Policy, McDonough School or Business, Georgetown University; Issue Info: Feb2017, preceding p1; Thesaurus Term: INFORMATION & communication technologies; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: EFFECT of technological innovations on industrial productivity; Thesaurus Term: LABOR productivity; Subject Term: ECONOMIC aspects; Subject Term: CLOUD computing -- Economic aspects; Subject Term: UNITED States; Author-Supplied Keyword: Cloud services; Author-Supplied Keyword: High-performance computing; Author-Supplied Keyword: Information and Communication Technology (ICT); Author-Supplied Keyword: Price measurement; Author-Supplied Keyword: Productivity; Author-Supplied Keyword: Technology; Number of Pages: 43p; Document Type: Article L3 - 10.17016/FEDS.2017.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537384&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Byrne, David AU - Corrado, Carol T1 - ICT Asset Prices: Marshaling Evidence into New Measures. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 26 AB - This paper is a companion to our recent paper, "ICT Prices and ICT Services: What do they tell us about Productivity and Technology?" It provides the sources and methods used to construct national accounts-style price deators for the major components of ICT investment--communications equipment, computer equipment, and software--that were presented and analyzed in that paper. The ICT equipment measures described herein were also used in Byrne, Fernald, and Reinsdorf (2016). [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFORMATION & communication technologies KW - ASSETS (Accounting) KW - INDUSTRIAL productivity KW - EFFECT of technological innovations on industrial productivity KW - DEFLATION (Finance) KW - ECONOMIC aspects KW - ICT asset prices KW - Information and Communication Technology (ICT) KW - Price measurement N1 - Accession Number: 121537385; Byrne, David 1; Corrado, Carol 2; Email Address: carol.corrado@tcb.org; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: The Conference Board and Center for Business and Public Policy, McDonough School, Georgetown University; Issue Info: Feb2017, preceding p1; Thesaurus Term: INFORMATION & communication technologies; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: EFFECT of technological innovations on industrial productivity; Thesaurus Term: DEFLATION (Finance); Subject Term: ECONOMIC aspects; Author-Supplied Keyword: ICT asset prices; Author-Supplied Keyword: Information and Communication Technology (ICT); Author-Supplied Keyword: Price measurement; Number of Pages: 30p; Document Type: Article L3 - 10.17016/FEDS.2017.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537385&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Decker, Ryan A. AU - Haltiwanger, John AU - Jarmin, Ron S. AU - Miranda, Javier T1 - Declining Dynamism, Allocative Efficiency, and the Productivity Slowdown. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 12 AB - A large literature documents declining measures of business dynamism including high-growth young firm activity and job reallocation. A distinct literature describes a slowdown in the pace of aggregate labor productivity growth. We relate these patterns by studying changes in productivity growth from the late 1990s to the mid 2000s using firm-level data. We find that diminished allocative efficiency gains can account for the productivity slowdown in a manner that interacts with the within-firm productivity growth distribution. The evidence suggests that the decline in dynamism is reason for concern and sheds light on debates about the causes of slowing productivity growth. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR productivity KW - INDUSTRIAL productivity KW - ALLOCATIVE efficiency (Economics) KW - BUSINESS enterprises KW - ECONOMIC development KW - ECONOMIC aspects N1 - Accession Number: 121537388; Decker, Ryan A. 1; Haltiwanger, John 2; Jarmin, Ron S. 3; Miranda, Javier 3; Affiliations: 1: Board of Governors of the Federal Reserve System, University of Maryland; 2: NBER; 3: U.S. Census Bureau; Issue Info: Feb2017, preceding p1; Thesaurus Term: LABOR productivity; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: ALLOCATIVE efficiency (Economics); Thesaurus Term: BUSINESS enterprises; Thesaurus Term: ECONOMIC development; Subject Term: ECONOMIC aspects; Number of Pages: 14p; Document Type: Article L3 - 10.17016/FEDS.2017.019 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537388&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CONF AU - Kennickell, Arthur B. T1 - Lining Up: Survey and Administrative Data Estimates of Wealth Concentration. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Conference Paper SP - 1 EP - 72 AB - The Survey of Consumer Finances (SCF) has a dual-frame sample design that supplements a standard area-probability frame with a sample of observations drawn from statistical records derived from tax returns. The tax-based frame is stratified on the basis of a "wealth index" constructed largely from observed income flows, with the intent of heavily oversampling wealthy households. Although the SCF is not specifically designed to estimate wealth concentration, the design arguably provides sufficient support to enable such analysis with a reasonable level of credibility. Similar estimates may also be made by using tax-based data directly, as in [1], by using a construct very close to a key part of the SCF wealth index. Such an approach has appeal as a way of tapping a much larger set of information to improve SCF estimates. Not surprisingly, there are differences in the two approaches, largely as a result of conceptual differences or complications in the survey implementation. This paper focuses on the top 1 percent of the wealth distribution, the group most intensively covered by the SCF list sample and it explores the stability of the relationship between the patterns of concentration in the survey data and parallel patterns in tax-based estimates and considers how those patterns differ across survey participants, the full sample and the entire survey frame. In addition, the paper makes as series of recommendation for further research on the technical support of the survey. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - PERSONAL finance surveys KW - CONSUMER credit KW - FAMILIES -- Economic aspects KW - CREDIT -- Statistics KW - UNITED States KW - MEASUREMENT N1 - Accession Number: 121537386; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Feb2017, preceding p1; Thesaurus Term: WEALTH; Thesaurus Term: PERSONAL finance surveys; Thesaurus Term: CONSUMER credit; Thesaurus Term: FAMILIES -- Economic aspects; Thesaurus Term: CREDIT -- Statistics; Subject Term: UNITED States; Subject Term: MEASUREMENT; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 74p; Document Type: Conference Paper L3 - 10.17016/FEDS.2017.017 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537386&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Passmore, Wayne AU - von Hafften, Alexander H. T1 - Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 30 AB - The Basel Committee promulgates bank regulatory standards that many major economies enact to a significant extent. One element of the Basel III capital standards is a system of capital surcharges for global systemically important banks (G-SIBs). If the purpose of the surcharges is to ensure the survival of G-SIBs through serious crises (like the 2007-09 financial crisis) without extraordinary public assistance, our analysis suggests that current surcharges are too low because of three shortcomings: (1) the Basel system underestimates the probability that a GSIB can fail, (2) the Basel system fails to account for short-term funding, and (3) the Basel system excludes too many banks from current surcharges. Our best estimate suggests that the current surcharges should be between 225 and 525 basis points higher for G-SIBs that are not reliant on short-term funding; G-SIBs that are reliant on short-term funding should have even higher surcharges. Furthermore, we find that, even with significant confidence in the effectiveness of other Basel III reforms, modest increases in surcharges appear needed. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SURCHARGES KW - BANKING law & legislation KW - BANK capital KW - FINANCIAL crises KW - UNITED States KW - bank capital KW - bank equity KW - bank regulation KW - banks KW - Basel capital KW - BASLER Ausschuss fur Bankenaufsicht KW - BASEL III (Proposed) N1 - Accession Number: 121537390; Passmore, Wayne 1; von Hafften, Alexander H. 2; Email Address: alex.vonhafften@frb.gov; Affiliations: 1: Senior Adviser, Division of Research and Statistics at the Board of Governors of the Federal Reserve System; 2: Senior Research Assistant, Division of Research and Statistics at the Board of Governors of the Federal Reserve System; Issue Info: Feb2017, preceding p1; Thesaurus Term: SURCHARGES; Thesaurus Term: BANKING law & legislation; Thesaurus Term: BANK capital; Thesaurus Term: FINANCIAL crises; Subject Term: UNITED States; Author-Supplied Keyword: bank capital; Author-Supplied Keyword: bank equity; Author-Supplied Keyword: bank regulation; Author-Supplied Keyword: banks; Author-Supplied Keyword: Basel capital ; Company/Entity: BASLER Ausschuss fur Bankenaufsicht; Reviews & Products: BASEL III (Proposed); Number of Pages: 58p; Document Type: Article L3 - 10.17016/FEDS.2017.021 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537390&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ramírez, Carlos T1 - Inter-firm Relationships and Asset Prices. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 65 AB - This paper proposes a novel link between the propagation of shocks within production networks and asset prices. It develops a dynamic network model in which the propagation of firm cash-flow shocks via inter-firm relationships affects the economy's equilibrium asset prices. When calibrated to match key features of customer-supplier networks in the United States, the model generates long-run risks, high and volatile risk premia, and a low and stable risk-free rate. Consistent with data from firms in manufacturing and service industries, the model predicts that central firms in the network command lower risk premiums than peripheral firms, and that firm-level return volatilities exhibit a high degree of co-movement. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises KW - GLOBAL production networks KW - ASSETS (Accounting) KW - ASSET management KW - CASH flow KW - Equilibrium Asset Prices KW - Inter-firm Relationships KW - Networks KW - Shock Propagation N1 - Accession Number: 121537383; Ramírez, Carlos 1; Email Address: carlos.ramirez@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Feb2017, p1; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: GLOBAL production networks; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: ASSET management; Thesaurus Term: CASH flow; Author-Supplied Keyword: Equilibrium Asset Prices; Author-Supplied Keyword: Inter-firm Relationships; Author-Supplied Keyword: Networks; Author-Supplied Keyword: Shock Propagation; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 66p; Document Type: Article L3 - 10.17016/FEDS.2017.014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537383&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reifschneider, David AU - Tulip, Peter T1 - Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors: The Federal Reserve's Approach. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 46 AB - Since November 2007, the Federal Open Market Committee (FOMC) of the U.S. Federal Reserve has regularly published participants' qualitative assessments of the uncertainty attending their individual forecasts of real activity and inflation, expressed relative to that seen on average in the past. The benchmarks used for these historical comparisons are the average root mean squared forecast errors (RMSEs) made by various private and government forecasters over the past twenty years. This paper documents how these benchmarks are constructed and discusses some of their properties. We draw several conclusions. First, if past performance is a reasonable guide to future accuracy, considerable uncertainty surrounds all macroeconomic projections, including those of FOMC participants. Second, different forecasters have similar accuracy. Third, estimates of uncertainty about future real activity and interest rates are now considerably greater than prior to the financial crisis; in contrast, estimates of inflation accuracy have changed little. Finally, fan charts--constructed as plus-or-minus one RMSE intervals about the median FOMC forecast, under the expectation that future projection errors will be unbiased and symmetrically distributed, and that the intervals cover about 70 percent of possible outcomes--provide a reasonable approximation to future uncertainty, especially when viewed in conjunction with the FOMC's qualitative assessments. That said, an assumption of symmetry about the interest rate outlook is problematic if the expected path of the federal funds rate is expected to remain low. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - FEDERAL funds market (U.S.) KW - FINANCIAL crises KW - STANDARD deviations KW - UNITED States KW - UNCERTAINTY -- Economic aspects KW - ECONOMIC aspects KW - UNITED States. Federal Reserve Board N1 - Accession Number: 121537389; Reifschneider, David 1; Email Address: davidreifschneider@frb.gov; Tulip, Peter 2; Email Address: tulipp@rba.gov.au; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Reserve Bank of Australia; Issue Info: Feb2017, preceding p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INFLATION (Finance); Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: FINANCIAL crises; Thesaurus Term: STANDARD deviations; Subject Term: UNITED States; Subject Term: UNCERTAINTY -- Economic aspects; Subject Term: ECONOMIC aspects ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 48p; Document Type: Article L3 - 10.17016/FEDS.2017.020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537389&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Teng Wang T1 - To Build or to Buy? The Role of Local Information in Credit Market Development. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2017/02// M3 - Article SP - 1 EP - 40 AB - Exploiting the heterogeneity in legal constraints on local bank employees' mobility, I show that access to local information influences banks' modes of expansion. Banks entering a new market typically establish new branches directly when interbank labor mobility is less restrictive but acquire incumbent branches otherwise. The treatment effect is strengthened when information asymmetries between local and entrants are severe. Furthermore, I find a surge in the total amount of local small business and mortgage loans granted, a higher mortgage approval rate, and a reduction of mortgage rates by surrounding incumbent branches, precisely around the period of entrants establishing new branches, which indicate intensified competition among banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BOND market KW - LABOR mobility KW - SAVINGS banks KW - BANK employees KW - MORTGAGE loans KW - Credit market development KW - Labor mobility KW - Local information N1 - Accession Number: 121537382; Teng Wang 1; Email Address: teng.wang@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System. Constitution Ave NW, Washington, DC 20551; Issue Info: Feb2017, p1; Thesaurus Term: BOND market; Thesaurus Term: LABOR mobility; Thesaurus Term: SAVINGS banks; Thesaurus Term: BANK employees; Thesaurus Term: MORTGAGE loans; Author-Supplied Keyword: Credit market development; Author-Supplied Keyword: Labor mobility; Author-Supplied Keyword: Local information; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 41p; Document Type: Article L3 - 10.17016/FEDS.2017.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121537382&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bastos, Paulo AU - Diasz, Daniel A. AU - Timoshenko, Olga A. T1 - Learning, Prices, and Firm Dynamics. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2017/02// IS - 1191-1199 M3 - Article SP - 1 EP - 53 AB - We document new facts about the evolution of firm performance and prices in international markets, and propose a theory of firm dynamics emphasizing the interaction between learning about demand and quality choice to explain the observed patterns. Using data from the Portuguese manufacturing sector, we find that: (1) firms with longer spells of activity in export destinations tend to ship larger quantities at lower prices; (2) older exporters tend to use more expensive inputs; (3) revenue growth within destinations (conditional on initial size) tends to decline with market experience; and (4) input prices and quantities tend to increase with revenue growth within firms. We develop a model of endogenous input and output quality choices in a learning environment that is able to account for these patterns. Counterfactual simulations reveal that minimum quality standards on traded goods reduce welfare by lowering entry in export markets and reallocating resources from old and large towards young and small firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS education KW - INTERNATIONAL markets KW - ORGANIZATIONAL performance KW - DEMAND (Economic theory) KW - REVENUE management KW - firm dynamics KW - Learning about demand KW - prices KW - product quality KW - quality standards N1 - Accession Number: 121423958; Bastos, Paulo 1; Email Address: pbastos@worldbank.org; Diasz, Daniel A. 2; Email Address: daniel.dias@frb.gov; Timoshenko, Olga A. 3; Email Address: timoshenko@gwu.edu; Affiliations: 1: Development Research Group, The World Bank, 1818 18th Street NW, Washington DC, United States; 2: Board of Governors of the Federal Reserve System, International Finance Division, Washington DC, United States and CEMAPRE, Portugal; 3: The George Washington University, Department of Economics and The Elliott School of International Affairs, 2115 G St., NW, Washington DC, 20052, United States; Issue Info: Feb2017, Issue 1191-1199, preceding p1; Thesaurus Term: BUSINESS education; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: ORGANIZATIONAL performance; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: REVENUE management; Author-Supplied Keyword: firm dynamics; Author-Supplied Keyword: Learning about demand; Author-Supplied Keyword: prices; Author-Supplied Keyword: product quality; Author-Supplied Keyword: quality standards; NAICS/Industry Codes: 611410 Business and Secretarial Schools; NAICS/Industry Codes: 611310 Colleges, Universities, and Professional Schools; Number of Pages: 54p; Document Type: Article L3 - 10.17016/IFDP.2017.1193 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121423958&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Caines, Colin AU - Hoffmanny, Florian AU - Kambourov, Gueorgui T1 - Complex-Task Biased Technological Change and the Labor Market. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2017/02// IS - 1191-1199 M3 - Article SP - 1 EP - 65 AB - In this paper we study the relationship between task complexity and the occupational wage- and employment structure. Complex tasks are defined as those requiring higher-order skills, such as the ability to abstract, solve problems, make decisions, or communicate effectively. We measure the task complexity of an occupation by performing Principal Component Analysis on a broad set of occupational descriptors in the Occupational Information Network (O*NET) data. We establish four main empirical facts for the U.S. over the 1980-2005 time period that are robust to the inclusion of a detailed set of controls, subsamples, and levels of aggregation: (1) There is a positive relationship across occupations between task complexity and wages and wage growth; (2) Conditional on task complexity, routine-intensity of an occupation is not a significant predictor of wage growth and wage levels; (3) Labor has reallocated from less complex to more complex occupations over time; (4) Within groups of occupations with similar task complexity labor has reallocated to non-routine occupations over time. We then formulate a model of Complex-Task Biased Technological Change with heterogeneous skills and show analytically that it can rationalize these facts. We conclude that workers in non-routine occupations with low ability of solving complex tasks are not shielded from the labor market effects of automatization. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR market KW - EMPLOYMENT (Economic theory) KW - MULTIPLE correspondence analysis (Statistics) KW - DECISION making in business KW - TASK performance KW - Complex Tasks KW - Occupational Task Content KW - Skills KW - Wage Polarization N1 - Accession Number: 121423957; Caines, Colin 1; Email Address: colin.c.caines@frb.gov; Hoffmanny, Florian 2; Email Address: Florian.Hoffmann@ubc.ca; Kambourov, Gueorgui 3; Email Address: g.kambourov@utoronto.ca; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; 2: Assistant Professor in the Department of Economics, University of British Columbia; 3: Associate Professor in the Department of Economics, University of Toronto, 150 St. George; Issue Info: Feb2017, Issue 1191-1199, preceding p1; Thesaurus Term: LABOR market; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: MULTIPLE correspondence analysis (Statistics); Thesaurus Term: DECISION making in business; Thesaurus Term: TASK performance; Author-Supplied Keyword: Complex Tasks; Author-Supplied Keyword: Occupational Task Content; Author-Supplied Keyword: Skills; Author-Supplied Keyword: Wage Polarization; Number of Pages: 66p; Document Type: Article L3 - 10.17016/IFDP.2017.1192 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121423957&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seung Jung Leey AU - Posenau, Kelly E. AU - Stebunovs, Viktors T1 - The Anatomy of Financial Vulnerabilities and Crises. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2017/02// IS - 1191-1199 M3 - Article SP - 1 EP - 85 AB - We extend the framework used in Aikman, Kiley, Lee, Palumbo, and Warusawitharana (2015) that maps vulnerabilities in the U.S. financial system to a broader set of advanced and emerging economies. Our extension tracks a broader set of vulnerabilities and, therefore, captures signs of different types of crises. The typical anatomy of the evolution of vulnerabilities before and after a financial crisis is as follows. Pressures in asset valuations materialize, and a build-up of imbalances in the external, financial, and nonfinancial sectors follows. A financial crisis is typically followed by a build-up of sovereign debt imbalances as the government tries to deal with the consequences of the crisis. Our early warnings indicators which aggregate these vulnerabilities predict banking crises better than the Credit-to-GDP gap at long horizons. Our indicators also predict the severity of banking crises and the duration of recessions, as they take into account possible spill-over and amplification channels of financial stress from one sector to another in the economy. Our indicators are of relevance for macroprudential and crisis management, in part, because they perform better than the Credit-to-GDP gap and do not suffer from the gap's econometric aws. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - ECONOMETRICS KW - GROSS domestic product KW - UNITED States KW - MATERIALIZATION KW - PREDICTION models KW - banking crises KW - credit-to-GDP gap KW - crisis management KW - currency crises KW - early warning system KW - financial crises KW - financial vulnerabilities KW - macroprudential policy N1 - Accession Number: 121423956; Seung Jung Leey 1; Email Address: seung.j.lee@frb.gov; Posenau, Kelly E. 2; Email Address: kposenau@chicagobooth.edu; Stebunovs, Viktors 1; Email Address: viktors.stebunovs@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551, U.S.A.; 2: The University of Chicago Booth School of Business, 5807 South Woodlawn Ave., Chicago, IL 60637, U.S.A.; Issue Info: Feb2017, Issue 1191-1199, preceding p1; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ECONOMETRICS; Thesaurus Term: GROSS domestic product; Subject Term: UNITED States; Subject Term: MATERIALIZATION; Subject Term: PREDICTION models; Author-Supplied Keyword: banking crises; Author-Supplied Keyword: credit-to-GDP gap; Author-Supplied Keyword: crisis management; Author-Supplied Keyword: currency crises; Author-Supplied Keyword: early warning system; Author-Supplied Keyword: financial crises; Author-Supplied Keyword: financial vulnerabilities; Author-Supplied Keyword: macroprudential policy; Number of Pages: 86p; Document Type: Article L3 - 10.17016/IFDP.2017.1191 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=121423956&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chang, Andrew C. T1 - Banking consolidation and small firm financing for research and development. JO - Applied Economics JF - Applied Economics Y1 - 2017/01// VL - 49 IS - 1 M3 - Article SP - 51 EP - 65 SN - 00036846 AB - This article examines the effect of increased market concentration of the banking industry caused by the Riegle–Neal Interstate Banking and Branching Efficiency Act (IBBEA) on the availability of finance for small firms engaged in research and development (R&D). I measure the financing decisions of these small firms using a balanced panel of Small Business Innovation Research (SBIR) applications. Using difference-in-differences, I find IBBEA decreased the supply of finance for small R&D firms. This effect is larger for late adopters of IBBEA, which tended to be states with stronger small banking sectors pre-IBBEA. [ABSTRACT FROM AUTHOR] AB - Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERSTATE banking KW - INNOVATIONS in business KW - SMALL business KW - BANKING industry -- United States KW - RESEARCH & development KW - Banking deregulation KW - G21 KW - G28 KW - G39 KW - IBBEA KW - interstate bank branching deregulation KW - market concentration KW - O30 KW - R&D KW - research and development KW - Riegle–Neal KW - SBIR KW - small business innovation research N1 - Accession Number: 118989503; Chang, Andrew C. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Jan2017, Vol. 49 Issue 1, p51; Thesaurus Term: INTERSTATE banking; Thesaurus Term: INNOVATIONS in business; Thesaurus Term: SMALL business; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: RESEARCH & development; Author-Supplied Keyword: Banking deregulation; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: G39; Author-Supplied Keyword: IBBEA; Author-Supplied Keyword: interstate bank branching deregulation; Author-Supplied Keyword: market concentration; Author-Supplied Keyword: O30; Author-Supplied Keyword: R&D; Author-Supplied Keyword: research and development; Author-Supplied Keyword: Riegle–Neal; Author-Supplied Keyword: SBIR; Author-Supplied Keyword: small business innovation research; NAICS/Industry Codes: 541712 Research and Development in the Physical, Engineering, and Life Sciences (except Biotechnology); NAICS/Industry Codes: 541711 Research and Development in Biotechnology; Number of Pages: 15p; Illustrations: 6 Charts, 1 Graph; Document Type: Article L3 - 10.1080/00036846.2016.1192271 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118989503&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oh, Dong Hwan AU - Patton, Andrew J. T1 - Modeling Dependence in High Dimensions With Factor Copulas. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2017/01// VL - 35 IS - 1 M3 - Article SP - 139 EP - 154 SN - 07350015 AB - This article presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high-dimensional applications, involving 50 or more variables, and can be combined with semiparametric marginal distributions to obtain flexible multivariate distributions. Factor copulas generally lack a closed-form density, but we obtain analytical results for the implied tail dependence using extreme value theory, and we verify that simulation-based estimation using rank statistics is reliable even in high dimensions. We consider “scree” plots to aid the choice of the number of factors in the model. The model is applied to daily returns on all 100 constituents of the S&P 100 index, and we find significant evidence of tail dependence, heterogeneous dependence, and asymmetric dependence, with dependence being stronger in crashes than in booms. We also show that factor copula models provide superior estimates of some measures of systemic risk. Supplementary materials for this article are available online. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SYSTEMIC risk (Finance) KW - ECONOMIC models KW - COPULAS (Mathematical statistics) KW - EXTREME value theory KW - MARGINAL distributions KW - Copulas KW - Correlation KW - Dependence KW - Systemic risk KW - Tail dependence N1 - Accession Number: 120555404; Oh, Dong Hwan 1; Patton, Andrew J. 2; Affiliations: 1: Quantitative Risk Analysis Section, Federal Reserve Board, Washington, DC20551(donghwan.oh@frb.gov); 2: Department of Economics, Duke University, Box 90097,Durham, NC27708(andrew.patton@duke.edu); Issue Info: Jan2017, Vol. 35 Issue 1, p139; Thesaurus Term: SYSTEMIC risk (Finance); Thesaurus Term: ECONOMIC models; Subject Term: COPULAS (Mathematical statistics); Subject Term: EXTREME value theory; Subject Term: MARGINAL distributions; Author-Supplied Keyword: Copulas; Author-Supplied Keyword: Correlation; Author-Supplied Keyword: Dependence; Author-Supplied Keyword: Systemic risk; Author-Supplied Keyword: Tail dependence; Number of Pages: 16p; Document Type: Article L3 - 10.1080/07350015.2015.1062384 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120555404&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Favara, Giovanni AU - Morellec, Erwan AU - Schroth, Enrique AU - Valta, Philip T1 - Debt enforcement, investment, and risk taking across countries. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2017/01// VL - 123 IS - 1 M3 - Article SP - 22 EP - 41 SN - 0304405X AB - We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we use a large panel of firms in 41 countries with heterogeneous debt enforcement characteristics. Consistent with our model, we find that the relation between debt enforcement and firms' investment and risk depends on the firm-specific probability of default. A differences-indifferences analysis of firms' investment and risk taking in response to bankruptcy reforms that make debt more renegotiable confirms the cross-country evidence. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEBT KW - INVESTMENTS KW - RISK management in business KW - ASSETS (Accounting) KW - RISK-taking (Psychology) KW - LAW & legislation KW - Asset sales KW - Debt enforcement KW - Default KW - Investment KW - Risk-taking N1 - Accession Number: 119971992; Favara, Giovanni 1; Morellec, Erwan 2,3,4; Email Address: erwan.morellec@epfl.ch; Schroth, Enrique 5; Valta, Philip 3,6,7; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Ecole Polytechnique Fédérale de Lausanne, Extranef 210, Lausanne, Switzerland; 3: Swiss Finance Institute, Boulevard du Pont d'Arve, Geneva, Switzerland; 4: CEPR, London EC1V 0DX, United Kingdom; 5: Finance Faculty, Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, UK; 6: University of Bern, Engehaldenstrasse 4, Bern 3012, Switzerland; 7: University of Geneva, 1211 Geneva, Switzerland; Issue Info: Jan2017, Vol. 123 Issue 1, p22; Thesaurus Term: DEBT; Thesaurus Term: INVESTMENTS; Thesaurus Term: RISK management in business; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: RISK-taking (Psychology); Subject Term: LAW & legislation; Author-Supplied Keyword: Asset sales; Author-Supplied Keyword: Debt enforcement; Author-Supplied Keyword: Default; Author-Supplied Keyword: Investment; Author-Supplied Keyword: Risk-taking; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.jfineco.2016.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119971992&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Campbell, Angelyque T1 - Why Does Wealth Vary Among College Graduates? JO - Review (00149187) JF - Review (00149187) Y1 - 2017///2017 1st Quarter VL - 99 IS - 1 M3 - Article SP - 41 EP - 43 PB - Federal Reserve Bank of St. Louis SN - 00149187 KW - COLLEGE graduates KW - FINANCIAL crises KW - ECONOMIC trends KW - HOME ownership KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 121364433; Campbell, Angelyque 1; Affiliation: 1: Manager of the policy analysis and communications units in the Division of Consumer and Community Affairs (DCCA) at the Board of Governors of the Federal Reserve System; Source Info: 2017 1st Quarter, Vol. 99 Issue 1, p41; Subject Term: COLLEGE graduates; Subject Term: FINANCIAL crises; Subject Term: ECONOMIC trends; Subject Term: HOME ownership; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 3p; Document Type: Article L3 - 10.20955/r.2017.41-43 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=121364433&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Seung Jung Lee AU - Lucy Qian Liu AU - Stebunovs, Viktors T1 - Risk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2017/01// IS - 1188 M3 - Article SP - 1 EP - 38 AB - We study how low interest rates in the United States affect risk taking in the market for cross-border corporate loans. Because banks tend to originate these loans with intent to sell to nonbank investors, we examine risk taking by the broad financial system. To the extent that actions of the Federal Reserve affect U.S. interest rates, our analysis provides evidence of cross-border spillover effects of U.S. monetary policy and highlights the global lending and risk-taking channels. We find that movements in the U.S. interest rates have an important effect on ex-ante credit risk of cross-border corporate loans, though the channels are different in the pre- and post-crisis periods. Before the crisis, banks made ex-ante riskier loans to non-U.S. borrowers in response to a decline in U.S. short-term interest rates, and, after it, banks and nonbanks originated such loans in response to a decline in U.S. longer-term interest rates. Economic uncertainty, risk appetite, and the U.S. dollar exchange rate appear to play a limited role in explaining ex-ante credit risk. Our results highlight the potential policy challenges faced by central banks in affecting credit risk cycles in their own jurisdictions. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rate risk KW - RISK-taking (Psychology) KW - SYNDICATED loans KW - CORPORATIONS -- Finance KW - CENTRAL banking industry KW - UNITED States KW - international spillovers KW - monetary policy KW - risk taking KW - Syndicated loans N1 - Accession Number: 120836675; Seung Jung Lee 1; Email Address: seung.j.lee@frb.gov; Lucy Qian Liu 2; Email Address: qliu3@imf.org; Stebunovs, Viktors 1; Email Address: viktors.stebunovs@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551, U.S.A; 2: International Monetary Fund, 700 19th Street, NW, Washington, DC 20431, U.S.A.; Issue Info: Jan2017, Issue 1188, preceding p1; Thesaurus Term: INTEREST rate risk; Thesaurus Term: RISK-taking (Psychology); Thesaurus Term: SYNDICATED loans; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: CENTRAL banking industry; Subject Term: UNITED States; Author-Supplied Keyword: international spillovers; Author-Supplied Keyword: monetary policy; Author-Supplied Keyword: risk taking; Author-Supplied Keyword: Syndicated loans; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 41p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120836675&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Krolikowski, Pawel M. AU - McCallum, Andrew H. T1 - Goods-Market Frictions and International Trade. JO - Working Paper Series (Federal Reserve Bank of Cleveland) JF - Working Paper Series (Federal Reserve Bank of Cleveland) Y1 - 2016/12/23/ VL - 16 IS - 34-37 M3 - Article SP - 1 EP - 95 AB - We present a tractable framework that embeds goods-market frictions in a general equilibrium dynamic model with heterogeneous exporters and identical importers. These frictions arise because it takes time and expense for exporters and importers to meet. We show that search frictions lead to an endogenous fraction of unmatched exporters, alter the gains from trade, endogenize entry costs, and imply that the competitive equilibrium does not generally result in the socially optimal number of searching firms. Finally, ignoring search frictions results in biased estimates of the effect of tariffs on trade flows. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Paper Series (Federal Reserve Bank of Cleveland) is the property of Federal Reserve Bank of Cleveland and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TRADE goods KW - FOREIGN exchange intervention (Monetary policy) KW - INTERNATIONAL division of labor KW - EFFECT of wage differentials on international trade KW - INTERNATIONAL trade KW - ECONOMETRIC models KW - frictions KW - goods KW - information KW - Search KW - trade N1 - Accession Number: 120812628; Krolikowski, Pawel M. 1; Email Address: pawel.krolikowski@clev.frb.org; McCallum, Andrew H. 2; Email Address: andrew.h.mccallum@frb.gov; Affiliations: 1: Federal Reserve Bank of Cleveland; 2: Board of Governors of the Federal Reserve System; Issue Info: 12/23/2016, Vol. 16 Issue 34-37, p1; Thesaurus Term: TRADE goods; Thesaurus Term: FOREIGN exchange intervention (Monetary policy); Thesaurus Term: INTERNATIONAL division of labor; Thesaurus Term: EFFECT of wage differentials on international trade; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: ECONOMETRIC models; Author-Supplied Keyword: frictions; Author-Supplied Keyword: goods; Author-Supplied Keyword: information; Author-Supplied Keyword: Search; Author-Supplied Keyword: trade; Number of Pages: 95p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120812628&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Caglio, Cecilia AU - Hanley, Kathleen Weiss AU - Marietta-Westberg, Jennifer T1 - Going public abroad. JO - Journal of Corporate Finance JF - Journal of Corporate Finance Y1 - 2016/12// VL - 41 M3 - Article SP - 103 EP - 122 SN - 09291199 AB - We examine the decision of a firm to go public abroad and list securities outside their country of origin. Foreign IPO issuers are more likely to choose a global underwriter but only if the home country is less financially integrated. We find that the probability of conducting a foreign IPO is higher if the home country has a less developed stock market, its disclosure regime is weaker and is less financially integrated. Using a matched sample, we show that foreign IPOs raise more capital than their domestic counterparts. Finally, the determinants of the choice of a US listing are unique. Our results suggest that the rise of global underwriters facilitates the movement of capital across nations and contributes to world financial globalization. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Corporate Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOING public (Securities) KW - DECISION making in economics KW - PUBLIC sector KW - STOCK exchanges KW - GLOBALIZATION KW - Financial Integration KW - G1 KW - G15 KW - G24 KW - Globalization KW - IPOs KW - Listing KW - Underwriter N1 - Accession Number: 119510020; Caglio, Cecilia 1; Email Address: cecilia.r.caglio@frb.gov; Hanley, Kathleen Weiss 2; Email Address: kwh315@lehigh.edu; Marietta-Westberg, Jennifer 3; Email Address: westbergj@sec.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington DC 20551, United States; 2: Lehigh University, College of Business and Economics, Bethlehem, PA18015, United States; 3: U.S. Securities Exchange and Commission, 100 F St NE, Washington DC 20549, United States; Issue Info: Dec2016, Vol. 41, p103; Thesaurus Term: GOING public (Securities); Thesaurus Term: DECISION making in economics; Thesaurus Term: PUBLIC sector; Thesaurus Term: STOCK exchanges; Thesaurus Term: GLOBALIZATION; Author-Supplied Keyword: Financial Integration; Author-Supplied Keyword: G1; Author-Supplied Keyword: G15; Author-Supplied Keyword: G24; Author-Supplied Keyword: Globalization; Author-Supplied Keyword: IPOs; Author-Supplied Keyword: Listing; Author-Supplied Keyword: Underwriter; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.jcorpfin.2016.07.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119510020&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny AU - Spader, Jonathan AU - Cortes, Alvaro T1 - Have distressed neighborhoods recovered? Evidence from the neighborhood stabilization program. JO - Journal of Housing Economics JF - Journal of Housing Economics Y1 - 2016/12// VL - 34 M3 - Article SP - 30 EP - 48 SN - 10511377 AB - During the 2007–2009 housing crisis, concentrations of foreclosed and vacant properties created severe blight in many cities and neighborhoods. The federal Neighborhood Stabilization Program (NSP) was established to help mitigate distress in hard-hit areas by funding the rehabilitation or demolition of troubled properties. This paper analyzes housing market changes in areas that received investments during the second round of NSP funding, focusing on seven large urban counties. Grantees used NSP to invest in census tracts with high rates of distressed and vacant properties, and tracts that had previously received other housing subsidies. The median NSP tract received quite sparse investment, relative to the overall housing stock and the initial levels of distress. Analysis of housing market outcomes indicates the recovery has been uneven across counties and neighborhoods. In a few counties, there is some evidence that NSP2 activity is correlated with improved housing outcomes, primarily increased sales volume. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Housing Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NEIGHBORHOODS KW - REHABILITATION KW - HOUSING market KW - INVESTMENTS KW - ECONOMIC recovery KW - ECONOMIC aspects KW - Economic recovery KW - Federal housing policy KW - Foreclosures KW - H4 KW - H7 KW - Housing markets KW - Neighborhood revitalization KW - R1 KW - R3 KW - NEIGHBORHOOD Stabilization Program (U.S.) N1 - Accession Number: 119340988; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov Spader, Jonathan 2 Cortes, Alvaro 3; Affiliation: 1: Board of Governors of the Federal Reserve System 2: Harvard University 3: Abt Associates Inc.; Source Info: Dec2016, Vol. 34, p30; Subject Term: NEIGHBORHOODS; Subject Term: REHABILITATION; Subject Term: HOUSING market; Subject Term: INVESTMENTS; Subject Term: ECONOMIC recovery; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Economic recovery; Author-Supplied Keyword: Federal housing policy; Author-Supplied Keyword: Foreclosures; Author-Supplied Keyword: H4; Author-Supplied Keyword: H7; Author-Supplied Keyword: Housing markets; Author-Supplied Keyword: Neighborhood revitalization; Author-Supplied Keyword: R1; Author-Supplied Keyword: R3; Company/Entity: NEIGHBORHOOD Stabilization Program (U.S.); NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jhe.2016.07.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=119340988&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Miller, David S. T1 - Commitment versus discretion in a political economy model of fiscal and monetary policy interaction. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2016/12// VL - 84 M3 - Article SP - 17 EP - 29 SN - 03043932 AB - Does price commitment result in lower welfare? I pair an independent monetary authority controlling nominal bonds with a fiscal authority microfounded by the political economy model of Battaglini and Coate (2008) . Without price commitment, time inconsistency is alleviated by interaction between the benevolent monetary authority and the politically distorted fiscal authority. With price commitment, nominal bonds will be used for wasteful spending by the politically distorted fiscal authority. Price commitment results in lower welfare because it eliminates monetary control over fiscal decisions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - FISCAL policy KW - GOVERNMENT spending policy KW - ECONOMICS -- Mathematical models KW - INTERACTION (Philosophy) KW - Monetary fiscal policy interaction KW - Monetary policy KW - Price commitment KW - Time inconsistency N1 - Accession Number: 120148313; Miller, David S. 1; Email Address: david.s.miller@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St. and Constitution Ave. N.W., Washington, D.C. 20551, United States; Issue Info: Dec2016, Vol. 84, p17; Thesaurus Term: MONETARY policy; Thesaurus Term: FISCAL policy; Thesaurus Term: GOVERNMENT spending policy; Thesaurus Term: ECONOMICS -- Mathematical models; Subject Term: INTERACTION (Philosophy); Author-Supplied Keyword: Monetary fiscal policy interaction; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Price commitment; Author-Supplied Keyword: Time inconsistency; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jmoneco.2016.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120148313&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Borochin, Paul AU - Jie Yang T1 - Options, Equity Risks, and the Value of Capital Structure Adjustments. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/12// M3 - Article SP - 1 EP - 61 AB - We use exchange-traded options to identify risks relevant to capital structure adjustments in firms. These forward-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting data. They matter most during contractionary periods and for growth firms. We form market-based indices that capture firms' magnitudes of, and propensity for, net leverage increases. Firms with larger predicted leverage increases outperform firms with lower predicted increases by 3.1% to 3.9% per year in buy-and-hold abnormal returns. Finally, consistent with the quality, leverage, and distress risk puzzles, firms with lower predicted leverage increases are riskier but earn lower abnormal returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL structure KW - FINANCIAL leverage KW - VOLATILITY (Finance) KW - FINANCIAL risk KW - RATE of return KW - Capital Structure KW - Financial Leverage KW - Implied Volatility KW - Options N1 - Accession Number: 120634512; Borochin, Paul 1; Email Address: paul.borochin@uconn.edu; Jie Yang 2; Email Address: jie.yang@frb.gov; Affiliations: 1: School of Business University of Connecticut, Storrs, CT 06269; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Dec2016, preceding p1; Thesaurus Term: CAPITAL structure; Thesaurus Term: FINANCIAL leverage; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: FINANCIAL risk; Thesaurus Term: RATE of return; Author-Supplied Keyword: Capital Structure; Author-Supplied Keyword: Financial Leverage; Author-Supplied Keyword: Implied Volatility; Author-Supplied Keyword: Options; Number of Pages: 64p; Document Type: Article L3 - 10.17016/FEDS.2016.097 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120634512&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Identity, Identification and Identifiers: The Global Legal Entity Identifier System. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/12// M3 - Article SP - 1 EP - 27 AB - The article focuses on Global Legal Entity Identifier System (GLEIS), a framework for defining economic actors, which was developed to create a greater transparency in financial transactions, financial markets and its participants. It offers information on the conceptual issues related to the concept of identity, the process of identification and the inherent physical reality of a person. KW - IDENTITY management systems KW - TRANSPARENCY in organizations KW - SECURITIES markets KW - FINANCIAL disclosure KW - ECONOMIC activity N1 - Accession Number: 120634518; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@frb.gov; Affiliations: 1: Advisor, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Dec2016, preceding p1; Thesaurus Term: IDENTITY management systems; Thesaurus Term: TRANSPARENCY in organizations; Thesaurus Term: SECURITIES markets; Thesaurus Term: FINANCIAL disclosure; Thesaurus Term: ECONOMIC activity; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 29p; Document Type: Article L3 - 10.17016/FEDS.2016.103 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120634518&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Laufer, Steven AU - Paciorek, Andrew T1 - THE EFFECTS OF MORTGAGE CREDIT AVAILABILITY: EVIDENCE FROM MINIMUM CREDIT SCORE LENDING RULES. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/12// M3 - Article SP - 1 EP - 53 AB - Since the housing bust and financial crisis, mortgage lenders have introduced progressively higher minimum thresholds for acceptable credit scores. Using loan-level data, we document the introduction of these thresholds, as well as their effects on the distribution of newly originated mortgages. We then use the timing and nonlinearity of these supply-side changes to credibly identify their shortand medium-run effects on various individual outcomes. Using a large panel of consumer credit data, we show that the credit score thresholds have very large negative effects on borrowing in the short run, and that these effects attenuate over time but remain sizable up to four years later. The effects are particularly concentrated among younger adults and those living in middleincome or moderately black census tracts. In aggregate, we estimate that lenders' use of minimum credit scores reduced the total number of newly originated mortgages by about 2 percent in the years following the financial crisis. We also find that, among individuals who already had mortgages, retaining access to mortgage credit reduced delinquency on both mortgage and non-mortgage debt and increased their propensity to take out auto loans, but had little effect on migration across metropolitan areas. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - MORTGAGE banks KW - CREDIT ratings KW - CONSUMER credit KW - FINANCIAL crises KW - UNITED States N1 - Accession Number: 120634513; Laufer, Steven 1; Email Address: steven.m.laufer@frb.gov; Paciorek, Andrew 1; Email Address: andrew.d.paciorek@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Dec2016, preceding p1; Thesaurus Term: MORTGAGE loans; Thesaurus Term: MORTGAGE banks; Thesaurus Term: CREDIT ratings; Thesaurus Term: CONSUMER credit; Thesaurus Term: FINANCIAL crises; Subject Term: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 55p; Document Type: Article L3 - 10.17016/FEDS.2016.098 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120634513&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph AU - Kamin, Steven T1 - The Corporate Saving Glut and Falloff of Investment Spending in OECD Economies. JO - IMF Economic Review JF - IMF Economic Review Y1 - 2016/11// VL - 64 IS - 4 M3 - Article SP - 777 EP - 799 PB - Macmillan Publishers Ltd. SN - 20414161 AB - We explore the increase in the net lending of non-financial corporations across the OECD following the global financial crisis. We document that this rise reflects both increases in saving and declines in investment. Panel regressions reveal that the fall in investment across OECD economies was generally in line with fundamentals-GDP growth, interest rates, and profits-though in some countries the weakness was more pronounced. We find little evidence that firms were reducing investment to strengthen their balance sheets, as payments to shareholders remained strong and were uncorrelated with investment. We conclude that, at least from the investment side, the rise in corporate net lending probably does not reflect a shift in corporate behavior relative to past norms. [ABSTRACT FROM AUTHOR] AB - Copyright of IMF Economic Review is the property of Macmillan Publishers Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GLOBAL Financial Crisis, 2008-2009 KW - FINANCIAL crises KW - INVESTMENTS KW - GROSS domestic product KW - INTEREST rates KW - OECD countries N1 - Accession Number: 120281314; Gruber, Joseph 1; Email Address: joseph.w.gruber@frb.gov Kamin, Steven 1; Email Address: steven.kamin@frb.gov; Affiliation: 1: Board of Governors of the Federal Reserve System , Washington 20551 USA; Source Info: Nov2016, Vol. 64 Issue 4, p777; Subject Term: GLOBAL Financial Crisis, 2008-2009; Subject Term: FINANCIAL crises; Subject Term: INVESTMENTS; Subject Term: GROSS domestic product; Subject Term: INTEREST rates; Subject Term: OECD countries; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 23p; Illustrations: 2 Charts, 11 Graphs; Document Type: Article L3 - 10.1057/s41308-016-0018-9 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=120281314&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Nakata, Taisuke AU - Schmidt, Sebastian T1 - Gradualism and Liquidity Traps. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/11// M3 - Article SP - 1 EP - 29 AB - Modifying the objective function of a discretionary central bank to include an interest-rate smoothing objective increases the welfare of an economy in which large contractionary shocks occasionally force the central bank to lower the policy rate to its effective lower bound. The central bank with an interest-rate smoothing objective credibly keeps the policy rate low for longer than the central bank with the standard objective function. Through expectations, the temporary overheating of the economy associated with such a low-for-long interest rate policy mitigates the declines in ination and output when the lower bound constraint is binding. In a calibrated model, we find that the introduction of an interest-rate smoothing objective can reduce the welfare costs associated with the lower bound constraint by more than one-half. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIQUIDITY (Economics) KW - SHOCK (Economics) KW - CENTRAL banking industry KW - INTEREST rates KW - GRADUALISM KW - Gradualism KW - Inflation Targeting KW - Interest-Rate Smoothing KW - Liquidity Traps N1 - Accession Number: 120151766; Nakata, Taisuke 1; Email Address: taisuke.nakata@frb.gov; Schmidt, Sebastian 2; Email Address: sebastian.schmidt@ecb.int; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, 20th Street and Constitution Avenue N.W. Washington, D.C. 20551; 2: European Central Bank, Monetary Policy Research Division, 60640 Frankfurt, Germany; Issue Info: Nov2016, Special section p1; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: SHOCK (Economics); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: INTEREST rates; Subject Term: GRADUALISM; Author-Supplied Keyword: Gradualism; Author-Supplied Keyword: Inflation Targeting; Author-Supplied Keyword: Interest-Rate Smoothing; Author-Supplied Keyword: Liquidity Traps; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 30p; Document Type: Article L3 - 10.17016/FEDS.2016.092 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120151766&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pierce, Justin R. AU - Schott, Peter K. T1 - Trade Liberalization and Mortality: Evidence from U.S. Counties. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/11// M3 - Article SP - 1 EP - 66 AB - We investigate the impact of a large economic shock on mortality. We find that counties more exposed to a plausibly exogenous trade liberalization exhibit higher rates of suicide and related causes of death, concentrated among whites, especially white males. These trends are consistent with our finding that more-exposed counties experience relative declines in manufacturing employment, a sector in which whites and males are disproportionately employed. We also examine other causes of death that might be related to labor market disruption and find both positive and negative relationships. More-exposed counties, for example, exhibit lower rates of fatal heart attacks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FREE trade KW - SHOCK (Economics) KW - MANUFACTURING industries KW - STATISTICS KW - EMPLOYMENT statistics KW - MORTALITY KW - MORTALITY -- United States N1 - Accession Number: 120151768; Pierce, Justin R. 1; Email Address: justin.r.pierce@frb.gov; Schott, Peter K. 2; Email Address: peter.schott@yale.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th & C Streets NW, Washington, DC 20551; 2: Yale School of Management & NBER, 165 Whitney Avenue, New Haven, CT 06511; Issue Info: Nov2016, preceding p1; Thesaurus Term: FREE trade; Thesaurus Term: SHOCK (Economics); Thesaurus Term: MANUFACTURING industries; Thesaurus Term: STATISTICS; Subject Term: EMPLOYMENT statistics; Subject Term: MORTALITY; Subject Term: MORTALITY -- United States; Number of Pages: 67p; Document Type: Article L3 - 10.17016/FEDS.2016.094 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120151768&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ericsson, Neil R. T1 - Economic Forecasting in Theory and Practice: An Interview with David F. Hendry. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2016/11// IS - 1184 M3 - Article SP - 1 EP - 40 AB - David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry's research on forecasting. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - STRUCTURAL break (Economics) KW - SAMPLING error (Statistics) KW - PREDICTION models KW - encompassing KW - equilibrium correction models KW - error correction KW - evaluation KW - exogeneity KW - forecasting KW - modeling KW - nowcasting KW - parameter constancy KW - robustification KW - structural breaks KW - HENDRY, David F. N1 - Accession Number: 119718307; Ericsson, Neil R. 1,2; Affiliations: 1: Principal economist, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551 USA; 2: Research Professor, Economics Department, The George Washington University, Washington, DC 20052 USA; Issue Info: Nov2016, Issue 1184, preceding p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: STRUCTURAL break (Economics); Subject Term: SAMPLING error (Statistics); Subject Term: PREDICTION models; Author-Supplied Keyword: encompassing; Author-Supplied Keyword: equilibrium correction models; Author-Supplied Keyword: error correction; Author-Supplied Keyword: evaluation; Author-Supplied Keyword: exogeneity; Author-Supplied Keyword: forecasting; Author-Supplied Keyword: modeling; Author-Supplied Keyword: nowcasting; Author-Supplied Keyword: parameter constancy; Author-Supplied Keyword: robustification; Author-Supplied Keyword: structural breaks; People: HENDRY, David F.; Number of Pages: 43p; Document Type: Article L3 - 10.17016/IFDP.2016.1184 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119718307&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Jalil, Andrew J. AU - Rua, Gisela T1 - Inflation expectations and recovery in spring 1933. JO - Explorations in Economic History JF - Explorations in Economic History Y1 - 2016/10// VL - 62 M3 - Article SP - 26 EP - 50 SN - 00144983 AB - This paper uses the historical narrative record to determine whether inflation expectations shifted during the second quarter of 1933, precisely as the recovery from the Great Depression took hold. First, by examining the historical news record and the forecasts of contemporary business analysts, we show that inflation expectations increased dramatically. Second, using an event-study approach, we identify the effect of the key events that shifted inflation expectations on financial markets. Third, we gather new evidence—both quantitative and narrative—that indicates that the shift in inflation expectations played a causal role in stimulating the recovery. [ABSTRACT FROM AUTHOR] AB - Copyright of Explorations in Economic History is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - HISTORY KW - DEPRESSIONS (Economics) -- 1929 KW - SECURITIES markets KW - E12 KW - E31 KW - E32 KW - Great Depression KW - Inflation expectations KW - Liquidity trap KW - N42 KW - Narrative evidence KW - Regime change N1 - Accession Number: 119779125; Jalil, Andrew J. 1 Rua, Gisela 2; Affiliation: 1: Department of Economics, Occidental College, 1600 Campus Road, Los Angeles, CA 90041, United States 2: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Mail Stop 82, 20th St. and Constitution Ave. NW, Washington, DC 20551, United States; Source Info: Oct2016, Vol. 62, p26; Subject Term: INFLATION (Finance); Subject Term: HISTORY; Subject Term: DEPRESSIONS (Economics) -- 1929; Subject Term: SECURITIES markets; Author-Supplied Keyword: E12; Author-Supplied Keyword: E31; Author-Supplied Keyword: E32; Author-Supplied Keyword: Great Depression; Author-Supplied Keyword: Inflation expectations; Author-Supplied Keyword: Liquidity trap; Author-Supplied Keyword: N42; Author-Supplied Keyword: Narrative evidence; Author-Supplied Keyword: Regime change; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.eeh.2016.07.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=119779125&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Modugno, Michele AU - Soybilgen, Barış AU - Yazgan, Ege T1 - Nowcasting Turkish GDP and news decomposition. JO - International Journal of Forecasting JF - International Journal of Forecasting Y1 - 2016/10// VL - 32 IS - 4 M3 - Article SP - 1369 EP - 1384 SN - 01692070 AB - Real gross domestic product (GDP) data in Turkey are released with a very long delay relative those of to other economies, between 10 and 13 weeks after the end of the reference quarter. This means that policy makers, the media, and market practitioners have to infer the current state of the economy by examining data that are more timely and are released at higher frequencies than the GDP. This paper proposes an econometric model that allows us to read through these more current and higher-frequency data automatically, and translate them into nowcasts for the Turkish real GDP. Our model outperforms the nowcasts produced by the Central Bank of Turkey, the International Monetary Fund, and the Organisation for Economic Co-operation and Development. Moreover, our model allows us to quantify the importance of each variable in our dataset for nowcasting Turkish real GDP. In line with the findings for other economies, we find that real variables play the most important role; however, contrary to the findings for other economies, we find that financial variables are as important as surveys. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Forecasting is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - ECONOMIC policy KW - ECONOMETRIC models KW - ECONOMIC forecasting KW - TURKEY -- Economic aspects KW - Dynamic factor model KW - Gross domestic product KW - Nowcasting KW - ORGANISATION for Economic Co-operation & Development N1 - Accession Number: 118073988; Modugno, Michele 1; Email Address: michele.modugno@frb.gov; Soybilgen, Barış 2; Email Address: baris.soybilgen@bilgi.edu.tr; Yazgan, Ege 2; Email Address: ege.yazgan@bilgi.edu.tr; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC, United States; 2: Istanbul Bilgi University, Turkey; Issue Info: Oct2016, Vol. 32 Issue 4, p1369; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMIC forecasting; Subject Term: TURKEY -- Economic aspects; Author-Supplied Keyword: Dynamic factor model; Author-Supplied Keyword: Gross domestic product; Author-Supplied Keyword: Nowcasting ; Company/Entity: ORGANISATION for Economic Co-operation & Development; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.ijforecast.2016.07.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118073988&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Shy, Oz AU - Stenbacka, Rune AU - Yankov, Vladimir T1 - Limited deposit insurance coverage and bank competition. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2016/10// VL - 71 M3 - Article SP - 95 EP - 108 SN - 03784266 AB - Deposit insurance designs in many countries place a limit on the coverage of deposits in each bank. However, no limits are placed on the number of accounts held with different banks. Therefore, under limited deposit insurance, some consumers open accounts with different banks to achieve higher or full deposit insurance coverage. We compare three regimes of deposit insurance: no deposit insurance, unlimited deposit insurance, and limited deposit insurance. We show that limited deposit insurance weakens competition among banks and reduces total welfare relative to no or unlimited deposit insurance. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEPOSIT insurance KW - BANKING industry KW - COMPETITION (Economics) KW - BANK deposits KW - WELFARE economics KW - Bailout cost KW - Bank competition KW - Deposit rates KW - G21 KW - Limited deposit insurance coverage N1 - Accession Number: 119652735; Shy, Oz 1; Email Address: ozshy@ozshy.com; Stenbacka, Rune 2; Email Address: Rune.Stenbacka@hanken.fi; Yankov, Vladimir 3; Email Address: Vladimir.L.Yankov@frb.gov; Affiliations: 1: MIT Sloan School of Management, Cambridge, MA 02142, USA; 2: Hanken School of Economics, 00101 Helsinki, Finland; 3: Board of Governors of the Federal Reserve System, Washington, D.C. 20551, USA; Issue Info: Oct2016, Vol. 71, p95; Thesaurus Term: DEPOSIT insurance; Thesaurus Term: BANKING industry; Thesaurus Term: COMPETITION (Economics); Thesaurus Term: BANK deposits; Thesaurus Term: WELFARE economics; Author-Supplied Keyword: Bailout cost; Author-Supplied Keyword: Bank competition; Author-Supplied Keyword: Deposit rates; Author-Supplied Keyword: G21; Author-Supplied Keyword: Limited deposit insurance coverage; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 524128 Other Direct Insurance (except Life, Health, and Medical) Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jbankfin.2016.05.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119652735&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kiser, Elizabeth AU - Prager, Robin AU - Scott, Jason T1 - Supervisory Ratings and Bank Lending to Small Businesses During the Financial Crisis and Great Recession. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2016/10// VL - 50 IS - 2 M3 - Article SP - 163 EP - 186 SN - 09208550 AB - Bank lending to small firms in the U.S. fell substantially during the recent financial crisis and ensuing recession. Because small firms account for a disproportionate share of new job creation, lending to these firms could have important implications for the pace of economic recovery. This paper examines the extent to which changes in banks' supervisory ratings are associated with changes in the growth rate of their lending to small businesses. We estimate the relationship between changes in small banks' supervisory ratings and changes in their small commercial and industrial (C&I) or small commercial real estate (CRE) loans to businesses over 2007-2010. Controlling for a large set of other relevant factors, we find that small banks that experienced ratings downgrades during 2007-2010 exhibited significantly lower rates of growth in small C&I loans and small CRE loans outstanding compared with banks that maintained their ratings at healthy levels during the same period. We employ an innovative approach using the timing of bank exams to address the question of whether the slower growth in small business lending at downgraded banks is attributable mainly to aspects of the banks' financial health that are not fully reflected in balance sheet data or to the ratings downgrades themselves. Our results suggest that the downgrades themselves did not directly influence bank lending to small businesses during this period. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business KW - FINANCE KW - BANK loans KW - FINANCIAL crises KW - RECESSIONS KW - ECONOMIC recovery KW - UNITED States KW - Bank lending KW - Banking KW - CAMELS ratings KW - Financial crisis KW - G01 KW - G18 KW - G21 KW - Small business lending KW - Supervisory ratings N1 - Accession Number: 118192245; Kiser, Elizabeth 1; Prager, Robin 1; Email Address: robin.prager@frb.gov; Scott, Jason; Affiliations: 1: Board of Governors of the Federal Reserve System , Washington 20551 USA; Issue Info: Oct2016, Vol. 50 Issue 2, p163; Thesaurus Term: SMALL business; Thesaurus Term: FINANCE; Thesaurus Term: BANK loans; Thesaurus Term: FINANCIAL crises; Thesaurus Term: RECESSIONS; Thesaurus Term: ECONOMIC recovery; Subject Term: UNITED States; Author-Supplied Keyword: Bank lending; Author-Supplied Keyword: Banking; Author-Supplied Keyword: CAMELS ratings; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: G01; Author-Supplied Keyword: G18; Author-Supplied Keyword: G21; Author-Supplied Keyword: Small business lending; Author-Supplied Keyword: Supervisory ratings; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 24p; Illustrations: 5 Charts, 3 Graphs; Document Type: Article L3 - 10.1007/s10693-015-0226-x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118192245&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Firestone, Simon AU - Rezende, Marcelo T1 - Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2016/10// VL - 50 IS - 2 M3 - Article SP - 211 EP - 242 SN - 09208550 AB - Syndicated loans provide an exceptional opportunity to study differences in banks' approaches to measuring risk because many of these loans are held by more than one bank. We study differences in banks' estimates of risk parameters used to calculate regulatory capital requirements for syndicated loans. Using internal data from nine large U.S. banks, we find significant dispersion in the probability of default (PD) and loss given default (LGD) assigned by different banks to the same loans. Banks' PDs differ substantially, but only a few systematically set PDs higher or lower than others in a statistically significant manner. However, many banks' estimates of LGD differ from others in a systemic manner that is statistically and economically significant, causing large differences in minimum regulatory capital. In addition, we find that banks assign lower PDs to loans of which they hold larger shares, suggesting that incentives affect risk parameters. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SYNDICATED loans KW - RISK assessment KW - BANKING industry -- United States KW - PROBABILITY theory KW - BANK capital KW - Bank capital KW - Loss given default KW - Probability of default KW - Syndicated loan N1 - Accession Number: 118192247; Firestone, Simon 1; Email Address: simon.b.firestone@frb.gov; Rezende, Marcelo 1; Email Address: marcelo.rezende@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System , 20th Street and Constitution Avenue N.W. Washington 20551 USA; Issue Info: Oct2016, Vol. 50 Issue 2, p211; Thesaurus Term: SYNDICATED loans; Thesaurus Term: RISK assessment; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: PROBABILITY theory; Thesaurus Term: BANK capital; Author-Supplied Keyword: Bank capital; Author-Supplied Keyword: Loss given default; Author-Supplied Keyword: Probability of default; Author-Supplied Keyword: Syndicated loan; Number of Pages: 32p; Illustrations: 12 Charts, 3 Graphs; Document Type: Article L3 - 10.1007/s10693-015-0224-z UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118192247&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Claessens, Stijn AU - Stracca, Livio AU - Warnock, Francis E. T1 - International dimensions of conventional and unconventional monetary policy. JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2016/10// VL - 67 M3 - Article SP - 1 EP - 7 SN - 02615606 KW - MONETARY policy KW - GLOBAL Financial Crisis, 2008-2009 KW - ECONOMIC development KW - PUBLIC debts KW - INFLATION (Finance) KW - FINANCIAL institutions KW - FEDERAL Reserve banks KW - ECONOMIC aspects N1 - Accession Number: 117709662; Claessens, Stijn 1,2,3; Stracca, Livio 1,2,3; Warnock, Francis E. 1,2,3; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC, USA; 2: European Central Bank; 3: University of Virginia-Darden Business School.; Issue Info: Oct2016, Vol. 67, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: GLOBAL Financial Crisis, 2008-2009; Thesaurus Term: ECONOMIC development; Thesaurus Term: PUBLIC debts; Thesaurus Term: INFLATION (Finance); Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FEDERAL Reserve banks; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 7p; Document Type: Article L3 - 10.1016/j.jimonfin.2015.06.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=117709662&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haurin, Donald AU - Ma, Chao AU - Moulton, Stephanie AU - Schmeiser, Maximilian AU - Seligman, Jason AU - Shi, Wei T1 - Spatial Variation in Reverse Mortgages Usage: House Price Dynamics and Consumer Selection. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 2016/10// VL - 53 IS - 3 M3 - Article SP - 392 EP - 417 SN - 08955638 AB - Reverse mortgages have been obtained by nearly one million senior households. In the future, the number of eligible households will grow substantially, about 80 % are homeowners, and many of them have substantial equity in their home. We study state-level variations in rate of originations of HUD's Home Equity Conversion Mortgage (HECM) product. Our focus is on the impact of house prices on the origination rate. We test the hypothesis that in states where real house prices are volatile and the current level is above the long term norm, seniors rationally anticipate future reductions in house prices and lock-in their housing equity gains by obtaining a reverse mortgage. We test alternative hypotheses, the first being that seniors living in states with high rates of house price appreciation increase their use of HECMs as a means to convert an illiquid wealth capital gain into a more liquid asset. A second alternative hypothesis is that the intertemporal changes in originations of HECMs were a result of changes in the supply of mortgage originators. Our empirical work supports the hypothesis that seniors used HECMs to insure against house price declines, but we find no evidence in support of the alternative hypotheses. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REVERSE mortgage loans KW - HOME prices KW - CONSUMERS KW - ECONOMIC development KW - HOMEOWNERS KW - G21 KW - J14 KW - Mortgage choice KW - R21 KW - R31 KW - Reverse mortgages KW - Senior housing N1 - Accession Number: 117761222; Haurin, Donald 1; Email Address: haurin.2@osu.edu; Ma, Chao 1; Moulton, Stephanie 2; Schmeiser, Maximilian 3; Seligman, Jason 2; Shi, Wei 1; Affiliations: 1: Department of Economics , The Ohio State University , 1945 N. High St. Columbus 43210 USA; 2: John Glenn School of Public Affairs , The Ohio State University , 1810 College Rd. Columbus 43210 USA; 3: Board of Governors of the Federal Reserve System , 20th & C Sts, NW Washington 20551 USA; Issue Info: Oct2016, Vol. 53 Issue 3, p392; Thesaurus Term: REVERSE mortgage loans; Thesaurus Term: HOME prices; Thesaurus Term: CONSUMERS; Thesaurus Term: ECONOMIC development; Subject Term: HOMEOWNERS; Author-Supplied Keyword: G21; Author-Supplied Keyword: J14; Author-Supplied Keyword: Mortgage choice; Author-Supplied Keyword: R21; Author-Supplied Keyword: R31; Author-Supplied Keyword: Reverse mortgages; Author-Supplied Keyword: Senior housing; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 26p; Illustrations: 4 Charts, 2 Graphs, 1 Map; Document Type: Article L3 - 10.1007/s11146-014-9463-2 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=117761222&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GREANEY, BRIAN P. AU - KABOSKI, JOSEPH P. AU - VAN LEEMPUT, EVA T1 - Can Self-Help Groups Really Be "Self-Help"? JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 2016/10// VL - 83 IS - 4 M3 - Article SP - 1614 EP - 1644 SN - 00346527 AB - We provide an experimental and theoretical evaluation of a cost-reducing innovation in the delivery of "self-help group" microfinance services, in which privatized agents earn payments through membership fees for providing services. Under the status quo, agents are paid by an outside donor and offer members free services. In our multi-country randomized control trial, we evaluate the change in this incentive scheme on agent behaviour and performance, and on overall village-level outcomes. We find that privatized agents start groups, attract members, mobilize savings, and intermediate loans at similar levels after a year but at much lower costs to the NGO. At the village level, we find higher levels of borrowing, business-related savings, and investment in business. Examining mechanisms, we find that self-help groups serve more business-oriented clientele when facilitated by agents who face strong financial incentives. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INNOVATIONS in business KW - COST control KW - MICROFINANCE KW - FINANCIAL services industry KW - INVESTMENTS KW - Cost sharing KW - Microfinance KW - Privatized delivery KW - Self-help groups N1 - Accession Number: 118369191; GREANEY, BRIAN P. 1; KABOSKI, JOSEPH P. 2; VAN LEEMPUT, EVA 3; Affiliations: 1: Yale University; 2: University of Notre Dame and NBER; 3: Board of Governors of the Federal Reserve System; Issue Info: Oct2016, Vol. 83 Issue 4, p1614; Thesaurus Term: INNOVATIONS in business; Thesaurus Term: COST control; Thesaurus Term: MICROFINANCE; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: INVESTMENTS; Author-Supplied Keyword: Cost sharing; Author-Supplied Keyword: Microfinance; Author-Supplied Keyword: Privatized delivery; Author-Supplied Keyword: Self-help groups; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 31p; Illustrations: 1 Diagram, 11 Charts; Document Type: Article L3 - 10.1093/restud/rdw004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118369191&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Goodman, Sarena T1 - LEARNING FROM THE TEST: RAISING SELECTIVE COLLEGE ENROLLMENT BY PROVIDING INFORMATION. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2016/10// VL - 98 IS - 4 M3 - Article SP - 671 EP - 684 SN - 00346535 AB - Between 2000 and 2010, five U.S. states adopted mandates requiring high school juniors to take a college entrance exam. In the two earliest-adopting states, nearly half of all students were induced into testing, and 40% to 45% of them earned scores high enough to qualify for selective colleges. Selective enrollment rose by 20% following implementation of the mandates, reflecting substitution away from noncompetitive schools. I conclude that a large number of high-ability students appear to dramatically underestimate their candidacy for selective colleges. Policies aimed at reducing this information shortage are likely to increase human capital investment for a substantial number of students. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UNIVERSITIES & colleges KW - INFORMATION theory KW - CAPITAL investments KW - ADMISSION KW - COLLEGE entrance examinations KW - HIGH school juniors N1 - Accession Number: 118455276; Goodman, Sarena 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2016, Vol. 98 Issue 4, p671; Thesaurus Term: UNIVERSITIES & colleges; Thesaurus Term: INFORMATION theory; Thesaurus Term: CAPITAL investments; Subject Term: ADMISSION; Subject Term: COLLEGE entrance examinations; Subject Term: HIGH school juniors; NAICS/Industry Codes: 611310 Colleges, Universities, and Professional Schools; Number of Pages: 14p; Illustrations: 4 Charts, 4 Graphs; Document Type: Article L3 - 10.1162/REST_a_00600 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118455276&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edge, Rochelle M. AU - Rudd, Jeremy B. T1 - REAL-TIME PROPERTIES OF THE FEDERAL RESERVE'S OUTPUT GAP. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2016/10// VL - 98 IS - 4 M3 - Article SP - 785 EP - 791 SN - 00346535 AB - We consider the revision properties of Federal Reserve Board staff estimates of the output gap after the mid-1990s and examine the usefulness of these estimates for inflation forecasting. Over this period, we find that the Federal Reserve's output gap is more reliably estimated in real time than previous studies have documented for earlier periods and alternative estimation techniques. In contrast to previous work, we also find no deterioration in forecast performance when inflation projections are conditioned on real-time rather than on final estimates of the output gap. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION forecasting KW - FINANCIAL performance KW - ESTIMATION theory KW - ECONOMIC models KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 118455284; Edge, Rochelle M. 1; Rudd, Jeremy B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2016, Vol. 98 Issue 4, p785; Thesaurus Term: INFLATION forecasting; Thesaurus Term: FINANCIAL performance; Thesaurus Term: ESTIMATION theory; Thesaurus Term: ECONOMIC models ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 7p; Illustrations: 3 Charts; Document Type: Article L3 - 10.1162/REST_a_00555 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118455284&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Caines, Colin T1 - Can Learning Explain Boom-Bust Cycles in Asset Prices? An Application to the US Housing Boom. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2016/10// IS - 1181 M3 - Article SP - 1 EP - 43 AB - Explaining asset price booms poses a diffcult question for researchers in macroeconomics: how can large and persistent price growth be explained in the absence large and persistent variation in fundamentals? This paper argues that boom-bust behavior in asset prices can be explained by a model in which boundedly rational agents learn the process for prices. The key feature of the model is that learning operates in both the demand for assets and the supply of credit. Interactions between agents on either side of the market create complementarities in their respective beliefs, providing an additional source of propagation. In contrast, the paper shows why learning involving only one side on the market, which has been the focus of most of the literature, cannot plausibly explain persistent and large price booms. Quantitatively, the model explains recent experiences in US housing markets. A single unanticipated mortgage rate drop generates 20 quarters of price growth whilst capturing the full appreciation in US house prices in the early 2000s. The model is able to generate endogenous liberalizations in household lending conditions during price booms, consistent with US data, and replicates key volatilities of housing market variables at business cycle frequencies. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - HOUSING market KW - BUSINESS cycles KW - DATA analysis KW - QUANTITATIVE research KW - boom-bust cycles KW - house prices KW - learning KW - non-rational expectations N1 - Accession Number: 119718306; Caines, Colin 1; Affiliations: 1: Staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Oct2016, Issue 1181, preceding p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: HOUSING market; Thesaurus Term: BUSINESS cycles; Thesaurus Term: DATA analysis; Thesaurus Term: QUANTITATIVE research; Author-Supplied Keyword: boom-bust cycles; Author-Supplied Keyword: house prices; Author-Supplied Keyword: learning; Author-Supplied Keyword: non-rational expectations; Number of Pages: 46p; Document Type: Article L3 - 10.17016/IFDP.2016.1181 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119718306&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Arias, Jonas E. AU - Erceg, Christopher AU - Trabandt, Mathias T1 - The macroeconomic risks of undesirably low inflation. JO - European Economic Review JF - European Economic Review Y1 - 2016/09// VL - 88 M3 - Article SP - 88 EP - 107 SN - 00142921 AB - This paper investigates the macroeconomic risks associated with undesirably low inflation using a medium-sized New Keynesian model. We consider different causes of persistently low inflation, including a downward shift in long-run inflation expectations, a fall in nominal wage growth, and a favorable supply-side shock. We show that the macroeconomic effects of persistently low inflation depend crucially on its underlying cause, as well as on the extent to which monetary policy is constrained by the zero lower bound. Finally, we discuss policy options to mitigate these effects. [ABSTRACT FROM AUTHOR] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - FINANCIAL risk management KW - INFLATION (Finance) KW - KEYNESIAN economics KW - MONETARY policy KW - Disinflation KW - DSGE model KW - E52 KW - E58 KW - Liquidity trap KW - Monetary policy N1 - Accession Number: 117895140; Arias, Jonas E. 1; Email Address: jonas.e.arias@frb.gov; Erceg, Christopher 2; Email Address: christopher.erceg@frb.gov; Trabandt, Mathias 3; Email Address: mathias.trabandt@gmail.com; Affiliations: 1: Federal Reserve Board, Board of Governors of the Federal Reserve System, Division of International Finance, Global Modeling Studies Section, 20th Street and Constitution Avenue N.W., Washington, DC 20551, USA; 2: Federal Reserve Board, Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue N.W., Washington, DC 20551, USA; 3: Freie Universität Berlin, School of Business and Economics, Boltzmannstraße 20, 14195 Berlin, Germany; Issue Info: Sep2016, Vol. 88, p88; Thesaurus Term: MACROECONOMICS; Thesaurus Term: FINANCIAL risk management; Thesaurus Term: INFLATION (Finance); Thesaurus Term: KEYNESIAN economics; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: Disinflation; Author-Supplied Keyword: DSGE model; Author-Supplied Keyword: E52; Author-Supplied Keyword: E58; Author-Supplied Keyword: Liquidity trap; Author-Supplied Keyword: Monetary policy; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.euroecorev.2016.03.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=117895140&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Croushore, Dean AU - Marsten, Katherine T1 - Reassessing the Relative Power of the Yield Spread in Forecasting Recessions. JO - Journal of Applied Econometrics JF - Journal of Applied Econometrics Y1 - 2016/09//Sep/Oct2016 VL - 31 IS - 6 M3 - Article SP - 1183 EP - 1191 SN - 08837252 AB - In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of Professional Forecasters. We investigate the robustness of their results in several ways: extending the sample to include the 2007-09 recession, changing the starting date of the sample, using rolling windows of data instead of just an expanding sample, and using alternative measures of the 'actual' value of real output. Our results show that the Rudebusch-Williams findings are robust in all dimensions. Copyright © 2015 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Applied Econometrics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS -- Forecasting KW - YIELD stress KW - PROBIT analysis KW - ROBUST statistics KW - DATA KW - real-time data KW - recession forecasts KW - yield spread N1 - Accession Number: 118479380; Croushore, Dean 1; Marsten, Katherine 2; Affiliations: 1: Robins School of Business, University of Richmond; 2: Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: Sep/Oct2016, Vol. 31 Issue 6, p1183; Thesaurus Term: RECESSIONS -- Forecasting; Subject Term: YIELD stress; Subject Term: PROBIT analysis; Subject Term: ROBUST statistics; Subject Term: DATA; Author-Supplied Keyword: real-time data; Author-Supplied Keyword: recession forecasts; Author-Supplied Keyword: yield spread; Number of Pages: 9p; Document Type: Article L3 - 10.1002/jae.2485 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118479380&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Epstein, Brendan AU - Mukherjee, Rahul AU - Ramnath, Shanthi T1 - Taxes and international risk sharing. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2016/09// VL - 102 M3 - Article SP - 310 EP - 326 SN - 00221996 AB - We extend a standard model of international risk sharing to include an empirically plausible distortion: Taxes. The tax-inclusive theory implies, even under full risk sharing, a predictable relationship between consumption growth and the consumption and capital income tax rates, both within and across countries. We find strong empirical evidence in favor of this relationship. While idiosyncratic output fluctuations account for substantially more of cross-country consumption growth variability than do taxes, trends in tax differentials are found to be informative about the dynamic evolution of international risk sharing. In particular, adjusting for capital taxes reveals a marked improvement in risk sharing over the last three decades that is absent in baseline measures. This improvement has been driven by the convergence of average tax rates on capital income across OECD countries toward the United States average capital tax rate. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RISK sharing KW - CONSUMPTION (Economics) KW - ECONOMIC development KW - TAX rates & tables KW - OECD countries KW - Business cycle accounting KW - Capital taxes KW - F41 KW - F44 KW - H29 KW - International risk sharing KW - Risk-sharing wedges KW - Tax convergence N1 - Accession Number: 118180013; Epstein, Brendan 1; Email Address: brendan.epstein@frb.gov; Mukherjee, Rahul 2; Email Address: rahul.mukherjee@graduateinstitute.ch; Ramnath, Shanthi 3; Email Address: Shanthi.Ramnath@Treasury.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; 2: IHEID, Geneva, Switzerland; 3: U.S. Treasury Department, Office of Tax Analysis, United States; Issue Info: Sep2016, Vol. 102, p310; Thesaurus Term: RISK sharing; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: ECONOMIC development; Thesaurus Term: TAX rates & tables; Subject: OECD countries; Author-Supplied Keyword: Business cycle accounting; Author-Supplied Keyword: Capital taxes; Author-Supplied Keyword: F41; Author-Supplied Keyword: F44; Author-Supplied Keyword: H29; Author-Supplied Keyword: International risk sharing; Author-Supplied Keyword: Risk-sharing wedges; Author-Supplied Keyword: Tax convergence; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jinteco.2016.08.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118180013&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dias, Daniel A. AU - Robalo Marques, Carlos AU - Richmond, Christine T1 - Misallocation and productivity in the lead up to the Eurozone crisis. JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2016/09// VL - 49 M3 - Article SP - 46 EP - 70 SN - 01640704 AB - We use Portuguese firm-level data to investigate whether changes in resource misallocation may have contributed to the poor economic performance of some southern and peripheral European countries leading up to the Eurozone crisis. We extend Hsieh and Klenow’s (2009) methodology to include intermediate inputs and consider all sectors of the economy (agriculture, manufacturing, and services). We find that within-industry misallocation almost doubled between 1996 and 2011. Equalizing total factor revenue productivity across firms within an industry could have boosted valued-added 48% and 79% above actual levels in 1996 and 2011, respectively. This implies that deteriorating allocative efficiency may have shaved around 1.3 percentage points off the annual GDP growth during the 1996–2011 period. Allocative efficiency deterioration, despite being a widespread phenomenon, is significantly higher in the service sector, with 5 industries accounting for 72% of the total variation. Capital distortions are the most important source of potential value-added efficiency gains, especially in the service sector, with a relative contribution increasing over time. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EUROZONE KW - FINANCIAL crises KW - INDUSTRIAL productivity KW - DATA analysis KW - ECONOMIC conditions KW - WEDGES KW - D24 KW - Financial integration KW - Firm-level data KW - Misallocation KW - O11 KW - O41 KW - O47 KW - Productivity KW - Wedges N1 - Accession Number: 119418603; Dias, Daniel A. 1; Email Address: daniel.dias@frb.gov; Robalo Marques, Carlos 2; Email Address: cmrmarques@bportugal.pt; Richmond, Christine 3; Email Address: crichmond@imf.org; Affiliations: 1: Board of Governors of the Federal Reserve System and CEMAPRE, United States; 2: Banco de Portugal (Research Department), Portugal; 3: International Monetary Fund, United States; Issue Info: Sep2016, Vol. 49, p46; Thesaurus Term: EUROZONE; Thesaurus Term: FINANCIAL crises; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: DATA analysis; Subject Term: ECONOMIC conditions; Subject Term: WEDGES; Author-Supplied Keyword: D24; Author-Supplied Keyword: Financial integration; Author-Supplied Keyword: Firm-level data; Author-Supplied Keyword: Misallocation; Author-Supplied Keyword: O11; Author-Supplied Keyword: O41; Author-Supplied Keyword: O47; Author-Supplied Keyword: Productivity; Author-Supplied Keyword: Wedges; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.jmacro.2016.04.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=119418603&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Spader, Jonathan AU - Schuetz, Jenny AU - Cortes, Alvaro T1 - Fewer vacants, fewer crimes? Impacts of neighborhood revitalization policies on crime. JO - Regional Science & Urban Economics JF - Regional Science & Urban Economics Y1 - 2016/09// VL - 60 M3 - Article SP - 73 EP - 84 SN - 01660462 AB - The relationship between neighborhood physical environment and social disorder, particularly crime, is of critical interest to urban economists and sociologists, as well as local governments. Over the past 50 years, various policy interventions to improve physical conditions in distressed neighborhoods have also been heralded for their potential to reduce crime. Urban renewal programs in the mid-20th century and public housing redevelopment in the 1990s both subscribed to the idea that signs of physical disorder invite social disorder. More recently, the federal Neighborhood Stabilization Program (NSP) provided funding for local policymakers to rehabilitate or demolish foreclosed and vacant properties, in order to mitigate negative spillovers—including crime—on surrounding neighborhoods. In this paper, we investigate the impact of NSP investments on localized crime patterns in Cleveland, Chicago and Denver. Results suggest that demolition activity in Cleveland decreased burglary and theft, but do not find measurable impacts of property rehabilitation investments—although the precision of these estimates are limited by the number of rehabilitation activities. [ABSTRACT FROM AUTHOR] AB - Copyright of Regional Science & Urban Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Physical environment KW - Crime KW - Social disabilities KW - Sociologists KW - Public housing KW - Demolition KW - Foreclosures KW - Neighborhood revitalization N1 - Accession Number: 118716304; Spader, Jonathan 1,2; Email Address: jonathan_spader@harvard.edu; Schuetz, Jenny 3; Cortes, Alvaro 1; Affiliations: 1: Abt Associates Inc., Bethesda, MD, United States; 2: Joint Center for Housing Studies of Harvard University, Cambridge, MA, United States; 3: Board of Governors of the Federal Reserve System, Washington, DC, United States; Issue Info: Sep2016, Vol. 60, p73; Subject Term: Physical environment; Subject Term: Crime; Subject Term: Social disabilities; Subject Term: Sociologists; Subject Term: Public housing; Subject Term: Demolition; Author-Supplied Keyword: Foreclosures; Author-Supplied Keyword: Neighborhood revitalization; NAICS/Industry Codes: 531112 Lessors of social housing projects; NAICS/Industry Codes: 238910 Site Preparation Contractors; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.regsciurbeco.2016.07.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=118716304&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Ericsson, Neil R. T1 - Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. JO - Studies in Nonlinear Dynamics & Econometrics JF - Studies in Nonlinear Dynamics & Econometrics Y1 - 2016/09// VL - 20 IS - 4 M3 - Article SP - 377 EP - 398 SN - 10811826 AB - Milton Friedman and Anna Schwartz constructed an important macroeconomic dataset for the United Kingdom that spans 1878-1970. Numerous authors have modeled the demand for broad money on that dataset. Model selection is central to assessing the merits of the resulting empirical models, so the current paper re-evaluates that issue with computer-automated model selection. Some models are robust to the model selection path, as characterized through variations in target size, pre-search testing, fixity of regressors, impulse indicator saturation, representation of the general model, and choice of dependent variable. Model improvement is also feasible, with historically interpretable nonlinearities and structural breaks. [ABSTRACT FROM AUTHOR] AB - Copyright of Studies in Nonlinear Dynamics & Econometrics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - MACROECONOMICS KW - ECONOMIC indicators KW - Autometrics KW - broad money KW - cointegration KW - conditional models KW - dynamic specification KW - error correction KW - Friedman and Schwartz KW - model design KW - model selection KW - money demand KW - nonlinearities KW - structural breaks KW - United Kingdom KW - FRIEDMAN, Milton, 1912-2006 KW - SCHWARTZ, Anna Jacobson, 1915-2012 N1 - Accession Number: 118214480; Ericsson, Neil R. 1,2; Email Address: ericsson@frb.gov; Affiliations: 1: Principal Economist, Division of International Finance, Board of Governors of the Federal Reserve System, Stop K1-02, 2000 C Street, N.W., Washington, DC 20551, USA; 2: Research Professor of Economics, Department of Economics, The George Washington University, Washington, DC 20052, USA; Issue Info: Sep2016, Vol. 20 Issue 4, p377; Thesaurus Term: MONETARY policy; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC indicators; Author-Supplied Keyword: Autometrics; Author-Supplied Keyword: broad money; Author-Supplied Keyword: cointegration; Author-Supplied Keyword: conditional models; Author-Supplied Keyword: dynamic specification; Author-Supplied Keyword: error correction; Author-Supplied Keyword: Friedman and Schwartz; Author-Supplied Keyword: model design; Author-Supplied Keyword: model selection; Author-Supplied Keyword: money demand; Author-Supplied Keyword: nonlinearities; Author-Supplied Keyword: structural breaks; Author-Supplied Keyword: United Kingdom; People: FRIEDMAN, Milton, 1912-2006; People: SCHWARTZ, Anna Jacobson, 1915-2012; Number of Pages: 22p; Illustrations: 5 Charts, 4 Graphs; Document Type: Article L3 - 10.1515/snde-2015-0104 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118214480&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - AJELLO, ANDREA T1 - Financial Intermediation, Investment Dynamics, and Business Cycle Fluctuations. JO - American Economic Review JF - American Economic Review Y1 - 2016/08// VL - 106 IS - 8 M3 - Article SP - 2256 EP - 2303 SN - 00028282 AB - I use micro data to quantify key features of US firm financing. In particular, I establish that a substantial 35 percent of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using Bayesian methods. In the model, financial intermediaries enable trades of financial assets, directing funds toward investment opportunities, and charge an intermediation spread to cover their costs. According to the model estimation, exogenous shocks to the intermediation spread explain 25 percent of GDP and 30 percent of investment volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises -- Finance KW - BUSINESS cycles KW - SECURITIES markets KW - FINANCIAL institutions KW - ASSETS (Accounting) KW - VOLATILITY (Finance) KW - FINANCIAL market reaction N1 - Accession Number: 118089305; AJELLO, ANDREA 1; Email Address: andrea.ajello@frb.gov; Affiliations: 1 : Board of Governors of the Federal Reserve System, 20th and C Street NW Washington, DC 20551; Source Info: Aug2016, Vol. 106 Issue 8, p2256; Historical Period: 1989 to 2008; Subject Term: BUSINESS enterprises -- Finance; Subject Term: BUSINESS cycles; Subject Term: SECURITIES markets; Subject Term: FINANCIAL institutions; Subject Term: ASSETS (Accounting); Subject Term: VOLATILITY (Finance); Subject Term: FINANCIAL market reaction; Number of Pages: 48p; Illustrations: 1 Diagram, 5 Charts, 11 Graphs; Document Type: Article L3 - 10.1257/aer.20120079 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=118089305&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Pierce, Justin R. AU - Schott, Peter K. T1 - The Surprisingly Swift Decline of US Manufacturing Employment†. JO - American Economic Review JF - American Economic Review Y1 - 2016/07// VL - 106 IS - 7 M3 - Article SP - 1632 EP - 1662 SN - 00028282 AB - This paper links the sharp drop in US manufacturing employment after 2000 to a change in US trade policy that eliminated potential tariff increases on Chinese imports. Industries more exposed to the change experience greater employment loss, increased imports from China, and higher entry by US importers and foreign-owned Chinese exporters. At the plant level, shifts toward less labor-intensive production and exposure to the policy via input-output linkages also contribute to the decline in employment. Results are robust to other potential explanations of employment loss, and there is no similar reaction in the European Union, where policy did not change. (JEL D72, E24, F13, F16, L24, L60, P33) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - RESEARCH KW - EXPORTERS KW - FOREIGN corporations KW - UNEMPLOYMENT KW - UNITED States -- Economic conditions -- 21st century KW - UNITED States N1 - Accession Number: 116618492; Pierce, Justin R. 1; Schott, Peter K. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551 (e-mail: ); 2: Yale School of Management, 165 Whitney Avenue, New Haven, CT 06511, and NBER (e-mail: ); Issue Info: Jul2016, Vol. 106 Issue 7, p1632; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: RESEARCH; Thesaurus Term: EXPORTERS; Thesaurus Term: FOREIGN corporations; Thesaurus Term: UNEMPLOYMENT; Subject Term: UNITED States -- Economic conditions -- 21st century; Subject Term: UNITED States; Number of Pages: 31p; Illustrations: 9 Charts, 4 Graphs; Document Type: Article L3 - 10.1257/aer.20131578 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116618492&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Decker, Ryan A. AU - Haltiwanger, John AU - Jarmin, Ron S. AU - Miranda, Javier T1 - Where has all the skewness gone? The decline in high-growth (young) firms in the U.S. JO - European Economic Review JF - European Economic Review Y1 - 2016/07// VL - 86 M3 - Article SP - 4 EP - 23 SN - 00142921 AB - The pace of business dynamism and entrepreneurship in the U.S. has declined over recent decades. We show that the character of that decline changed around 2000. Since 2000 the decline in dynamism and entrepreneurship has been accompanied by a decline in high-growth young firms. Prior research has shown that the sustained contribution of business startups to job creation stems from a relatively small fraction of high-growth young firms. The presence of these high-growth young firms contributes to a highly (positively) skewed firm growth rate distribution. In 1999, a firm at the 90th percentile of the employment growth rate distribution grew about 31 percent faster than the median firm. Moreover, the 90−50 differential was 16 percent larger than the 50−10 differential reflecting the positive skewness of the employment growth rate distribution. We show that the shape of the firm employment growth distribution changes substantially in the post-2000 period. By 2007, the 90−50 differential was only 4 percent larger than the 50−10, and it continued to exhibit a trend decline through 2011. The overall decline reflects a sharp drop in the 90th percentile of the growth rate distribution accounted for by the declining share of young firms and the declining propensity for young firms to be high-growth firms. [ABSTRACT FROM AUTHOR] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - ENTREPRENEURSHIP KW - JOB creation KW - EMPLOYMENT (Economic theory) KW - SKEWNESS (Probability theory) KW - UNITED States KW - UNITED States -- Economic conditions KW - Entrepreneurship KW - High growth firms KW - Job creation N1 - Accession Number: 115799719; Decker, Ryan A. 1; Haltiwanger, John 2,3; Email Address: haltiwan@econ.umd.edu; Jarmin, Ron S. 4; Miranda, Javier 4; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; 2: Department of Economics, University of Maryland, College Park, MD 20742, United States; 3: NBER, United States; 4: U.S. Census Bureau, United States; Issue Info: Jul2016, Vol. 86, p4; Thesaurus Term: ECONOMIC development; Thesaurus Term: ENTREPRENEURSHIP; Thesaurus Term: JOB creation; Thesaurus Term: EMPLOYMENT (Economic theory); Subject Term: SKEWNESS (Probability theory); Subject Term: UNITED States; Subject Term: UNITED States -- Economic conditions; Author-Supplied Keyword: Entrepreneurship; Author-Supplied Keyword: High growth firms; Author-Supplied Keyword: Job creation; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.euroecorev.2015.12.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115799719&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pfajfar, Damjan AU - Žakelj, Blaž T1 - Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory. JO - International Journal of Forecasting JF - International Journal of Forecasting Y1 - 2016/07// VL - 32 IS - 3 M3 - Article SP - 849 EP - 864 SN - 01692070 AB - This paper designs a laboratory experiment for studying subjects’ uncertainty regarding inflation in different monetary policy environments. We find that the contemporaneous Taylor rule produces a lower uncertainty and higher accuracy of interval forecasts than the forward-looking Taylor rule. The latter also produces a lower uncertainty when the reaction coefficient is high, 4, than rules with lower reaction coefficients, 1.5 and 1.35. Subjects perceive the underlying inflation uncertainty correctly in only 60% of cases, and tend to report asymmetric confidence intervals, perceiving a higher level of uncertainty with respect to inflation increases. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Forecasting is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION forecasting KW - MONETARY policy KW - MATHEMATICAL analysis KW - TAYLOR'S rule KW - CONFIDENCE intervals KW - Confidence bounds KW - Inflation uncertainty KW - Laboratory experiments KW - Monetary policy KW - New Keynesian model N1 - Accession Number: 115844043; Pfajfar, Damjan 1; Email Address: damjan.pfajfar@frb.gov; Žakelj, Blaž 2; Email Address: blaz.zakelj@gmail.com; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and Constitution Ave, NW Washington, DC 20551, USA; 2: LeeX, Universitat Pompeu Fabra, Ramon Trias Fargas 25–27, 08005 Barcelona, Spain; Issue Info: Jul2016, Vol. 32 Issue 3, p849; Thesaurus Term: INFLATION forecasting; Thesaurus Term: MONETARY policy; Thesaurus Term: MATHEMATICAL analysis; Subject Term: TAYLOR'S rule; Subject Term: CONFIDENCE intervals; Author-Supplied Keyword: Confidence bounds; Author-Supplied Keyword: Inflation uncertainty; Author-Supplied Keyword: Laboratory experiments; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: New Keynesian model; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.ijforecast.2016.01.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115844043&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coroneo, Laura AU - Giannone, Domenico AU - Modugno, Michele T1 - Unspanned Macroeconomic Factors in the Yield Curve. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2016/07// VL - 34 IS - 3 M3 - Article SP - 472 EP - 485 SN - 07350015 AB - In this article, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMIC models KW - YIELD curve (Finance) KW - GOVERNMENT securities KW - ECONOMIC development KW - INTEREST rates KW - ECONOMIC forecasting KW - UNITED States KW - Dynamic factor models KW - Forecasting KW - Government bonds KW - Yield curve N1 - Accession Number: 118862822; Coroneo, Laura 1; Giannone, Domenico 2; Modugno, Michele 3; Affiliations: 1: Department of Economics and Related Studies, University of York, Heslington, YorkYO10 5DD, United Kingdom(laura.coroneo@york.ac.uk); 2: Research and Statistics Group, Federal Reserve Bank of New York, New York, NY10045-0001(domenico.giannone@ny.frb.org); 3: Board of Governors of the Federal Reserve System, Washington, DC(Michele.Modugno@frb.gov); Issue Info: Jul2016, Vol. 34 Issue 3, p472; Thesaurus Term: MACROECONOMIC models; Thesaurus Term: YIELD curve (Finance); Thesaurus Term: GOVERNMENT securities; Thesaurus Term: ECONOMIC development; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC forecasting; Subject Term: UNITED States; Author-Supplied Keyword: Dynamic factor models; Author-Supplied Keyword: Forecasting; Author-Supplied Keyword: Government bonds; Author-Supplied Keyword: Yield curve; Number of Pages: 14p; Document Type: Article L3 - 10.1080/07350015.2015.1052456 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=118862822&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rice, Tara AU - Rose, Jonathan T1 - When good investments go bad: The contraction in community bank lending after the 2008 GSE takeover. JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2016/07// VL - 27 M3 - Article SP - 68 EP - 88 SN - 10429573 AB - In September 2008, the government-sponsored enterprises (GSEs), Fannie Mae and Freddie Mac, were placed into conservatorship. The GSEs' equity prices dropped considerably in response, and, as a result, many banks that held sizable amounts of the preferred stock of the two GSEs recognized substantial losses. Fifteen failures and two mergers resulted. We treat these losses as plausibly exogenous, unanticipated, supply-side shocks to bank lending, as they are likely unrelated to demand-side factors that could affect lending, and because GSE investments were considered to be safe by banks, regulators, and rating agencies. As a result, this event allows us to examine the relationship between community bank condition and lending during the global financial crisis. We find that, following the shock, loan growth at exposed banks was about 2 percentage points lower than other banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVESTMENTS KW - COMMUNITY banks KW - BANK loans KW - GOVERNMENT-sponsored enterprises KW - CONSOLIDATION & merger of corporations KW - CONSERVATORSHIPS (Law) KW - STOCKS (Finance) KW - SHOCK (Economics) KW - Banking KW - Credit contraction KW - Financial crisis KW - Government sponsored enterprise N1 - Accession Number: 116987314; Rice, Tara 1; Email Address: tara.n.rice@frb.gov; Rose, Jonathan 1; Email Address: jonathan.d.rose@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Jul2016, Vol. 27, p68; Thesaurus Term: INVESTMENTS; Thesaurus Term: COMMUNITY banks; Thesaurus Term: BANK loans; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: CONSERVATORSHIPS (Law); Thesaurus Term: STOCKS (Finance); Thesaurus Term: SHOCK (Economics); Author-Supplied Keyword: Banking; Author-Supplied Keyword: Credit contraction; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: Government sponsored enterprise; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jfi.2016.02.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116987314&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Skillman, Justin S. AU - Vernarelli, Michael J. T1 - Framing effects on bidding behavior in experimental first-price sealed-bid money auctions. JO - Judgment & Decision Making JF - Judgment & Decision Making Y1 - 2016/07// VL - 11 IS - 4 M3 - Article SP - 391 EP - 400 PB - Society for Judgment & Decision Making SN - 19302975 AB - Consumers often face prices that are the sum of two components, for example, an online purchase that includes a stated price and shipping costs. In such cases consumer behavior may be influenced by framing, i.e., how the components are bifurcated. Previous studies have demonstrated the effects of framing and anchoring in auctions. This study examines bidding patterns in a series of first-price sealed-bid experimental money auctions (where the commodity being auctioned is money itself). We hypothesize that bidders' behavior is affected by the framing of the potential monetary payoff into "monetary prize" and "winner's bonus" components. We find strong evidence of an anchoring effect that influences the strategic behavior of bidders. [ABSTRACT FROM AUTHOR] AB - Copyright of Judgment & Decision Making is the property of Society for Judgment & Decision Making and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER behavior KW - FRAMES (Social sciences) KW - BIDDING strategies KW - AUCTIONS KW - PRICES KW - BIDDERS KW - anchoring KW - consumer behavior KW - framing KW - money auction N1 - Accession Number: 117243482; Skillman, Justin S. 1 Vernarelli, Michael J. 2; Email Address: mjvgss@rit.edu; Affiliation: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, D.C. 20551 2: Department of Economics, Rochester Institute of Technology; Source Info: Jul2016, Vol. 11 Issue 4, p391; Subject Term: CONSUMER behavior; Subject Term: FRAMES (Social sciences); Subject Term: BIDDING strategies; Subject Term: AUCTIONS; Subject Term: PRICES; Subject Term: BIDDERS; Author-Supplied Keyword: anchoring; Author-Supplied Keyword: consumer behavior; Author-Supplied Keyword: framing; Author-Supplied Keyword: money auction; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=117243482&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Millar, Jonathan N. AU - Oliner, Stephen D. AU - Sichel, Daniel E. T1 - Time-to-plan lags for commercial construction projects. JO - Regional Science & Urban Economics JF - Regional Science & Urban Economics Y1 - 2016/07// VL - 59 M3 - Article SP - 75 EP - 89 SN - 01660462 AB - Gestation lags have long been understood to be an important feature of the investment process. However, previous research has focused on the time-to-build part of the gestation period and has provided little information on the earlier time-to-plan period during which key decisions are made about the project's scope and financing. We develop new estimates of time-to-plan lags for commercial construction projects in the United States, using a large project-level dataset that allows direct measurement of planning lags. We find that these time-to-plan lags are long, averaging about 16 months when we aggregate the projects without regard to size and about 26 months when we weight the projects by their construction cost. The full distribution of time-to-plan lags is very wide, and we relate this variation to the characteristics of the project and its location. In addition, we show that time-to-plan lags lengthened by 3 to 4 months, on average, over our sample period (1999 to 2010). Regulatory factors are associated with the variation in planning lags across locations, and we present anecdotal evidence that links at least some of the lengthening over time to heightened regulatory scrutiny. [ABSTRACT FROM AUTHOR] AB - Copyright of Regional Science & Urban Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Investments KW - Decision making in economics KW - Construction industry -- Costs KW - Business cycles KW - Distribution (Economic theory) KW - Commercial construction KW - Regulation KW - Time-to-build KW - Time-to-plan N1 - Accession Number: 116488020; Millar, Jonathan N. 1; Email Address: jonathan.n.millar@frb.gov; Oliner, Stephen D. 2,3; Email Address: stephen.oliner@aei.org; Sichel, Daniel E. 4,5; Email Address: dsichel@wellesley.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, D.C. 20551, United States; 2: American Enterprise Institute, 1150 17th Street, NW, Washington, D.C. 20036, United States; 3: UCLA Ziman Center for Real Estate, 110 Westwood Plaza, Gold Hall, Suite B100, Los Angeles, CA 90095, United States; 4: Department of Economics, Wellesley College, 106 Center Street, Wellesley, MA 02481, United States; 5: National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138, United States; Issue Info: Jul2016, Vol. 59, p75; Subject Term: Investments; Subject Term: Decision making in economics; Subject Term: Construction industry -- Costs; Subject Term: Business cycles; Subject Term: Distribution (Economic theory); Author-Supplied Keyword: Commercial construction; Author-Supplied Keyword: Regulation; Author-Supplied Keyword: Time-to-build; Author-Supplied Keyword: Time-to-plan; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 15p; Document Type: Article L3 - 10.1016/j.regsciurbeco.2016.05.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=116488020&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - D'Amico, Stefania AU - King, Thomas B. AU - Min Wei T1 - Chicago Fed Letter. JO - Chicago Fed Letter JF - Chicago Fed Letter Y1 - 2016/06/20/ IS - 363 M3 - Article SP - 1 EP - 6 PB - Federal Reserve Bank of Chicago SN - 08950164 AB - The article discusses the macroeconomic sources of the fluctuations of interest rate in the U.S. Topics include the use of statistical method to attribute the changes in country's Treasury yields and inflation compensation to shifts in investor beliefs regarding inflation, domestic and foreign growth and monetary policy, Treasury inflation-protected securities (TIPS), and U.S. stock market volatility. KW - MACROECONOMICS KW - INTEREST rates KW - INFLATION (Finance) KW - MONETARY policy KW - VOLATILITY (Finance) KW - UNITED States KW - UNITED States. Dept. of the Treasury N1 - Accession Number: 116496947; D'Amico, Stefania 1 King, Thomas B. 1 Min Wei 2; Affiliation: 1: senior financial economist, Board of Governors of the Federal Reserve System 2: deputy associate director, Board of Governors of the Federal Reserve System; Source Info: 2016, Issue 363, p1; Subject Term: MACROECONOMICS; Subject Term: INTEREST rates; Subject Term: INFLATION (Finance); Subject Term: MONETARY policy; Subject Term: VOLATILITY (Finance); Subject Term: UNITED States; Company/Entity: UNITED States. Dept. of the Treasury; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=116496947&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Dias, Daniel A. AU - Wright, Mark L. J. T1 - Chicago Fed Letter. JO - Chicago Fed Letter JF - Chicago Fed Letter Y1 - 2016/06/15/ IS - 362 M3 - Article SP - 1 EP - 7 PB - Federal Reserve Bank of Chicago SN - 08950164 AB - The article offers information on debt statistics and alternative ways for measuring the indebtedness of the governments of Greece, Portugal, and Ireland. Topics discussed include the debt owed by the government of Greece which is equivalent to more than 177% of gross domestic product (GDP) of tax revenue, Greek future principal repayments expected to make until 2057, and projections of cash flows for the three countries. KW - PUBLIC debts KW - GROSS domestic product KW - GOVERNMENT revenue KW - REPAYMENTS KW - CASH flow KW - GREECE KW - IRELAND KW - PORTUGAL N1 - Accession Number: 116496946; Dias, Daniel A. 1 Wright, Mark L. J. 2; Affiliation: 1: economist, Board of Governors of the Federal Reserve System 2: senior economist and research advisor, Board of Governors of the Federal Reserve System; Source Info: 2016, Issue 362, p1; Subject Term: PUBLIC debts; Subject Term: GROSS domestic product; Subject Term: GOVERNMENT revenue; Subject Term: REPAYMENTS; Subject Term: CASH flow; Subject Term: GREECE; Subject Term: IRELAND; Subject Term: PORTUGAL; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=116496946&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Lin, Li AU - Tsomocos, Dimitrios AU - Vardoulakis, Alexandros T1 - On default and uniqueness of monetary equilibria. JO - Economic Theory JF - Economic Theory Y1 - 2016/06// VL - 62 IS - 1/2 M3 - Article SP - 245 EP - 264 SN - 09382259 AB - We examine the role that credit risk in the central bank's monetary operations plays in the determination of the equilibrium price level and allocations. Our model features trade in fiat money, real assets and a monetary authority which injects money into the economy through short-term and long-term loans to agents. Short-term loans are riskless, but long-term loans are collateralized by a portfolio of real assets and are subject to credit risk. The private monetary wealth of individuals is zero, i.e., there is no outside money. When there is no default in equilibrium, there is indeterminacy. Positive default in every state of the world on some long-term loan endogenously creates positive liquid wealth that supports positive interest rates and resolves the aforementioned indeterminacy. Hence, a non-Ricardian policy across loan markets can determine the equilibrium allocations, while it allows the central bank to earn profits from seigniorage in order to compensate for any losses. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Theory is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT risk KW - MONETARY policy KW - PRICE levels KW - EQUILIBRIUM (Economics) KW - CURRENCY question KW - CENTRAL banking industry KW - Collateral KW - D5 KW - Default KW - Determinacy KW - E4 KW - E5 KW - Liquid wealth KW - Monetary policy N1 - Accession Number: 116622531; Lin, Li 1; Email Address: llin@imf.org; Tsomocos, Dimitrios 2; Email Address: dimitrios.tsomocos@sbs.ox.ac.uk; Vardoulakis, Alexandros 3; Email Address: alexandros.vardoulakis@frb.gov; Affiliations: 1: International Monetary Fund, Washington USA; 2: Saïd Business School and St. Edmund Hall, University of Oxford, Oxford UK; 3: Board of Governors of the Federal Reserve System, Washington USA; Issue Info: Jun2016, Vol. 62 Issue 1/2, p245; Thesaurus Term: CREDIT risk; Thesaurus Term: MONETARY policy; Thesaurus Term: PRICE levels; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: CURRENCY question; Thesaurus Term: CENTRAL banking industry; Author-Supplied Keyword: Collateral; Author-Supplied Keyword: D5; Author-Supplied Keyword: Default; Author-Supplied Keyword: Determinacy; Author-Supplied Keyword: E4; Author-Supplied Keyword: E5; Author-Supplied Keyword: Liquid wealth; Author-Supplied Keyword: Monetary policy; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 20p; Illustrations: 2 Charts; Document Type: Article L3 - 10.1007/s00199-015-0890-y UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116622531&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dräger, Lena AU - Lamla, Michael J. AU - Pfajfar, Damjan T1 - Are survey expectations theory-consistent? The role of central bank communication and news. JO - European Economic Review JF - European Economic Review Y1 - 2016/06// VL - 85 M3 - Article SP - 84 EP - 111 SN - 00142921 AB - In this paper we analyze whether central bank communication can facilitate the understanding of key economic concepts. Using survey data for consumers and professionals, we calculate how many of them have expectations consistent with the Fisher Equation, the Taylor rule and the Phillips curve and test, by accounting for three different communication channels, whether central banks can influence those. A substantial share of participants has expectations consistent with the Fisher equation, followed by the Taylor rule and the Phillips curve. We show that having theory-consistent expectations is beneficial, as it improves the forecast accuracy. Furthermore, consistency is time varying. Exploring this time variation, we provide evidence that central bank communication as well as news on monetary policy can facilitate the understanding of those concepts and thereby improve the efficacy of monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATIONAL expectations (Economic theory) KW - CENTRAL banking industry KW - ECONOMIC surveys KW - FISHER effect (Economics) KW - MONETARY policy KW - C25 KW - Central bank communication KW - Consumer forecast accuracy KW - D84 KW - E31 KW - E52 KW - E58 KW - Macroeconomic expectations KW - Monetary news KW - Survey microdata N1 - Accession Number: 115216255; Dräger, Lena 1; Email Address: Lena.Draeger@wiso.uni-hamburg.de; Lamla, Michael J. 2,3; Email Address: mlamla@essex.ac.uk; Pfajfar, Damjan 4; Email Address: damjan.pfajfar@frb.gov; Affiliations: 1: University of Hamburg, Germany; 2: University of Essex, UK; 3: ETH Zurich, KOF Swiss Economic Institute, Switzerland; 4: Board of Governors of the Federal Reserve System, United States; Issue Info: Jun2016, Vol. 85, p84; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: ECONOMIC surveys; Thesaurus Term: FISHER effect (Economics); Thesaurus Term: MONETARY policy; Author-Supplied Keyword: C25; Author-Supplied Keyword: Central bank communication; Author-Supplied Keyword: Consumer forecast accuracy; Author-Supplied Keyword: D84; Author-Supplied Keyword: E31; Author-Supplied Keyword: E52; Author-Supplied Keyword: E58; Author-Supplied Keyword: Macroeconomic expectations; Author-Supplied Keyword: Monetary news; Author-Supplied Keyword: Survey microdata; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 28p; Document Type: Article L3 - 10.1016/j.euroecorev.2016.01.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115216255&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ivanov, Ivan T. AU - Santos, João A.C. AU - Vo, Thu T1 - The transformation of banking: Tying loan interest rates to borrowers' CDS spreads. JO - Journal of Corporate Finance JF - Journal of Corporate Finance Y1 - 2016/06// VL - 38 M3 - Article SP - 150 EP - 165 SN - 09291199 AB - We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected bank financing. We find that market-based pricing is associated with lower interest rates, both at origination and during the life of the loan. Our results also indicate that banks simplify the covenant structure of market-based pricing loans, suggesting that the decline in the cost of bank debt is explained, at least in part, by a reduction in monitoring costs. Market-based pricing, therefore, besides reducing the cost of bank debt, may also have adverse consequences resulting from the decline in bank monitoring. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Corporate Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - INTEREST rates KW - BANK loans KW - PRICING KW - COST analysis KW - CDS spreads KW - G1 KW - G21 KW - G30 KW - Loan covenants KW - Loan spreads KW - Market-based pricing N1 - Accession Number: 115437014; Ivanov, Ivan T. 1; Email Address: ivan.t.ivanov@frb.gov; Santos, João A.C. 2; Email Address: joao.santos@ny.frb.org; Vo, Thu 3; Email Address: tvo@amherst.com; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; 2: Federal Reserve Bank of New York and Nova School of Business and Economics, 33 Liberty Street, New York, NY 10045, USA; 3: Amherst Securities Group, 5001 Plaza On The Lake, Austin, TX 78746, USA; Issue Info: Jun2016, Vol. 38, p150; Thesaurus Term: BANKING industry; Thesaurus Term: INTEREST rates; Thesaurus Term: BANK loans; Thesaurus Term: PRICING; Thesaurus Term: COST analysis; Author-Supplied Keyword: CDS spreads; Author-Supplied Keyword: G1; Author-Supplied Keyword: G21; Author-Supplied Keyword: G30; Author-Supplied Keyword: Loan covenants; Author-Supplied Keyword: Loan spreads; Author-Supplied Keyword: Market-based pricing; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jcorpfin.2016.01.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115437014&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pfeffer, Fabian T. AU - Schoeni, Robert F. AU - Kennickell, Arthur AU - Andreski, Patricia T1 - Measuring wealth and wealth inequality: Comparing two U.S. surveys. JO - Journal of Economic & Social Measurement JF - Journal of Economic & Social Measurement Y1 - 2016/06// VL - 41 IS - 2 M3 - Article SP - 103 EP - 120 PB - IOS Press SN - 07479662 AB - Household wealth and its distribution are topics of broad public debate and increasing scholarly interest. We compare the relative strength of two of the main data sources used in research on the wealth holdings of U.S. households, the Survey of Consumer Finances (SCF) and the Panel Study of Income Dynamics (PSID), by providing a description and explanation of differences in the level and distribution of wealth captured in these two surveys.We identify the factors that account for differences in average net worth but also show that estimates of net worth are similar throughout most of the distribution. Median net worth in the SCF is 6% higher than in the PSID and the largest differences between the two surveys are concentrated in the 1-2 percent wealthiest households, leading to a different view of wealth concentration at the very top but similar results for wealth inequality across most of the distribution. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic & Social Measurement is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - INCOME KW - INCOME distribution KW - NET worth KW - UNITED States KW - MEASUREMENT KW - inequality KW - measurement KW - Wealth N1 - Accession Number: 116497038; Pfeffer, Fabian T. 1; Email Address: fpfeffer@umich.edu; Schoeni, Robert F. 1; Kennickell, Arthur 2; Andreski, Patricia 3; Affiliations: 1: Institute for Social Research, University of Michigan, Ann Arbor, MI, USA; 2: Board of Governors of the Federal Reserve System, USA; 3: Office for Health Equity and Inclusion, University of Michigan, Ann Arbor, MI, USA; Issue Info: 2016, Vol. 41 Issue 2, p103; Thesaurus Term: WEALTH; Thesaurus Term: INCOME; Thesaurus Term: INCOME distribution; Thesaurus Term: NET worth; Subject Term: UNITED States; Subject Term: MEASUREMENT; Author-Supplied Keyword: inequality; Author-Supplied Keyword: measurement; Author-Supplied Keyword: Wealth; Number of Pages: 18p; Document Type: Article L3 - 10.3233/JEM-160421 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116497038&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cao, Charles AU - Goldie, Bradley A. AU - Liang, Bing AU - Petrasek, Lubomir T1 - What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 2016/06// VL - 51 IS - 3 M3 - Article SP - 929 EP - 957 PB - Cambridge University Press SN - 00221090 AB - To understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk. [ABSTRACT FROM PUBLISHER] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HEDGE funds KW - MUTUAL fund managers KW - ARBITRAGE KW - RISK assessment KW - BENCHMARKING (Management) KW - FINANCIAL performance KW - CONSOLIDATION & merger of corporations KW - FINANCIAL risk management N1 - Accession Number: 117097165; Cao, Charles 1; Goldie, Bradley A. 2; Liang, Bing 3; Petrasek, Lubomir 4; Affiliations: 1: qxc2@psu.edu, Pennsylvania State University, Smeal College of Business, University Park, PA 16802; 2: goldieba@miamioh.edu, Miami University, Farmer School of Business, Oxford, OH 45056; 3: bliang@isenberg.umass.edu, University of Massachusetts Amherst, Isenberg School of Management, Amherst, MA 01003, and China Academy of Financial Research; 4: lubomir.petrasek@frb.gov, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jun2016, Vol. 51 Issue 3, p929; Thesaurus Term: HEDGE funds; Thesaurus Term: MUTUAL fund managers; Thesaurus Term: ARBITRAGE; Thesaurus Term: RISK assessment; Thesaurus Term: BENCHMARKING (Management); Thesaurus Term: FINANCIAL performance; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: FINANCIAL risk management; NAICS/Industry Codes: 525910 Open-End Investment Funds; Number of Pages: 29p; Document Type: Article L3 - 10.1017/S0022109016000387 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=117097165&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Heston, Steven L. AU - Sinha, Nitish R. T1 - News versus Sentiment: Predicting Stock Returns from News Stories. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/06// M3 - Article SP - 1 EP - 35 AB - This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news, however, predicts stock returns for one quarter. Positive news stories increase stock returns quickly, but negative stories have a longdelayed reaction. Much of the delayed response to news occurs around the subsequent earnings announcement. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKS (Finance) -- Rate of return KW - NEURAL networks (Computer science) KW - STOCKS (Finance) -- Prices KW - CORPORATE profits KW - CREDIT risk KW - News KW - Text Analysis N1 - Accession Number: 116649715; Heston, Steven L. 1; Email Address: sheston@rhsmith.umd.edu; Sinha, Nitish R. 2; Email Address: nitish.r.sinha@frb.gov; Affiliations: 1: Department of Finance, Robert H. Smith School of Business, University of Maryland, College Park; 2: Board of Governors of the Federal Reserve System; Issue Info: Jun2016, preceding p1; Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: NEURAL networks (Computer science); Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: CORPORATE profits; Thesaurus Term: CREDIT risk; Author-Supplied Keyword: News; Author-Supplied Keyword: Text Analysis; Number of Pages: 36p; Document Type: Article L3 - 10.17016/FEDS.2016.048 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116649715&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Acolin, Arthur AU - Bricker, Jesse AU - Calem, Paul AU - Wachter, Susan T1 - Borrowing Constraints and Homeownership†. JO - American Economic Review JF - American Economic Review Y1 - 2016/05// VL - 106 IS - 5 M3 - Article SP - 625 EP - 629 SN - 00028282 AB - This paper identifies the impact of borrowing constraints on homeownership in the U.S. in the aftermath of the 2008 financial crisis. While homeownership declines and tightened credit are evident, the role the tightening of credit has had on the probability of individual households to become homeowners has not been previously identified. The homeownership rate in 2010-2013 is estimated to be 2.3 percentage points lower than if the constraints were set at the 2001 level. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOME ownership KW - HOMEOWNERS KW - CREDIT KW - LOANS KW - GLOBAL Financial Crisis, 2008-2009 KW - UNITED States -- Economic conditions KW - FINANCIAL crises -- United States N1 - Accession Number: 115268327; Acolin, Arthur 1; Bricker, Jesse 2; Calem, Paul 3; Wachter, Susan 4; Affiliations: 1 : University of Southern California, 650 Childs Way, Los Angeles, CA 90089 (e-mail: ); 2 : Board of Governors of the Federal Reserve System, 20th and C Street, NW, Washington, DC 20551 (e-mail: ); 3 : Federal Reserve Bank of Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 (e-mail: ); 4 : University of Pennsylvania, 430 Vance Hall, 3733 Spruce St., Philadelphia, PA 19104 (e-mail: ); Source Info: May2016, Vol. 106 Issue 5, p625; Historical Period: 2008 to 2013; Subject Term: HOME ownership; Subject Term: HOMEOWNERS; Subject Term: CREDIT; Subject Term: LOANS; Subject Term: GLOBAL Financial Crisis, 2008-2009; Subject Term: UNITED States -- Economic conditions; Subject Term: FINANCIAL crises -- United States; Number of Pages: 5p; Illustrations: 2 Charts; Document Type: Article L3 - 10.1257/aer.p20161084 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=115268327&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Fischer, Stanley T1 - Monetary Policy, Financial Stability, and the Zero Lower Bound†. JO - American Economic Review JF - American Economic Review Y1 - 2016/05// VL - 106 IS - 5 M3 - Article SP - 39 EP - 42 SN - 00028282 AB - Much has happened in the world of central banking in the past decade. In this paper, I focus on three issues associated with the zero lower bound (ZLB) on short-term nominal interest rates and the nexus between monetary policy and financial stability: 1) whether we are moving toward a permanently lower long-run equilibrium real interest rate; 2) what steps can be taken to mitigate the constraints imposed by the ZLB; and 3) whether and how financial stability considerations should be incorporated in the conduct of monetary policy. These important topics deserve the attention of both academic and government professionals. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - CENTRAL banking industry KW - INTEREST rates KW - ECONOMIC stabilization KW - FINANCE KW - GOVERNMENT policy KW - ECONOMIC policy KW - MACROECONOMICS N1 - Accession Number: 115268347; Fischer, Stanley 1; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551 (e-mail: ); Issue Info: May2016, Vol. 106 Issue 5, p39; Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: FINANCE; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MACROECONOMICS; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 4p; Document Type: Article L3 - 10.1257/aer.p20161005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115268347&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gourio, François AU - Messer, Todd AU - Siemer, Michael T1 - Firm Entry and Macroeconomic Dynamics: A State-Level Analysis†. JO - American Economic Review JF - American Economic Review Y1 - 2016/05// VL - 106 IS - 5 M3 - Article SP - 214 EP - 218 SN - 00028282 AB - Using an annual panel of US states over the period 1982-2014, we estimate the response of macroeconomic variables to a shock to the number of new firms (startups). We find that these shocks have significant effects that persist for many years on real GDP, productivity, and population. This is consistent with simple models of firm dynamics where a 'missing generation' of firms affects productivity persistently. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NEW business enterprises KW - MACROECONOMICS KW - GROSS domestic product KW - ECONOMICS -- Research KW - INDUSTRIAL productivity KW - BUSINESS planning KW - UNITED States KW - ECONOMIC aspects N1 - Accession Number: 115268272; Gourio, François 1; Messer, Todd 2; Siemer, Michael 3; Affiliations: 1: Federal Reserve Bank of Chicago, 230 South LaSalle Street, Chicago, IL 60604 (e-mail: ); 2: Department of Economics, University of California at Berkeley, 530 Evans Hall, Berkeley, CA 94720 (e-mail: ); 3: Board of Governors of the Federal Reserve System, 20th & Constitution Avenue NW, Washington, DC 20551 (e-mail: ); Issue Info: May2016, Vol. 106 Issue 5, p214; Thesaurus Term: NEW business enterprises; Thesaurus Term: MACROECONOMICS; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: BUSINESS planning; Subject Term: UNITED States; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 5p; Illustrations: 1 Chart, 2 Graphs; Document Type: Article L3 - 10.1257/aer.p20161052 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115268272&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Park, Yang-Ho T1 - The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2016/05// VL - 192 IS - 1 M3 - Article SP - 313 EP - 328 SN - 03044076 AB - This paper proposes a collection of affine jump–diffusion models for the valuation of VIX derivatives. The models have two distinctive features. First, we allow for a positive correlation between changes in the VIX and its stochastic volatility to accommodate asymmetric volatility. Second, upward and downward jumps in the VIX are separately modeled to accommodate the possibility that investors react differently to good and bad surprises. Using the VIX futures and options data from July 2006 through January 2013, we find conclusive evidence for both asymmetric volatility and upward jumps in VIX derivative prices. However, we find little evidence supporting downward jumps. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VOLATILITY (Finance) KW - DERIVATIVE securities KW - PRICING KW - VALUATION KW - ECONOMIC models KW - STOCHASTIC analysis KW - G12 KW - G13 KW - Jump–diffusion KW - Stochastic volatility KW - VIX futures KW - VIX options KW - Volatility smile N1 - Accession Number: 113374287; Park, Yang-Ho 1; Email Address: yang-ho.park@frb.gov; Affiliations: 1: Risk Analysis Section, Board of Governors of the Federal Reserve System, 20th & C Streets, NW, Washington, D.C. 20551, United States; Issue Info: May2016, Vol. 192 Issue 1, p313; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: DERIVATIVE securities; Thesaurus Term: PRICING; Thesaurus Term: VALUATION; Thesaurus Term: ECONOMIC models; Thesaurus Term: STOCHASTIC analysis; Author-Supplied Keyword: G12; Author-Supplied Keyword: G13; Author-Supplied Keyword: Jump–diffusion; Author-Supplied Keyword: Stochastic volatility; Author-Supplied Keyword: VIX futures; Author-Supplied Keyword: VIX options; Author-Supplied Keyword: Volatility smile; NAICS/Industry Codes: 541990 All Other Professional, Scientific, and Technical Services; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jeconom.2016.01.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=113374287&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gourio, François AU - Messer, Todd AU - Siemery, Michael T1 - Firm Entry and Macroeconomic Dynamics: A State-level Analysis. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/05// M3 - Article SP - 1 EP - 8 AB - Using an annual panel of US states over the period 1982-2014, we estimate the response of macroeconomic variables to a shock to the number of new firms (startups). We find that these shocks have significant effects that persist for many years on real GDP, productivity, and population. This result is consistent with simple models of firm dynamics where a \missing generation" of firms affects productivity persistently. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - SHOCK (Economics) KW - GROSS domestic product KW - PRODUCTION (Economic theory) KW - MACROECONOMIC models KW - UNITED States KW - UNITED States -- Population N1 - Accession Number: 116211171; Gourio, François 1; Email Address: francois.gourio@chi.frb.org; Messer, Todd 2; Email Address: messertodd@gmail.com; Siemery, Michael 3; Email Address: michael.siemer@frb.gov; Affiliations: 1: Federal Reserve Bank of Chicago, 230 South LaSalle St, Chicago IL 60604; 2: Department of Economics, University of California at Berkeley, 530 Evans Hall, Berkeley CA 94720; 3: Board of Governors of the Federal Reserve System, 20th & Constitution Ave NW, Washington DC 20551; Issue Info: 2016, preceding p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: SHOCK (Economics); Thesaurus Term: GROSS domestic product; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: MACROECONOMIC models; Subject Term: UNITED States; Subject Term: UNITED States -- Population; Number of Pages: 9p; Document Type: Article L3 - 10.17016/FEDS.2016.043 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116211171&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Modugno, Michele AU - Soybilgen, Barış AU - Yazgan, Ege T1 - Nowcasting Turkish GDP and News Decomposition. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/05// M3 - Article SP - 1 EP - 38 AB - Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more timely, that are released at higher frequencies than the GDP. In this paper, we propose an econometric model that automatically allows us to read through these more current and higher-frequency data and translate them into nowcasts for the Turkish real GDP. Our model outperforms nowcasts produced by the Central Bank of Turkey, the International Monetary Fund, and the Organisation for Economic Co-operation and Development. Moreover, our model allows us to quantify the importance of each variable in our dataset in nowcasting Turkish real GDP. In line with findings for other economies, we find that real variables play the most important role; however, contrary to the findings for other economies, we find that financial variables are as important as surveys. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - ECONOMETRIC models KW - TURKEY KW - Developing KW - Dynamic factor model KW - Economy KW - Emerging Market KW - Gross Domestic Product KW - News KW - Nowcasting KW - CENTRAL Bank of Turkey (Company) KW - INTERNATIONAL Monetary Fund KW - ORGANISATION for Economic Co-operation & Development N1 - Accession Number: 116211172; Modugno, Michele 1; Email Address: michele.modugno@frb.gov; Soybilgen, Barış 2; Email Address: baris.soybilgen@eas.bahcesehir.edu.tr; Yazgan, Ege 3; Email Address: ege.yazgan@bilgi.edu.tr; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Bilgi University and Bahcesehir University Center for Economic and Social Research; 3: Bilgi University; Issue Info: 2016, preceding p1; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMETRIC models; Subject Term: TURKEY; Author-Supplied Keyword: Developing; Author-Supplied Keyword: Dynamic factor model; Author-Supplied Keyword: Economy; Author-Supplied Keyword: Emerging Market; Author-Supplied Keyword: Gross Domestic Product; Author-Supplied Keyword: News; Author-Supplied Keyword: Nowcasting ; Company/Entity: CENTRAL Bank of Turkey (Company) ; Company/Entity: INTERNATIONAL Monetary Fund DUNS Number: 069275188 ; Company/Entity: ORGANISATION for Economic Co-operation & Development; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 39p; Document Type: Article L3 - 10.17016/FEDS.2016.044 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116211172&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Yi Chey AU - Yi Lu AU - Piercex, Justin R. AU - Schott, Peter K. AU - Zhigang Taok T1 - Does Trade Liberalization with China Influence U.S. Elections? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/05// M3 - Article SP - 1 EP - 40 AB - This paper examines the impact of trade liberalization on U.S. Congressional elections. We find that U.S. counties subject to greater competition from China via a change in U.S. trade policy exhibit relative increases in turnout, the share of votes cast for Democrats and the probability that the county is represented by a Democrat. We find that these changes are consistent with Democrats in office during the period examined being more likely than Republicans to support legis- lation limiting import competition or favoring economic assistance. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FREE trade KW - COMPETITION (Economics) KW - COMMERCIAL policy KW - UNITED States KW - FOREIGN aid (American) KW - China KW - Elections KW - Import Competition KW - Normal KW - Trade Relations KW - Voting KW - World Trade Organization KW - UNITED States. Congress -- Elections, 2006 N1 - Accession Number: 116211167; Yi Chey 1; Email Address: tccheyi2005@hotmail.com; Yi Lu 2; Email Address: justinly6@gmail.com; Piercex, Justin R. 3; Email Address: justin.r.pierce@frb.gov; Schott, Peter K. 4; Email Address: peter.schott@yale.edu; Zhigang Taok 5; Email Address: ztao@hku.hk; Affiliations: 1: Shanghai Jiao Tong University; 2: National University of Singapore; 3: Board of Governors of the Federal Reserve System; 4: Yale School of Management & NBER; 5: University of Hong Kong; Issue Info: 2016, preceding p1; Thesaurus Term: FREE trade; Thesaurus Term: COMPETITION (Economics); Thesaurus Term: COMMERCIAL policy; Subject Term: UNITED States; Subject Term: FOREIGN aid (American); Author-Supplied Keyword: China; Author-Supplied Keyword: Elections; Author-Supplied Keyword: Import Competition; Author-Supplied Keyword: Normal; Author-Supplied Keyword: Trade Relations; Author-Supplied Keyword: Voting; Author-Supplied Keyword: World Trade Organization ; Company/Entity: UNITED States. Congress -- Elections, 2006; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 40p; Document Type: Article L3 - 10.17016/FEDS.2016.039 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=116211167&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - LEDUC, SYLVAIN AU - MORAN, KEVIN AU - VIGFUSSON, ROBERT J. T1 - The Elusive Boost from Cheap Oil. JO - FRBSF Economic Letter JF - FRBSF Economic Letter Y1 - 2016/04/18/ VL - 2016 IS - 13 M3 - Article SP - 1 EP - 5 PB - Federal Reserve Bank of San Francisco SN - 0890927X AB - The plunge in oil prices since the middle of 2014 has not translated into a dramatic boost for consumer spending, which has continued to grow moderately. This has been particularly surprising since the sharp drop should free up income for households to use toward other purchases. Lessons from an empirical model of learning suggest that the weak response may reflect that consumers initially viewed cheaper oil as a temporary condition. If oil prices remain low, consumer perceptions could change, which would boost spending. [ABSTRACT FROM AUTHOR] AB - Copyright of FRBSF Economic Letter is the property of Federal Reserve Bank of San Francisco and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PETROLEUM KW - CONSUMPTION (Economics) KW - INCOME KW - CONSUMERS -- Attitudes KW - HOUSEHOLDS KW - SALES & prices N1 - Accession Number: 114795364; LEDUC, SYLVAIN 1 MORAN, KEVIN 2 VIGFUSSON, ROBERT J. 3; Affiliation: 1: Vice president in the Economic Research Department of the Federal Reserve Bank of San Francisco 2: Professor of economics at Université Laval 3: Chief of Trade and Quantitative Studies in the International Finance Division of the Board of Governors of the Federal Reserve System; Source Info: 4/18/2016, Vol. 2016 Issue 13, p1; Subject Term: PETROLEUM; Subject Term: CONSUMPTION (Economics); Subject Term: INCOME; Subject Term: CONSUMERS -- Attitudes; Subject Term: HOUSEHOLDS; Subject Term: SALES & prices; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=114795364&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Ericsson, Neil R. T1 - Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis. JO - International Journal of Forecasting JF - International Journal of Forecasting Y1 - 2016/04// VL - 32 IS - 2 M3 - Article SP - 571 EP - 583 SN - 01692070 AB - Stekler and Symington (2016) construct indexes that quantify the Federal Open Market Committee’s views about the US economy, as expressed in the minutes of the FOMC’s meetings. These indexes provide insights into the FOMC’s deliberations, especially at the onset of the Great Recession. The current paper complements Stekler and Symington’s analysis by showing that their indexes reveal relatively minor bias in the FOMC’s views when the indexes are reinterpreted as forecasts. Additionally, these indexes provide a proximate mechanism for inferring the Fed staff’s Greenbook forecasts of the US real GDP growth rate, years before the Greenbook’s public release. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Forecasting is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product -- Forecasting KW - FINANCIAL crises KW - ECONOMIC indicators KW - UNITED States -- Economic conditions KW - Autometrics KW - Bias KW - Fed KW - Financial crisis KW - FOMC KW - Forecasts KW - GDP KW - Great Recession KW - Greenbook KW - Impulse indicator saturation KW - Projections KW - Tealbook KW - United States KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 114799793; Ericsson, Neil R. 1,2; Email Address: ericsson@gwu.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Department of Economics, The George Washington University, Washington, DC 20052, USA; Issue Info: Apr2016, Vol. 32 Issue 2, p571; Thesaurus Term: GROSS domestic product -- Forecasting; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ECONOMIC indicators; Subject Term: UNITED States -- Economic conditions; Author-Supplied Keyword: Autometrics; Author-Supplied Keyword: Bias; Author-Supplied Keyword: Fed; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: FOMC; Author-Supplied Keyword: Forecasts; Author-Supplied Keyword: GDP; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Greenbook; Author-Supplied Keyword: Impulse indicator saturation; Author-Supplied Keyword: Projections; Author-Supplied Keyword: Tealbook; Author-Supplied Keyword: United States ; Company/Entity: UNITED States. Federal Open Market Committee; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.ijforecast.2015.09.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114799793&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BAUGHMAN, GARTH T1 - DEADLINES AND MATCHING. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 38 AB - Deadlines and fixed end dates are pervasive in matching markets including school choice, the market for new graduates, and even financial markets such as the market for federal funds. Deadlines drive fundamental non-stationarity and complexity in behavior, generating significant departures from the steady-state equilibria usually studied in the search and matching literature. I consider a two-sided matching market with search frictions where vertically differentiated agents attempt to form bilateral matches before a deadline. I give conditions for existence and uniqueness of equilibria, and show that all equilibria exhibit an "anticipation effect" where less attractive agents become increasingly choosy over time, preferring to wait for the opportunity to match with attractive agents who, in turn, become less selective as the deadline approaches. When payoffs accrue after the deadline, or agents do not discount, a sharp characterization is available: at any point in time, the market is segmented into a first class of matching agents and a second class of waiting agents. This points to a different interpretation of unraveling observed in some markets and provides a benchmark for other studies of non-stationary matching. A simple intervention { a small participation cost { can dramatically improve efficiency. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEADLINES KW - RESEARCH KW - SECURITIES markets KW - EQUILIBRIUM (Economics) KW - STAGNATION (Economics) KW - SCHOOL choice N1 - Accession Number: 114666193; BAUGHMAN, GARTH 1; Affiliations: 1: BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM; Issue Info: Apr2016, p1; Thesaurus Term: DEADLINES; Thesaurus Term: RESEARCH; Thesaurus Term: SECURITIES markets; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: STAGNATION (Economics); Subject Term: SCHOOL choice; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 39p; Document Type: Article L3 - 10.17016/FEDS.2016.014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666193&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chang, Andrew C. T1 - Banking Consolidation and Small Firm Financing for Research and Development. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 33 AB - This paper examines the effect of increased market concentration of the banking industry caused by the Riegle-Neal Interstate Banking and Branching Efficiency Act (IBBEA) on the availability of finance for small firms engaged in research and development (R&D). I measure the financing decisions of these small firms using a balanced panel of Small Business Innovation Research (SBIR) applications. Using difference-in-differences, I find IBBEA decreased the supply of finance for small R&D firms. This effect is larger for late adopters of IBBEA, which tended to be states with stronger small banking sectors pre-IBBEA. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- United States KW - RESEARCH KW - SMALL business loans KW - SMALL business -- Finance KW - RESEARCH & development KW - FINANCE KW - Banking Deregulation KW - IBBEA KW - Interstate Bank Branching Deregulation KW - Market Concentration KW - R&D KW - Research and Development KW - Riegle-Neal KW - SBIR KW - Small Business Innovation Research KW - UNITED States. Small Business Administration. Small Business Innovation Research Program N1 - Accession Number: 114666208; Chang, Andrew C. 1; Email Address: a.christopher.chang@gmail.com; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St. NW and Constitution Ave., Washington DC 20551 USA; Issue Info: Apr2016, p1; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: RESEARCH; Thesaurus Term: SMALL business loans; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: RESEARCH & development; Thesaurus Term: FINANCE; Author-Supplied Keyword: Banking Deregulation; Author-Supplied Keyword: IBBEA; Author-Supplied Keyword: Interstate Bank Branching Deregulation; Author-Supplied Keyword: Market Concentration; Author-Supplied Keyword: R&D; Author-Supplied Keyword: Research and Development; Author-Supplied Keyword: Riegle-Neal; Author-Supplied Keyword: SBIR; Author-Supplied Keyword: Small Business Innovation Research ; Company/Entity: UNITED States. Small Business Administration. Small Business Innovation Research Program; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 34p; Document Type: Article L3 - 10.17016/FEDS.2016.029 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666208&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Karay, Gazi Ishak AU - Ozsoyz, S. Mehmet T1 - Bank regulation under fire sale externalities. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 79 AB - This paper examines the optimal design of and interaction between capital and liquidity regulations in a model characterized by fire sale externalities. In the model, banks can insure against potential liquidity shocks by hoarding sufficient precautionary liquid assets. However, it is never optimal to fully insure, so realized liquidity shocks trigger an asset fire sale. Banks, not internalizing the fire sale externality, overinvest in the risky asset and underinvest in the liquid asset in the unregulated competitive equilibrium. Capital requirements can lead to less severe fire sales by addressing the inefficiency and reducing risky assets--however, we show that banks respond to stricter capital requirements by decreasing their liquidity ratios. Anticipating this response, the regulator preemptively sets capital ratios at high levels. Ultimately, this interplay between banks and the regulator leads to inefficiently low levels of risky assets and liquidity. Macroprudential liquidity requirements that complement capital regulations, as in Basel III, restore constrained efficiency, improve financial stability and allow for a higher level of investment in risky assets. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING law & legislation KW - RESEARCH KW - EXTERNALITIES (Economics) KW - LIQUIDITY (Economics) KW - CAPITAL KW - LIQUID assets KW - Bank capital regulation KW - Basel III KW - fire sale externality KW - liquidity regulation N1 - Accession Number: 114666205; Karay, Gazi Ishak 1; Email Address: Gazi.I.Kara@frb.gov; Ozsoyz, S. Mehmet 2; Email Address: mehmet.ozsoy@ozyegin.edu.tr; Affiliations: 1: Office of Financial Stability Policy and Research, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, D.C. 20551; 2: Ozyegin University, Faculty of Business, Nisantepe Mah., Orman Sok., 34794 Istanbul, Turkey; Issue Info: Apr2016, p1; Thesaurus Term: BANKING law & legislation; Thesaurus Term: RESEARCH; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: CAPITAL; Thesaurus Term: LIQUID assets; Author-Supplied Keyword: Bank capital regulation; Author-Supplied Keyword: Basel III; Author-Supplied Keyword: fire sale externality; Author-Supplied Keyword: liquidity regulation; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 80p; Document Type: Article L3 - 10.17016/FEDS.2016.026 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666205&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kruttli, Mathias S. T1 - From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 51 AB - This paper compares consumption-based asset pricing models on the basis of whether they can improve the forecast accuracy of investors who try to predict the equity premium out-of-sample with valuation ratios. Model-based priors are derived from three prominent consumption-based asset pricing models: Habit Formation, Long Run Risk, and Prospect Theory. A simple Bayesian framework is proposed through which the investors impose these model-based priors on the parameters of their predictive models. An investor whose prior beliefs are rooted in the Long Run Risk model achieves more accurate forecasts overall. The greatest difference in performance occurs during the bull market of the late 1990s. During this period, the weak predictability of the equity premium implied by the Long Run Risk model helps the investor to not prematurely anticipate falling stock prices. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSETS (Accounting) KW - RESEARCH KW - STOCKS (Finance) -- Prices KW - PRICING KW - BULL markets KW - PROFIT KW - Bayesian econometrics KW - consumption-based asset pricing KW - return predictability N1 - Accession Number: 114666206; Kruttli, Mathias S. 1,2; Email Address: mathias.s.kruttli@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Oxford-Man Institute of Quantitative Finance; Issue Info: Apr2016, p1; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: RESEARCH; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: PRICING; Thesaurus Term: BULL markets; Thesaurus Term: PROFIT; Author-Supplied Keyword: Bayesian econometrics; Author-Supplied Keyword: consumption-based asset pricing; Author-Supplied Keyword: return predictability; Number of Pages: 52p; Document Type: Article L3 - 10.17016/FEDS.2016.027 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666206&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Larrimore, Jeff AU - Schuetz, Jenny AU - Dodini, Samuel T1 - What are the Perceived Barriers to Homeownership for Young Adults? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 31 AB - As the U.S. emerges from the Great Recession, there is concern about slowing rates of new household formation and declining interest in homeownership, especially among younger households. Potential reasons that have been posited include tight mortgage credit and housing supply, changing preferences over tenure in the wake of the foreclosure crisis, and weak labor markets for young workers. In this paper, we examine how individual housing choices, and the stated motivations for these choices, reflect local housing affordability and individual financial circumstances, focusing particularly on young households. The analysis makes use of new individual-level data from the Survey of Household Economics and Decisionmaking (SHED). We find that housing affordability is correlated with county-level tenure rates and individual-level probability of homeownership for households with heads under age 40. However, it appears that young households' perceived barriers to homeownership are more closely related to individual financial circumstances than local housing market conditions. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOME ownership KW - RESEARCH KW - HOUSING KW - MORTGAGE loans KW - LABOR market KW - UNITED States KW - YOUNG adults KW - consumer preferences KW - household formation KW - Housing demand KW - tenure choice N1 - Accession Number: 114666200; Larrimore, Jeff 1; Email Address: jeff.larrimore@frb.gov; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Dodini, Samuel 1; Email Address: sam.dodini@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Apr2016, p1; Thesaurus Term: HOME ownership; Thesaurus Term: RESEARCH; Thesaurus Term: HOUSING; Thesaurus Term: MORTGAGE loans; Thesaurus Term: LABOR market; Subject Term: UNITED States; Subject Term: YOUNG adults; Author-Supplied Keyword: consumer preferences; Author-Supplied Keyword: household formation; Author-Supplied Keyword: Housing demand; Author-Supplied Keyword: tenure choice; Number of Pages: 33p; Document Type: Article L3 - 10.17016/FEDS.2016.021 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666200&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Laubach, Thomas AU - Williams, John C. T1 - Measuring the Natural Rate of Interest Redux. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 29 AB - Persistently low real interest rates have prompted the question whether low interest rates are here to stay. This essay assesses the empirical evidence regarding the natural rate of interest in the United States using the Laubach-Williams model. Since the start of the Great Recession, the estimated natural rate of interest fell sharply and shows no sign of recovering. These results are robust to alternative model specifications. If the natural rate remains low, future episodes of hitting the zero lower bound are likely to be frequent and long-lasting. In addition, uncertainty about the natural rate argues for policy approaches that are more robust to mismeasurement of natural rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - RECESSIONS KW - RESEARCH KW - UNITED States KW - UNITED States -- Economic conditions KW - UNCERTAINTY N1 - Accession Number: 114666190; Laubach, Thomas 1; Email Address: thomas.laubach@frb.gov; Williams, John C. 2; Email Address: john.c.williams@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of San Francisco; Issue Info: Apr2016, p1; Thesaurus Term: INTEREST rates; Thesaurus Term: RECESSIONS; Thesaurus Term: RESEARCH; Subject Term: UNITED States; Subject Term: UNITED States -- Economic conditions; Subject Term: UNCERTAINTY; Number of Pages: 31p; Document Type: Article L3 - 10.17016/FEDS.2016.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666190&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Molloy, Raven AU - Smith, Christopher L. AU - Trezzi, Riccardo AU - Wozniak, Abigail T1 - UNDERSTANDING DECLINING FLUIDITY IN THE U.S. LABOR MARKET. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 73 AB - We document a clear downward trend in labor market fluidity that is common across a variety of measures of worker and job turnover. This trend dates to at least the early 1980s if not somewhat earlier. Next we pull together evidence on a variety of hypotheses that might explain this downward trend. It is only partly related to population demographics and is not due to the secular shift in industrial composition. Moreover, the decline in labor market fluidity seems unlikely to have been caused by an improvement in worker-firm matching, the formalization of hiring practices, or an increase in land use regulation or other regulations. Plausible avenues for further exploration include changes in the worker-firm relationship, particularly with regard to compensation adjustment; changes in firm characteristics such as firm size and age; and a decline in social trust, which may have increased the cost of job search or made both parties in the hiring process more risk averse. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR market KW - RESEARCH KW - LABOR turnover KW - BUSINESS enterprises -- Size KW - JOB hunting KW - EMPLOYEE recruitment KW - UNITED States KW - demographic trends KW - hires and separations KW - internal migration KW - job creation and destruction KW - job turnover KW - labor market churn KW - Labor market transitions KW - labor reallocation N1 - Accession Number: 114666194; Molloy, Raven 1; Email Address: raven.s.molloy@frb.gov; Smith, Christopher L. 1; Email Address: christopher.l.smith@frb.gov; Trezzi, Riccardo 1; Email Address: riccardo.trezzi@frb.gov; Wozniak, Abigail 2,3,4; Email Address: a_wozniak@nd.edu; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Notre Dame; 3: NBER; 4: IZA; Issue Info: Apr2016, p1; Thesaurus Term: LABOR market; Thesaurus Term: RESEARCH; Thesaurus Term: LABOR turnover; Thesaurus Term: BUSINESS enterprises -- Size; Thesaurus Term: JOB hunting; Thesaurus Term: EMPLOYEE recruitment; Subject Term: UNITED States; Author-Supplied Keyword: demographic trends; Author-Supplied Keyword: hires and separations; Author-Supplied Keyword: internal migration; Author-Supplied Keyword: job creation and destruction; Author-Supplied Keyword: job turnover; Author-Supplied Keyword: labor market churn; Author-Supplied Keyword: Labor market transitions; Author-Supplied Keyword: labor reallocation; Number of Pages: 85p; Document Type: Article L3 - 10.17016/FEDS.2016.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666194&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Passmore, Wayne AU - Sherlund, Shane M. T1 - Government-Backed Mortgage Insurance, Financial Crisis, and the Recovery from the Great Recession. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 42 AB - The Great Recession provides an opportunity to test the proposition that government mortgage insurance programs mitigated the effects of the financial crisis and enhanced the economic recovery from 2009 to 2014. We find that government-sponsored mortgage insurance programs have been responsible for better economic outcomes in counties that participated heavily in these programs. In particular, counties with high levels of participation from government-sponsored enterprises and the Federal Housing Authority had relatively lower unemployment rates, higher home sales, higher home prices, lower mortgage delinquency rates, and less foreclosure activity, both in 2009 (soon after the peak of the financial crisis) and in 2014 (six years after the crisis) than did counties with lower levels of participation. The persistence of better outcomes in counties with heavy participation in federal government programs is consistent with a view that lower government liquidity premiums, lower government credit-risk premiums, and looser government mortgage-underwriting standards yield higher private-sector economic activity after a financial crisis. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE life insurance KW - RESEARCH KW - RECESSIONS KW - FINANCIAL crises KW - LIQUIDITY (Economics) KW - UNITED States KW - Financial crisis KW - government policy KW - Great Recession KW - mortgages KW - UNITED States. Federal Public Housing Authority N1 - Accession Number: 114666210; Passmore, Wayne 1; Email Address: Wayne.Passmore@frb.gov; Sherlund, Shane M. 1; Email Address: Shane.M.Sherlund@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, DC 20551; Issue Info: Apr2016, p1; Thesaurus Term: MORTGAGE life insurance; Thesaurus Term: RESEARCH; Thesaurus Term: RECESSIONS; Thesaurus Term: FINANCIAL crises; Thesaurus Term: LIQUIDITY (Economics); Subject Term: UNITED States; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: government policy; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: mortgages ; Company/Entity: UNITED States. Federal Public Housing Authority; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 44p; Document Type: Article L3 - 10.17016/FEDS.2016.031 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666210&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny AU - Giuliano, Genevieve AU - Eun Jin Shin T1 - Is Los Angeles Becoming Transit Oriented? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 52 AB - Over the past 20 years, local and regional governments in the Los Angeles metropolitan area have invested significant resources in building rail transit infrastructure that connects major employment centers. One goal of transit infrastructure is to catalyze the development of high density, mixed-use housing and commercial activity within walking distance of rail stations, referred to as Transit Oriented Development (TOD). This project examines the quantity, type, and mix of economic activity that has occurred around newly built rail stations in Los Angeles over the past 20 years. Specifically, have the number of jobs or housing market characteristics changed near stations? We use establishment-level data on employment and property-level data on housing transactions to analyze changes in several employment and housing outcomes. Results suggest that new rail stations were located in areas that, prior to station opening, had unusually high employment density and mostly multifamily rental housing. There is no evidence of changes in employment density, housing sales volume, or new housing development within five years after station opening. Regressions suggest that a subset of stations saw increased employment density within five to ten years after opening. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RAILROADS KW - RESEARCH KW - HOUSING market KW - REGRESSION analysis KW - CALIFORNIA KW - TRANSIT-oriented development KW - RAILROAD stations -- California KW - economic development KW - housing KW - public transportation KW - Urban spatial structure N1 - Accession Number: 114666183; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Giuliano, Genevieve 2; Eun Jin Shin 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Southern California; Issue Info: Apr2016, p1; Thesaurus Term: RAILROADS; Thesaurus Term: RESEARCH; Thesaurus Term: HOUSING market; Thesaurus Term: REGRESSION analysis; Subject Term: CALIFORNIA; Subject Term: TRANSIT-oriented development; Subject Term: RAILROAD stations -- California; Author-Supplied Keyword: economic development; Author-Supplied Keyword: housing; Author-Supplied Keyword: public transportation; Author-Supplied Keyword: Urban spatial structure; Number of Pages: 55p; Document Type: Article L3 - 10.17016/FEDS.2016.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666183&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny AU - Giuliano, Genevieve AU - Eun Jin Shin T1 - Does Zoning Help or Hinder Transit-Oriented (Re)Development? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 44 AB - Despite its reputation as a car-oriented city, the Los Angeles metropolitan area has made substantial investments in developing rail transit since 1990. In cities with older "legacy" rail systems, the built environment has developed over time around fixed transit infrastructure, creating land use patterns oriented towards long-standing rail stations. By contrast, rail stations in Los Angeles were added to an already dense built environment, with auto oriented zoning and established land use patterns. In this paper we ask whether redevelopment is occurring around Los Angeles' rail stations, and whether zoning and related public policies are facilitating or constraining transit-oriented development. We conduct case studies of six Metro rail stations in the Los Angeles region, documenting the existing built environment, key components of zoning and land use planning, and the extent and type of new development in the immediate vicinity of stations after they opened. Results illustrate that redevelopment around transit stations involves complex interactions between physical environment, economic conditions and public interventions. Incompatible zoning and related land use policies may constrain growth near stations, but TOD-friendly zoning alone is not sufficient to spur development. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESEARCH KW - RAILROADS KW - LAND use KW - ZONING KW - CALIFORNIA KW - TRANSIT-oriented development KW - RAILROAD stations -- California KW - housing markets KW - land use planning KW - local government KW - Public transportation KW - urban spatial structure KW - zoning N1 - Accession Number: 114666199; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Giuliano, Genevieve 2; Eun Jin Shin 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Southern California; Issue Info: Apr2016, p1; Thesaurus Term: RESEARCH; Thesaurus Term: RAILROADS; Thesaurus Term: LAND use; Subject Term: ZONING; Subject Term: CALIFORNIA; Subject Term: TRANSIT-oriented development; Subject Term: RAILROAD stations -- California; Author-Supplied Keyword: housing markets; Author-Supplied Keyword: land use planning; Author-Supplied Keyword: local government; Author-Supplied Keyword: Public transportation; Author-Supplied Keyword: urban spatial structure; Author-Supplied Keyword: zoning; Number of Pages: 46p; Document Type: Article L3 - 10.17016/FEDS.2016.020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666199&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seldin, Sian L. T1 - Federal Reserve Board Statistical Releases: a Publications History. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 61 AB - The Board of Governors of the Federal Reserve System has published extensive statistical information on the U.S. economy and banking industry since 1914. This information has been published in various formats, usually referred to as "statistical releases." Titles and release numbers of the publications have changed frequently. Federal Reserve Board Statistical Releases: a Publications History describes these changes; it is a convenient tool that lightens the burden of tracing the titles and release numbers by providing history in a single location. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STATISTICS KW - BANKING industry -- United States KW - UNITED States KW - ECONOMIC conditions KW - GOVERNMENT publications -- United States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 114666195; Seldin, Sian L. 1; Email Address: sian.seldin@frb.gov; Affiliations: 1: Research Library, Board of Governors of the Federal Reserve System; Issue Info: Apr2016, p1; Thesaurus Term: STATISTICS; Thesaurus Term: BANKING industry -- United States; Subject Term: UNITED States; Subject Term: ECONOMIC conditions; Subject Term: GOVERNMENT publications -- United States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 62p; Document Type: Article L3 - 10.17016/FEDS.2016.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666195&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Smolyanskyy, Michael T1 - Policy Externalities and Banking Integration. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 51 AB - Can policies directed at the banking sector in one jurisdiction spill over and affect real economic activity elsewhere? To investigate this question, I exploit changes in tax rates on bank profits across U.S. states. Banks respond by reallocating small-business lending to otherwise unaffected states. Moreover, counties in non-tax-changing states that have more exposure to "treated" banks experience greater changes in lending, which in turn impacts local employment. The findings demonstrate that policies aimed at the banking sector in one jurisdiction can impose externalities on other regions. Critically, financial linkages between regions serve as the transmission channel for these policy externalities. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- United States KW - RESEARCH KW - BANK profits KW - TAXATION KW - EXTERNALITIES (Economics) KW - SMALL business loans KW - BANKING industry -- Government policy KW - UNITED States N1 - Accession Number: 114666187; Smolyanskyy, Michael 1; Email Address: michael.smolyansky@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Apr2016, p1; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: RESEARCH; Thesaurus Term: BANK profits; Thesaurus Term: TAXATION; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: SMALL business loans; Thesaurus Term: BANKING industry -- Government policy; Subject Term: UNITED States; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 53p; Document Type: Article L3 - 10.17016/FEDS.2016.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666187&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warusawitharana, Missaka T1 - Time-varying Volatility and the Power Law Distribution of Stock Returns. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 43 AB - While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power law coefficients obtained by estimating a conditional normal model with nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the Dow Jones index. A cross-sectional regression of the data coefficients on the model-implied coefficients yields a slope close to one, supportive of the hypothesis that the two sets of power law coefficients are identical. Further, for most of the stocks in the sample taken individually, the model-implied coefficient falls within the 95 percent confidence interval for the coefficient estimated from returns data. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VOLATILITY (Finance) KW - RESEARCH KW - STOCKS (Finance) -- Rate of return KW - RATE of return KW - DOW Jones industrial average KW - POWER law (Mathematics) KW - high frequency returns KW - power laws KW - Tail distributions KW - time-varying volatility N1 - Accession Number: 114666201; Warusawitharana, Missaka 1; Email Address: m1mnw00@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Apr2016, p1; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: RESEARCH; Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: RATE of return; Thesaurus Term: DOW Jones industrial average; Subject Term: POWER law (Mathematics); Author-Supplied Keyword: high frequency returns; Author-Supplied Keyword: power laws; Author-Supplied Keyword: Tail distributions; Author-Supplied Keyword: time-varying volatility; Number of Pages: 46p; Document Type: Article L3 - 10.17016/FEDS.2016.022 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666201&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Winkler, Fabian T1 - The Role of Learning for Asset Prices, Business Cycles, and Monetary Policy. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/04// M3 - Article SP - 1 EP - 54 AB - The importance of financial frictions for the business cycle is widely recognized, but it is less recognized that their effects depend heavily on the underlying asset pricing theory. This paper examines the implications of learning-based asset pricing. I construct a model in which firms' ability to access credit depends on their market value, and investors rely on past observation to predict future stock prices. Agents' expectations remain model-consistent conditional on their beliefs about stock prices, which disciplines the expectation formation process. The model matches several asset price properties such as return volatility and predictability and also leads to a powerful feedback loop between asset prices and real activity, substantially amplifying business cycle shocks. Agents' expectational errors on asset prices spill over to forecasts of economic activity, resulting in forecast error predictability that closely matches survey data. A reaction of monetary policy to asset prices is welfare-improving under learning but not under rational expectations. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSETS (Accounting) KW - RESEARCH KW - BUSINESS cycles KW - MONETARY policy KW - STOCKS (Finance) -- Prices KW - VOLATILITY (Finance) KW - Asset Pricing KW - Credit Constraints KW - Learning KW - Monetary Policy KW - Survey Data N1 - Accession Number: 114666198; Winkler, Fabian 1; Email Address: fabian.winkler@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St and Constitution Ave NW, Washington DC 20551; Issue Info: Apr2016, p1; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: RESEARCH; Thesaurus Term: BUSINESS cycles; Thesaurus Term: MONETARY policy; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: VOLATILITY (Finance); Author-Supplied Keyword: Asset Pricing; Author-Supplied Keyword: Credit Constraints; Author-Supplied Keyword: Learning; Author-Supplied Keyword: Monetary Policy; Author-Supplied Keyword: Survey Data; Number of Pages: 56p; Document Type: Article L3 - 10.17016/FEDS.2016.019 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114666198&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Feldman, Naomi E. AU - Katuš čÁk, Peter AU - Kawano, Laura T1 - Taxpayer Confusion: Evidence from the Child Tax Credit†. JO - American Economic Review JF - American Economic Review Y1 - 2016/03// VL - 106 IS - 3 M3 - Article SP - 807 EP - 835 SN - 00028282 AB - We develop an empirical test for whether households understand or misperceive their marginal tax rate. Our identifying variation comes from the loss of the Child Tax Credit when a child turns 17. Using this age discontinuity, we find that despite this tax liability increase being lump-sum and predictable, households reduce their reported wage income upon discovering they have lost the credit. This finding suggests that households misinterpret at least part of this tax liability change as an increase in their marginal tax rate. This evidence supports the hypothesis that tax complexity can cause confusion and leads to unintended behavioral responses. (JEL D12, D14, H24, H31) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSEHOLDS -- Economic aspects KW - INCOME tax -- Government policy KW - TAX rates & tables KW - CHILD tax credits KW - INCOME KW - TAXATION -- United States N1 - Accession Number: 113393581; Feldman, Naomi E. 1; Katuš čÁk, Peter 2; Kawano, Laura 3; Affiliations: 1 : Research Division, Board of Governors of the Federal Reserve System, Washington, DC 20551 (e-mail: ); 2 : Faculty of Economics, University of Economics in Prague, náměstí Winstona Churchilla 4, 130 67 Prague 3, Czech Republic and Center for Economic Research and Graduate Education-Economics Institute (CERGE-EI), Politických vězňů 7, 110 00 Prague, Czech Republic (e-mail: ); 3 : Office of Tax Analysis, US Department of Treasury, Washington, DC 20551 (e-mail: ); Source Info: Mar2016, Vol. 106 Issue 3, p807; Historical Period: 2004 to 2011; Subject Term: HOUSEHOLDS -- Economic aspects; Subject Term: INCOME tax -- Government policy; Subject Term: TAX rates & tables; Subject Term: CHILD tax credits; Subject Term: INCOME; Subject Term: TAXATION -- United States; Number of Pages: 29p; Illustrations: 4 Charts, 12 Graphs; Document Type: Article L3 - 10.1257/aer.20131189 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=113393581&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Devlin-Foltz, Sebastian AU - Sabelhaus, John T1 - Heterogeneity in Economic Shocks and Household Spending in the US. JO - Fiscal Studies JF - Fiscal Studies Y1 - 2016/03// VL - 37 IS - 1 M3 - Article SP - 153 EP - 192 SN - 01435671 AB - Large swings in aggregate household sector spending, especially for big-ticket items such as cars and housing, have been a dominant feature of the macroeconomic landscape in the past two decades. Income and wealth inequality increased over the same period, leading some to suggest the two phenomena are interconnected. Indeed, there is supporting evidence for the idea that heterogeneity in economic shocks and spending are connected, most notably in studies using local-area geography as the unit of analysis. The Survey of Consumer Finances (SCF) provides a household-level perspective on changes in wealth, income and spending across different types of families. The SCF confirms that inequality is indeed increasing in recent decades, and the data provide support for the proposition that shocks to income and wealth are indeed related to large swings in spending across and within birth cohorts. However, the economic shocks associated with the Great Recession and changes in spending and debt to income ratios are widespread, and inconsistent with a narrow focus on the experiences and changes in behaviour of particular (especially low- and modest-income) households. [ABSTRACT FROM AUTHOR] AB - Copyright of Fiscal Studies is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER credit KW - MACROECONOMICS KW - INCOME distribution KW - CONSUMPTION (Economics) KW - DELEVERAGING (Macroeconomics) KW - HOUSEHOLDS -- Economic aspects KW - C8 KW - consumption KW - D1 KW - deleveraging KW - E2 KW - inequality KW - synthetic panels N1 - Accession Number: 114119865; Devlin-Foltz, Sebastian 1; Sabelhaus, John 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar2016, Vol. 37 Issue 1, p153; Thesaurus Term: CONSUMER credit; Thesaurus Term: MACROECONOMICS; Thesaurus Term: INCOME distribution; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: DELEVERAGING (Macroeconomics); Subject Term: HOUSEHOLDS -- Economic aspects; Author-Supplied Keyword: C8; Author-Supplied Keyword: consumption; Author-Supplied Keyword: D1; Author-Supplied Keyword: deleveraging; Author-Supplied Keyword: E2; Author-Supplied Keyword: inequality; Author-Supplied Keyword: synthetic panels; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 40p; Document Type: Article L3 - 10.1111/j.1475-5890.2016.12082 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114119865&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - Cost of funds indexed mortgage contracts with government-backed catastrophic insurance (COFI-Cats): A realistic alternative to the 30-year fixed-rate mortgage? JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2016/03// VL - 84 M3 - Article SP - 109 EP - 130 SN - 01486195 AB - We analyze the feasibility an adjustable-rate mortgage product tied to a nationwide bank cost of funds index (COFI) that is equal to the total interest expense divided by the total liabilities for all domestic commercial banks. This mortgage product also includes actuarial-based government-backed tail-risk insurance provided either to bankers directly or to investors who purchase pools of these mortgages. We refer to a COFI mortgage with this form of catastrophic insurance as a “COFI-Cat” contract. The costs and benefits associated with these contracts are considered from the perspective of households, bankers, investors and policymakers using estimates of COFI-Cat rates constructed from historical data over 2000–2014, inclusive. For households, monthly mortgage payment cost savings for COFI-Cat mortgages compared to 30-year fixed-rate mortgages are substantial, estimated to average more than $100 per month at issuance over the period considered and to accumulate to more than $11,000 over a typical six-year period, the average tenure a household spends in a home. Thus, cost savings could be substantial for homeowners who expect rates to fall or who have a higher moving probability. For bankers, hedging costs for COFI-Cat mortgages are lower than for either 30-year fixed-rate mortgages or adjustable-rate mortgages based on short-term market-based rates. Because banking organizations have cost of funds that generally move in sync with each other, mortgage-backed securities (MBS) based on pools of COFI-Cat mortgages potentially provide much needed geographic diversification, particularly for smaller U.S. banks, while still being relatively easy to hedge compared to fixed-rate and other adjustable-rate mortgages. For investors, such as asset managers, banks, thrift institutions, pension funds and central banks, COFI-Cat MBS could provide lucrative opportunities for stable returns. Historically, we demonstrate LIBOR funded investors could have hedged such MBS and maintained positive returns even when LIBOR rates blew out in 2008. Moreover, credit risk transfer transactions structured in a manner that the government backs only catastrophic risks are shown to result in guarantee fees that are lower than those actually charged by the GSEs during 2012–2014. For policymakers, replacing fixed-rate mortgages with adjustable rate mortgages, such as COFI-Cat mortgages, could improve monetary policy pass-through when market rates are lowered; households would not need to refinance when interest rates drop, thereby benefiting a broad range of households, including those with little or no home equity and/or low credit scores. As a result, the need for special federal programs such as the Home Affordable Refinance Program or FHASecure is potentially reduced. In a rising interest rate environment, depository institution COFIs tend to adjust at a slower pace than other indexes typically tied to adjustable-rate mortgages. Consequently, the distributional consequences associated with tighter monetary policy are less with COFI-based mortgage contracts than with other adjustable-rate mortgage contracts. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COST of Funds indices KW - FIXED rate mortgages KW - MORTGAGE-backed securities KW - ECONOMIC indicators KW - MORTGAGES KW - MANAGEMENT KW - Fannie Mae KW - Freddie Mac KW - G01 KW - G21 KW - G28 KW - GSE KW - Interest rates KW - Mortgage-backed securities (MBS) KW - Mortgages N1 - Accession Number: 114132440; Hancock, Diana 1; Email Address: Diana.Hancock@frb.gov; Passmore, Wayne 1; Email Address: Wayne.Passmore@frb.gov; Affiliations: 1: Division of Research and Statistics at the Board of Governors of the Federal Reserve System, United States; Issue Info: Mar2016, Vol. 84, p109; Thesaurus Term: COST of Funds indices; Thesaurus Term: FIXED rate mortgages; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: MORTGAGES; Thesaurus Term: MANAGEMENT; Author-Supplied Keyword: Fannie Mae; Author-Supplied Keyword: Freddie Mac; Author-Supplied Keyword: G01; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: GSE; Author-Supplied Keyword: Interest rates; Author-Supplied Keyword: Mortgage-backed securities (MBS); Author-Supplied Keyword: Mortgages; NAICS/Industry Codes: 526913 Mortgage funds; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jeconbus.2016.02.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114132440&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calomiris, Charles W. AU - Carlson, Mark T1 - Corporate governance and risk management at unprotected banks: National banks in the 1890s. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2016/03// VL - 119 IS - 3 M3 - Article SP - 512 EP - 532 SN - 0304405X AB - We examine bank governance and risk choices from the 1890s, a period without distortions from deposit insurance or other government assistance to banks. We link differences in managerial ownership to different corporate governance policies, risk, and methods of risk management. Formal corporate governance and high manager ownership are negatively correlated. Managerial salaries and self-lending are greater when managerial ownership is higher and lower when formal governance is employed. Banks with high managerial ownership (low formal governance) target lower default risk. High managerial ownership, not formal governance, is associated with greater reliance on cash instead of equity to limit risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RISK management in business KW - BANKING industry KW - CORPORATE governance KW - DEPOSIT insurance KW - DOMESTIC economic assistance KW - Bank failures KW - Corporate governance KW - G21 KW - G32 KW - Manager ownership KW - N21 KW - Rent seeking KW - Risk preferences N1 - Accession Number: 113897658; Calomiris, Charles W. 1,2; Email Address: cc374@columbia.edu; Carlson, Mark 3,4; Affiliations: 1: Columbia Business School, 3022 Broadway, Uris Hall 601, New York, NY 10027, United States; 2: National Bureau of Economic Research, 1050 Massachusetts Avenue, Cambridge, MA 02138, United States; 3: Board of Governors of the Federal Reserve System, 20 th Street and Constitution Avenue, N.W. Washington, DC 20551, United States; 4: Bank for International Settlements, Centralbahnplatz 2, 4051 Basel, Switzerland; Issue Info: Mar2016, Vol. 119 Issue 3, p512; Thesaurus Term: RISK management in business; Thesaurus Term: BANKING industry; Thesaurus Term: CORPORATE governance; Thesaurus Term: DEPOSIT insurance; Thesaurus Term: DOMESTIC economic assistance; Author-Supplied Keyword: Bank failures; Author-Supplied Keyword: Corporate governance; Author-Supplied Keyword: G21; Author-Supplied Keyword: G32; Author-Supplied Keyword: Manager ownership; Author-Supplied Keyword: N21; Author-Supplied Keyword: Rent seeking; Author-Supplied Keyword: Risk preferences; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 524128 Other Direct Insurance (except Life, Health, and Medical) Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jfineco.2016.01.025 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=113897658&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kara, Gazi Ishak T1 - Systemic risk, international regulation, and the limits of coordination. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2016/03// VL - 99 M3 - Article SP - 192 EP - 222 SN - 00221996 AB - This paper examines the incentives of national regulators to coordinate capital adequacy requirements in the presence of systemic risk in global financial markets. In a two-country model, correlated asset fire sales by banks generate systemic risk across national financial markets. Absent coordination, national regulators choose inefficiently low levels of macro-prudential regulation. Thus, symmetric countries always benefit from relinquishing their authority to a central regulator that establishes uniform regulations across countries. I also consider the separate case of asymmetric countries: while there is a limit to coordination when countries are sufficiently asymmetric in a single dimension, existence of asymmetries in multiple dimensions might actually relax this limit or even eliminate it. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SYSTEMIC risk (Finance) KW - SECURITIES markets KW - CAPITAL requirements KW - BANKING industry KW - ECONOMIC models KW - GOVERNORS (Machinery) KW - F36 KW - G15 KW - G18 KW - G21 KW - International policy coordination KW - Macroprudential capital requirements KW - Systemic risk N1 - Accession Number: 113728785; Kara, Gazi Ishak 1; Email Address: Gazi.I.Kara@frb.gov; Affiliations: 1: Office of Financial Stability Policy and Research, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, DC 20551, United States; Issue Info: Mar2016, Vol. 99, p192; Thesaurus Term: SYSTEMIC risk (Finance); Thesaurus Term: SECURITIES markets; Thesaurus Term: CAPITAL requirements; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMIC models; Subject Term: GOVERNORS (Machinery); Author-Supplied Keyword: F36; Author-Supplied Keyword: G15; Author-Supplied Keyword: G18; Author-Supplied Keyword: G21; Author-Supplied Keyword: International policy coordination; Author-Supplied Keyword: Macroprudential capital requirements; Author-Supplied Keyword: Systemic risk; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 31p; Document Type: Article L3 - 10.1016/j.jinteco.2015.11.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=113728785&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Paciorek*, Andrew T1 - The Long and the Short of Household Formation. JO - Real Estate Economics JF - Real Estate Economics Y1 - 2016///Spring2016 VL - 44 IS - 1 M3 - Article SP - 7 EP - 40 PB - Wiley-Blackwell SN - 10808620 AB - Household formation has been running well below trend in the United States. This article studies the determinants of household formation and how they evolve over the long and short runs. There are three main findings. First, the aging of the population has pushed up the headship rate and household formation. Second, after stripping out demographic effects, offsetting changes in behavior among younger and older adults have left the behavioral component of the headship rate with no pronounced trend. Finally, the short-run dynamics of headship reflect the business cycle, implying that household formation could increase substantially as the labor market recovers. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR market KW - SHORT run (Economics) KW - EQUILIBRIUM (Economics) KW - INTEREST rates KW - ECONOMIC policy KW - UNITED States N1 - Accession Number: 112359790; Paciorek*, Andrew 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Spring2016, Vol. 44 Issue 1, p7; Thesaurus Term: LABOR market; Thesaurus Term: SHORT run (Economics); Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC policy; Subject Term: UNITED States; Number of Pages: 34p; Illustrations: 8 Charts, 9 Graphs; Document Type: Article L3 - 10.1111/1540-6229.12085 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112359790&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warusawitharana, Missaka AU - Whited, Toni M. T1 - Equity Market Misvaluation, Financing, and Investment. JO - Review of Financial Studies JF - Review of Financial Studies Y1 - 2016/03// VL - 29 IS - 3 M3 - Article SP - 603 EP - 654 SN - 08939454 AB - We estimate a dynamic investment model in which firms finance with equity, cash, or debt. Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds flowing to and from these activities come from investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Our parameter estimates imply that misvaluation induces larger changes in financial policies than investment. The investment responses are strongest for small firms but nonetheless modest. Managers' rational responses to misvaluation increase shareholder value by up to 4%. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK exchanges KW - INVESTMENTS KW - DIVIDENDS KW - STOCK repurchasing KW - STOCKHOLDER wealth KW - BUSINESS enterprises -- Size KW - VOLATILITY (Securities) KW - TIME series analysis KW - RETURNS to scale KW - DEPRECIATION KW - HETEROGENEITY N1 - Accession Number: 113837337; Warusawitharana, Missaka 1; Whited, Toni M. 2; Email Address: twhited@umich.edu; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Michigan and NBER; Issue Info: Mar2016, Vol. 29 Issue 3, p603; Thesaurus Term: STOCK exchanges; Thesaurus Term: INVESTMENTS; Thesaurus Term: DIVIDENDS; Thesaurus Term: STOCK repurchasing; Thesaurus Term: STOCKHOLDER wealth; Thesaurus Term: BUSINESS enterprises -- Size; Thesaurus Term: VOLATILITY (Securities); Thesaurus Term: TIME series analysis; Thesaurus Term: RETURNS to scale; Thesaurus Term: DEPRECIATION; Subject Term: HETEROGENEITY; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 52p; Document Type: Article L3 - 10.1093/rfs/hhv066 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=113837337&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Prager, Robin T1 - Industrial Organization Research by Federal Reserve Board Economists. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2016/03// VL - 48 IS - 2 M3 - Article SP - 119 EP - 121 SN - 0889938X KW - INDUSTRIAL organization (Economic theory) KW - RESEARCH KW - ECONOMISTS KW - PUBLISHERS & publishing KW - PERIODICAL publishing KW - ARTICLES (Published materials) KW - PERIODICALS -- Articles N1 - Accession Number: 112965569; Prager, Robin 1; Email Address: robin.prager@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington 20551 USA; Issue Info: Mar2016, Vol. 48 Issue 2, p119; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: RESEARCH; Thesaurus Term: ECONOMISTS; Thesaurus Term: PUBLISHERS & publishing; Thesaurus Term: PERIODICAL publishing; Subject Term: ARTICLES (Published materials); Subject Term: PERIODICALS -- Articles; NAICS/Industry Codes: 511120 Periodical Publishers; NAICS/Industry Codes: 511130 Book Publishers; NAICS/Industry Codes: 511190 Other publishers; NAICS/Industry Codes: 511199 All Other Publishers; Number of Pages: 3p; Document Type: Article L3 - 10.1007/s11151-015-9496-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112965569&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amel, Dean AU - Prager, Robin T1 - Community Bank Performance: How Important are Managers? JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2016/03// VL - 48 IS - 2 M3 - Article SP - 149 EP - 180 SN - 0889938X AB - Community banks have long played an important role in the U.S. economy, providing loans and other financial services to households and small businesses within their local markets. In recent years, technological and legal developments, as well as changes in the business strategies of larger banks and non-bank financial service providers, have purportedly made it more difficult for community banks to attract and retain customers, and hence to survive. Indeed, the number of community banks and the shares of bank branches, deposits, banking assets, and small business loans that are held by community banks in the U.S. have all declined substantially over the past two decades. Nonetheless, many community banks have successfully adapted to their changing environment and have continued to thrive. This paper uses data from 1992 through 2011 to examine the relationships between community bank profitability and various characteristics of the banks and the local markets in which they operate. We divide these characteristics into two categories-those that are exogenous to the control of bank managers and those that reflect the decisions or actions of bank management. We find that variables from both categories significantly influence bank profitability. Statistical tests indicate that variables within managers' control account for between 70 and 97 % of the total explanatory power of regression equations that explain variations in performance across community banks, which suggests that managers are extremely important to community bank performance. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - COMMUNITY banks KW - EXECUTIVES KW - SMALL business KW - FINANCIAL services industry -- Economic aspects KW - RESEARCH KW - HOUSEHOLDS KW - UNITED States KW - Bank profitability KW - Banking KW - Community banks KW - G00 KW - G11 KW - G21 KW - G32 KW - Management quality N1 - Accession Number: 112965573; Amel, Dean 1; Email Address: damel@frb.gov; Prager, Robin 1; Email Address: robin.prager@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington 20551 USA; Issue Info: Mar2016, Vol. 48 Issue 2, p149; Thesaurus Term: BANKING industry; Thesaurus Term: COMMUNITY banks; Thesaurus Term: EXECUTIVES; Thesaurus Term: SMALL business; Thesaurus Term: FINANCIAL services industry -- Economic aspects; Thesaurus Term: RESEARCH; Subject Term: HOUSEHOLDS; Subject: UNITED States; Author-Supplied Keyword: Bank profitability; Author-Supplied Keyword: Banking; Author-Supplied Keyword: Community banks; Author-Supplied Keyword: G00; Author-Supplied Keyword: G11; Author-Supplied Keyword: G21; Author-Supplied Keyword: G32; Author-Supplied Keyword: Management quality; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 32p; Document Type: Article L3 - 10.1007/s11151-015-9497-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112965573&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sharpe, Steve AU - Sherlund, Shane T1 - Crowding Out Effects of Refinancing on New Purchase Mortgages. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2016/03// VL - 48 IS - 2 M3 - Article SP - 209 EP - 239 SN - 0889938X AB - We present evidence that binding mortgage processing capacity constraints reduce mortgage originations to borrowers with low-to-modest credit scores. Mortgage processing capacity constraints typically bind when the demand for mortgage refinancing rises far above average levels, such as when mortgage interest rates drop to record low levels. As a result, high capacity utilization leads mortgage lenders to ration mortgage credit by focusing on mortgage applications that require less underwriting resources. This is hypothesized to have a particularly adverse impact on relatively higher credit-risk borrowers' ability to obtain mortgages, particularly for purchasing borrowers with low-to-modest credit scores. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REFINANCING KW - RESEARCH KW - CROWDING out (Economics) KW - MORTGAGE banks KW - MORTGAGE loans -- Refinancing KW - CREDIT risk KW - CREDIT ratings KW - Capacity constraint KW - Mortgages KW - Refinancing N1 - Accession Number: 112965570; Sharpe, Steve 1; Email Address: steve.a.sharpe@frb.gov; Sherlund, Shane 1; Email Address: shane.m.sherlund@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th & Constitution Ave. NW Washington 20551 USA; Issue Info: Mar2016, Vol. 48 Issue 2, p209; Thesaurus Term: REFINANCING; Thesaurus Term: RESEARCH; Thesaurus Term: CROWDING out (Economics); Thesaurus Term: MORTGAGE banks; Thesaurus Term: MORTGAGE loans -- Refinancing; Thesaurus Term: CREDIT risk; Thesaurus Term: CREDIT ratings; Author-Supplied Keyword: Capacity constraint; Author-Supplied Keyword: Mortgages; Author-Supplied Keyword: Refinancing; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 31p; Document Type: Article L3 - 10.1007/s11151-016-9500-9 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112965570&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Norden, Lars AU - Roosenboom, Peter AU - Wang, Teng T1 - The effects of corporate bond granularity. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2016/02// VL - 63 M3 - Article SP - 25 EP - 34 SN - 03784266 AB - We investigate whether and how firms manage their rollover risk by having a dispersed bond maturity structure (granularity). Granularity can be achieved or maintained by frequently issuing sets of bonds with different maturities. We find that firms with higher granularity have higher availability of financing, lower cost of financing, lower financial constraints and lower stock return volatility. The effects are stronger for firms that face higher rollover risk. The evidence suggests that spreading out bond maturities is an effective corporate policy to manage rollover risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE bonds KW - CAPITAL costs KW - ROLLOVERS (Finance) KW - DEBT financing (Corporations) KW - VOLATILITY (Finance) KW - Bond maturity KW - Cost of capital KW - Debt finance KW - G10 KW - G31 KW - G32 KW - G33 KW - Issue frequency KW - Rollover risk N1 - Accession Number: 112264723; Norden, Lars 1; Email Address: lars.norden@fgv.br; Roosenboom, Peter 2; Email Address: proosenboom@rsm.nl; Wang, Teng 3; Email Address: teng.wang@frb.gov; Affiliations: 1: Brazilian School of Public and Business Administration (EBAPE), Getulio Vargas Foundation (FGV), Praia de Botafogo 190, 22250-900 Rio de Janeiro, Brazil; 2: Rotterdam School of Management, Erasmus University, Burg, Oudlaan 50, 3062 PA Rotterdam, The Netherlands; 3: Board of Governors of the Federal Reserve System, 20th Street & Constitution Avenue N.W., Washington, DC 20551, USA; Issue Info: Feb2016, Vol. 63, p25; Thesaurus Term: CORPORATE bonds; Thesaurus Term: CAPITAL costs; Thesaurus Term: ROLLOVERS (Finance); Thesaurus Term: DEBT financing (Corporations); Thesaurus Term: VOLATILITY (Finance); Author-Supplied Keyword: Bond maturity; Author-Supplied Keyword: Cost of capital; Author-Supplied Keyword: Debt finance; Author-Supplied Keyword: G10; Author-Supplied Keyword: G31; Author-Supplied Keyword: G32; Author-Supplied Keyword: G33; Author-Supplied Keyword: Issue frequency; Author-Supplied Keyword: Rollover risk; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.jbankfin.2015.11.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112264723&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, Robert AU - Amel, Dean T1 - The Effects of Past Entry, Market Consolidation, and Expansion by Incumbents on the Probability of Entry in Banking. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2016/02// VL - 48 IS - 1 M3 - Article SP - 95 EP - 118 SN - 0889938X AB - We extend previous research on the determinants of entry into local banking markets. In addition to the variables that have been considered by past research, we consider the correlation of entry with past entry and strategic barriers to entry such as changes in incumbent branching, the presence of small incumbent firms, and market concentration. The analysis defines entry more broadly than has past research by including branch expansion by existing firms. We find significant negative relationships between entry and strategic barriers to entry. Sensitivity analyses find that large changes in the explanatory variables are needed to cause substantial changes in the probability of entry into markets. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - CONSOLIDATION & merger of corporations KW - PROBABILITY theory KW - SENSITIVITY analysis KW - INCUMBENCY (Public officers) KW - Bank branching KW - Barriers to entry KW - E44 KW - E52 KW - Entry in banking KW - G32 KW - L1 KW - New bank charters KW - Strategic entry barriers KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 112232834; Adams, Robert 1; Email Address: robert.m.adams@frb.gov; Amel, Dean 1; Email Address: damel@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Stop 149, Federal Reserve Board Washington 20551 USA; Issue Info: Feb2016, Vol. 48 Issue 1, p95; Thesaurus Term: BANKING industry; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: PROBABILITY theory; Subject Term: SENSITIVITY analysis; Subject Term: INCUMBENCY (Public officers); Author-Supplied Keyword: Bank branching; Author-Supplied Keyword: Barriers to entry; Author-Supplied Keyword: E44; Author-Supplied Keyword: E52; Author-Supplied Keyword: Entry in banking; Author-Supplied Keyword: G32; Author-Supplied Keyword: L1; Author-Supplied Keyword: New bank charters; Author-Supplied Keyword: Strategic entry barriers ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 24p; Illustrations: 10 Charts; Document Type: Article L3 - 10.1007/s11151-015-9483-y UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112232834&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Smolyansky, Michael T1 - Policy Externalities and Banking Integration. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2016/02// M3 - Article SP - 1 EP - 51 AB - Can policies directed at the banking sector in one jurisdiction spill over and affect real economic activity elsewhere? To investigate this question, I exploit changes in tax rates on bank profits across U.S. states. Banks respond by reallocating small-business lending to otherwise unaffected states. Moreover, counties in non-tax-changing states that have more exposure to "treated" banks experience greater changes in lending, which in turn impacts local employment. The findings demonstrate that policies aimed at the banking sector in one jurisdiction can impose externalities on other regions. Critically, financial linkages between regions serve as the transmission channel for these policy externalities. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK profits KW - TAXATION KW - EXTERNALITIES (Economics) KW - RESEARCH KW - BANKING industry -- United States KW - TAX rates & tables KW - EMPLOYMENT (Economic theory) KW - SMALL business loans KW - UNITED States N1 - Accession Number: 113504289; Smolyansky, Michael 1; Email Address: michael.smolyansky@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: 2016, preceding p1; Thesaurus Term: BANK profits; Thesaurus Term: TAXATION; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: RESEARCH; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: TAX rates & tables; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: SMALL business loans; Subject Term: UNITED States; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 53p; Document Type: Article L3 - 10.17016/FEDS.2016.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=113504289&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rosa, Carlo T1 - Walking on thin ice: Market quality around FOMC announcements. JO - Economics Letters JF - Economics Letters Y1 - 2016/01// VL - 138 M3 - Article SP - 5 EP - 8 SN - 01651765 AB - This paper examines market quality for the E-Mini S&P 500 futures around Federal Reserve announcements. I document that the release of the Federal Open Market Committee (FOMC) statement induces significantly ''higher than normal'' volatility and trading volume. The bid-ask spread is significantly higher in the minutes preceding the release, but it returns to its ''normal'' level immediately after the release. Using order-level data, I show that market depth behind the best bid and ask quotes is much lower on event days, hitting an intraday low immediately before the FOMC release at values on average about 20 percent of the level observed in control days. [ABSTRACT FROM AUTHOR] AB - Copyright of Economics Letters is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VOLATILITY (Finance) KW - CENTRAL banking industry KW - ANNOUNCEMENTS KW - UNITED States KW - Central bank announcements KW - High-frequency data KW - Market quality KW - U.S. Federal Reserve KW - UNITED States. Federal Open Market Committee KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 112127687; Rosa, Carlo 1; Email Address: carlo.rosa@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC, 20551, United States; Issue Info: Jan2016, Vol. 138, p5; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: CENTRAL banking industry; Subject Term: ANNOUNCEMENTS; Subject Term: UNITED States; Author-Supplied Keyword: Central bank announcements; Author-Supplied Keyword: High-frequency data; Author-Supplied Keyword: Market quality; Author-Supplied Keyword: U.S. Federal Reserve ; Company/Entity: UNITED States. Federal Open Market Committee ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 4p; Document Type: Article L3 - 10.1016/j.econlet.2015.10.029 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112127687&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chang, Andrew C. AU - Hanson, Tyler J. T1 - The accuracy of forecasts prepared for the Federal Open Market Committee. JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2016/01// VL - 83 M3 - Article SP - 23 EP - 43 SN - 01486195 AB - We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the Federal Open Market Committee from 1997 to 2008, called the Greenbooks. We compare the root mean squared error, mean absolute error, and the proportion of directional errors of Greenbook forecasts of these macroeconomic indicators with the errors from three forecasting benchmarks: a random walk, a first-order autoregressive model, and a Bayesian model averaged forecast from a suite of univariate time-series models commonly taught to first-year economics graduate students. We estimate our forecasting benchmarks both on end-of-sample vintage and real-time vintage data. We find that Greenbook forecasts significantly outperform our benchmark forecasts for horizons less than one quarter ahead. However, by the one-year forecast horizon, typically at least one of our forecasting benchmarks performs as well as Greenbook forecasts. Greenbook forecasts of personal consumption expenditures and unemployment tend to do relatively well, while Greenbook forecasts of inventory investment, government expenditures, and inflation tend to do poorly. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - PUBLIC spending KW - GROSS domestic product KW - INFLATION (Finance) KW - UNEMPLOYMENT KW - Bayesian model averaging KW - C53 KW - E17 KW - E27 KW - E37 KW - EOS end-of-sample vintage KW - F17 KW - Federal Open Market Committee KW - FOMC Federal Open Market Committee KW - Forecast accuracy KW - Greenbook KW - MDE mean directional error KW - National income and product accounts KW - Real-time data KW - RTV real-time vintage KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 112676073; Chang, Andrew C. 1; Email Address: a.christopher.chang@gmail.com; Hanson, Tyler J. 1; Email Address: thanson2691@gmail.com; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St. NW and Constitution Ave., Washington DC 20551, USA; Issue Info: Jan2016, Vol. 83, p23; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PUBLIC spending; Thesaurus Term: GROSS domestic product; Thesaurus Term: INFLATION (Finance); Thesaurus Term: UNEMPLOYMENT; Author-Supplied Keyword: Bayesian model averaging; Author-Supplied Keyword: C53; Author-Supplied Keyword: E17; Author-Supplied Keyword: E27; Author-Supplied Keyword: E37; Author-Supplied Keyword: EOS end-of-sample vintage; Author-Supplied Keyword: F17; Author-Supplied Keyword: Federal Open Market Committee; Author-Supplied Keyword: FOMC Federal Open Market Committee; Author-Supplied Keyword: Forecast accuracy; Author-Supplied Keyword: Greenbook; Author-Supplied Keyword: MDE mean directional error; Author-Supplied Keyword: National income and product accounts; Author-Supplied Keyword: Real-time data; Author-Supplied Keyword: RTV real-time vintage ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jeconbus.2015.12.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112676073&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lee, Seung Jung AU - Stebunovs, Viktors T1 - Bank capital pressures, loan substitutability, and nonfinancial employment. JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2016/01// VL - 83 M3 - Article SP - 44 EP - 69 SN - 01486195 AB - We exploit the cross-state, cross-time variation in bank tangible capital ratios—brought about by bank branch deregulation on a state-by-state basis—to identify the effects of bank capital pressures on employment and firm dynamics during two waves of changes in bank capital regulation. We show that stronger capital pressures temporarily slowed down growth in employment in industries that depend on external finance, retarding growth in the average size of firms rather than in the number of firms. Such effects were particularly strong for smaller firms that may not have had access to national capital and bank loan markets. Our findings indicate that a tightening of capital requirements may have significant real effects, in part because of the lack of substitutes for bank loans. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK capital KW - BANK loans KW - EMPLOYMENT (Economic theory) KW - CAPITAL requirements KW - BUSINESS enterprises -- Size KW - Bank capital ratios KW - Bank capital regulation KW - Employment KW - Firm dynamics KW - G21 KW - G28 KW - G30 KW - J20 KW - L25 KW - Loan substitutability N1 - Accession Number: 112676074; Lee, Seung Jung 1; Email Address: seung.j.lee@frb.gov; Stebunovs, Viktors 1; Email Address: viktors.stebunovs@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 21st Street and Constitution Avenue, NW, Washington, DC 20551, United States; Issue Info: Jan2016, Vol. 83, p44; Thesaurus Term: BANK capital; Thesaurus Term: BANK loans; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: CAPITAL requirements; Thesaurus Term: BUSINESS enterprises -- Size; Author-Supplied Keyword: Bank capital ratios; Author-Supplied Keyword: Bank capital regulation; Author-Supplied Keyword: Employment; Author-Supplied Keyword: Firm dynamics; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: G30; Author-Supplied Keyword: J20; Author-Supplied Keyword: L25; Author-Supplied Keyword: Loan substitutability; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 26p; Document Type: Article L3 - 10.1016/j.jeconbus.2015.11.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112676074&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kurz, Christopher AU - Senses, Mine Z. T1 - Importing, exporting, and firm-level employment volatility. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2016/01// VL - 98 M3 - Article SP - 160 EP - 175 SN - 00221996 AB - In this paper, we use detailed trade and transactions data for the U.S. manufacturing sector to document a new set of stylized facts on the theoretically ambiguous relationship between the volatility of employment growth and the trade exposure of a firm. We find that, on average, firms that export are less volatile than non-traders, while importers are more volatile. The substantial variation we document across trading firms, in terms of the duration of time and the intensity with which they trade, the number and type of products they trade, and in terms of the number and characteristics of their trading partners, plays an integral role in explaining the robust association between trading and employment volatility. For trading firms, the frequency of trade is negatively associated with employment volatility. Importers with a higher share of imported inputs (especial manufactured imports) and those that source from more countries and from countries with lower per-capita income experience higher levels of volatility. A higher share of exports, fewer number of export destinations and, export destinations that are further away, and with lower average incomes are associated with higher levels of volatility for exporters. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - MANUFACTURING industries KW - TRADING companies KW - VOLATILITY (Finance) KW - BUSINESS enterprises KW - UNITED States KW - SET theory KW - ROBUST control KW - Employment volatility KW - Firm heterogeneity KW - Trade N1 - Accession Number: 112161860; Kurz, Christopher 1; Email Address: christopher.j.kurz@frb.gov; Senses, Mine Z. 2; Email Address: msenses@jhu.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; 2: Johns Hopkins University, United States; Issue Info: Jan2016, Vol. 98, p160; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: MANUFACTURING industries; Thesaurus Term: TRADING companies; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: BUSINESS enterprises; Subject Term: UNITED States; Subject Term: SET theory; Subject Term: ROBUST control; Author-Supplied Keyword: Employment volatility; Author-Supplied Keyword: Firm heterogeneity; Author-Supplied Keyword: Trade; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jinteco.2015.08.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112161860&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ray, Korok AU - Gramlich, Jacob T1 - Reconciling Full-Cost and Marginal-Cost Pricing. JO - Journal of Management Accounting Research JF - Journal of Management Accounting Research Y1 - 2016/01// VL - 28 IS - 1 M3 - Article SP - 27 EP - 37 PB - American Accounting Association SN - 10492127 AB - Despite the clear prescription from economic theory that a firm should set price based only on variable costs, firms routinely factor fixed costs into pricing decisions. We show that full-cost pricing (FCP) can achieve the optimal price. FCP marks up variable cost with the contribution margin per unit, which, in equilibrium, includes the fixed cost. FCP converges to the optimal price when the firm can estimate its equilibrium income. We compare FCP to alternative pricing algorithms that require less information, but converge to optimal price under more narrow conditions than FCP. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Management Accounting Research is the property of American Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS KW - PRICES KW - MATHEMATICAL models KW - ALGORITHMS KW - PRICE indexes KW - COST control KW - efficiency KW - full-cost pricing KW - marginal costs N1 - Accession Number: 115434140; Ray, Korok 1; Gramlich, Jacob 2; Affiliations: 1: Texas A&M University; 2: Board of Governors of the Federal Reserve System; Issue Info: 2016, Vol. 28 Issue 1, p27; Thesaurus Term: ECONOMICS; Thesaurus Term: PRICES; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ALGORITHMS; Thesaurus Term: PRICE indexes; Thesaurus Term: COST control; Author-Supplied Keyword: efficiency; Author-Supplied Keyword: full-cost pricing; Author-Supplied Keyword: marginal costs; Number of Pages: 11p; Illustrations: 1 Graph; Document Type: Article L3 - 10.2308/jmar-51285 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=115434140&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bricker, Jesse AU - Bucks, Brian T1 - Negative home equity, economic insecurity, and household mobility over the Great Recession. JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2016/01// VL - 91 M3 - Article SP - 1 EP - 12 SN - 00941190 AB - This paper uses data from the 2007–09 Survey of Consumer Finances panel to examine U.S. households’ decisions to move during the Great Recession and the role of negative home equity and economic shocks, such as job loss, in these decisions. The recession's effects are nonetheless apparent in the notable fraction of homeowners who moved involuntarily due to, for example, foreclosure. Many involuntary moves appear to stem from a combination of negative home equity and adverse economic shocks rather than negative equity alone. Homeowners with both negative equity and economic shocks were substantially more likely to have moved between 2007 and 2009 and to have moved involuntarily. The findings suggest that, analogous to the double-trigger theory of default, the relationship between negative equity and household mobility varies with households’ exposure to adverse shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EQUITY (Real property) KW - URBAN economics KW - DEPRESSIONS (Economics) -- 1929 KW - ECONOMICS KW - HOUSEHOLDS KW - D1 KW - Double trigger hypothesis KW - J6 KW - Mobility KW - Negative equity KW - R2 N1 - Accession Number: 112828031; Bricker, Jesse 1; Email Address: jesse.bricker@frb.gov; Bucks, Brian 2; Email Address: brian.bucks@cfpb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th & C Street, NW, Mail Stop 153, Washington, DC 20551, United States; 2: Consumer Financial Protection Bureau, 1700 G Street, NW, Washington, DC 20552, United States; Issue Info: Jan2016, Vol. 91, p1; Thesaurus Term: EQUITY (Real property); Thesaurus Term: URBAN economics; Thesaurus Term: DEPRESSIONS (Economics) -- 1929; Thesaurus Term: ECONOMICS; Subject Term: HOUSEHOLDS; Author-Supplied Keyword: D1; Author-Supplied Keyword: Double trigger hypothesis; Author-Supplied Keyword: J6; Author-Supplied Keyword: Mobility; Author-Supplied Keyword: Negative equity; Author-Supplied Keyword: R2; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jue.2015.10.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112828031&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - Jour AU - Yellen, J.L. TI - Perspectives on inequality and opportunity from the survey of consumer finances. JO - RSF: The Russell Sage Foundation Journal of the Social Sciences PY - 2016/01/01/ Y1 - 2016/// Y2 - 2017/// VL - 2 IS - 2 SP - 44 EP - 59 SN - 23778253 AD - chair of the Board of Governors of the Federal Reserve System. N1 - Accession Number: 89861. Hard Copy Issue: 1. Hard Copy Number: No. 267. Hard Copy Volume: 53. Document Type: Article. Peer Reviewed: Y AB - During the past several decades, the United States has experienced its most sustained rise in inequality since the nineteenth century. The U.S. distribution of income and wealth is now wider than in most other advanced countries. To provide a factual basis for further discussion, thispaper reviews trends in income and wealth inequality over the past several decades, and then discusses four significant sources of economic opportunity in the United States: the resources available for children in their most formative years, affordable higher education, private business ownership,and inheritances. (Journal abstract) KW - Income KW - Economics KW - Wealth KW - 4310 KW - 4340 KW - 2335 KW - Economics/Public Welfare KW - Special Populations KW - Research UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=swh&AN=89861&site=ehost-live&scope=site DP - EBSCOhost DB - swh ER - TY - UNPB AU - Sun, Bo AU - Liu, Qi AD - Unlisted AD - Unlisted T1 - Managerial Compensation under Privately-Observed Hedging PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1160 Y1 - 2016/// SP - 17 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569535; Keywords: Managerial compensation ; Corporate hedging; Publication Type: Working Paper; Update Code: 201605 N2 - This paper studies how private information in hedging outcomes affects the design of managerial compensation when hedging instruments serve as a double-edged sword in that they may be used for both corporate hedging and earnings management. On the one hand, financial vehicles can offer customized contracts that are closely tailored to manage specific risk and improve hedging efficiency. On the other hand, involvement in hedging may give rise to manipulation through misstatement of the value estimates. We show that the use of privately-observed hedging may actually require greater pay-for-performance in managerial compensation. The cross-sectional variations in managerial compensation lend support to our model. KW - Asymmetric and Private Information; Mechanism Design D82 KW - Economics of Contract: Theory D86 KW - Corporate Finance and Governance: Government Policy and Regulation G38 KW - Wage Level and Structure; Wage Differentials J31 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1160.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569535&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1160.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baklanova, Viktoria AU - Caglio, Cecilia AU - Keane, Frank M. AU - Porter, Burt AD - Office of Financial Research AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of New York AD - Securities and Exchange Commission T1 - A pilot survey of agent securities lending activity PB - Federal Reserve Bank of New York, Staff Reports: 790 Y1 - 2016/// SP - 19 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599440; Keywords: securities lending; repo; systemic risk; Publication Type: Working Paper; Update Code: 201610 N2 - This paper reports aggregate statistics on securities lending activity based on a recently concluded pilot data collection by staff from the Office of Financial Research (OFR), the Federal Reserve System, and staff from the Securities and Exchange Commission (SEC). In its annual reports, the Financial Stability Oversight Council identified a lack of data about securities lending activity as a priority for the Council. This pilot data collection was a step toward addressing this critical data need. The voluntary pilot collection included end-of-day loan-level data for three non-consecutive business days from seven securities lending agents. Most but not all participating lending agents were subsidiaries of banks. The dataset of 75 reporting fields provides substantial new information about securities lending activity, including information concerning securities owners, securities borrowers, attributes of securities loans, collateral management, and cash reinvestment practices. However, the pilot data collection was limited in scope and duration. Comprehensive data are still lacking. To close this data gap, a permanent collection of data covering securities lending activity is recommended by the Council. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Portfolio Choice; Investment Decisions G11 KW - Financial Institutions and Services: General G20 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - https://www.newyorkfed.org/research/staff_reports/sr790.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599440&site=ehost-live&scope=site UR - https://www.newyorkfed.org/research/staff_reports/sr790.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AU - Schmidt, Sebastian AD - Unlisted AD - Unlisted T1 - The Risk-Adjusted Monetary Policy Rule PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-061 Y1 - 2016/// SP - 21 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586842; Keywords: Effective Lower Bound; Inflation Targeting; Monetary Policy Rule; Risk; Risky Steady State; Publication Type: Working Paper; Update Code: 201608 N2 - Macroeconomists are increasingly using nonlinear models to account for the effects of risk in the analysis of business cycles. In the monetary business cycle models widely used at central banks, an explicit recognition of risk generates a wedge between the inflation-target parameter in the monetary policy rule and the risky steady state (RSS) of inflation--the rate to which inflation will eventually converge--which can be undesirable in some practical applications. We propose a simple modification to the standard monetary policy rule to eliminate the wedge. In the proposed risk-adjusted policy rule, the intercept of the rule is modified so that the RSS of inflation equals the inflation-target parameter in the policy rule. KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016061pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586842&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016061pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Kyungmin AD - Unlisted T1 - Measuring the Informativeness of Market Statistics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-076 Y1 - 2016/// SP - 23 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599407; Keywords: Derivatives, futures, and options ; Financial markets; Publication Type: Working Paper; Update Code: 201610 N2 - Market statistics can be viewed as noisy signals for true variables of interest. These signals are used by individual recipients of the statistics to imperfectly infer different variables of interest. This paper presents a framework under which the 'informativeness' of statistics is defined as their efficacy as the basis of such inference, and is quantified as expected distortion, a concept from information theory. The framework can be used to compare the informativeness of a set of statistics with that of another set or its theoretical limits. Also, the proposed informativeness measure can be computed as solutions to familiar problems under a range of assumptions. As an application, the measure is used to explain the difference in usage levels of temperature derivatives across different base weather stations. The informativeness measure is found to be at least as effective as city size measures in explaining the difference in usage levels. KW - Financial Economics: General G00 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016076pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599407&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016076pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curti, Filippo AU - Migueis, Marco AD - Federal Reserve Bank of Richmond AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Predicting Operational Loss Exposure Using Past Losses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-2 Y1 - 2016/// SP - 23 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549600; Keywords: Operational risk; quantile regression; tail risk; Publication Type: Working Paper; Update Code: 201602 N2 - Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been thoroughly examined in the literature. In this paper, we test whether simple metrics derived from past loss experience are predictive of future tail operational loss exposure using quantile regression. We find evidence that past losses are predictive of future exposure, particularly metrics related to loss frequency. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016002pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549600&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016002pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anderson, Alyssa G. AU - Huther, Jeff W. AD - Unlisted AD - Unlisted T1 - Modelling Overnight RRP Participation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-023 Y1 - 2016/// SP - 25 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569506; Keywords: Federal Reserve System operations; Monetary policy; federal funds; money market funds; overnight RRP; repurchase agreements; Publication Type: Working Paper; Update Code: 201605 N2 - We examine how market participants have used the Federal Reserve's overnight reverse repurchase (ON RRP) exercise and how short-term interest rates have evolved between December 2013 and November 2014. We show that money market fund (MMF) participation is sensitive to the spread between market repo rates and the ON RRP offering rate as well as Treasury bill issuance, government sponsored enterprise (GSE) participation is more heavily driven by calendar effects, dealers tend to only participate when rate spreads are negative, and banks generally do not participate. We also find that the effect of the ON RRP on overnight interest rates is more significant in the collateralized market than the uncollateralized market. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016023pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569506&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016023pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curti, Filippo AU - Ergen, Ibrahim AU - Le, Minh AU - Migueis, Marco AU - Stewart, Rob T. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Benchmarking Operational Risk Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-070 Y1 - 2016/// SP - 26 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599416; Keywords: Banking Regulation; Benchmarking; Operational Risk; Risk Management; Publication Type: Working Paper; Update Code: 201610 N2 - The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under stressed scenarios. As a result, banks subject to these rules have measured and managed operational risk more rigorously. But some types of operational risk--particularly legal risk--are challenging to model because such exposures tend to be fat-tailed. Tail operational risk losses have significantly impacted banks' balance sheets and income statements, even post crisis. So, operational risk practitioners, bank analysts, and regulators must develop reasonable methods to assess the efficacy of operational risk models and associated equity financing. We believe benchmarks should be used extensively to justify model outputs, improve model stability, and maintain capital reasonableness. Since any individual benchmark can be misleading, we outline a set of principles for using benchmarks effectively and describe how these principles can be applied to operational risk models. Also, we provide some examples of the benchmarks that have been used by US regulators in assessing Advanced Measurement Approach (AMA) capital reasonableness and that can be used in CCAR to assess the reasonableness of operational risk loss projections. We believe no single model's output and no single benchmark offers a comprehensive view, but that practitioners, analysts, and regulators must use models combined with rigorous benchmarks to determine operational risk capital and assess its adequacy. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016070pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599416&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016070pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reifschneider, David L. AD - Unlisted T1 - Gauging the Ability of the FOMC to Respond to Future Recessions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-068 Y1 - 2016/// SP - 26 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586856; Keywords: Monetary policy; Asset purchases; Forward guidance; Zero lower bound; Publication Type: Working Paper; Update Code: 201608 N2 - Current forecasts suggest that the federal funds rate in the future is likely to level out at a rather low level by historical standards. If so, then the FOMC will have less ability than in the past to cut short-term interest rates in response to a future recession, suggesting a risk that economic downturns could turn out to be more severe as a result. However, simulations of the FRB/US model of a severe recession suggest that large-scale asset purchases and forward guidance about the future path of the federal funds rate should be able to provide enough additional accommodation to fully compensate for a more limited to cut short-term interest rates in most, but probably not all, circumstances. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016068pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586856&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016068pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dias, Daniel A. AU - Duarte, Joao B. AD - Unlisted AD - Unlisted T1 - The Effect of Monetary Policy on Housing Tenure Choice as an Explanation for the Price Puzzle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1171 Y1 - 2016/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586867; Keywords: Price puzzle; Housing tenure choice; Monetary policy; SVAR; Publication Type: Working Paper; Update Code: 201608 N2 - In this paper we provide an alternative explanation for the price puzzle (Sims 1992) based on the effect of monetary policy on housing tenure choice and the weight of the shelter component in overall CPI. In the presence of nominal or financial frictions, when interest rates increase, the real cost of owning a house increases, and this increase may make some people prefer to rent instead of buying. This change in consumption behavior increases the price of rents relative to other goods. Starting in 1983, homeownership costs are based on a measure of implied owner equivalent rent, which is calculated using observed house rents. This change implies that, directly and indirectly, prices in the rental market almost entirely command the shelter component of CPI, which weighs around 30% in the overall index. When we take these two pieces into account and use CPI net of shelter services as a measure of inflation, we obtain impulse responses of prices to a monetary contraction shock more in line with what is predicted by theory. In addition, our results also suggest that inflation is much less persistent than what is implied by analyses using a measure of inflation that includes shelter services. Our results pass a long list of robustness check exercises and compare well against other explanations of the price puzzle. KW - Price Level; Inflation; Deflation E31 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand R21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1171.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586867&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1171.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCallum, Andrew H. AU - Lincoln, William F. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Claremont McKenna College T1 - The Rise of Exporting By U.S. Firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1157 Y1 - 2016/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549614; Keywords: globalization; barriers to entry; international trade; internet; Publication Type: Working Paper; Update Code: 201602 N2 - Although a great deal of ink has been spilled over the consequences of globalization, we do not yet fully understand the causes of increased worldwide trade. Using confidential microdata from the U.S. Census, we document widespread entry into countries abroad by U.S. firms from 1987 to 2006. We show that this extensive margin growth is unlikely to have been due to significant declines in entry costs. We instead find evidence of large roles for the development of the internet, trade agreements, and foreign income growth in driving these trends. KW - Trade: General F10 KW - Multinational Firms; International Business F23 KW - Economic Impacts of Globalization: General F60 KW - Market Structure, Firm Strategy, and Market Performance: General L10 KW - Information and Internet Services; Computer Software L86 KW - Business Economics M21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1157.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549614&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1157.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cerutti, Eugenio AU - Correa, Ricardo AU - Fiorentino, Elisabetta AU - Segalla, Esther AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Changes in Prudential Policy Instruments--A New Cross-Country Database PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1169 Y1 - 2016/// SP - 28 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586868; Keywords: Macroprudential policies; Microprudential policies; Financial cycles; Publication Type: Working Paper; Update Code: 201608 N2 - This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and microprudential objectives. The database coverage is broad, spanning 64 countries, and with quarterly data for the period 2000Q1 through 2014Q4. The five types of prudential instruments in the database are: capital buffers, interbank exposure limits, concentration limits, loan to value (LTV) ratio limits, and reserve requirements. A total of nine prudential tools are constructed since some useful further decompositions are presented, with capital buffers divided into four sub-indices: general capital requirements, real state credit specific capital buffers, consumer credit specific capital buffers, and other specific capital buffers; and with reserve requirements divided into two sub-indices: domestic currency capital requirements and foreign currency capital requirements. While general capital requirements have the most changes from the cross-country perspective, LTV ratio limits and reserve requirements have the largest number of tightening and loosening episodes. We also analyze the instruments' usage in relation to the evolution of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of loosening or tightening of instruments in relation to business and financial cycles. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Central Banks and Their Policies E58 KW - General Financial Markets: Government Policy and Regulation G18 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1169.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586868&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1169.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barigozzi, Matteo AU - Lippi, Marco AU - Luciani, Matteo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Dynamic Factor Models, Cointegration, and Error Correction Mechanisms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-018 Y1 - 2016/// SP - 28 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569528; Keywords: Cointegration for singular vectors; Dynamic Factor Models for I(1) variables; Granger Representation Theorem for singular vectors; Publication Type: Working Paper; Update Code: 201605 N2 - The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors Ft are I(1) and singular, i.e. Ft has dimension r and is driven by a q-dimensional white noise, the common shocks, with q < r, and (2) the idiosyncratic components are I(1). We show that Ft is driven by r-c permanent shocks, where c is the cointegration rank of Ft, and q - (r - c) < c transitory shocks, thus the same result as in the non-singular case for the permanent shocks but not for the transitory shocks. Our main result is obtained by combining the classic Granger Representation Theorem with recent results by Anderson and Deistler on singular stochastic vectors: if (1 - L)Ft is singular and has rational spectral density then, for generic values of the parameters, Ft has an autoregressive representation with a finite-degree matrix polynomial fulfilling the restrictions of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is also discussed. KW - Econometrics C01 KW - Macroeconomics and Monetary Economics: General E00 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569528&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von Beschwitz, Bastian AU - Howells, Conor T. AD - Unlisted AD - Unlisted T1 - Are Euro-Area Corporate Bond Markets Irrelevant? The Effect of Bond Market Access on Investment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1176 Y1 - 2016/// SP - 29 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586869; Keywords: Mergers and acquisitions; Bond ratings; Investment; Financing constraints; Publication Type: Working Paper; Update Code: 201608 N2 - We compare how bond market access affects firms' investment decisions in the United States and the euro area. Having a bond rating enables US corporations to invest more and undertake more acquisitions. In contrast, in the euro area, bond ratings have no effect on investment decisions. Similarly, firms with bond ratings have higher leverage in the United States, but not in the euro area. This difference may be due to euro-area firms getting sufficient financing from banks. Consistent with this explanation, euro-area bond ratings became more relevant for investment after the banking crisis of 2008, when banks reduced their lending to firms. KW - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G31 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1176.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586869&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1176.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AU - Schmidt, Sebastian AD - Unlisted AD - Unlisted T1 - Gradualism and Liquidity Traps PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-092 Y1 - 2016/// SP - 29 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605746; Keywords: Gradualism; Inflation Targeting; Interest-Rate Smoothing; Liquidity Traps; Zero Lower Bound; Publication Type: Working Paper; Update Code: 201612 N2 - Modifying the objective function of a discretionary central bank to include an interest-rate smoothing objective increases the welfare of an economy in which large contractionary shocks occasionally force the central bank to lower the policy rate to its effective lower bound. The central bank with an interest-rate smoothing objective credibly keeps the policy rate low for longer than the central bank with the standard objective function. Through expectations, the temporary overheating of the economy associated with such a low-for-long interest rate policy mitigates the declines in inflation and output when the lower bound constraint is binding. In a calibrated model, we find that the introduction of an interest-rate smoothing objective can reduce the welfare costs associated with the lower bound constraint by more than one-half. KW - Monetary Policy E52 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016092pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605746&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016092pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laubach, Thomas AU - Williams, John C. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of San Francisco T1 - Measuring the Natural Rate of Interest Redux PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-11 Y1 - 2016/// SP - 29 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549609; Keywords: Econometrics; Money and interest rates; Publication Type: Working Paper; Update Code: 201602 N2 - Persistently low real interest rates have prompted the question whether low interest rates are here to stay. This essay assesses the empirical evidence regarding the natural rate of interest in the United States using the Laubach-Williams model. Since the start of the Great Recession, the estimated natural rate of interest fell sharply and shows no sign of recovering. These results are robust to alternative model specifications. If the natural rate remains low, future episodes of hitting the zero lower bound are likely to be frequent and long-lasting. In addition, uncertainty about the natural rate argues for policy approaches that are more robust to mismeasurement of natural rates. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016011pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549609&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016011pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Draper, David AD - Unlisted AD - Unlisted T1 - Estimating Dynamic Macroeconomic Models : How Informative Are the Data? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1175 Y1 - 2016/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586875; Keywords: Bayesian estimation; Econometric modeling; Kalman filter; Likelihood; Local identification; Euro Area; MCMC; Policy-relevant parameters; Prior-versus-posterior comparison; Sensitivity analysis; Publication Type: Working Paper; Update Code: 201608 N2 - Central banks have long used dynamic stochastic general equilibrium (DSGE) models, which are typically estimated using Bayesian techniques, to inform key policy decisions. This paper offers an empirical strategy that quantifies the information content of the data relative to that of the prior distribution. Using an off-the-shelf DSGE model applied to quarterly Euro Area data from 1970:3 to 2009:4, we show how Monte Carlo simulations can reveal parameters for which the model's structure obscures identification. By integrating out components of the likelihood function and conducting a Bayesian sensitivity analysis, we uncover parameters that are weakly informed by the data. The weak identification of some key structural parameters in our comparatively simple model should raise a red flag to researchers trying to draw valid inferences from, and to base policy upon, complex large-scale models featuring many parameters. KW - Bayesian Analysis: General C11 KW - Methodological Issues: General C18 KW - Open Economy Macroeconomics F41 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1175.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586875&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1175.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dobridge, Christine L. AD - Unlisted T1 - For Better and for Worse Effects of Access to High-Cost Consumer Credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-056 Y1 - 2016/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586850; Keywords: Household finance; Consumption; Consumer credit; Payday loans; Publication Type: Working Paper; Update Code: 201608 N2 - I provide empirical evidence that the effect of high-cost credit access on household material well-being depends on if a household is experiencing temporary financial distress. Using detailed data on household consumption and location, as well as geographic variation in access to high cost payday loans over time, I find that payday credit access improves wellbeing for households in distress by helping them smooth consumption. In periods of temporary financial distress--after extreme weather events like hurricanes and blizzards--I find that payday loan access mitigates declines in spending on food, mortgage payments, and home repairs. In an average period, however, I find that access to payday credit reduces well-being. Loan access reduces spending on nondurable goods overall and reduces housing- and food-related spending particularly. These results highlight the state dependent nature of the effects of high-cost credit as well as the consumption-smoothing role that it plays for households with limited access to other forms of credit. KW - Household Saving; Personal Finance D14 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016056pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586850&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016056pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Herbst, Edward AU - Schorfheide, Frank AD - Unlisted AD - Unlisted T1 - Tempered Particle Filtering PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-072 Y1 - 2016/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599410; Keywords: Bayesian Analysis ; DSGE Models ; Monte Carlo Methods ; Nonlinear Filtering; Publication Type: Working Paper; Update Code: 201610 N2 - The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While straightforward to implement, the practical performance is often poor. We develop a self-tuning particle filter in which the proposal distribution is constructed adaptively through a sequence of Monte Carlo steps. Intuitively, we start from a measurement error distribution with an inflated variance, and then gradually reduce the variance to its nominal level in a sequence of steps that we call tempering. We show that the filter generates an unbiased and consistent approximation of the likelihood function. Holding the run time fixed, our filter is substantially more accurate in two DSGE model applications than the bootstrap particle filter. KW - Bayesian Analysis: General C11 KW - Statistical Simulation Methods: General C15 KW - General Aggregative Models: General E10 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016072pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599410&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016072pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AU - Scotti, Chiara AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Unconventional Monetary Policy and International Risk Premia PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1172 Y1 - 2016/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586877; Publication Type: Working Paper; Update Code: 201608 N2 - We assess the relationship between monetary policy, foreign exchange risk premia and term premia at the zero lower bound. We estimate a structural VAR including U.S. and foreign interest rates and exchange rates, and identify monetary policy shocks through a method that uses these surprises as the crucial external instrument" that achieves identification without having to use implausible short-run restrictions. This allows us to measure effects of policy shocks on expectations, and hence risk premia. U.S. monetary policy easing shocks lower domestic and foreign bond risk premia, lead to dollar depreciation and lower foreign exchange risk premia. We present some evidence that U.S. monetary policy easing surprises at the ZLB shift options-implied skewness in the direction of dollar depreciation and also reduce the demand for the liquidity of short-term U.S. Treasuries. Both of these channels should lower foreign exchange risk premia. L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1172.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586877&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1172.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tase, Manjola AD - Unlisted T1 - Sectoral Dynamics and Business Cycles PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-066 Y1 - 2016/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586860; Keywords: Structural changes; Business cycles; Labor share; Employment; Publication Type: Working Paper; Update Code: 201608 N2 - I construct an index of sectoral dynamics to characterize changes in the sectoral composition of economic activity. There is evidence of asymmetry in different phases of business cycles with recessions being associated with larger changes in sectoral composition than expansions. I find that the correlation between dynamics in sectoral employment and aggregate output has weakened since the 1990s. Also, sectoral changes appear to be smaller and spread across more sectors, while their contribution to aggregate volatility has been increasing. I also perform a simulation exercise and replicate these documented facts. The results suggest that shifts in the sectoral composition of the economy likely contribute to the formation of business cycles. Also the duration of recessions implied by the impulse response functions from a VAR model of sectoral dynamics and aggregate output growth matches the duration of recessions observed in the data. KW - Business Fluctuations; Cycles E32 KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016066pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586860&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016066pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Larrimore, Jeff AU - Schuetz, Jenny AU - Dodini, Samuel AD - Unlisted AD - Unlisted AD - Unlisted T1 - What are the Perceived Barriers to Homeownership for Young Adults? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-021 Y1 - 2016/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569530; Keywords: Housing demand; consumer preferences; household formation; tenure choice; Publication Type: Working Paper; Update Code: 201605 N2 - As the U.S. emerges from the Great Recession, there is concern about slowing rates of new household formation and declining interest in homeownership, especially among younger households. Potential reasons that have been posited include tight mortgage credit and housing supply, changing preferences over tenure in the wake of the foreclosure crisis, and weak labor markets for young workers. In this paper, we examine how individual housing choices, and the stated motivations for these choices, reflect local housing affordability and individual financial circumstances, focusing particularly on young households. The analysis makes use of new individual-level data from the Survey of Household Economics and Decisionmaking (SHED). We find that housing affordability is correlated with county-level tenure rates and individual-level probability of homeownership for households with heads under age 40. However, it appears that young households' perceived barriers to homeownership are more closely related to individual financial circumstances than local housing market conditions. KW - Household Behavior: General D10 KW - General Regional Economics (includes Regional Data) R10 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand R21 KW - Housing Supply and Markets R31 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016021pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569530&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016021pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bragoli, Daniela AU - Modugno, Michele AD - Unlisted AD - Unlisted T1 - A Nowcasting Model for Canada: Do U.S. Variables Matter? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-036 Y1 - 2016/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569524; Keywords: Nowcasting ; Updating ; Dynamic Factor Model; Publication Type: Working Paper; Update Code: 201605 N2 - We propose a dynamic factor model for nowcasting the growth rate of quarterly real Canadian gross domestic product. We show that the proposed model produces more accurate nowcasts than those produced by institutional forecasters, like the Bank of Canada, the The Organisation for Economic Co-operation and Development (OECD), and the survey collected by Bloomberg, which reflects the median forecast of market participants. We show that including U.S. data in a nowcasting model for Canada dramatically improves its predictive accuracy, mainly because of the absence of timely production data for Canada. Moreover, Statistics Canada produces a monthly real GDP measure along with the quarterly one, and we show how to modify the state space representation of our model to properly link the monthly GDP with its quarterly counterpart. KW - Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models C33 KW - Forecasting Models; Simulation Methods C53 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016036pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569524&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016036pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Andrew C. AD - Unlisted T1 - Banking Consolidation and Small Firm Financing for Research and Development PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-029 Y1 - 2016/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569522; Keywords: Banking Deregulation ; IBBEA ; Interstate Bank Branching Deregulation ; Market Concentration ; Research and Development ; Riegle-Neal ; Small Business Innovation Research; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines the effect of increased market concentration of the banking industry caused by the Riegle-Neal Interstate Banking and Branching Efficiency Act (IBBEA) on the availability of finance for small firms engaged in research and development (R&D). I measure the financing decisions of these small firms using a balanced panel of Small Business Innovation Research (SBIR) applications. Using difference-in-differences, I find IBBEA decreased the supply of finance for small R&D firms. This effect is larger for late adopters of IBBEA, which tended to be states with stronger small banking sectors pre-IBBEA. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Corporate Finance and Governance: Other G39 KW - Innovation; Research and Development; Technological Change; Intellectual Property Rights: General O30 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016029pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569522&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016029pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Badev, Anton AU - Baird, Maria AU - Brezinski, Timothy AU - Chen, Clinton AU - Ellithorpe, Max AU - Fahy, Linda AU - Kargenian, Vanessa AU - Liao, Kimberley AU - Malone, Brendan AU - Marquardt, Jeffrey C. AU - Mills, David C. AU - Ng, Wendy AU - Ravi, Anjana AU - Wang, Kathy AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Distributed Ledger Technology in Payments, Clearing, and Settlement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-095 Y1 - 2016/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605744; Publication Type: Working Paper; Update Code: 201612 N2 - Digital innovations in finance, loosely known as fintech, have garnered a great deal of attention across the financial industry. Distributed ledger technology (DLT) is one such innovation that has been cited as a means of transforming payment, clearing, and settlement (PCS) processes, including how funds are transferred and how securities, commodities, and derivatives are cleared and settled. DLT is a term that has been used by the industry in a variety of ways and so does not have a single definition. Because there is a wide spectrum of possible deployments of DLT, this paper will refer to the technology as some combination of components including peer-to-peer networking, distributed data storage, and cryptography that, among other things, can potentially change the way in which the storage, recordkeeping, and transfer of a digital asset is done. L3 - https://www.federalreserve.gov/econresdata/feds/2016/files/2016095pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605744&site=ehost-live&scope=site UR - https://www.federalreserve.gov/econresdata/feds/2016/files/2016095pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Julio, Brandon AU - Yook, Youngsuk AD - Unlisted AD - Unlisted T1 - Earnings Management and Corporate Investment Decisions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-086 Y1 - 2016/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605748; Keywords: Corporate Investment Decisions; Earnings Management; Publication Type: Working Paper; Update Code: 201612 N2 - We investigate the relationship between earnings management and the efficiency of corporate investment decisions. Using discretionary accruals to measure intertemporal transfers of earnings, we show that earnings management exhibits a concave relationship with the investment sensitivity to investment opportunities as measured by Tobin's Q. We find that the association is concentrated among high Q firms. The effect is present among well governed firms, suggesting that better governed firms manage accruals strategically. The concave relationship suggests that the marginal impact of earnings management on investment efficiency decreases with the amount of earnings management. Using cases of misreporting, we document that excessive earnings management does not improve investment efficiency. Taken together, these results support the view that a moderate amount of earnings management helps improve corporate investment decisions while an excessive amount undoes the benefit of earnings management. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016086pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605748&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016086pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Correa, Ricardo AU - Goldberg, Linda S. AU - Niepmann, Friederike AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - International Banking and Cross-Border Effects of Regulation : Lessons from the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1180 Y1 - 2016/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599420; Keywords: Macroprudential policies ; International banking ; Bank credit ; Spillovers; Publication Type: Working Paper; Update Code: 201610 N2 - Domestic prudential regulation can have unintended effects across borders and may be less effective in an environment where banks operate globally. Using U.S. micro-banking data for the first quarter of 2000 through the third quarter of 2013, this study shows that some regulatory changes indeed spill over. First, a foreign country's tightening of limits on loan-to-value ratios and local currency reserve requirements increase lending growth in the United States through the U.S. branches and subsidiaries of foreign banks. Second, foreign tightening of capital requirements shifts lending by U.S. global banks away from the country where the tightening occurs to the United States and to other countries. Third, tighter U.S. capital regulation reduces lending by large U.S. global banks to foreign residents. KW - International Policy Coordination and Transmission F42 KW - International Business Cycles F44 KW - International Financial Markets G15 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1180.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599420&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1180.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Croushore, Dean AU - Marsten, Katherine AD - Federal Reserve Bank of Philadelphia AD - Board of Governors of the Federal Reserve System T1 - Do GDP Forecasts Respond Efficiently to Changes in Interest Rates? PB - Federal Reserve Bank of Philadelphia, Working Papers: 16-17 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586918; Keywords: Real-Time Data; Output Forecasts; Yield Spread; Monetary Policy; Survey of Professional Forecasters (SPF); Publication Type: Working Paper; Update Code: 201608 N2 - In this paper, we examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient. Ball and Croushore show that the SPF out-put forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, we investigate the robustness of both claims of inefficiency, using real-time data and exploring the impact of alternative sample periods on the results. L3 - https://www.philadelphiafed.org/-/media/research-and-data/publications/working-papers/2016/wp16-17.pdf?la=en UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586918&site=ehost-live&scope=site UR - https://www.philadelphiafed.org/-/media/research-and-data/publications/working-papers/2016/wp16-17.pdf?la=en DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AD - Unlisted T1 - Do Rising Top Incomes Lead to Increased Borrowing in the Rest of the Distribution? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-046 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586858; Keywords: Inequality; Debt; Consumption; Publication Type: Working Paper; Update Code: 201608 N2 - One potential consequence of rising concentration of income at the top of the distribution is increased borrowing, as less affluent households attempt to maintain standards of living with less income. This paper explores the "keeping up with the Joneses" phenomenon using data from the Survey of Consumer Finances. Specifically, it examines the responsiveness of payment-to-income ratios for different debt types at different parts of the income distribution to changes in the income thresholds at the 95th and 99th percentiles. The analysis provides some evidence indicating that household debt payments are responsive to rising top incomes. Middle and upper-middle income households take on more housing-related debt and have higher housing debt payment to income ratios in places with higher top income levels. Among households at the bottom of the income distribution there is a decline in non-mortgage borrowing and debt payments in areas with rising top-income levels, consistent with restrictions in the supply of credit. The analysis also consistently shows that 95th percentile income has a greater influence on borrowing and debt payment across in the rest of the distribution than the more affluent 99th percentile level. KW - Equity, Justice, Inequality, and Other Normative Criteria and Measurement D63 KW - Household Saving; Personal Finance D14 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016046pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586858&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016046pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Blonigen, Bruce A. AU - Pierce, Justin R. AD - Unlisted AD - Unlisted T1 - Evidence for the Effects of Mergers on Market Power and Efficiency PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-082 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599406; Keywords: Acquisitions ; Efficiency ; Market Power ; Markups ; Mergers ; Productivity; Publication Type: Working Paper; Update Code: 201610 N2 - Study of the impact of mergers and acquisitions (M&As) on productivity and market power has been complicated by the difficulty of separating these two effects. We use newly-developed techniques to separately estimate productivity and markups across a wide range of industries using detailed plant-level data. Employing a difference-in-differences framework, we find that M&As are associated with increases in average markups, but find little evidence for effects on plant-level productivity. We also examine whether M&As increase efficiency through reallocation of production to more efficient plants or through reductions in administrative operations, but again find little evidence for these channels, on average. The results are robust to a range of approaches to address the endogeneity of firms' merger decisions. KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 KW - Monopolization; Horizontal Anticompetitive Practices L41 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016082pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599406&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016082pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Heston, Steven L. AU - Sinha, Nitish R. AD - Unlisted AD - Unlisted T1 - News versus Sentiment : Predicting Stock Returns from News Stories PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-048 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586845; Keywords: News; Text Analysis; Publication Type: Working Paper; Update Code: 201608 N2 - This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news, however, predicts stock returns for one quarter. Positive news stories increase stock returns quickly, but negative stories have a long delayed reaction. Much of the delayed response to news occurs around the subsequent earnings announcement. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016048pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586845&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016048pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mezza, Alvaro A. AU - Ringo, Daniel R. AU - Sherlund, Shane M. AU - Sommer, Kamila AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - On the Effect of Student Loans on Access to Homeownership PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-10 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549590; Keywords: Credit Constraints; Homeowernship; Student loans; Publication Type: Working Paper; Update Code: 201602 N2 - This paper estimates the effect of student loan debt on subsequent homeownership in a uniquely constructed administrative data set for a nationally representative cohort aged 23 to 31 in 2004 and followed over time, from 1997 to 2010. Our unique data combine anonymized individual credit bureau data with college enrollment histories and school characteristics associated with each enrollment spell, as well as several other data sources. To identify the causal effect of student loans on homeownership, we instrument for the amount of the individual's student loan debt using changes to the in-state tuition rate at public 4-year colleges in the student's home state. We find that a 10 percent increase in student loan debt causes a 1 to 2 percentage point drop in the homeownership rate for student loan borrowers during the first five years after exiting school. Validity tests suggest that the results are not confounded by local economic conditions or non-random selection int o the estimation sample. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016010pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549590&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016010pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Jonathan D. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Resolution of a Systemically Important Insurance Company during the Great Depression PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-5 Y1 - 2016/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549589; Keywords: Insurance; great depression; surety; systemic importance; Publication Type: Working Paper; Update Code: 201602 N2 - This paper explores the economic issues related to systemically important insurance companies, using an example from the Great Depression, the National Surety Company. National Surety was a large and diverse insurance company that experienced a major crisis in 1933 due to losses from its guarantees of mortgage-backed securities. A liquidity crisis ensued, as policyholders staged a massive run on the company, demanding the return of their unearned premiums. The New York State Insurance Commissioner stepped in with a reorganization plan that split the company in two, out of fear that a disorderly liquidation would have systemic consequences given the sheer number of the company's counterparties, scattered all across the United States. A key dynamic of the crisis was that policy holders at an insurance company have a dual role as holders of liabilities and as providers of income. KW - Financial Crises G01 KW - Insurance; Insurance Companies; Actuarial Studies G22 KW - Crisis Management H12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016005pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549589&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016005pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Correa, Ricardo AU - Goldberg, Linda S. AU - Niepmann, Friederike AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System T1 - International banking and cross-border effects of regulation: lessons from the United States PB - Federal Reserve Bank of New York, Staff Reports: 793 Y1 - 2016/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599441; Keywords: macroprudential policies; international banking; bank credit; spillovers; Publication Type: Working Paper; Update Code: 201610 N2 - Domestic prudential regulation can have unintended effects across borders and may be less effective in an environment where banks operate globally. Using U.S. micro-banking data for the first quarter of 2000 through the third quarter of 2013, this study shows that some regulatory changes indeed spill over. First, a foreign country's tightening of limits on loan-to-value ratios and local currency reserve requirements increase lending growth in the United States through the U.S. branches and subsidiaries of foreign banks. Second, a foreign tightening of capital requirements shifts lending by U.S. global banks away from the country where the tightening occurs to the United States and to other countries. Third, tighter U.S. capital regulation reduces lending by large U.S. global banks to foreign residents. KW - International Policy Coordination and Transmission F42 KW - International Business Cycles F44 KW - International Financial Markets G15 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - https://www.newyorkfed.org/research/staff_reports/sr793.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599441&site=ehost-live&scope=site UR - https://www.newyorkfed.org/research/staff_reports/sr793.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holston, Kathryn AU - Laubach, Thomas AU - Williams, John C. AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of San Francisco T1 - Measuring the natural rate of interest: International trends and determinants PB - Federal Reserve Bank of San Francisco, Working Paper Series: 2016-11 Y1 - 2016/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586834; Publication Type: Working Paper; Update Code: 201608 N2 - U.S. estimates of the natural rate of interest--the real short-term interest rate that would prevail absent transitory disturbances--have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States and three other advanced economies--Canada, the Euro Area, and the United Kingdom. We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest. KW - Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models C24 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.frbsf.org/economic-research/files/wp2016-11.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586834&site=ehost-live&scope=site UR - http://www.frbsf.org/economic-research/files/wp2016-11.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Banegas, Ayelen AU - Tase, Manjola AD - Unlisted AD - Unlisted T1 - Reserve Balances, the Federal Funds Market and Arbitrage in the New Regulatory Framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-079 Y1 - 2016/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599405; Keywords: Basel III ratios ; FDIC fees ; IOER arbitrage ; Reserve balances ; Federal funds market; Publication Type: Working Paper; Update Code: 201610 N2 - We study developments in reserve balances and the federal funds market in the context of two banking regulatory changes: the widening of the Federal Deposit Insurance Corporation (FDIC) assessment base and the introduction of the Basel III leverage ratio. Using a novel data set that includes FDIC fees and balance sheet data for depository institutions, we find that, as most foreign banks were not subject to the FDIC fee, they absorbed increasing amounts of reserve balances. Furthermore, foreign banks experienced positive and improving conditions for arbitraging between borrowing reserve balances in the federal funds market and earning interest on excess reserves by holding those reserves at the Federal Reserve Banks, contributing to an increase in federal funds borrowing by foreign banks relative to domestic banks. However, the implementation of the Basel III leverage ratio was associated with temporary declines in foreign bank federal funds borrowing at reporting dates. KW - Money and Interest Rates: Other E49 KW - Monetary Policy E52 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016079pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599405&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016079pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rezende, Marcelo AU - Styczynski, Mary-Frances AU - Vojtech, Cindy M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Effects of Liquidity Regulation on Bank Demand in Monetary Policy Operations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-090 Y1 - 2016/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605743; Keywords: Liquidity Coverage Ratio; Term Deposit Facility; Monetary Policy; Excess Reserves; Basel III; Publication Type: Working Paper; Update Code: 201612 N2 - We estimate the effects of the liquidity coverage ratio (LCR), a liquidity requirement for banks, on the tenders that banks submit in Term Deposit Facility operations, a Federal Reserve tool created to manage the quantity of bank reserves. We identify these effects using variation in LCR requirements across banks and a change over time that allowed term deposits to count toward the LCR. Banks subject to the LCR submit tenders more often and submit larger tenders than exempt banks when term deposits qualify for the LCR. These results suggest that liquidity regulation affects bank demand in monetary policy operations. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016090pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605743&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016090pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Foley-Fisher, Nathan AU - Narajabad, Borghan N. AU - Verani, Stephane AD - Unlisted AD - Unlisted AD - Unlisted T1 - Securities Lending as Wholesale Funding : Evidence from the U.S. Life Insurance Industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-050 Y1 - 2016/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586861; Keywords: Securities lending; Wholesale funding; Life insurers; Market liquidity; Publication Type: Working Paper; Update Code: 201608 N2 - The existing literature implicitly or explicitly assumes that securities lenders primarily respond to demand from borrowers and reinvest their cash collateral through short-term markets. Using a new dataset that matches every U.S. life insurer's bond portfolio, as well as their lending and reinvestment decisions, to the universe of securities lending transactions, we offer compelling evidence for an alternative strategy, in which securities lending programs are used to finance a portfolio of long-dated assets. We discuss how the liquidity and maturity mismatch associated with using securities lending as a source of wholesale funding could potentially impair the functioning of the securities market. KW - Portfolio Choice; Investment Decisions G11 KW - Insurance; Insurance Companies; Actuarial Studies G22 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016050pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586861&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016050pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dunn, Wendy E. AU - Vine, Daniel J. AD - Unlisted AD - Unlisted T1 - Why are Inventory-Sales Ratios at U.S. Auto Dealerships so High? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-047 Y1 - 2016/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586841; Keywords: Inventories; Motor Vehicles; Publication Type: Working Paper; Update Code: 201608 N2 - Motor vehicle dealerships in the United States tend to hold inventories equivalent to around 65 days' worth of sales, a relatively high level that has been nearly unchanged for 50 years. Despite playing a prominent role in the volatility of U.S. business cycles, very little is known about why the auto industry targets inventory stocks at such a high level. We use a panel of inventory and sales data from 41 vehicle brands over 30 years and the solutions to two well-known inventory planning problems to show that vehicle inventories appear to be related to (1) the size of dealership franchise networks, which tend to be large; (2) product variety, which tends to be high; and (3) the volatility of new vehicle sales, which also tends to be high. We show that differences across brands in these variables explain a good bit of the cross-section dispersion in brand inventory-sales ratios. Offsetting changes in these factors over time also help explain why the industry's overall inventory-sales ratio has been quite flat for many decades. More recently, the net increase observed in the inventory-sales ratio in the past couple of years is in contrast to fit of the model, which might suggest that some of that increase could reverse in the coming years. KW - Investment; Capital; Intangible Capital; Capacity E22 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016047pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586841&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016047pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Demiralp, Selva AU - King, Sharmila AU - Scotti, Chiara AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does Anyone Listen when Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-058 Y1 - 2016/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586865; Keywords: Central bank independence; Market expectations; Unconventional policy; Publication Type: Working Paper; Update Code: 201608 N2 - This paper investigates the effects of political commentaries on policy rate decisions and policy expectations in the United States and the euro area. The results suggest that political commentaries do influence policy rate expectations in both regions, even after controlling for macroeconomic releases and immediate interest rate expectations. The findings regarding the policy reaction functions reveal that market expectations are mostly rational. There is no evidence that the Federal Reserve responds to political commentaries that suggest rate hikes or easings. Meanwhile, the European Central Bank seems to have steered its policy in line with political commentaries that suggested further easings during the pre-crisis period, consistent with market expectations. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016058pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586865&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016058pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holston, Kathryn AU - Laubach, Thomas AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Measuring the Natural Rate of Interest : International Trends and Determinants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-073 Y1 - 2016/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599411; Keywords: Kalman filter; Monetary policy rules; Natural rate of output; Trend growth; Publication Type: Working Paper; Update Code: 201610 N2 - U.S. estimates of the natural rate of interest--the real short-term interest rate that would prevail absent transitory disturbances--have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the Laubach-Williams methodology to the United States and three other advanced economies--Canada, the Euro Area, and the United Kingdom. We find that large declines in trend GDP growth and natural rates of interest have occurred over the past 25 years in all four economies. These country-by-country estimates are found to display a substantial amount of comovement over time, suggesting an important role for global factors in shaping trend growth and natural rates of interest. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016073pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599411&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016073pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Modugno, Michele AU - Soybilgen, Baris AU - Yazgan, M. Ege AD - Unlisted AD - Unlisted AD - Unlisted T1 - Nowcasting Turkish GDP and News Decomposition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-044 Y1 - 2016/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586857; Keywords: Developing economy; dynamic factor model; emerging market; gross domestic product; news; nowcasting; Publication Type: Working Paper; Update Code: 201608 N2 - Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more timely, that are released at higher frequencies than the GDP. In this paper, we propose an econometric model that automatically allows us to read through these more current and higher-frequency data and translate them into nowcasts for the Turkish real GDP. Our model outperforms nowcasts produced by the Central Bank of Turkey, the International Monetary Fund, and the Organisation for Economic Co-operation and Development. Moreover, our model allows us to quantify the importance of each variable in our dataset in nowcasting Turkish real GDP. In line with findings for other economies, we find that real variables play the most important role; however, contrary to the findings for other economies, we find that financial variables are as important as surveys. KW - Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models C33 KW - Forecasting Models; Simulation Methods C53 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016044pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586857&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016044pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baughman, Garth AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Deadlines and Matching PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-14 Y1 - 2016/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569529; Keywords: Deadlines; matching; nonstationary dynamics; search; Publication Type: Working Paper; Update Code: 201605 N2 - Deadlines and fixed end dates are pervasive in matching markets including school choice, the market for new graduates, and even financial markets such as the market for federal funds. Deadlines drive fundamental non-stationarity and complexity in behavior, generating significant departures from the steady-state equilibria usually studied in the search and matching literature. I consider a two-sided matching market with search frictions where vertically differentiated agents attempt to form bilateral matches before a deadline. I give conditions for existence and uniqueness of equilibria, and show that all equilibria exhibit an "anticipation effect" where less attractive agents become increasingly choosy over time, preferring to wait for the opportunity to match with attractive agents who, in turn, become less selective as the deadline approaches. When payoffs accrue after the deadline, or agents do not discount, a sharp characterization is available: at any point in time, the market is segmented into a first class of matching agents and a second class of waiting agents. This points to a different interpretation of unraveling observed in some markets and provides a benchmark for other studies of non-stationary matching. A simple intervention--a small participation cost--can dramatically improve efficiency. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016014pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569529&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016014pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Henderson, Dale W. AU - Kim, Jinill AD - Board of Governors of the Federal Reserve System (U.S.) AD - Center for Applied Macroeconomic Analysis AD - Korea University T1 - Interpreting Shocks to the Relative Price of Investment with a Two-Sector Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-7 Y1 - 2016/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549591; Keywords: DSGE Models; Long-Run Restrictions; Multi-Sector Models; Vector Auto-Regressions; Publication Type: Working Paper; Update Code: 201602 N2 - Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on standard one-sector models or on models with two or more sectors that can be aggregated. However, the same interpretation continues to go through in models that cannot be aggregated into a standard one-sector model. Furthermore, such a two-sector model with distinct factor input shares across production sectors and commingling of sectoral outputs in the assembly of final consumption and investment goods, in line with the U.S. Input-Output Tables, has implications for aggregate variables. It yields a closer match to the empirical evidence of positive comovement for consumption and investment. KW - General Aggregative Models: Neoclassical E13 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016007pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549591&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016007pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caglio, Cecilia AU - Hanley, Kathleen Weiss AU - Marietta-Westberg, Jennifer AD - Unlisted AD - Unlisted AD - Unlisted T1 - What does it take to List Abroad? The Role of Global Underwriters PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-041 Y1 - 2016/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569532; Keywords: IPO ; globalization ; proceeds ; underwriter; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines which firms benefit the most from going public abroad and how a robust IPO market affects the trend toward greater globalization of capital. We show that the decision to do an IPO outside the home country is affected not only by the home country's market characteristics but also the extent to which it is financially integrated with the world economy. In addition, we provide evidence that the decisions of whether to go public abroad, where to list, and the amount of proceeds raised are determined by the presence of global underwriters. Our results suggest that the rise of global underwriters facilitates the movement of capital across nations and is one of the channels by which world globalization can affect the IPO process. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Corporate Finance and Governance: General G30 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016041pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569532&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016041pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kara, Gazi AD - Unlisted T1 - Bank Capital Regulations Around the World : What Explains the Differences? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-057 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586853; Keywords: Capital Requirements; Basel Capital Accord; Financial regulation; International policy coordination; Publication Type: Working Paper; Update Code: 201608 N2 - Despite the extensive attention that the Basel capital adequacy standards have received internationally, significant variation exists in the implementation of these standards across countries. Furthermore, a significant number of countries increase or decrease the stringency of capital regulations over time. The paper investigates the empirical determinants of the variation in the data based on the theories of bank capital regulation. The results show that countries with high average returns to investment and a high ratio of government ownership of banks choose less stringent capital regulation standards. Capital regulations may also be less stringent in countries with more concentrated banking sectors. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - International Monetary Arrangements and Institutions F33 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016057pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586853&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016057pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Du, Wenxin AU - Gadgil, Salil AU - Gordy, Michael B. AU - Vega, Clara AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Counterparty Risk and Counterparty Choice in the Credit Default Swap Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-087 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605749; Keywords: Counterparty credit risk; Credit default swaps; Central clearing; Publication Type: Working Paper; Update Code: 201612 N2 - We investigate how market participants price and manage counterparty risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a large impact on the choice of counterparties. We show that market participants are significantly less likely to trade with counterparties whose credit risk is highly correlated with the credit risk of the reference entities and with counterparties whose credit quality is relatively low. Furthermore, we examine the impact of central clearing on CDS pricing. Contrary to the previous literature, but consistent with our main findings on pricing, we find no evidence that central clearing increases transaction spreads. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies G24 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016087pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605749&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016087pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Che, Yi AU - Lu, Yi AU - Pierce, Justin R. AU - Schott, Peter K. AU - Tao, Zhigang AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does Trade Liberalization with China Influence U.S. Elections? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-039 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569533; Keywords: China ; Voting ; Elections ; Import Competition ; Normal Trade Relations ; World Trade Organization; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines the impact of trade liberalization on U.S. Congressional elections. We find that U.S. counties subject to greater competition from China via a change in U.S. trade policy exhibit relative increases in turnout, the share of votes cast for Democrats and the probability that the county is represented by a Democrat. We find that these changes are consistent with Democrats in office being more likely than Republicans to support legislation limiting import competition or favoring economic assistance. KW - Trade Policy; International Trade Organizations F13 KW - Trade and Labor Market Interactions F16 KW - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior D72 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016039pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569533&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016039pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gornemann, Nils AU - Kuester, Keith AU - Nakajima, Makoto AD - Unlisted AD - Unlisted AD - Unlisted T1 - Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1167 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586876; Keywords: Monetary Policy; Unemployment; Search and Matching; Heterogeneous Agents; General Equilibrium; Publication Type: Working Paper; Update Code: 201608 N2 - We build a New Keynesian business-cycle model with rich household heterogeneity. A central feature is that matching frictions render labor-market risk countercyclical and endogenous to monetary policy. Our main result is that a majority of households prefer substantial stabilization of unemployment even if this means deviations from price stability. A monetary policy focused on unemployment stabilization helps "Main Street" by providing consumption insurance. It hurts "Wall Street" by reducing precautionary saving and, thus, asset prices. On the aggregate level, household heterogeneity changes the transmission of monetary policy to consumption, but hardly to GDP. Central to this result is allowing for self-insurance and aggregate investment. KW - General Aggregative Models: Keynes; Keynesian; Post-Keynesian E12 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 KW - Unemployment: Models, Duration, Incidence, and Job Search J64 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1167.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586876&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1167.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Economic Forecasting in Theory and Practice : An Interview with David F. Hendry PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1184 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605750; Keywords: Encompassing; Equilibrium correction models; Error correction; Evaluation; Exogeneity; Forecasting; Modeling; Nowcasting; Parameter constancy; Robustification; Structural breaks; Publication Type: Working Paper; Update Code: 201612 N2 - David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry's research on forecasting. KW - Forecasting Models; Simulation Methods C53 L3 - https://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1184.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605750&site=ehost-live&scope=site UR - https://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1184.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sun, Zheng AU - Wang, Ashley W. AU - Zheng, Lu AD - Unlisted AD - Unlisted AD - Unlisted T1 - Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-030 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569512; Keywords: Conditional performance ; Hedge funds ; Performance Persistence; Publication Type: Working Paper; Update Code: 201605 N2 - We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, Downside Returns and Upside Returns, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest Downside Returns quintile outperform funds in the lowest quintile by about 7% in the subsequent year, whereas funds with better UpsideReturns do not outperform subsequently. The Downside Returns can predict future fund performance over a horizon as long as 3 years, for both winners and losers, and for funds with few share restrictions. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016030pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569512&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016030pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Nikolaou, Kleopatra AD - Unlisted AD - Unlisted T1 - Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-064 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586855; Keywords: Triparty repos; OTC markets; Trade relationships; RRP exercise; Treasury Auctions; Search frictions; Publication Type: Working Paper; Update Code: 201608 N2 - We use a new panel data set on intraday transactions of triparty repos (TPR) to study trading relationships in the over-the-counter market. We test the prediction that search frictions lead to relationship formation. We find that TPR trading parties form relationships with a broad number of counterparties but tend to focus their transaction volumes on only a small set of counterparties. We also find that having stable relationships and broader interactions across other funding markets positively shapes the relationships of investors with dealers in the TPR market. Finally, our results suggest that relationships affect the likelihood of a trade and terms of trade and help buffer demand and supply shocks to liquidity. Specifically, the Fed's Reverse Repurchase (RRP) exercise draws funds away from lenders in the TPR market, effectively generating a negative shock to the supply of funds for dealers. Meanwhile, Treasury auctions introduce a positive shock to the demand for funds by dealers. We find that in both cases, shocks are absorbed better by trade partners with stronger relationships. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies G24 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016064pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586855&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016064pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Niepmann, Friederike AU - Kerl, Cornelia AD - Unlisted AD - Unlisted T1 - What Determines the Composition of International Bank Flows? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1170 Y1 - 2016/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586866; Keywords: Global banks; Interbank market; International bank flows; Cross-border banking; Publication Type: Working Paper; Update Code: 201608 N2 - This paper studies how frictions to foreign bank operations affect the sectoral composition of banks' foreign positions, their funding sources and international bank flows. It presents a parsimonious model of banking across borders, which is matched to bank-level data and used to quantify cross-border frictions. The counterfactual analysis shows how higher barriers to foreign bank entry alter the composition of international bank flows and may reverse the direction of net interbank flows. It also highlights that interbank lending and lending to non-banking firms respond differently to changes in foreign and domestic conditions. Ultimately, the analysis suggests that policies that change cross-border banking frictions and, thereby, the composition of banks' foreign activities affect how shocks are transmitted across borders. KW - International Investment; Long-term Capital Movements F21 KW - Multinational Firms; International Business F23 KW - International Finance: General F30 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1170.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586866&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1170.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AU - Wheelock, David C. AD - Unlisted AD - Unlisted T1 - Near-Money Premiums, Monetary Policy, and the Integration of Money Markets : Lessons from Deregulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-077 Y1 - 2016/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599414; Keywords: Deregulation ; Eurodollars ; Market integration ; Monetary policy implementation ; Money markets ; Regulation Q; Publication Type: Working Paper; Update Code: 201610 N2 - The 1960s and 1970s witnessed rapid growth in the markets for new money market instruments, such as negotiable certificates of deposit (CDs) and Eurodollar deposits, as banks and investors sought ways around various regulations affecting funding markets. In this paper, we investigate the impacts of the deregulation and integration of the money markets. We find that the pricing and volume of negotiable CDs and Eurodollars issued were influenced by the availability of other short-term safe assets, especially Treasury bills. Banks appear to have issued these money market instruments as substitutes for other types of funding. The integration of money markets and ability of banks to raise funds using a greater variety of substitutable instruments has implications for monetary policy. We find that, when deregulation reduced money market segmentation, larger open market operations were required to produce a given change in the federal funds rate, but that the pass through of changes in the funds rate to other market rates was also greater. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - General Financial Markets: Government Policy and Regulation G18 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: 1913- N22 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016077pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599414&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016077pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Fuentes-Albero, Cristina AU - Gilchrist, Simon AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Macroeconomic Impact of Financial and Uncertainty Shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1166 Y1 - 2016/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586871; Keywords: Time-varying uncertainty; Financial conditions; Structural vector autoregression; Optimization-based identification; Publication Type: Working Paper; Update Code: 201608 N2 - The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a significant adverse effect on economic outcomes and that such shocks were an important source of cyclical fluctuations since the mid-1980; (2) uncertainty shocks, especially those implied by uncertainty proxies that do not rely on financial asset prices, are also an important source of macroeconomic disturbances; and (3) uncertainty shocks have an especially negative economic impact in situations where they elicit a concomitant tightening of financial conditions. Evidence suggests that the Great Recession was likely an acute manifestation of the toxic interaction between uncertainty and financial shocks. KW - Business Fluctuations; Cycles E32 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Financial Markets and the Macroeconomy E44 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1166.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586871&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1166.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Londono, Juan M. AD - Unlisted T1 - Bad Bad Contagion PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1178 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599421; Keywords: International stock markets ; Bad contagion ; Downside contagion ; Inter-connectedness ; International integration ; Financial stability ; SRISK; Publication Type: Working Paper; Update Code: 201610 N2 - Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in Bekaert et al. (2005) with the model-free or co-exceedance approach in Bae et al. (2003). Contagion is measured as the proportion of international stock markets that simultaneously experience unexpected returns beyond a certain threshold. I decompose contagion into its downside or bad component (the co-exceedance of low returns) and its upside or good component (the co-exceedance of high returns). I find that episodes of bad contagion are followed by a significant drop in country-level stock index prices and by a deterioration of financial stability indicators, especially for more open economies. KW - International Financial Markets G15 KW - Financial Aspects of Economic Integration F36 KW - Economic Impacts of Globalization: Finance F65 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1178.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599421&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1178.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Board of Governors of the Federal Reserve System T1 - Economic Forecasting in Theory and Practice: An Interview with David F. Hendry PB - The George Washington University, Department of Economics, Research Program on Forecasting, Working Papers: 2016-012 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605789; Keywords: encompassing, equilibrium correction models, error correction, evaluation, exogeneity, forecasting, modeling, nowcasting, parameter constancy, robustification, structural breaks.; Publication Type: Working Paper; Update Code: 201612 N2 - David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry's research on forecasting. KW - Forecasting Models; Simulation Methods C53 L3 - http://www.gwu.edu/~forcpgm/2016-012.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605789&site=ehost-live&scope=site UR - http://www.gwu.edu/~forcpgm/2016-012.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kitsul, Yuriy AU - Ochoa, Marcelo AD - Unlisted AD - Unlisted T1 - Funding Liquidity Risk and the Cross-section of MBS Returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-052 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586854; Keywords: Agency mortgage-backed securities; Dollar rolls; Implied financing rates; Liquidity; Expected returns; Large Scale Asset Purchase programs; Publication Type: Working Paper; Update Code: 201608 N2 - This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect security-level costs of financing positions in the MBS market. We show that factors representing higher net MBS supply are generally associated with higher IFRs, or higher funding costs. In addition, we find that exposure to systematic funding liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns--agency MBS that are better hedges to funding liquidity shocks on average deliver lower excess returns--and that these premiums are separate from the premiums associated with prepayment risks. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - General Financial Markets: Other G19 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016052pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586854&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016052pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted T1 - Government-Backed Mortgage Insurance, Financial Crisis, and the Recovery from the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-031 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569527; Keywords: Financial crisis; Great Recession; mortgages; government policy; Publication Type: Working Paper; Update Code: 201605 N2 - The Great Recession provides an opportunity to test the proposition that government mortgage insurance programs mitigated the effects of the financial crisis and enhanced the economic recovery from 2009 to 2014. We find that government-sponsored mortgage insurance programs have been responsible for better economic outcomes in counties that participated heavily in these programs. In particular, counties with high levels of participation from government-sponsored enterprises and the Federal Housing Authority had relatively lower unemployment rates, higher home sales, higher home prices, lower mortgage delinquency rates, and less foreclosure activity, both in 2009 (soon after the peak of the financial crisis) and in 2014 (six years after the crisis) than did counties with lower levels of participation. The persistence of better outcomes in counties with heavy participation in federal government programs is consistent with a view that lower government liquidity premiums, lower government credit-risk premiums, and looser government mortgage-underwriting standards yield higher private-sector economic activity after a financial crisis. KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016031pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569527&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016031pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kahn, Robert B. AU - Meade, Ellen E. AD - Unlisted AD - Unlisted T1 - International Aspects of Central Banking : Diplomacy and Coordination PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-062 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586859; Keywords: Central bank coordination; Global financial institutions; International monetary system; Publication Type: Working Paper; Update Code: 201608 N2 - In this paper, we discuss the evolution of central bank interactions since the early 1970s following the breakdown of the managed exchange-rate system that was negotiated at Bretton Woods. We review the most important forums or organizations through which central banks have engaged in diplomacy. We then discuss the mobilization of coordination through diplomacy using three examples over the past 30 years: the Plaza Accord in 1985 negotiated by the G-5; the response to the Asian financial crisis in 1997-98, led by the International Monetary Fund (IMF) with heavy participation from G-7 finance ministries and central banks; and the response to the global financial crisis that began in 2007. For each of these examples, we provide the economic circumstances at the time, discuss how the response was mobilized, and evaluate its success. Our main conclusion is that the relationship-building that is inherent in multilateral interaction has provided a springboard for coordination in times of stress or crisis. Moreover, crises matter in that they can be turning points in terms of the actions taken and the countries included in the dialogue; thus, the groupings themselves are to some extent endogenous to events. Finally, we use the lens of diplomacy and coordination to trace out the path for central bank diplomacy going forward. KW - International Monetary Arrangements and Institutions F33 KW - Central Banks and Their Policies E58 KW - International Institutional Arrangements F55 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016062pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586859&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016062pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Michelis, Andrea AU - Iacoviello, Matteo AD - Unlisted AD - Unlisted T1 - Raising an Inflation Target : The Japanese Experience with Abenomics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1168 Y1 - 2016/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586870; Keywords: Abenomics; Credibility; Deflation; Inflation target; Japan; Monetary policy; Publication Type: Working Paper; Update Code: 201608 N2 - This paper draws from Japan's recent monetary experiment to examine the effects of an increase in the inflation target during a liquidity trap. We review Japanese data and examine through a VAR model how macroeconomic variables respond to an identified inflation target shock. We apply these findings to calibrate the effect of a shock to the inflation target in a new-Keynesian DSGE model of the Japanese economy. We argue that imperfect observability of the inflation target and a separate exchange rate shock are needed to successfully account for the behavior of nominal and real variables in Japan since late 2012. Our analysis indicates that Japan has made some progress towards overcoming deflation, but further measures are needed to raise inflation to 2 percent in a stable manner. KW - Price Level; Inflation; Deflation E31 KW - Business Fluctuations; Cycles E32 KW - Money and Interest Rates: Forecasting and Simulation: Models and Applications E47 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Foreign Exchange F31 KW - Open Economy Macroeconomics F41 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1168.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586870&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1168.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caines, Colin AD - Unlisted T1 - Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1181 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599418; Keywords: Learning ; Non-rational expectations ; House prices ; Boom-bust cycles; Publication Type: Working Paper; Update Code: 201610 N2 - Explaining asset price booms poses a difficult question for researchers in macroeconomics: how can large and persistent price growth be explained in the absence large and persistent variation in fundamentals? This paper argues that boom-bust behavior in asset prices can be explained by a model in which boundedly rational agents learn the process for prices. The key feature of the model is that learning operates in both the demand for assets and the supply of credit. Interactions between agents on either side of the market create complementarities in their respective beliefs, providing an additional source of propagation. In contrast, the paper shows why learning involving only one side on the market, which has been the focus of most of the literature, cannot plausibly explain persistent and large price booms. Quantitatively, the model explains recent experiences in US housing markets. A single unanticipated mortgage rate drop generates 20 quarters of price growth whilst capturing the full appreciation in US house prices in the early 2000s. The model is able to generate endogenous liberalizations in household lending conditions during price booms, consistent with US data, and replicates key volatilities of housing market variables at business cycle frequencies. KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E30 KW - General Aggregative Models: Forecasting and Simulation: Models and Applications E17 KW - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness D83 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Real Estate Markets, Spatial Production Analysis, and Firm Location: General R30 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1181.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599418&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1181.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Darst, R. Matthew AU - Refayet, Ehraz AD - Unlisted AD - Unlisted T1 - Credit Default Swaps and Debt Contracts : Spillovers and Extensive Default Premium Choice PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-042 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569503; Keywords: credit derivatives ; spillovers ; investment ; default risk; Publication Type: Working Paper; Update Code: 201605 N2 - This paper highlights two new effects of credit default swap (CDS) markets on credit markets. First, when firms' cash flows are correlated, CDS trading impacts the cost of capital and investment for all firms, even those that are not CDS obligors. Second, CDSs generate a tradeoff between default premiums and default risk. CDSs alter firm incentives to invest along the extensive default premium margin, even absent maturity mis-match. Firms are more likely to issue safe debt when default premiums are high and vise versa. The direction of the tradeoff depends on whether investors use CDSs for speculation or hedging. KW - Incomplete Markets D52 KW - General Equilibrium and Disequilibrium: Financial Markets D53 KW - Financial Markets and the Macroeconomy E44 KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016042pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569503&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016042pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Klee, Elizabeth C. AU - Senyuz, Zeynep AU - Yoldas, Emre AD - Unlisted AD - Unlisted AD - Unlisted T1 - Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-084 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599417; Keywords: Overnight money markets ; Federal funds ; Repo ; Eurodollar ; Commercial paper ; VAR models ; GARCH models; Publication Type: Working Paper; Update Code: 201610 N2 - Money markets have been operating under a new monetary policy implementation framework since the Federal Reserve started paying interest on bank reserves in late 2008. The regulatory environment has also evolved substantially over this period. We develop and test hypotheses regarding the effects of changes in the monetary and regulatory policy on dynamics of key overnight funding markets. We find that the federal funds rate continued to provide an anchor, albeit weaker, for unsecured funding rates amid substantial decline in activity and changing composition of trades, while its transmission to the repo market had been hampered. The overnight reverse repurchase (ON RRP) operations that started in late 2013 contributed to stronger co-movement among overnight funding rates and markedly reduced their volatility. The change in the FDIC assessment fees and Basel III leverage ratio regulations have exacerbated financial-reporting-day effects in unsecured markets. In contrast, consistent with lower dealer leverage in the post-crisis period, such effects have weakened in the repo market, especially after the inception of the ON RRP facility. Finally, superabundant bank reserves appear to have significantly diminished the effects of reserve-maintenance on the money market rates. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016084pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599417&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016084pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobs, Lindsay AU - Piyapromdee, Suphanit AD - Unlisted AD - Unlisted T1 - Labor Force Transitions at Older Ages : Burnout, Recovery, and Reverse Retirement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-053 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586849; Keywords: Labor supply; Retirement; Publication Type: Working Paper; Update Code: 201608 N2 - Partial and reverse retirement are two key behaviors characterizing labor force dynamics for individuals at older ages, with half working part-time and over a third leaving and later re-entering the labor force. The high rate of exit and re-entry is especially surprising given the declining wage profile at older ages and opportunities for re-entry in the future being uncertain. In this paper we study the effects of wage and health transition processes as well as the role of accrues work-related strain on the labor force participation on older males. We find that a model incorporating a work burnout-recovery process can account for such reverse retirement behavior that cannot be generated by health and wealth shocks alone, suggesting re-entry patterns result in large part from planned behavior. We first present descriptive statistics of the frequency and timing of re-entry and characteristics of those who re-enter using Health and Retirement Study (HRS) panel data. We then develop and estimate a dynamic model of retirement that captures the occurrence and timing of re-entry decisions observed in the data-as well as the transition to part-time work-while incorporating uncertainty in earnings, health, and stress accumulation. The burnout-recovery process allows us to account for about 40 percent of re-entry, and one-quarter of the shifts to part-time work with age. We also consider the lower exit and re-entry rates after 2008, and attribute this to high option values of work in an environment where future re-entry is less certain. Consistent with our burnout-recovery model, we see that respondents are more likely to report high levels of job stress as they continue to work when they would have otherwise stopped working, recovered, and re-entered. This offers us some information about the relative option value of work versus the burnout-recovery process. KW - Retirement; Retirement Policies J26 KW - Economics of the Elderly; Economics of the Handicapped; Non-labor Market Discrimination J14 KW - Intertemporal Household Choice; Life Cycle Models and Saving D91 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016053pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586849&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016053pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Wheelock, David C. AD - Bank for International Settlements and Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of St. Louis T1 - Near-Money Premiums, Monetary Policy, and the Integration of Money Markets : Lessons from Deregulation PB - Federal Reserve Bank of St. Louis, Working Papers: 2016-15 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586887; Keywords: money markets; deregulation; market integration; monetary policy implementation; Eurodollars; Regulation Q; Publication Type: Working Paper; Update Code: 201608 N2 - The 1960s and 1970s witnessed rapid growth in the markets for new money market instruments, such as negotiable certificates of deposit (CDs) and Eurodollar deposits, as banks and investors sought ways around various regulations affecting funding markets. In this paper, we investigate the impacts of the deregulation and integration of the money markets. We find that the pricing and volume of negotiable CDs and Eurodollars issued were influenced by the availability of other short-term safe assets, especially Treasury bills. Banks appear to have issued these money market instruments as substitutes for other types of funding. The integration of money markets and ability of banks to raise funds using a greater variety of substitutable instruments has implications for monetary policy. We find that, when deregulation reduced money market segmentation, larger open market operations were required to produce a given change in the federal funds rate, but that the pass through of changes in the funds rate to other market rates was also greater. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - General Financial Markets: Government Policy and Regulation G18 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: 1913- N22 L3 - https://research.stlouisfed.org/wp/2016/2016-015.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586887&site=ehost-live&scope=site UR - https://research.stlouisfed.org/wp/2016/2016-015.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moyen, Stephane AU - Stahler, Nikolai AU - Winkler, Fabian AD - Unlisted AD - Unlisted AD - Unlisted T1 - Optimal Unemployment Insurance and International Risk Sharing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-054 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586864; Keywords: Fiscal Union; International Business Cycles; International Risk Sharing; Unemployment Insurance; Publication Type: Working Paper; Update Code: 201608 N2 - We discuss how cross-country unemployment insurance can be used to improve international risk sharing. We use a two-country business cycle model with incomplete financial markets and frictional labor markets where the unemployment insurance scheme operates across both countries. Cross-country insurance through the unemployment insurance system can be achieved without affecting unemployment outcomes. The Ramsey-optimal policy however prescribes a more countercyclical replacement rate when international risk sharing concerns enter the unemployment insurance trade-off. We calibrate our model to Eurozone data and find that optimal stabilizing transfers through the unemployment insurance system are sizable and mainly stabilize consumption in the periphery countries, while optimal replacement rates are countercyclical overall. Moreover, we find that debt-financed national policies are a poor substitute for fiscal transfers. KW - Business Fluctuations; Cycles E32 KW - Fiscal Policy E62 KW - Taxation and Subsidies: Efficiency; Optimal Taxation H21 KW - Unemployment: Models, Duration, Incidence, and Job Search J64 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016054pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586864&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016054pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yook, Youngsuk AU - Gerlach, Jeffrey R. AD - Unlisted AD - Unlisted T1 - Political Conflict and Foreign Portfolio Investment : Evidence from North Korean Attacks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-037 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569523; Keywords: Political conflict ; Foreign portfolio investment ; North Korean attacks; Publication Type: Working Paper; Update Code: 201605 N2 - We examine the response of foreign (i.e., non-South Korean) investors to escalating political conflict and its impact on the South Korean stock market surrounding 13 North Korean military attacks between 1999 and 2010. Using domestic (i.e., South Korean) institutions and individuals as benchmarks, we evaluate the trading behavior and performance of foreign investors. Following attacks, foreigners increase their holdings of Korean stocks and buy more shares of risky stocks. Performance results show foreigners maintain their pre-attack level of performance while domestic individuals, who make the overwhelming majority of domestic trades, perform worse. In addition, domestic institutions improve their performance. Overall, the results are consistent with the predictions based on the benefits of international diversification. Unlike domestic individuals, foreigners trade more shares than usual and deviate from their general strategy of positive feedback trading. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016037pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569523&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016037pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liu, Qi AU - Sun, Bo AD - Unlisted AD - Unlisted T1 - Relative Wealth Concerns, Executive Compensation, and Systemic Risk-Taking PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1164 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569537; Keywords: Relative wealth concerns ; Managerial compensation ; Pay-for-luck ; Excessive risk-taking; Publication Type: Working Paper; Update Code: 201605 N2 - Given the recent empirical evidence on peer effects in CEO compensation, this paper theoretically examines how relative wealth concerns, in which a manager's satisfaction with his own compensation depends on the compensation of other managers, affect the equilibrium contracting strategy and managerial risk-taking. We find that such externalities can generate pay-for-luck as an efficient compensation vehicle in equilibrium. In expectation of pay-for-luck in other firms, tying managerial pay to luck provides insurance to managers against a compensation shortfall relative to executive peers during market fluctuations. When all firms pay for luck, we show that an effort-inducing mechanism exists: managers have additional incentives to exert effort in utilizing investment opportunities, which helps them keep up with their peers during industry movements. In addition, we show that compensation arrangements involving pay-for-luck that are efficient from the shareholders' perspective can nonetheless exacerbate aggregate fluctuations in the real economy by incentivizing excessive systemic risk-taking, especially in periods of heightened risk. KW - Asymmetric and Private Information; Mechanism Design D82 KW - Economics of Contract: Theory D86 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1164.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569537&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1164.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AD - Unlisted T1 - Time-varying Volatility and the Power Law Distribution of Stock Returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-022 Y1 - 2016/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569526; Keywords: Tail distributions ; high frequency returns ; power laws ; time-varying volatility; Publication Type: Working Paper; Update Code: 201605 N2 - While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power law coefficients obtained by estimating a conditional normal model with nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the Dow Jones index. A cross-sectional regression of the data coefficients on the model-implied coefficients yields a slope close to one, supportive of the hypothesis that the two sets of power law coefficients are identical. Further, for most of the stocks in the sample taken individually, the model-implied coefficient falls within the 95 percent confidence interval for the coefficient estimated from returns data. KW - Financial Econometrics C58 KW - Distribution: General D30 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016022pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569526&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016022pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Rose, Jonathan D. AD - mark.a.carlson@frb.gov AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Can a Bank Run Be Stopped? Government Guarantees and the Run on Continental Illinois PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-3 Y1 - 2016/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549588; Keywords: Bank runs; deposit guarantee; deposit insurance; financial crisis; Publication Type: Working Paper; Update Code: 201602 N2 - This paper analyzes the run on Continental Illinois in 1984. We find that the run slowed but did not stop following an extraordinary government intervention, which included the guarantee of all liabilities of the bank and a commitment to provide ongoing liquidity support. Continental's outflows were driven by a broad set of US and foreign financial institutions. These were large, sophisticated creditors with holdings far in excess of the insurance limit. During the initial run, creditors with relatively liquid balance sheets nevertheless withdrew more than other creditors, likely reflecting low tolerance to hold illiquid assets. In addition, smaller and more-distant creditors were more likely to withdraw. In the second and more drawn out phase of the run, institutions with relative large exposures to Continental were more likely to withdraw, reflecting a general unwillingness to have an outsized exposure to a troubled institution even in the absence of credit risk. Finally, we show that the concentration of holdings of Continental's liabilities was a key dynamic in the run and was importantly linked to Continental's systemic importance. KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Crisis Management H12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016003pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549588&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016003pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuetz, Jenny AU - Giuliano, Genevieve AU - Shin, Eun Jin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does Zoning Help or Hinder Transit-Oriented (Re)Development? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-020 Y1 - 2016/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569511; Keywords: Public transportation; zoning; housing markets; land use planning; urban spatial structure; local government; Publication Type: Working Paper; Update Code: 201605 N2 - Despite its reputation as a car-oriented city, the Los Angeles metropolitan area has made substantial investments in developing rail transit since 1990. In cities with older "legacy" rail systems, the built environment has developed over time around fixed transit infrastructure, creating land use patterns oriented towards long-standing rail stations. By contrast, rail stations in Los Angeles were added to an already dense built environment, with auto oriented zoning and established land use patterns. In this paper we ask whether redevelopment is occurring around Los Angeles' rail stations, and whether zoning and related public policies are facilitating or constraining transit-oriented development. We conduct case studies of six Metro rail stations in the Los Angeles region, documenting the existing built environment, key components of zoning and land use planning, and the extent and type of new development in the immediate vicinity of stations after they opened. Results illustrate that redevelopment around transit stations involves complex interactions between physical environment, economic conditions and public interventions. Incompatible zoning and related land use policies may constrain growth near stations, but TOD-friendly zoning alone is not sufficient to spur development. KW - State and Local Government; Intergovernmental Relations: General H70 KW - Economic Development: Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure O18 KW - General Regional Economics (includes Regional Data) R10 KW - Real Estate Markets, Spatial Production Analysis, and Firm Location: General R30 KW - Transportation Economics: General R40 KW - Regional Government Analysis: General R50 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016020pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569511&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016020pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gebbia, Nick AD - Unlisted T1 - Option-Implied Libor Rate Expectations across Currencies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1182 Y1 - 2016/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599423; Keywords: Options ; Futures ; Libor ; Pdf ; Distribution ; Moments ; Granger causality; Publication Type: Working Paper; Update Code: 201610 N2 - In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for the underlying to estimate full probability density functions for future Libor rates. I use these estimates in case studies, detailing the evolution of probabilistic expectations for future Libor rates over the course of several important market events. Next, I compute distributional moments from density functions estimated for fixed horizons and test for Granger causality across the three Libor rate distributions considering their mean, standard deviation, skewness, and kurtosis. I further break these relationships down by various fixed horizon lengths, as well as the slope and curvature in the term structure of moments over different horizons. The results show a rich interconnectedness among these three Libor rates that extends well beyond levels of future mean expectations. KW - Semiparametric and Nonparametric Methods: General C14 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1182.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599423&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1182.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prono, Todd AD - Unlisted T1 - Simple Estimators for ARCH Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-083 Y1 - 2016/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599403; Keywords: ARCH; Closed form estimation; Heavy tails; Instrumental variables; Regular variation; Three-step estimation; Publication Type: Working Paper; Update Code: 201610 N2 - Covariances between contemporaneous squared values and lagged levels form the basis for closed-form instrumental variables estimators of ARCH processes. These simple estimators rely on asymmetry for identification (either in the model's rescaled errors or the conditional variance function) and apply to threshold ARCH(1) and ARCH(p) with p < infinity processes. Limit theory for these estimators is established in the case where the ARCH processes are regularly varying with a well-defined third and sixth moment of the raw returns and rescaled errors, respectively. The resulting limits are highly non-normal in empirically relevant cases, with slow rates of convergence relative to the thin-tailed n-case. Nevertheless, Monte Carlo studies of a heavy-tailed ARCH(1) process show the simple IV estimator to outperform standard QMLE in (relatively) small samples when the data are (heavily) skewed. Methods for determining confidence intervals for the ARCH estimates are also discussed. KW - Estimation: General C13 KW - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C22 KW - Financial Econometrics C58 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016083pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599403&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016083pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Danielsson, Jon AU - Valenzuela, Marcela AU - Zer, Ilknur AD - Unlisted AD - Unlisted AD - Unlisted T1 - Learning from History : Volatility and Financial Crises PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-093 Y1 - 2016/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605747; Keywords: Stock market volatility; Financial crises predictability; Volatility paradox; Minsky hypothesis; Financial instability; Risk-taking; Publication Type: Working Paper; Update Code: 201612 N2 - We study the effects of volatility on financial crises by constructing a cross-country database spanning over 200 years. Volatility is not a significant predictor of crises whereas unusually high and low volatilities are. Low volatility is followed by credit build-ups, indicating that agents take more risk in periods of low financial risk consistent with Minsky hypothesis, and increasing the likelihood of a banking crisis. The impact is stronger when financial markets are more prominent and less regulated. Finally, both high and low volatilities make stock market crises more likely, while volatility in any form has no impact on currency crises. KW - International Finance: General F30 KW - International Business Cycles F44 KW - Financial Crises G01 KW - General Financial Markets: General (includes Measurement and Data) G10 KW - General Financial Markets: Government Policy and Regulation G18 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: General, International, or Comparative N10 KW - Economic History: Financial Markets and Institutions: General, International, or Comparative N20 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016093pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605747&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016093pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johannsen, Benjamin K. AU - Mertens, Elmar AD - Unlisted AD - Unlisted T1 - A Time Series Model of Interest Rates With the Effective Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-033 Y1 - 2016/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569509; Keywords: Bayesian Econometrics ; Effective Lower Bound ; Shadow Rate ; State-Space Model ; Term Structure of Interest Rates; Publication Type: Working Paper; Update Code: 201605 N2 - Modeling interest rates over samples that include the Great Recession requires taking stock of the effective lower bound (ELB) on nominal interest rates. We propose a flexible time-series approach which includes a "shadow rate"--a notional rate that is less than the ELB during the period in which the bound is binding--without imposing no-arbitrage assumptions. The approach allows us to estimate the behavior of trend real rates as well as expected future interest rates in recent years. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models C34 KW - Forecasting Models; Simulation Methods C53 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Money and Interest Rates: Forecasting and Simulation: Models and Applications E47 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016033pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569509&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016033pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Wheelock, David C. AD - Unlisted AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Did the Founding of the Federal Reserve Affect the Vulnerability of the Interbank System to Systemic Risk? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-059 Y1 - 2016/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586843; Keywords: Federal Reserve System; Contagion; Systemic risk; Seasonal liquidity demand; Interbank networks; Banking panics; National Banking system; Publication Type: Working Paper; Update Code: 201608 N2 - As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but the system also transmitted shocks during banking panics. The Federal Reserve was established in 1914 to reduce reliance on the interbank market and correct other defects that caused banking system instability. Drawing on recent theoretical work on interbank networks, we examine how the Fed's establishment affected the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply reduced their liquidity after the Fed's founding. The industry's response illustrates how the introduction of a lender of last resort can alter private behavior in a way that increases the likelihood that the lender will be needed. KW - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems E42 KW - Financial Markets and the Macroeconomy E44 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: Pre-1913 N11 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913 N21 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: 1913- N22 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016059pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586843&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016059pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rappoport, David AD - Unlisted T1 - Do Mortgage Subsidies Help or Hurt Borrowers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-081 Y1 - 2016/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599408; Keywords: Public economics ; Mortgage subsidies ; Incidence ; Optimal taxation ; House prices ; Mortgage interest deductions ; MID; Publication Type: Working Paper; Update Code: 201610 N2 - Mortgage subsidies affect homeownership costs by reducing effective mortgage rates and increasing house prices. I show analytically the role of mortgage subsidies in determining house price changes, economic incidence, and efficiency costs using a theoretical framework for applied welfare analysis. I derive simple expressions for these effects, as functions of reduced-form sufficient statistics, which I use to measure the effects from eliminating mortgage deductions. My main results characterize the distributional impact of mortgage subsidies among buyers and owners and how house price responses attenuate efficiency losses. My results provide broader methodological insights into the welfare analysis of credit policies. KW - Taxation and Subsidies: Incidence H22 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand R21 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Government Policy R28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016081pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599408&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016081pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AU - Lettau, Michael AU - Wascher, William L. AD - Federal Reserve Bank of Cleveland, AD - Bureau of Labor Statistics AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Downward Nominal Wage Rigidity in the United States During and After the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-1 Y1 - 2016/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549598; Publication Type: Working Paper; Update Code: 201602 N2 - Rigidity in wages has long been thought to impede the functioning of labor markets. One recent strand of the research on wage flexibility in the United States and elsewhere has focused on the possibility of downward nominal wage rigidity and what implications such rigidity might have for the macroeconomy at low levels of inflation. The Great Recession of 2008-09, during which the unemployment rate topped 10 percent and price deflation was at times seen as a distinct possibility, along with the subsequent slow recovery and persistently low inflation, has added to the relevance of this line of inquiry. In this paper, we use establishment-level data from a nationally representative establishment-based compensation survey collected by the Bureau of Labor Statistics to investigate the extent to which downward nominal wage rigidity is present in U.S. labor markets. We use several distinct methods proposed in the literature to test for downward nominal wage rigidity, and to assess whether such rigidity is more severe at low rates of inflation and in the presence of negative economic shocks than in more normal economic times. Like earlier studies, we find evidence of a significant amount of downward nominal wage rigidity in the United States. We find no evidence that the high degree of labor market distress during the Great Recession reduced the amount of downward nominal wage rigidity and some evidence that operative rigidity may have increased during that period. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016001pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549598&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016001pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Marco, Filippo AU - Macchiavelli, Marco AD - Unlisted AD - Unlisted T1 - The Political Origin of Home Bias: The Case of Europe PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-060 Y1 - 2016/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586851; Keywords: Banks-sovereign nexus; Home bias; Government-owned banks; Banks' recapitalization; Board of directors; Publication Type: Working Paper; Update Code: 201608 N2 - We show that politics is at the root of the banks-sovereign nexus that exacerbated the Eurozone crisis. First, government-owned banks or banks with politicians in the board of directors display higher home bias in sovereign debt compared to privately-owned banks throughout the 2010-2013 period. Second, only government-owned banks increased the home bias during the sovereign crisis (moral suasion). We exploit the fact that equity injections (bail-outs) by domestic governments were not directly targeted to politically connected banks to show that, upon receiving such assistance, only government-owned banks purchase domestic debt. Moral suasion is stronger in countries under stress. KW - Financial Crises G01 KW - Portfolio Choice; Investment Decisions G11 KW - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior D72 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016060pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586851&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016060pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leduc, Sylvain AU - Moran, Kevin AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1179 Y1 - 2016/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599422; Keywords: Kalman filter ; Time-variation ; Inventories ; Conditional response; Publication Type: Working Paper; Update Code: 201610 N2 - We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and consistent with the muted impact oil-price changes had on macroeconomic outcomes during the early 2000s and again over the past two years. The Spring 2008 increase in oil prices had a larger impact because market participants considered that it was likely driven by permanent shocks. KW - Business Fluctuations; Cycles E32 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Energy and the Macroeconomy Q43 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1179.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599422&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1179.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schorfheide, Frank AU - Cuba-Borda, Pablo AU - Aruoba, S. Boragan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1163 Y1 - 2016/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569540; Keywords: Deflation ; DSGE Models ; Japan ; Multiple Equilibria ; Nonlinear Filtering ; Nonlinear Solution Methods ; Sunspots ; U.S. ; ZLB; Publication Type: Working Paper; Update Code: 201605 N2 - We compute a sunspot equilibrium in an estimated small-scale New Keynesian model with a zero lower bound (ZLB) constraint on nominal interest rates and a full set of stochastic fundamental shocks. In this equilibrium a sunspot shock can move the economy from a regime in which inflation is close to the central bank's target to a regime in which the central bank misses its target, inflation rates are negative, and interest rates are close to zero with high probability. A nonlinear filter is used to examine whether the U.S. in the aftermath of the Great Recession and Japan in the late 1990s transitioned to a deflation regime. The results are somewhat sensitive to the model specification, but on balance, the answer is affirmative for Japan and negative for the U.S. KW - Econometric Modeling: General C50 KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1163.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569540&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1163.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kyle, Albert S. AU - Obizhaeva, Anna A. AU - Tuzun, Tugkan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Microstructure Invariance in U.S. Stock Market Trades PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-034 Y1 - 2016/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569504; Keywords: market microstructure ; transactions data ; market frictions ; trade size ; tick size ; order shredding ; clustering ; TAQ data; Publication Type: Working Paper; Update Code: 201605 N2 - This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993-2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly close to the value of 2/3 predicted by the invariance hypothesis. Over the 2001-14 period, the estimated coefficients rise, and their average value is equal to 0.79, suggesting that the reduction in tick size in 2001 and the subsequent increase in algorithmic trading resulted in a more intense order shredding in more liquid stocks. The distributions of trade sizes, adjusted for differences in trading activity, resemble a log-normal before 2001; there is clearly visible truncation at the round-lot boundary and clustering of trades at even levels. These distributions change dramatically over the 2001-14 period with their means shifting downward. The invariance hypothesis explains about 88 percent of the cross-sectional variation in trade arrival rates and average trade sizes; additional explanatory variables include the invariance-implied measure of effective price volatility. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016034pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569504&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016034pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Foley-Fisher, Nathan AU - Ramcharan, Rodney AU - Yu, Edison AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Impact of Unconventional Monetary Policy on Firm Financing Constraints : Evidence from the Maturity Extension Program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-025 Y1 - 2016/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569521; Keywords: unconventional monetary policy ; firm-financial constraints ; bond markets; Publication Type: Working Paper; Update Code: 201605 N2 - This paper investigates the impact of unconventional monetary policy on firm financial constraints. It focuses on the Federal Reserve's maturity extension program (MEP), intended to lower longer-term rates and flatten the yield curve by reducing the supply of long-term government debt. Consistent with those models that emphasize bond market segmentation and limits to arbitrage, around the MEP's announcement, stock prices rose most sharply for those firms that are more dependent on longer-term debt. These firms also issued more long-term debt during the MEP and expanded employment and investment. These responses are most pronounced for those firms that are larger and older, and hence less likely to be financially constrained. There is also evidence of "reach for yield" behavior among some institutional investors, as the demand for riskier corporate debt also rose during the MEP. Our results suggest that unconventional monetary policy might have helped to relax financial constraints for some types of firms in part by inducing gap-filling behavior and affecting the pricing of risk in the bond market. KW - Monetary Policy E52 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016025pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569521&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016025pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arias, Jonas E. AU - Erceg, Christopher J. AU - Trabandt, Mathias AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Macroeconomic Risks of Undesirably Low Inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1162 Y1 - 2016/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569539; Keywords: Inflation Expectations ; Wages ; Productivity ; Disinflation ; Monetary Policy ; Liquidity Trap ; DSGE Model; Publication Type: Working Paper; Update Code: 201605 N2 - This paper investigates the macroeconomic risks associated with undesirably low inflation using a medium-sized New Keynesian model. We consider different causes of persistently low inflation, including a downward shift in long-run inflation expectations, a fall in nominal wage growth, and a favorable supply-side shock. We show that the macroeconomic effects of persistently low inflation depend crucially on its underlying cause, as well as on the extent to which monetary policy is constrained by the zero lower bound. Finally, we discuss policy options to mitigate these effects. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1162.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569539&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1162.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lee, Seung Jung AU - Stebunovs, Viktors AD - Unlisted AD - Unlisted T1 - Bank Capital Pressures, Loan Substitutability, and Nonfinancial Employment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1161 Y1 - 2016/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569538; Keywords: Bank capital ratios ; bank capital regulation ; loan substitutability ; employment ; firm dynamics; Publication Type: Working Paper; Update Code: 201605 N2 - We exploit the cross-state, cross-time variation in bank tangible capital ratios-brought about by bank branch deregulation on a state-by-state basis-to identify the effects of bank capital pressures on employment and firm dynamics during two waves of changes in bank capital regulation. We show that stronger capital pressures temporarily slowed down growth in employment in industries that depend on external finance, retarding growth in the average size of firms rather than in the number of firms. Such effects were particularly strong for smaller firms that may not have had access to national capital and bank loan markets. Our findings indicate that a tightening of capital requirements may have significant real effects, in part because of the lack of substitutes for bank loans. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Corporate Finance and Governance: General G30 KW - Demand and Supply of Labor: General J20 KW - Firm Performance: Size, Diversification, and Scope L25 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1161.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569538&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1161.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von Beschwitz, Bastian AU - Foos, Daniel AD - Unlisted AD - Unlisted T1 - Banks' Equity Stakes and Lending : Evidence from a Tax Reform PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1183 Y1 - 2016/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605751; Keywords: Relationship banking; Ownership; Monitoring; Publication Type: Working Paper; Update Code: 201612 N2 - Several papers find a positive association between a bank's equity stake in a borrowing firm and lending to that firm. While such a positive cross-sectional correlation may be due to equity stakes benefiting lending, it may also be driven by endogeneity. To distinguish the two, we study a German tax reform that permitted banks to sell their equity stakes tax-free. After the reform, many banks sold their equity stakes, but did not reduce lending to the firms. Thus, our findings suggest that the prior evidence cannot be interpreted causally and that banks' equity stakes are immaterial for their lending. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - https://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1183.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605751&site=ehost-live&scope=site UR - https://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1183.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Wheelock, David C. AD - Bank for International Settlements and Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of St. Louis T1 - Did the Founding of the Federal Reserve Affect the Vulnerability of the Interbank System to Systemic Risk? PB - Federal Reserve Bank of St. Louis, Working Papers: 2016-12 Y1 - 2016/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586883; Keywords: Federal Reserve System; contagion; systemic risk; seasonal liquidity demand; interbank networks; banking panics; National Banking system; Publication Type: Working Paper; Update Code: 201608 N2 - As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but the system also transmitted shocks during banking panics. The Federal Reserve was established in 1914 to reduce reliance on the interbank market and correct other defects that caused banking system instability. Drawing on recent theoretical work on interbank networks, we examine how the Fed's establishment affected the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply reduced their liquidity after the Fed's founding. The industry's response illustrates how the introduction of a lender of last resort can alter private behavior in a way that increases the likelihood that the lender will be needed. KW - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems E42 KW - Financial Markets and the Macroeconomy E44 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: Pre-1913 N11 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913 N21 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: 1913- N22 L3 - https://research.stlouisfed.org/wp/2016/2016-012.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586883&site=ehost-live&scope=site UR - https://research.stlouisfed.org/wp/2016/2016-012.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von Beschwitz, Bastian AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Cash Windfalls and Acquisitions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1159 Y1 - 2016/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569536; Keywords: acquisitions; free cash flow theory; overinvestment; Publication Type: Working Paper; Update Code: 201605 N2 - This article studies the effect of cash windfalls on the acquisition policy of companies. As identification I use a German tax reform that permitted firms to sell their equity stakes tax-free. Companies that could realize a cash windfall by selling equity stakes see an increase in the probability of acquiring another company by 19 percent. I find that these additional acquisitions destroy firm value. Following the tax reform, affected firms experience a decrease of 1.2 percentage points in acquisition announcement returns. These effects are stronger for larger cash windfalls. My findings are consistent with the free cash flow theory. KW - Corporate Finance and Governance: General G30 KW - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G31 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1159.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569536&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1159.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fried, Stephie AU - Novan, Kevin AU - Peterman, William B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Distributional Effects of a Carbon Tax on Current and Future Generations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-038 Y1 - 2016/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569519; Keywords: Carbon taxation ; overlapping generations; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines the non-environmental welfare effects of introducing a revenue-neutral carbon tax policy. Using a life cycle model, we find that the welfare effects of the policy differ substantially for agents who are alive when the policy is enacted compared to those who are born into the new steady state with the carbon tax in place. Consistent with previous studies, we demonstrate that, for those born in the new steady state, the welfare costs are always lower when the carbon tax revenue is used to reduce an existing distortionary tax as opposed to being returned in the form of lump-sum payments. In contrast, during the transition, we find that rebating the revenue with a lump sum transfer is less costly than using the revenue to reduce the distortionary labor tax. Additionally, we find that the tax policy is substantially more regressive over the transition than in the steady state, regardless of what is done with the revenue. Overall, our results demonstrate that estimates of the non-environmental welfare costs of carbon tax policies that are based solely on the long-run, steady state outcomes may ultimately paint too rosy of a picture. Thus, when designing climate policies, policymakers must pay careful attention to not only the long-run outcomes, but also the transitional welfare costs and regressivity of the policy. KW - Fiscal Policy E62 KW - Taxation and Subsidies: Efficiency; Optimal Taxation H21 KW - Taxation and Subsidies: Externalities; Redistributive Effects; Environmental Taxes and Subsidies H23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016038pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569519&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016038pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kruttli, Mathias S. AD - Unlisted T1 - From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-027 Y1 - 2016/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569513; Keywords: Bayesian econometrics ; consumption-based asset pricing ; return predictability; Publication Type: Working Paper; Update Code: 201605 N2 - This paper compares consumption-based asset pricing models on the basis of whether they can improve the forecast accuracy of investors who try to predict the equity premium out-of-sample with valuation ratios. Model-based priors are derived from three prominent consumption-based asset pricing models: Habit Formation, Long Run Risk, and Prospect Theory. A simple Bayesian framework is proposed through which the investors impose these model-based priors on the parameters of their predictive models. An investor whose prior beliefs are rooted in the Long Run Risk model achieves more accurate forecasts overall. The greatest difference in performance occurs during the bull market of the late 1990s. During this period, the weak predictability of the equity premium implied by the Long Run Risk model helps the investor to not prematurely anticipate falling stock prices. KW - Portfolio Choice; Investment Decisions G11 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Financial Forecasting and Simulation G17 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016027pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569513&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016027pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Herbst, Edward AD - Unlisted AD - Unlisted T1 - Monetary Policy, Real Activity, and Credit Spreads : Evidence from Bayesian Proxy SVARs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-049 Y1 - 2016/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586844; Keywords: Bayesian Inference; Monetary policy; Vector Autoregressions; Publication Type: Working Paper; Update Code: 201608 N2 - This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high frequency data. For the Great Moderation period, we find that monetary policy shocks are key drivers of fluctuations in industrial output and corporate credit spreads, explaining about 20 percent of the volatility of these variables. Central to this result is a systematic component of monetary policy characterized by a direct and economically significant reaction to changes in credit spreads. We show that the failure to account for this endogenous reaction induces an attenuation bias in the response of all variables to monetary shocks. KW - Monetary Policy E52 KW - Multiple or Simultaneous Equation Models; Multiple Variables: General C30 KW - Econometric Modeling: General C50 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016049pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586844&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016049pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smolyansky, Michael AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Policy Externalities and Banking Integration PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-8 Y1 - 2016/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549587; Keywords: Banks; Credit Supply; Internal Capital Markets; Policy Arbitrage; Small Business Lending; Taxation; Publication Type: Working Paper; Update Code: 201602 N2 - Can policies directed at the banking sector in one jurisdiction spill over and affect real economic activity elsewhere? To investigate this question, I exploit changes in tax rates on bank profits across U.S. states. Banks respond by reallocating small-business lending to otherwise unaffected states. Moreover, counties in non-tax-changing states that have more exposure to "treated" banks experience greater changes in lending, which in turn impacts local employment. The findings demonstrate that policies aimed at the banking sector in one jurisdiction can impose externalities on other regions. Critically, financial linkages between regions serve as the transmission channel for these policy externalities. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016008pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549587&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016008pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hills, Timothy S. AU - Nakata, Taisuke AU - Schmidt, Sebastian AD - New York University AD - Board of Governors of the Federal Reserve System (U.S.) AD - European Central Bank T1 - The Risky Steady State and the Interest Rate Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-9 Y1 - 2016/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549604; Keywords: Deflationary Bias; Disinflation; Inflation Targeting; Risky Steady State; Tail Risk; Zero Lower Bound; Publication Type: Working Paper; Update Code: 201602 N2 - Even when the policy rate is currently not constrained by its effective lower bound (ELB), the possibility that the policy rate will become constrained in the future lowers today's inflation by creating tail risk in future inflation and thus reducing expected inflation. In an empirically rich model calibrated to match key features of the U.S. economy, we find that the tail risk induced by the ELB causes inflation to undershoot the target rate of 2 percent by as much as 45 basis points at the economy's risky steady state. Our model suggests that achieving the inflation target may be more difficult now than before the Great Recession, if the recent ELB experience has led households and firms to revise up their estimate of the ELB frequency. KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016009pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549604&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016009pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuetz, Jenny AU - Giuliano, Genevieve AU - Shin, Eun Jin AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Southern California AD - University of Southern California T1 - Is Los Angeles Becoming Transit Oriented? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-4 Y1 - 2016/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549597; Keywords: Urban spatial structure; public transportation; economic development; housing; Publication Type: Working Paper; Update Code: 201602 N2 - Over the past 20 years, local and regional governments in the Los Angeles metropolitan area have invested significant resources in building rail transit infrastructure that connects major employment centers. One goal of transit infrastructure is to catalyze the development of high density, mixed-use housing and commercial activity within walking distance of rail stations, referred to as Transit Oriented Development (TOD). This project examines the quantity, type, and mix of economic activity that has occurred around newly built rail stations in Los Angeles over the past 20 years. Specifically, have the number of jobs or housing market characteristics changed near stations? We use establishment-level data on employment and property-level data on housing transactions to analyze changes in several employment and housing outcomes. Results suggest that new rail stations were located in areas that, prior to station opening, had unusually high employment density and mostly multifamily rental housing. There is no evidence of changes in employment density, housing sales volume, or new housing development within five years after station opening. Regressions suggest that a subset of stations saw increased employment density within five to ten years after opening. KW - Publicly Provided Goods: General H40 KW - Economic Development: Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure O18 KW - General Regional Economics (includes Regional Data) R10 KW - Real Estate Markets, Spatial Production Analysis, and Firm Location: General R30 KW - Transportation Economics: General R40 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016004pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549597&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016004pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Banegas, Ayelen AD - Unlisted T1 - Predictability of Growth in Emerging Markets: Information in Financial Aggregates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1174 Y1 - 2016/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586874; Keywords: Output growth predictability; Emerging markets; Leading indicators; Financial variables; Publication Type: Working Paper; Update Code: 201608 N2 - This paper tests for predictability of output growth in a panel of 22 emerging market economies. We use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of financial aggregates. Results show that stock returns, the term spread, default spreads and portfolio investment flows help predict output growth in emerging markets. We also find evidence that suggests that global aggregates such as the performance of commodity markets, a cross-sectional firm size factor, and returns on the market portfolio contain information about the future state of the economy. We benchmark our results against those from the U.S. and find that there are differences in the ability of financial markets in predicting economic growth. Our results generalize to emerging markets previous findings in the empirical macro-finance literature on the linkages between financial market performance and the real economy. KW - Financial Markets and the Macroeconomy E44 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1174.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586874&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1174.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hsu, Alex AU - Li, Erica X. N. AU - Palomino, Francisco J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-032 Y1 - 2016/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569516; Keywords: Term structure of interest rates ; bond risk premia ; monetary policy ; nominal rigidities; Publication Type: Working Paper; Update Code: 201605 N2 - The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model with nominal rigidities and monetary policy. The estimated model captures macroeconomic and yield curve properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both premia are positive and generated by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia. Empirical evidence of the economic mechanism is provided. KW - Exchange and Production Economies D51 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016032pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569516&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016032pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brancati, Emanuele AU - Macchiavelli, Marco AD - Unlisted AD - Unlisted T1 - Endogenous Debt Maturity and Rollover Risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-074 Y1 - 2016/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599409; Keywords: Banks ; Debt issuance ; Financial crisis ; Maturity structure ; Rollover risk; Publication Type: Working Paper; Update Code: 201610 N2 - We challenge the common view that short-term debt, by having to be rolled over continuously, is a risk factor that exposes banks to higher default risk. First, we show that the average effect of expiring obligations on default risk is insignificant; it is only when a bank has limited access to new funds that maturing debt has a detrimental impact on default risk. Next, we show that both limited access to new funds and shorter maturities are causally determined by deteriorating market expectations about the bank's future profitability. In other words, short-term debt is not a cause of fragility but the result of creditors losing faith in the long-run prospects of the bank, hence forcing it to shorten its debt maturity. Finally, we build a model that endogenizes the debt maturity structure and predicts that worse market expectations lead to a maturity shortening. KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016074pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599409&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016074pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aikman, David AU - Lehnert, Andreas AU - Liang, J. Nellie AU - Modugno, Michele AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-055 Y1 - 2016/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586862; Keywords: Financial stability and risk; Monetary policy; Credit; Publication Type: Working Paper; Update Code: 201608 N2 - We define a measure to be a financial vulnerability if, in a VAR framework that allows for nonlinearities, an impulse to the measure leads to an economic contraction. We evaluate alternative macrofinancial imbalances as vulnerabilities: nonfinancial sector credit, risk appetite of financial market participants, and the leverage and short-term funding of financial firms. We find that nonfinancial credit is a vulnerability: impulses to the credit-to-GDP gap when it is high leads to a recession. Risk appetite leads to an economic expansion in the near-term, but also higher credit and a recession in later years, suggesting an intertemporal tradeoff. Monetary policy is generally ineffective at slowing the economy once the credit-to-GDP gap is high, suggesting important benefits from avoiding excessive credit growth. Financial sector leverage and short-term funding do not lead directly to contractions and thus are not vulnerabilities by our definition. KW - Central Banks and Their Policies E58 KW - Studies of Particular Policy Episodes E65 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016055pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586862&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016055pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark S. AU - Gordy, Michael B. AD - Unlisted AD - Unlisted T1 - The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-069 Y1 - 2016/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599402; Keywords: Bankruptcy ; Credit risk ; Debt default ; Recovery rates; Publication Type: Working Paper; Update Code: 201610 N2 - We offer a model and evidence that private debtholders play a key role in setting the endogenous asset value threshold below which corporations declare bankruptcy. The model, in the spirit of Black and Cox (1976), implies that the recovery rate at emergence from bankruptcy on all of the firm's debt taken together is increasing in the pre-bankruptcy share of private debt in all debt. Empirical evidence supports this and other implications of the model. Indeed, debt composition has a more economically material empirical influence on recovery than all other variables we try taken together. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Bankruptcy; Liquidation G33 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016069pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599402&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016069pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fang, Hanming AU - Kim, You Suk AU - Li, Wenli AD - University of Pennsylvania AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of Philadelphia T1 - The dynamics of subprime adjustable-rate mortgage default: a structural estimation PB - Federal Reserve Bank of Philadelphia, Working Papers: 16-2 Y1 - 2016/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549662; Keywords: Adjustable-rate mortgage; Default; Loan modification; Automatic modification mortgages with cushions; Publication Type: Working Paper; Update Code: 201602 N2 - We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions, taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs as well as the housing and labor market conditions were not as important in borrowers' delinquency decisions as in their decisions to pay o_ their loans. For loans originated in 2006, interest rate resets, housing price declines, and worsening labor market conditions all contributed importantly to their high delinquency rates. Counterfactual policy simulations reveal that even if the London Interbank Offered Rate (LIBOR) could be lowered to zero by aggressive traditional monetary policies, it would have a limited effect on reducing the delinquency rates. We find that automatic modification mortgages with cushions, under which the monthly payment or principal balance reductions are triggered only when housing price declines exceed a certain percentage, may result in a Pareto improvement, in that borrowers and lenders are both made better o_ than under the baseline, with lower delinquency and foreclosure rates. Our counterfactual analysis also suggests that limited commitment power on the part of the lenders regarding loan modification policies may be an important reason for the relatively low rate of modifications observed during the housing crisis. KW - Consumer Economics: Empirical Analysis D12 KW - Household Saving; Personal Finance D14 KW - Financial Institutions and Services: General G20 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Bankruptcy; Liquidation G33 L3 - https://www.philadelphiafed.org/-/media/research-and-data/publications/working-papers/2016/wp16-02.pdf?la=en UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549662&site=ehost-live&scope=site UR - https://www.philadelphiafed.org/-/media/research-and-data/publications/working-papers/2016/wp16-02.pdf?la=en DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Non-Linear Phillips Curves with Inflation Regime-Switching PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-078 Y1 - 2016/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599404; Keywords: Markov-switching ; NAIRU ; Threshold regression ; Wage Inflation ; Core PCE prices; Publication Type: Working Paper; Update Code: 201610 N2 - Building on the results in Nalewaik (FEDS 2015-93), this work models wage growth and core PCE price inflation as regime-switching processes, whose characteristics in the 1970s, 1980s and early 1990s differ fundamentally from their characteristics in the 1960s and from the mid-1990s to present. The key innovation here is the addition to the models of fundamental driving variables like labor-market slack, and the evidence strongly suggests a non-linear effect of slack on wage growth and core PCE price inflation that becomes much larger after labor markets tighten beyond a certain point. The results are informative for assessing the likelihood and risks of meeting certain inflation targets on a sustained basis. KW - Price Level; Inflation; Deflation E31 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Money Supply; Credit; Money Multipliers E51 KW - Central Banks and Their Policies E58 KW - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C22 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016078pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599404&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016078pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Winkler, Fabian AD - Unlisted T1 - The Role of Learning for Asset Prices, Business Cycles, and Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-019 Y1 - 2016/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569531; Keywords: Asset Pricing; Credit Constraints; Learning; Monetary policy; Survey Data; Publication Type: Working Paper; Update Code: 201605 N2 - The importance of financial frictions for the business cycle is widely recognized, but it is less recognized that their effects depend heavily on the underlying asset pricing theory. This paper examines the implications of learning-based asset pricing. I construct a model in which firms' ability to access credit depends on their market value, and investors rely on past observation to predict future stock prices. Agents' expectations remain model-consistent conditional on their beliefs about stock prices, which disciplines the expectation formation process. The model matches several asset price properties such as return volatility and predictability and also leads to a powerful feedback loop between asset prices and real activity, substantially amplifying business cycle shocks. Agents' expectational errors on asset prices spill over to forecasts of economic activity, resulting in forecast error predictability that closely matches survey data. A reaction of monetary policy to asset price is welfare-improving under learning but not under rational expectations. KW - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness D83 KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016019pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569531&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016019pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shin, Minchul AU - Zhong, Molin AD - Unlisted AD - Unlisted T1 - A New Approach to Identifying the Real Effects of Uncertainty Shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-040 Y1 - 2016/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569510; Keywords: Multivariate stochastic volatility ; Uncertainty ; Vector autoregression ; Volatility-in-mean ; Wishart process; Publication Type: Working Paper; Update Code: 201605 N2 - This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic data so they are associated with changes in the volatility of the shocks hitting the macroeconomy. Second, we advance a new approach to identify uncertainty shocks by placing limited economic restrictions on the first and second moment responses to these shocks. Third, we consider an extension of the sign restrictions methodology of Uhlig (2005) to uncertainty shocks. To illustrate our methods, we ask what is the role of financial markets in transmitting uncertainty shocks to the real economy? We find evidence that an increase in uncertainty leads to a decline in industrial production only if associated with a deterioration in financial conditions. KW - Bayesian Analysis: General C11 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016040pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569510&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016040pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Monarch, Ryan AD - Unlisted T1 - It's Not You, It's Me' : Breakups in U.S.-China Trade Relationships PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1165 Y1 - 2016/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586873; Keywords: International Trade; Import Price; Transactional Relationships; Publication Type: Working Paper; Update Code: 201608 N2 - Costs to switching suppliers can affect prices by discouraging buyer movements from high to low cost sellers. This paper uses confidential U.S. Customs data on U.S. importers and their Chinese exporters to investigate these costs. I find considerable barriers to supply chain adjustments: 45% of arm's-length importers keep their partner, and one-third of switching importers remain in the same city. Guided by these regularities, I propose and structurally estimate a dynamic discrete exporter choice model. Cost estimates are large and heterogeneous across products. These costs matter for trade prices: halving switching costs reduces the U.S.-China Import Price Index by 14.7%. KW - Empirical Studies of Trade F14 KW - Multinational Firms; International Business F23 KW - Transactional Relationships; Contracts and Reputation; Networks L14 KW - Firm Behavior: Theory D21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1165.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586873&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1165.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AU - Queralto, Albert AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System T1 - Credit spreads, financial crises, and macroprudential policy PB - Federal Reserve Bank of New York, Staff Reports: 802 Y1 - 2016/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605769; Keywords: financial intermediation; sudden stops; leverage constraints; occasionally binding constraints; financial stability policy; Publication Type: Working Paper; Update Code: 201612 N2 - Credit spreads display occasional spikes and are more strongly countercyclical in times of financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring deep recessions and sharp losses in bank equity. We develop a macroeconomic model with a banking sector in which banks' leverage constraints are occasionally binding and equity issuance is endogenous. The model captures the nonlinearities in the data and produces quantitatively realistic crises. Endogenous equity issuance makes crises infrequent but does not prevent them altogether. Macroprudential policy designed to enhance banks' incentive to issue equity lowers the probability of a crisis and increases welfare. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Open Economy Macroeconomics F41 L3 - https://www.newyorkfed.org/research/staff_reports/sr802.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605769&site=ehost-live&scope=site UR - https://www.newyorkfed.org/research/staff_reports/sr802.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Banegas, Ayelen AU - Montes-Rojas, Gabriel AU - Siga, Lucas AD - Unlisted AD - Unlisted AD - Unlisted T1 - Mutual Fund Flows, Monetary Policy and Financial Stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-071 Y1 - 2016/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599415; Keywords: First-mover advantage ; Monetary policy ; Mutual fund flows; Publication Type: Working Paper; Update Code: 201610 N2 - We study the links between monetary policy and mutual fund flows, and the potential risks to financial stability that might arise from such flows, using data over the 2000-14 period. We find that monetary policy can have a direct influence on the allocation decisions of mutual fund investors. In particular, we show that monetary policy shocks explain mutual fund flow dynamics and that the effect of these shocks differs by investment strategy. Results suggest that positive shocks to the path of monetary policy (unexpected tightening) are associated with persistent outflows from bond mutual funds. Conversely, a tighter-than-expected monetary policy path will cause net inflows into equity funds. In an industry that "mutualizes" redemption costs and where many funds may engage in liquidity transformation, our flow-performance analysis provides evidence of the potential existence of a first-mover advantage in less liquid segments of the market. KW - Financial Institutions and Services: General G20 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016071pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599415&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016071pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Inflation Expectations and the Stabilization of Inflation : Alternative Hypotheses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-035 Y1 - 2016/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569505; Keywords: Inflation ; Phillips Curve; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines two candidate hypotheses explaining the stabilization of U.S. inflation since the 1970s and 1980s. The first explanation credits the stabilization of inflation expectations, and assumes those expectations have a strong positive causal effect on actual subsequent inflation, while the second explanation credits the disappearance of such a strong positive causal effect. The paper reports statistical tests favorable to both a stabilization of inflation expectations and a marked decline in the effect of the general public's inflation expectations on subsequent inflation. KW - Price Level; Inflation; Deflation E31 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016035pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569505&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016035pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AU - Han, Song AU - Li, Dan AU - Li, Yi AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-091 Y1 - 2016/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605740; Keywords: Corporate Bond; Herding; Institutional Investors; Liquidity; Return Reversal; Publication Type: Working Paper; Update Code: 201612 N2 - Among growing concerns about potential financial stability risks posed by the asset management industry, herding has been considered as an important risk amplification channel. In this paper, we examine the extent to which institutional investors herd in their trading of U.S. corporate bonds and quantify the price impact of such herding behavior. We find that, relative to what is documented for the equity market, the level of institutional herding is much higher in the corporate bond market, particularly among speculative-grade bonds. In addition, mutual funds have become increasingly likely to herd when they sell, a trend not observed among insurance companies and pension funds. We also show that bond investors herd not only within a quarter, but also over adjacent quarters. Such persistence in trading is largely driven by funds imitating the trading behavior of other funds in the previous quarter. Finally, we find that there is an asymmetry in the price impact of herding. While buy herding is associated with a permanent price impact that is consistent with price discovery, sell herding results in transitory yet significant price distortions. The price destabilizing effect of sell herding is particularly strong for high-yield bonds, small bonds, and illiquid bonds and during the recent global financial crisis. KW - Financial Crises G01 KW - Behavioral Finance: Underlying Principles G02 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016091pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605740&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016091pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Niepmann, Friederike AD - Unlisted T1 - Banking Across Borders With Heterogeneous Banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1177 Y1 - 2016/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599419; Keywords: Cross-border banking ; Heterogeneity ; Multinational banks ; Trade in services; Publication Type: Working Paper; Update Code: 201610 N2 - This paper develops a model of banking across borders where banks differ in their efficiencies that can replicate key patterns in the data. More efficient banks are more likely to have assets, liabilities and affiliates abroad and have larger foreign operations. Banks are more likely to be active in countries that have less efficient domestic banks, are bigger and more open to foreign entry. In the model, banking sector integration leads to bank exit and entry and convergence in the return on loans and funding costs across countries. Bank heterogeneity matters for the associated welfare gains. Results suggest that differences in bank efficiencies across countries drive banking across borders, that fixed costs are crucial for foreign bank operations and that globalization makes larger banks even larger. KW - Models of Trade with Imperfect Competition and Scale Economies; Fragmentation F12 KW - International Investment; Long-term Capital Movements F21 KW - Multinational Firms; International Business F23 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1177.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599419&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1177.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barigozzi, Matteo AU - Lippi, Marco AU - Luciani, Matteo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Non-Stationary Dynamic Factor Models for Large Datasets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-024 Y1 - 2016/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569514; Keywords: Dynamic Factor model ; , common trends ; impulse response functions ; unit root processes; Publication Type: Working Paper; Update Code: 201605 N2 - We develop the econometric theory for Non-Stationary Dynamic Factor models for large panels of time series, with a particular focus on building estimators of impulse response functions to unexpected macroeconomic shocks. We derive conditions for consistent estimation of the model as both the cross-sectional size, n, and the time dimension, T, go to infinity, and whether or not cointegration is imposed. We also propose a new estimator for the non-stationary common factors, as well as an information criterion to determine the number of common trends. Finally, the numerical properties of our estimator are explored by means of a MonteCarlo exercise and of a real-data application, in which we study the effects of monetary policy and supply shocks on the US economy. KW - Mathematical and Quantitative Methods: General C00 KW - Econometrics C01 KW - Macroeconomics and Monetary Economics: General E00 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569514&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Cavallo, Michele AU - Iacoviello, Matteo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Oil Price Elasticities and Oil Price Fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1173 Y1 - 2016/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586872; Keywords: Oil Prices; Vector Autoregressions; Commodity Prices; Publication Type: Working Paper; Update Code: 201608 N2 - We study the identification of oil shocks in a structural vector autoregressive (SVAR) model of the oil market. First, we show that the cross-equation restrictions of a SVAR impose a nonlinear relation between the short-run price elasticities of oil supply and oil demand. This relation implies that seemingly plausible restrictions on oil supply elasticity may map into implausible values of the oil demand elasticity, and vice versa. Second, we propose an identification scheme that restricts these elasticities by minimizing the distance between the elasticities allowed by the SVAR and target values that we construct from a survey of relevant studies. Third, we use the identified SVAR to analyze sources and consequences of movements in oil prices. We find that (1) oil supply shocks and global demand shocks explain 50 and 35 percent of oil price fluctuations, respectively; (2) a drop in oil prices driven by supply shocks boosts economic activity in advanced economies, whereas it depresses economic activity in emerging economies; and (3) the selection of oil market elasticities is essential for understanding the source of oil price movements and to measuring the multipliers of oil prices on economic activity. KW - Energy and the Macroeconomy Q43 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1173.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586872&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1173.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ljungqvist, Alexander AU - Smolyansky, Michael AD - Stern School of Business New York University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - To Cut or Not to Cut? On the Impact of Corporate Taxes on Employment and Income PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-6 Y1 - 2016/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549611; Keywords: Fiscal policy; Corporate taxation; Economic stimulus; Economic growth; Employment; Regional economies; Publication Type: Working Paper; Update Code: 201602 N2 - Do corporate tax increases destroy jobs? And do corporate tax cuts boost employment? Answering these questions has proved empirically challenging. We propose an identification strategy that exploits variation in corporate income tax rates across U.S. states. Comparing contiguous counties straddling state borders over the period 1970 to 2010, we find that increases in corporate tax rates lead to significant reductions in employment and income. We find little evidence that corporate tax cuts boost economic activity, unless implemented during recessions when they lead to significant increases in employment and income. Our spatial-discontinuity approach permits a causal interpretation of these findings by both establishing a plausible counterfactual and overcoming biases resulting from the fact that tax changes are often prompted by changes in economic conditions. KW - Fiscal Policy E62 KW - Business Taxes and Subsidies including sales and value-added (VAT) H25 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016006pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549611&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016006pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kurtzman, Robert J. AU - Zeke, David AD - Unlisted AD - Unlisted T1 - Accounting for Productivity Dispersion over the Business Cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-045 Y1 - 2016/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586848; Keywords: Accounting Decomposition; Business Cycles; Misallocation; Productivity; Publication Type: Working Paper; Update Code: 201608 N2 - This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue factor productivities and reflects changes in the extent of distortions to firm factor input allocations across firms. We apply our decomposition to public firm data from the United States and Japan. We find that the mean component is responsible for most of the variation in aggregate productivity over the business cycle, while the dispersion component plays a modest role. KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Business Fluctuations; Cycles E32 KW - Production, Pricing, and Market Structure; Size Distribution of Firms L11 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016045pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586848&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016045pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Seldin, Sian L. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Federal Reserve Board Statistical Releases: a Publications History PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-16 Y1 - 2016/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569508; Keywords: Data collection and estimation; Economic history; Federal Reserve Board and Federal Reserve System; Publication Type: Working Paper; Update Code: 201605 N2 - The Board of Governors of the Federal Reserve System has published extensive statistical information on the U.S. economy and banking industry since 1914. This information has been published in various formats, usually referred to as "statistical releases." Titles and release numbers of the publications have changed frequently. Federal Reserve Board Statistical Releases: a Publications History describes these changes; it is a convenient tool that lightens the burden of tracing the titles and release numbers by providing history in a single location. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016016pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569508&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016016pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Niepmann, Friederike AU - Schmidt-Eisenlohr, Tim AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - No Guarantees, No Trade: How Banks Affect Export Patterns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1158 Y1 - 2016/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549615; Keywords: trade finance; global banks; letter of credit; exports; financial shocks; Publication Type: Working Paper; Update Code: 201602 N2 - How relevant are financial instruments to manage risk in international trade for exporting? Employing a unique dataset of U.S. banks' trade finance claims by country, this paper estimates the effect of shocks to the supply of letters of credit on U.S. exports. We show that a one-standard deviation negative shock to a country's supply of letters of credit reduces U.S. exports to that country by 1.5 percentage points. This effect is stronger for smaller and poorer destinations. It more than doubles during crisis times, suggesting a non-negligible role for finance in explaining the Great Trade Collapse. KW - International Investment; Long-term Capital Movements F21 KW - Multinational Firms; International Business F23 KW - International Lending and Debt Problems F34 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1158.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549615&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1158.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Robles, Barbara J. AU - McGee, Marysol AD - Unlisted AD - Unlisted T1 - Exploring Online and Offline Informal Work : Findings from the Enterprising and Informal Work Activities (EIWA) Survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-089 Y1 - 2016/// SP - 62 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605739; Keywords: Digital economy; On-demand economy; Platform economy; Gig economy; The collaborative economy; Sharing economy; Informal paid work; Online and offline paid work; Online fee for tasks; Fee-for-tasks; Supplemental income generation; Income-patching; Publication Type: Working Paper; Update Code: 201612 N2 - The growing prevalence of alternative work arrangements has accelerated with the rapidly evolving digital platform transformations in local and global markets (Kenny and Zysman, 2015 and 2016). Although traditional (offline) informal paid work has always been a part of the labor sector (BLS-Contingent Worker Survey, 2005; GAO, 2015 and Katz and Krueger, 2016), the rise of online enabled paid work activities requires new approaches to measure this growing trend (Farrell and Greig, 2016; Gray et al, 2016; Sundararajan, 2016 and Schor, 2015). In the fourth quarter of 2015, the Federal Reserve Board conducted a nationally representative survey of adults 18 and older to track online and offline income-generating activities as well as their employment status during the six months prior to the surveys. Survey results indicate that 36 percent of respondents undertook informal paid work activities either as a complement to or as a substitute for more traditional and formal work arrangements. We explore the rationale behind respondents' participation in alternative work arrangements by setting questions that capture participant motives and attitudes towards informal offline and online paid work activities. Sixty five percent of qualified survey respondents indicate that a main reason for participating in informal work is to earn extra income. KW - Labor and Demographic Economics: General J00 KW - Industry Studies: Services: General L80 KW - Economic Development, Innovation, Technological Change, and Growth O00 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: General R00 KW - Public Economics: Miscellaneous Issues: General H80 L3 - https://www.federalreserve.gov/econresdata/feds/2016/files/2016089pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605739&site=ehost-live&scope=site UR - https://www.federalreserve.gov/econresdata/feds/2016/files/2016089pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AU - Tanaka, Hiroatsu AD - Unlisted AD - Unlisted T1 - Equilibrium Yield Curves and the Interest Rate Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-085 Y1 - 2016/// SP - 63 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605741; Keywords: Effective Lower Bound; Forward Guidance; New Keynesian Model; Recursive Preference; Term Premiums; Term Structure of Interest Rates; Yield Curves; Publication Type: Working Paper; Update Code: 201612 N2 - We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting macroeconomic uncertainty and interest-rate sensitivity to economic activities. In a model calibrated to match key features of the aggregate economy and term structure dynamics in the U.S. above and at the ELB, we find that the ELB constraint typically lowers the absolute size of term premiums at the ELB and increases their volatility around the time of liftoff. The central bank's announcement to keep the policy rate at the ELB for longer than previously expected lowers the expected short rate path, but its effect on term premiums depends on the risk exposure of bonds to the macroeconomy; while the announcement increases term premiums if bonds are a hedge against economic downturns, it decreases them otherwise. KW - General Aggregative Models: Keynes; Keynesian; Post-Keynesian E12 KW - Business Fluctuations; Cycles E32 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016085pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605741&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016085pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dobridge, Christine L. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Fiscal Stimulus and Firms: A Tale of Two Recessions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-13 Y1 - 2016/// SP - 65 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569518; Keywords: Financing policy; fiscal policy; fixed investment; taxation; Publication Type: Working Paper; Update Code: 201605 N2 - In this paper, I examine the effects of a countercyclical fiscal policy that gave firms additional tax refunds--additional liquidity--at the end of the past two recessions. I take advantage of a discontinuity in the slope of the tax refund formula to estimate the policy's impact. I find that after passage of the policy in 2002, firms allocated $0.40 of every tax refund dollar to investment. After passage of the policy in 2009, in contrast, firms used the refunds to increase cash holdings ($0.96 of every refund dollar) before paying down debt in the following year. I provide evidence that differences in macroeconomic conditions across the two periods drove these differences in firm responses, illustrating how the effects of stimulus vary across recessionary states of the world. I also show that while the policy had no discernable effect on investment in the most recent recessionary period, it did reduce firms' bankruptcy risk and the probability of a future credit-rating downgrade. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016013pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569518&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016013pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahn, Hie Joo AU - Hamilton, James D. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of California, San Diego T1 - Heterogeneity and Unemployment Dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-12 Y1 - 2016/// SP - 65 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569525; Keywords: Great Recession; business cycles; duration dependence; extended Kalman filter; state space model; unemployment duration; unobserved heterogeneity; Publication Type: Working Paper; Update Code: 201605 N2 - This paper develops new estimates of flows into and out of unemployment that allow for unobserved heterogeneity across workers as well as direct effects of unemployment duration on unemployment-exit probabilities. Unlike any previous paper in this literature, we develop a complete dynamic statistical model that allows us to measure the contribution of different shocks to the short-run, medium-run, and long-run variance of unemployment as well as to specific historical episodes. We find that changes in the inflows of newly unemployed are the key driver of economic recessions and identify an increase in permanent job loss as the most important factor. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016012pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569525&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016012pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahn, Hie Joo AD - Unlisted T1 - Heterogeneity in the Dynamics of Disaggregate Unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-063 Y1 - 2016/// SP - 66 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586847; Keywords: Unemployment dynamics; Unobserved heterogeneity; Genuine duration dependence; State space model; Extended Kalman filter; Great Recession; Publication Type: Working Paper; Update Code: 201608 N2 - This paper explores the role that unobserved heterogeneity within an observed category plays in the dynamics of disaggregate unemployment and in the cross-sectional differences across individuals of the duration of unemployment spells. The distribution of unobserved heterogeneity is characterized as a mixture of two distributions with each mean and weight determined by the inflows and outflows of workers with unobserved types H and L, which are identified based on the nonlinear state-space model of Ahn and Hamilton (2016). I found that the contribution of each factor to the dynamics of disaggregate unemployment differs by observed category. The inflow of type L workers is the most important factor in the majority of demographic groups in the business-cycle frequency. I identify permanent job loss to be the observable characteristic most closely associated with the type L attribute. A simple model of heterogeneity based on two unobserved types can account for explain more than 50 percent of the cross-sectional dispersion in completed-duration spells after the Great Recession, while observed heterogeneity makes only a minor contribution. KW - Duration Analysis; Optimal Timing Strategies C41 KW - Forecasting Models; Simulation Methods C53 KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications E27 KW - Business Fluctuations; Cycles E32 KW - Labor Force and Employment, Size, and Structure J21 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016063pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586847&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016063pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AU - Schott, Peter K. AD - Unlisted AD - Unlisted T1 - Trade Liberalization and Mortality: Evidence from U.S. Counties PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-094 Y1 - 2016/// SP - 66 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605742; Keywords: International Trade; Mortality; Trade Policy; Unemployment; Publication Type: Working Paper; Update Code: 201612 N2 - We investigate the impact of a large economic shock on mortality. We find that counties more exposed to a plausibly exogenous trade liberalization exhibit higher rates of suicide and related causes of death, concentrated among whites, especially white males. These trends are consistent with our finding that more-exposed counties experience relative declines in manufacturing employment, a sector in which whites and males are over-represented. We also examine other causes of death that might be related to labor market disruption and find both positive and negative relationships. More-exposed counties, for example, exhibit lower rates of fatal heart attacks. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016094pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605742&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016094pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borochin, Paul AU - Yang, Jie AD - Unlisted AD - Unlisted T1 - The Effects of Institutional Investor Objectives on Firm Valuation and Governance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-088 Y1 - 2016/// SP - 69 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1605745; Keywords: Institutional investors; Investor type; Dedicated; Transient; Misvaluation; Corporate governance; Blockholding; Portfolio turnover; Information dissemination; SEC Regulation FD; Publication Type: Working Paper; Update Code: 201612 N2 - We find that ownership by different types of institutional investor has different implications for future firm misvaluation and governance characteristics. Dedicated institutional investors decrease future firm misvaluation relative to fundamentals, as well as the magnitude of this misvaluation. In contrast, transient institutional investors have the opposite effect. Using SEC Regulation FD as an exogenous shock to information dissemination, we find evidence consistent with dedicated institutions having an information advantage. The valuation effects are primarily driven by institutional portfolio concentration while the governance effects are driven by portfolio turnover. These results imply a more nuanced relationship between institutional ownership and firm value and corporate governance. KW - Corporate Finance and Governance: General G30 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Corporate Finance and Governance: Government Policy and Regulation G38 L3 - https://www.federalreserve.gov/econresdata/feds/2016/files/2016088pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1605745&site=ehost-live&scope=site UR - https://www.federalreserve.gov/econresdata/feds/2016/files/2016088pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ajello, Andrea AU - Laubach, Thomas AU - Lopez-Salido, J. David AU - Nakata, Taisuke AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial Stability and Optimal Interest-Rate Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-067 Y1 - 2016/// SP - 70 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586863; Keywords: Financial crises; Financial stability and risk; Leverage; Monetary policy; Optimal policy; Publication Type: Working Paper; Update Code: 201608 N2 - We study optimal interest-rate policy in a New Keynesian model in which the economy can experience financial crises and the probability of a crisis depends on credit conditions. The optimal adjustment to interest rates in response to credit conditions is (very) small in the model calibrated to match the historical relationship between credit conditions, output, inflation, and likelihood of financial crises. Given the imprecise estimates of key parameters, we also study optimal policy under parameter uncertainty. We find that Bayesian and robust central banks will respond more aggressively to financial instability when the probability and severity of financial crises are uncertain. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Financial Crises G01 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016067pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586863&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016067pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AU - Johannsen, Benjamin K. AU - Lopez-Salido, J. David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Understanding the New Normal : The Role of Demographics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-080 Y1 - 2016/// SP - 72 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599412; Keywords: Demographics ; Equilibrium real interest rate ; GDP growth ; New normal; Publication Type: Working Paper; Update Code: 201610 N2 - Since the onset of the Great Recession, the U.S. economy has experienced low real GDP growth and low real interest rates, including for long maturities. We show that these developments were largely predictable by calibrating an overlapping-generation model with a rich demographic structure to observed and projected changes in U.S. population, family composition, life expectancy, and labor market activity. The model accounts for a 1 1/4-percentage point decline in both real GDP growth and the equilibrium real interest rate since 1980--essentially all of the permanent declines in those variables according to some recent estimates. The model also implies that these declines were especially pronounced over the past decade or so because of demographic factors most-directly associated with the baby boom and the passing of the information technology boom. Our results further suggest that real GDP growth and real interest rates will remain low in coming decades, consistent with the U.S economy having reached a "new normal." KW - General Aggregative Models: Forecasting and Simulation: Models and Applications E17 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Demographic Trends, Macroeconomic Effects, and Forecasts J11 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016080pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599412&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016080pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Flinn, Christopher J. AU - Gemici, Ahu AU - Laufer, Steven AD - Unlisted AD - Unlisted AD - Unlisted T1 - Search, Matching and Training PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-075 Y1 - 2016/// SP - 73 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1599413; Keywords: Minimum Wage ; On-the-job training ; Wage growth; Publication Type: Working Paper; Update Code: 201610 N2 - We estimate a partial and general equilibrium search model in which firms and workers choose how much time to invest in both general and match-specific human capital. To help identify the model parameters, we use NLSY data on worker training and we match moments that relate the incidence and timing of observed training episodes to outcomes such as wage growth and job-to-job transitions. We use our model to offer a novel interpretation of standard Mincer wage regressions in terms of search frictions and returns to training. Finally, we show how a minimum wage can reduce training opportunities and decrease the amount of human capital in the economy. KW - Unemployment: Models, Duration, Incidence, and Job Search J64 KW - Human Capital; Skills; Occupational Choice; Labor Productivity J24 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016075pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1599413&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016075pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Byrne, David M. AU - Reinsdorf, Marshall B. AU - Fernald, John G. AD - Board of Governors of the Federal Reserve System (U.S.) AD - International Monetary Fund AD - Federal Reserve Bank of San Francisco T1 - Does the United States have a Productivity Slowdown or a Measurement Problem PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-17 Y1 - 2016/// SP - 76 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569517; Keywords: Information technology; Measurement; Non-market production; Prices; Productivity; Publication Type: Working Paper; Update Code: 201605 N2 - After 2004, measured growth in labor productivity and total-factor productivity (TFP) slowed. We find little evidence that the slowdown arises from growing mismeasurement of the gains from innovation in IT-related goods and services. First, mismeasurement of IT hardware is significant prior to the slowdown. Because the domestic production of these products has fallen, the quantitative effect on productivity was larger in the 1995-2004 period than since, despite mismeasurement worsening for some types of IT--so our adjustments make the slowdown in labor productivity worse. The effect on TFP is more muted. Second, many of the tremendous consumer benefits from smartphones, Google searches, and Facebook are, conceptually, non-market: Consumers are more productive in using their nonmarket time to produce services they value. These benefits do not mean that market-sector production functions are shifting out more rapidly than measured, even if consumer welfare is rising. Still, gains in non-market production appear too small to compensate for the loss in overall wellbeing from slower market-sector productivity growth. Third, other measurement issues we can quantify (such as increasing globalization and fracking) are also quantitatively small relative to the slowdown. Finally, we suggest high-priority areas for future research. L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016017pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569517&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016017pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Greaney, Brian AU - Kaboski, Joseph P. AU - Van Leemput, Eva AD - Yale University AD - University of Notre Dame AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Can Self-Help Groups Really Be 'Self-Help'? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1155 Y1 - 2016/// SP - 77 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549618; Keywords: Microfinance; Self-Help Groups; Privatized Delivery; Publication Type: Working Paper; Update Code: 201602 N2 - We provide an experimental and theoretical evaluation of a cost-reducing innovation in the delivery of "self-help group" microfinance services, in which privatized agents earn payments through membership fees for providing services. Under the status quo, agents are paid by an outside donor and offer members free services. In our multi-country randomized control trial we evaluate the change in this incentive scheme on agent behavior and performance, and on overall village-level outcomes. We find that privatized agents start groups, attract members, mobilize savings, and intermediate loans at similar levels after a year but at much lower costs to the NGO. At the village level, we find higher levels of borrowing, business-related savings, and investment in business. Examining mechanisms, we find that self-help groups serve more business-oriented clientele when facilitated by agents who face strong financial incentives. KW - Economic Development: General O10 KW - Microeconomic Analyses of Economic Development O12 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1155.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549618&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1155.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kara, Gazi AU - Ozsoy, S. Mehmet AD - Unlisted AD - Unlisted T1 - Bank regulation under fire sale externalities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-026 Y1 - 2016/// SP - 79 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569534; Keywords: Bank capital regulation ; liquidity regulation ; fire sale externality ; Basel III; Publication Type: Working Paper; Update Code: 201605 N2 - This paper examines the optimal design of and interaction between capital and liquidity regulations in a model characterized by fire sale externalities. In the model, banks can insure against potential liquidity shocks by hoarding sufficient precautionary liquid assets. However, it is never optimal to fully insure, so realized liquidity shocks trigger an asset fire sale. Banks, not internalizing the fire sale externality, overinvest in the risky asset and underinvest in the liquid asset in the unregulated competitive equilibrium. Capital requirements can lead to less severe fire sales by addressing the inefficiency and reducing risky assets--however, we show that banks respond to stricter capital requirements by decreasing their liquidity ratios. Anticipating this response, the regulator preemptively sets capital ratios at high levels. Ultimately, this interplay between banks and the regulator leads to inefficiently low levels of risky assets and liquidity. Macroprudential liquidity requirements that complement capital regulations, as in Basel III, restore constrained efficiency, improve financial stability and allow for a higher level of investment in risky assets. KW - Financial Institutions and Services: General G20 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016026pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569534&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016026pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dittmar, Jeremiah E. AU - Meisenzahl, Ralf R. AD - Unlisted AD - Unlisted T1 - State Capacity and Public Goods: Institutional Change, Human Capital, and Growth in Early Modern Germany PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-028 Y1 - 2016/// SP - 79 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569507; Keywords: Education ; Growth ; Human Capital ; Institutions ; Persistence ; State Capacity; Publication Type: Working Paper; Update Code: 201605 N2 - What are the origins and consequences of the state as a provider of public goods? We study legal reforms that established mass public education and increased state capacity in German cities during the 1500s. These fundamental changes in public goods provision occurred where ideological competition during the Protestant Reformation interacted with popular politics at the local level. We document that cities that formalized public goods provision in the 1500s began differentially producing and attracting upper tail human capital and grew to be significantly larger in the long-run. We study plague outbreaks in a narrow time period as exogenous shocks to local politics and find support for a causal interpretation of the relationship between public goods institutions, human capital, and growth. More broadly, we provide evidence on the origins of state capacity directly targeting welfare improvement. KW - Education and Economic Development I25 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: Europe: Pre-1913 N13 KW - Macroeconomic Analyses of Economic Development O11 KW - Industrial Policy O25 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016028pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569507&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016028pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dobrev, Dobrislav AU - Nesmith, Travis D. AU - Oh, Dong Hwan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-065 Y1 - 2016/// SP - 8 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586852; Keywords: Expected shortfall; Elliptical distributions; Multivariate Student t distribution; Accurate closed-form expression; Publication Type: Working Paper; Update Code: 201608 N2 - We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in the recent comprehensive survey by Nadarajah, Zhang, and Chan (2014) on estimation methods for expected shortfall. In particular, we show that the correction we provide in the popular multivariate Student t setting eliminates understatement of expected shortfall by a factor varying from at least 4 to more than 100 across different tail quantiles and degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall estimation in practice. KW - Specific Distributions; Specific Statistics C46 KW - Portfolio Choice; Investment Decisions G11 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016065pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586852&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016065pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gourio, Francois AU - Messer, Todd AU - Siemer, Michael AD - Unlisted AD - Unlisted AD - Unlisted T1 - Firm Entry and Macroeconomic Dynamics: A State-level Analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-043 Y1 - 2016/// SP - 8 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569515; Keywords: Productivity ; Business dynamics ; Employment ; Firm entry ; Missing generation ; New business formation; Publication Type: Working Paper; Update Code: 201605 N2 - Using an annual panel of US states over the period 1982-2014, we estimate the response of macroeconomic variables to a shock to the number of new firms (startups). We find that these shocks have significant effects that persist for many years on real GDP, productivity, and population. This result is consistent with simple models of firm dynamics where a "missing generation" of firms affects productivity persistently. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - Business Fluctuations; Cycles E32 KW - Firm Performance: Size, Diversification, and Scope L25 KW - Entrepreneurship L26 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016043pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569515&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016043pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven S. AU - Smith, Christopher L. AU - Trezzi, Riccardo AU - Wozniak, Abigail AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Notre Dame T1 - Understanding Declining Fluidity in the U.S. Labor Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-15 Y1 - 2016/// SP - 84 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1569520; Keywords: demographic trends; hires and separations; job creation and destruction; job turnover; labor market churn; labor market transitions; labor reallocation; Publication Type: Working Paper; Update Code: 201605 N2 - We document a clear downward trend in labor market fluidity that is common across a variety of measures of worker and job turnover. This trend dates to at least the early 1980s if not somewhat earlier. Next we pull together evidence on a variety of hypotheses that might explain this downward trend. It is only partly related to population demographics and is not due to the secular shift in industrial composition. Moreover, the decline in labor market fluidity seems unlikely to have been caused by an improvement in worker-firm matching, the formalization of hiring practices, or an increase in land use regulation or other regulations. Plausible avenues for further exploration include changes in the worker-firm relationship, particularly with regard to compensation adjustment; changes in firm characteristics such as firm size and age; and a decline in social trust, which may have increased the cost of job search or made both parties in the hiring process more risk averse. KW - Demographic Trends, Macroeconomic Effects, and Forecasts J11 KW - Labor Force and Employment, Size, and Structure J21 KW - Wages, Compensation, and Labor Costs: General J30 KW - Mobility, Unemployment, Vacancies, and Immigrant Workers: General J60 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Regional Migration; Regional Labor Markets; Population; Neighborhood Characteristics R23 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016015pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1569520&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016015pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gertler, Mark AU - Kiyotaki, Nobuhiro AU - Prestipino, Andrea AD - NYU AD - Princeton University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1156 Y1 - 2016/// SP - 92 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549616; Keywords: financial crises; wholesale banking; interbank markets; rollover risk; Publication Type: Working Paper; Update Code: 201602 N2 - There has been considerable progress in developing macroeconomic models of banking crises. However, most of this literature focuses on the retail sector where banks obtain deposits from households. In fact, the recent financial crisis that triggered the Great Recession featured a disruption of wholesale funding markets, where banks lend to one another. Accordingly, to understand the financial crisis as well as to draw policy implications, it is essential to capture the role of wholesale banking. The objective of this paper is to characterize a model that can be seen as a natural extension of the existing literature, but in which the analysis is focused on wholesale funding markets. The model accounts for both the buildup and collapse of wholesale banking, and also sketches out the transmission of the crises to the real sector. We also draw out the implications of possible instability in the wholesale banking sector for lender-of-last resort policy as well as for macroprudential policy. KW - Financial Markets and the Macroeconomy E44 L3 - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1156.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549616&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1156.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Haltmaier, Jane T1 - Have Global Value Chains Contributed to Global Imbalances? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/12/05/ IS - 1154 M3 - Article SP - 1 EP - 28 AB - Global value chains (GVCs) have grown rapidly over the past several decades. Over the same period, the aggregate value of current account imbalances has risen substantially. This paper looks at whether these developments are related. While there is a sizable literature that has documented the rise of global production networks, there have been few attempts to assess the potential effect on global imbalances. The paper uses measures of GVCs developed in the literature in panel regressions to assess the effect on global imbalances over the period 1995-2011. It is argued that these variables should be entered as a product rather than individually and that they should be lagged, not contemporaneous with the change in current account balances. The results suggest that GVC position weighted by participation and trade share is negatively related to a country's current account balance, i.e., moving upstream in the production process is negative for a country's current account. However, the effects on global imbalances over the period studied appear to be small. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VALUE chains KW - REGIONAL economic disparities KW - BALANCE of payments KW - FOREIGN exchange KW - BALANCE of trade KW - current account balances KW - global value chains N1 - Accession Number: 111965574; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Senior Advisor in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington D.C. 20551, U.S.A.; Issue Info: Dec2015, Issue 1154, preceding p1; Thesaurus Term: VALUE chains; Thesaurus Term: REGIONAL economic disparities; Thesaurus Term: BALANCE of payments; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BALANCE of trade; Author-Supplied Keyword: current account balances; Author-Supplied Keyword: global value chains; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111965574&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - How Does the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates? JO - Real Estate Economics JF - Real Estate Economics Y1 - 2015///Winter2015 VL - 43 IS - 4 M3 - Article SP - 855 EP - 890 PB - Wiley-Blackwell SN - 10808620 AB - We conduct an empirical analysis of the Federal Reserve's large-scale asset purchases (LSAPs) on mortgage-backed securities (MBS) yields and mortgage rates. We estimate a cointergrated, error-correction model that links Federal Reserve securities purchases and stocks of Treasury and MBS securities to equilibrium MBS yields and mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more than what would have been suggested by changes in market expectations alone, suggesting that portfolio rebalancing effects of LSAPs are an important consideration for monetary policy transmission. Our estimates also suggest that the Federal Reserve must hold a substantial market share of agency MBS or of Treasury securities to significantly lower MBS yields and in turn significantly lower mortgage rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE-backed securities KW - MORTGAGE loans KW - PORTFOLIO management (Investments) KW - MARKET share KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 110484170; Hancock, Diana 1; Passmore, Wayne 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Winter2015, Vol. 43 Issue 4, p855; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: MORTGAGE loans; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: MARKET share; Subject Term: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 36p; Illustrations: 6 Charts, 10 Graphs; Document Type: Article L3 - 10.1111/1540-6229.12109 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=110484170&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hanming Fang AU - You Suk Kim AU - Wenli Li T1 - The Dynamics of Adjustable-Rate Subprime Mortgage Default: A Structural Estimation. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/12// M3 - Article SP - 1 EP - 52 AB - We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs, as well as the housing and labor market conditions were not as important in borrowers' delinquency decisions as in their decisions to pay off their loans. For loans originated in 2006, interest rate resets, housing price declines, and worsening labor market conditions all contributed importantly to their high delinquency rates. Counterfactual policy simulations reveal that even if the Libor rate could be lowered to zero by aggressive traditional monetary policies, it would have a limited effect on reducing the delinquency rates. We find that automatic modification mortgage designs under which the monthly payment or the principal balance of the loans are automatically reduced when housing prices decline can be effective in reducing both delinquency and foreclosure. Importantly, we find that automatic modification mortgages with a cushion, under which the monthly payment or principal balance reductions are triggered only when housing price declines exceed a certain percentage may result in a Pareto improvement in that borrowers and lenders are both made better off than under the baseline, with a lower delinquency and foreclosure rates. Our counterfactual analysis also suggests that limited commitment power on the part of the lenders to loan modification policies may be an important reason for the relatively small rate of modifications observed during the housing crisis. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ADJUSTABLE rate mortgages KW - MORTGAGE loan default KW - INTEREST rates KW - LABOR market KW - HOUSING market KW - HOME prices KW - UNITED States KW - Adjustable-Rate Mortgage KW - Automatic Modification with a Cushion KW - Default KW - Loan Modification N1 - Accession Number: 112148144; Hanming Fang 1; Email Address: hanming.fang@econ.upenn.edu; You Suk Kim 2; Email Address: You.Kim@frb.gov; Wenli Li 3; Email Address: wenli.li@phil.frb.org; Affiliations: 1: Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104 and the NBER; 2: Division of Research and Statistics, Board of Governors of the Federal Reserve System; 3: Department of Research, Federal Reserve Bank of Philadelphia; Issue Info: Dec2015, preceding p1; Thesaurus Term: ADJUSTABLE rate mortgages; Thesaurus Term: MORTGAGE loan default; Thesaurus Term: INTEREST rates; Thesaurus Term: LABOR market; Thesaurus Term: HOUSING market; Thesaurus Term: HOME prices; Subject Term: UNITED States; Author-Supplied Keyword: Adjustable-Rate Mortgage; Author-Supplied Keyword: Automatic Modification with a Cushion; Author-Supplied Keyword: Default; Author-Supplied Keyword: Loan Modification; Number of Pages: 54p; Document Type: Article L3 - 10.17016/FEDS.2015.114 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112148144&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mallucci, Enrico T1 - Domestic Debt and Sovereign Defaults. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/12// IS - 1153 M3 - Article SP - 1 EP - 42 AB - This paper examines how domestic holdings of government debt affect sovereign default risk and government debt management. I develop a dynamic stochastic general equilibrium model with both external and domestic debt that endogenously generates output contraction upon default. Domestic holdings of government debt weaken investors' balance sheets and induce a contraction of credit and output upon default. I calibrate the model to the Argentinean economy and show that the model reproduces key empirical moments. Introducing domestic debt also yields relevant normative implications. While domestic debt is crucial to determining the risk of default, the effcient internal-external composition of debt cannot be achieved without government intervention. Pigouvian subsidies can restore effciency. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PUBLIC debts KW - PUBLIC finance KW - DEBT management KW - DEBT relief KW - ARGENTINA -- Economic conditions -- 21st century KW - Credit Market KW - Debt Crises KW - Domestic Debt KW - Sovereign Defaults N1 - Accession Number: 111962454; Mallucci, Enrico 1; Email Address: enrico.mallucci@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Dec2015, Issue 1153, preceding p1; Thesaurus Term: PUBLIC debts; Thesaurus Term: PUBLIC finance; Thesaurus Term: DEBT management; Thesaurus Term: DEBT relief; Subject Term: ARGENTINA -- Economic conditions -- 21st century; Author-Supplied Keyword: Credit Market; Author-Supplied Keyword: Debt Crises; Author-Supplied Keyword: Domestic Debt; Author-Supplied Keyword: Sovereign Defaults; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 44p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111962454&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2015-55848-002 AN - 2015-55848-002 AU - Falato, Antonio AU - Li, Dan AU - Milbourn, Todd T1 - Which skills matter in the market for CEOs? Evidence from pay for CEO credentials. JF - Management Science JO - Management Science JA - Manage Sci Y1 - 2015/12// VL - 61 IS - 12 SP - 2845 EP - 2869 CY - US PB - Institute for Operations Research & the Management Sciences (INFORMS) SN - 0025-1909 SN - 1526-5501 AD - Falato, Antonio, Division of Research and Statistics, Federal Reserve Board, Washington, DC, US, 20551 N1 - Accession Number: 2015-55848-002. Partial author list: First Author & Affiliation: Falato, Antonio; Division of Research and Statistics, Federal Reserve Board, Washington, DC, US. Release Date: 20161219. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Business Organizations; Salaries; Top Level Managers. Minor Descriptor: Ability; Organizational Effectiveness. Classification: Management & Management Training (3640). Population: Human (10). Location: US. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Quantitative Study. Supplemental Data: Appendixes Internet. Page Count: 25. Issue Publication Date: Dec, 2015. Publication History: First Posted Date: Feb 13, 2015; Accepted Date: May 4, 2014; First Submitted Date: Apr 7, 2013. Copyright Statement: INFORMS. 2015. AB - Market-based theories predict that differences in CEO skills lead to potentially large differences in pay, but it is challenging to quantify the CEO skill premium in pay. In a first step toward overcoming this empirical challenge, we code detailed biographical information for a large sample of CEOs for a panel of S&P 1500 firms between 1993 and 2005 to identify specific reputational, career, and educational credentials that are indicative of skills. Newly appointed CEOs earn up to a 5% or $280,000 total pay premium per credential decile, which is concentrated among CEOs with better reputational and career credentials, those with the very best credentials, and those who run large firms. Consistent with the unique economic mechanism of market-based theories, CEO credentials have a positive impact on firm performance. The performance differential for newly appointed CEOs is up to 0.5% per credential decile and is also concentrated among CEOs with better reputational and career credentials and those at large firms. Credentials are positively correlated with unobserved CEO heterogeneity in pay and performance, which further validates our hypothesis that boards use them as publicly observable signals of otherwise hard-to-gauge CEO skills. In all, our results offer direct evidence in support of market-based explanations of the overall rise in CEO pay. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - finance KW - corporate finance KW - management determinants of CEO pay KW - market for CEO talent KW - CEOs and firm performance KW - 2015 KW - Business Organizations KW - Salaries KW - Top Level Managers KW - Ability KW - Organizational Effectiveness KW - 2015 DO - 10.1287/mnsc.2014.2024 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2015-55848-002&site=ehost-live&scope=site UR - milbourn@wustl.edu UR - dan.li@frb.gov UR - antonio.falato@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Niepmann, Friederike AU - Schmidt-Eisenlohr, Tim T1 - International Trade Risk and the Role of Banks. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/11/20/ IS - 1151 M3 - Article SP - 1 EP - 59 AB - International trade exposes exporters and importers to substantial risks. To mitigate these risks, firms can buy special trade finance products from banks. This paper explores under which conditions and to what extent firms use these products. We find that letters of credit and documentary collections cover about 10 percent of U.S. exports and are preferred for larger transactions, indicating substantial fixed costs. Letters of credit are employed the most for exports to countries with intermediate contract enforcement. Compared to documentary collections, they are used for riskier destinations. We provide a model that rationalizes these empirical findings and discuss implications. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXPORT credit KW - RESEARCH KW - BANKING research KW - INTERNATIONAL business enterprises KW - LETTERS of credit KW - RISK KW - MANAGEMENT KW - letter of credit KW - multinational banks KW - risk KW - trade finance N1 - Accession Number: 111560181; Niepmann, Friederike 1; Schmidt-Eisenlohr, Tim 1; Affiliations: 1: Staff economist, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Nov2015, Issue 1151, preceding p1; Thesaurus Term: EXPORT credit; Thesaurus Term: RESEARCH; Thesaurus Term: BANKING research; Thesaurus Term: INTERNATIONAL business enterprises; Thesaurus Term: LETTERS of credit; Thesaurus Term: RISK; Thesaurus Term: MANAGEMENT; Author-Supplied Keyword: letter of credit; Author-Supplied Keyword: multinational banks; Author-Supplied Keyword: risk; Author-Supplied Keyword: trade finance; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 62p; Document Type: Article L3 - 10.17016/IFDP.2015.1151 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111560181&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph W. AU - Kamin, Steven B. T1 - The Corporate Saving Glut in the Aftermath of the Global Financial Crisis. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/11/15/ IS - 1150 M3 - Article SP - 1 EP - 61 AB - We examine the increase in the net lending (saving minus investment) of nonfinancial corporations in the years preceding and especially following the Global Financial Crisis (GFC). We consider whether this increase in net lending is an endogenous reflection of the current weak pace of growth or an outcome of other factors, such as firms' desire to cut investment and hoard assets, and thus an exogenous drag on growth. Looking at G7 economies, we find that the fall in corporate investment during the GFC was in line with historical norms, given the path of GDP growth, interest rates, profits, and other relevant determinants. However, we find that investment declined from a surprisingly weak starting point, as corporate investment in many of the G7 economies started falling below our models' predictions in the years before the GFC. Moreover, corporate payouts to investors in the form of dividends and equity buybacks have trended up over the past 1½ decades, inconsistent with the view that cautious firms were cutting back on investment spending to strengthen their balance sheets. Identifying the causes of the rise in corporate net lending and declines in investment rates starting in the years before the GFC should be an important focus of future research. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LOANS KW - RESEARCH KW - CORPORATIONS -- Finance KW - FINANCIAL statements KW - INVESTMENTS KW - GROUP of Seven countries -- Economic conditions KW - Corporate Balance Sheets KW - Corporate Saving KW - Investment N1 - Accession Number: 111560180; Gruber, Joseph W. 1; Email Address: joseph.w.gruber@frb.gov; Kamin, Steven B. 2; Email Address: steven.kamin@frb.gov; Affiliations: 1: Deputy Associate Director, International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551 U.S.A.; 2: Director, International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551 U.S.A.; Issue Info: Nov2015, Issue 1150, p1; Thesaurus Term: LOANS; Thesaurus Term: RESEARCH; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: FINANCIAL statements; Thesaurus Term: INVESTMENTS; Subject Term: GROUP of Seven countries -- Economic conditions; Author-Supplied Keyword: Corporate Balance Sheets; Author-Supplied Keyword: Corporate Saving; Author-Supplied Keyword: Investment; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 62p; Document Type: Article L3 - 10.17016/IFDP.2015.1150 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111560180&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kara, Alper AU - Marques-Ibanez, David AU - Ongena, Steven T1 - Securitization and Credit Quality. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/11/05/ IS - 1148 M3 - Article SP - 2 EP - 34 AB - Banks are usually better informed on the loans they originate than outside investors. As a result, securitized loans might be of lower credit quality than -- otherwise similar -- non-securitized loans. We assess the effect of securitization activity on credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks' reduced monitoring incentives. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSET-backed financing KW - SYNDICATED loans KW - CREDIT KW - CREDIT risk KW - FINANCE KW - credit risk KW - Securitization KW - syndicated loans N1 - Accession Number: 111559426; Kara, Alper 1; Email Address: a.kara@lboro.ac.uk; Marques-Ibanez, David 2; Email Address: david.marques-ibanez@frb.gov; Ongena, Steven 3,4,5; Email Address: steven.ongena@bf.uzh.ch; Affiliations: 1: Loughborough University, School of Business and Economics; 2: Division of International Finance, Board of Governors of the Federal Reserve System; 3: University of Zürich; 4: SFI; 5: CEPR; Issue Info: Nov2015, Issue 1148, p2; Thesaurus Term: ASSET-backed financing; Thesaurus Term: SYNDICATED loans; Thesaurus Term: CREDIT; Thesaurus Term: CREDIT risk; Thesaurus Term: FINANCE; Author-Supplied Keyword: credit risk; Author-Supplied Keyword: Securitization; Author-Supplied Keyword: syndicated loans; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 33p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111559426&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bassett, William F. AU - Lee, Seung Jung AU - Spiller, Thomas Popeck T1 - Estimating changes in supervisory standards and their economic effects. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2015/11// VL - 60 M3 - Article SP - 21 EP - 43 SN - 03784266 AB - The disappointingly slow recovery in the U.S. from the depths of the financial crisis once again focused attention on the relationship between financial frictions and economic growth. Some bankers and borrowers suggested that unnecessarily tight supervisory policies were a constraint on new lending that hindered the recovery. This paper explores one aspect of supervisory policy: whether the standards used to assign commercial bank CAMELS ratings have changed materially over time (1991–2013). Models incorporating time-varying parameters or economy-wide variables suggest that standards used in the assignment of CAMELS ratings over the post-crisis period generally were in line with historical experience. Indeed, each of the models used suggests that the variation in supervisory standards has been relatively small in absolute terms over most of the sample period. However, we show that when this measure of supervisory stringency becomes elevated, it has a noticeable dampening effect on lending activity in subsequent quarters. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC impact KW - FINANCIAL crises KW - TRADE regulation KW - BANKERS KW - ECONOMIC development KW - TIME-varying systems KW - Bank supervision and regulation KW - CAMELS ratings KW - Financial frictions KW - G21 KW - G28 KW - L25 KW - Supervisory standards N1 - Accession Number: 110409095; Bassett, William F. 1; Email Address: william.f.bassett@frb.gov; Lee, Seung Jung 1; Email Address: seung.j.lee@frb.gov; Spiller, Thomas Popeck 1; Email Address: thomas.w.spiller@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, United States; Issue Info: Nov2015, Vol. 60, p21; Thesaurus Term: ECONOMIC impact; Thesaurus Term: FINANCIAL crises; Thesaurus Term: TRADE regulation; Thesaurus Term: BANKERS; Thesaurus Term: ECONOMIC development; Subject Term: TIME-varying systems; Author-Supplied Keyword: Bank supervision and regulation; Author-Supplied Keyword: CAMELS ratings; Author-Supplied Keyword: Financial frictions; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: L25; Author-Supplied Keyword: Supervisory standards; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jbankfin.2015.07.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=110409095&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ihrig, Jane E. AU - Meade, Ellen E. AU - Weinbach, Gretchen C. T1 - Rewriting Monetary Policy 101: What's the Fed's Preferred Post-Crisis Approach to Raising Interest Rates?†. JO - Journal of Economic Perspectives JF - Journal of Economic Perspectives Y1 - 2015/11// VL - 29 IS - 4 M3 - Article SP - 177 EP - 198 SN - 08953309 AB - For many years prior to the global financial crisis, the Federal Open Market Committee set a target for the federal funds rate and achieved that target through small purchases and sales of securities in the open market. In the aftermath of the financial crisis, with a superabundant level of reserve balances in the banking system having been created as a result of the Federal Reserve's large-scale asset purchase programs, this approach to implementing monetary policy will no longer work. This paper provides a primer on the Fed's implementation of monetary policy. We use the standard textbook model to illustrate why the approach used by the Federal Reserve before the financial crisis to keep the federal funds rate near the Federal Open Market Committee's target will not work in current circumstances, and explain the approach that the Committee intends to use instead when it decides to begin raising short-term interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Perspectives is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy -- United States KW - GLOBAL Financial Crisis, 2008-2009 KW - FEDERAL funds market (U.S.) KW - INTEREST rates -- Economic aspects KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 110755187; Ihrig, Jane E. 1; Meade, Ellen E. 2; Weinbach, Gretchen C. 3; Affiliations: 1 : Jane E. Ihrig is Deputy Associate Director, Senior Adviser, and Associate Director, respectively, in the Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC.; 2 : Ellen E. Meade is Deputy Associate Director, Senior Adviser, and Associate Director, respectively, in the Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC.; 3 : Gretchen C. Weinbach is Deputy Associate Director, Senior Adviser, and Associate Director, respectively, in the Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC.; Source Info: Nov2015, Vol. 29 Issue 4, p177; Historical Period: 2007 to 2015; Subject Term: MONETARY policy -- United States; Subject Term: GLOBAL Financial Crisis, 2008-2009; Subject Term: FEDERAL funds market (U.S.); Subject Term: INTEREST rates -- Economic aspects; Number of Pages: 22p; Illustrations: 3 Diagrams, 2 Charts, 3 Graphs; Document Type: Article L3 - 10.1257/jep.29.4.177 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=110755187&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Anenberg, Elliot AU - Kung, Edward T1 - Information technology and product variety in the city: The case of food trucks. JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2015/11// VL - 90 M3 - Article SP - 60 EP - 78 SN - 00941190 AB - Using the food truck industry as the setting, we provide direct evidence for how information technology can complement consumption variety in cities by reducing spatial information frictions associated with locally produced goods. We document the following facts: (1) food trucks use technology to overcome a spatial information friction; (2) proliferation of technology is related to growth in food trucks; (3) food trucks use their mobility to respond to consumer taste-for-variety; and (4) growth in food trucks is positively correlated with growth in food expenditures away from home. Taken together, our results illustrate how information technology can provide a meaningful increase in variety for urban consumers. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFORMATION technology KW - MOBILE food services KW - INFORMATION theory KW - FOOD -- Economic aspects KW - URBANIZATION KW - Consumption benefits of cities KW - Information technology KW - Taste for variety N1 - Accession Number: 111442312; Anenberg, Elliot 1; Email Address: elliot.anenberg@frb.gov; Kung, Edward 2; Email Address: ekung@econ.ucla.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and C St N.W., Washington, DC 20551, United States; 2: University of California Los Angeles, 8283 Bunche Hall, Los Angeles, CA 90095, United States; Issue Info: Nov2015, Vol. 90, p60; Thesaurus Term: INFORMATION technology; Thesaurus Term: MOBILE food services; Thesaurus Term: INFORMATION theory; Subject Term: FOOD -- Economic aspects; Subject Term: URBANIZATION; Author-Supplied Keyword: Consumption benefits of cities; Author-Supplied Keyword: Information technology; Author-Supplied Keyword: Taste for variety; NAICS/Industry Codes: 722330 Mobile Food Services; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jue.2015.09.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111442312&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny T1 - Do rail transit stations encourage neighbourhood retail activity? JO - Urban Studies (Sage Publications, Ltd.) JF - Urban Studies (Sage Publications, Ltd.) Y1 - 2015/11// VL - 52 IS - 14 M3 - Article SP - 2699 EP - 2723 SN - 00420980 AB - Over the past 20 years, California has made substantial investments in intra-metropolitan passenger rail infrastructure, expanding existing systems and building new ones. According to advocates of New Urbanism, such investment should encourage the growth of mixed-use transit-oriented development, defined as a high-density mix of residential and commercial uses within walking distance of rail stations. Little research to date has examined whether rail investment stimulates retail activity, which is a key component of mixed-use development. In this paper, I test whether the opening of new rail stations across California’s four largest metropolitan areas is associated with changes in retail employment near the stations. Results indicate that new rail stations were located in areas with previously high employment density, somewhat outside the city centres. New station openings are not significantly associated with differences in retail employment in three of the four MSAs, and negatively associated with retail in the Sacramento MSA. There is weak evidence that areas around new suburban stations serving commuter rail lines are more likely to gain retail employment, while centrally located, intra-city rail stations see decreases in retail activity. [ABSTRACT FROM AUTHOR] AB - Copyright of Urban Studies (Sage Publications, Ltd.) is the property of Sage Publications, Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RAILROAD stations KW - INFRASTRUCTURE (Economics) KW - TRANSIT-oriented development KW - RETAIL industry KW - NEW urbanism KW - ECONOMIC development KW - STANDARD metropolitan statistical areas KW - CALIFORNIA KW - UNITED States KW - economic development KW - retail location KW - transit-oriented development N1 - Accession Number: 110479226; Schuetz, Jenny 1; Affiliation: 1: Board of Governors of the Federal Reserve System, USA; Source Info: Nov2015, Vol. 52 Issue 14, p2699; Subject Term: RAILROAD stations; Subject Term: INFRASTRUCTURE (Economics); Subject Term: TRANSIT-oriented development; Subject Term: RETAIL industry; Subject Term: NEW urbanism; Subject Term: ECONOMIC development; Subject Term: STANDARD metropolitan statistical areas; Subject Term: CALIFORNIA; Subject Term: UNITED States; Author-Supplied Keyword: economic development; Author-Supplied Keyword: retail location; Author-Supplied Keyword: transit-oriented development; NAICS/Industry Codes: 453998 All Other Miscellaneous Store Retailers (except Tobacco Stores); NAICS/Industry Codes: 453999 All other miscellaneous store retailers (except beer and wine-making supplies stores); NAICS/Industry Codes: 452999 All other miscellaneous general merchandise stores; Number of Pages: 25p; Document Type: Article; Full Text Word Count: 9745 L3 - 10.1177/0042098014549128 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=110479226&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Chang, Andrew C. AU - Li, Phillip T1 - Measurement Error in Macroeconomic Data and Economics Research: Data Revisions, Gross Domestic Product, and Gross Domestic Income. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/11// M3 - Article SP - 1 EP - 54 AB - We analyze the effect of measurement error in macroeconomic data on economics research using two features of the estimates of latent US output produced by the Bureau of Economic Analysis (BEA). First, we use the fact that the BEA publishes two theoretically identical estimates of latent US output that only differ due to measurement error: the more well-known gross domestic product (GDP), which the BEA constructs using expenditure data, and gross domestic income (GDI), which the BEA constructs using income data. Second, we use BEA revisions to previously published releases of GDP and GDI. Using a sample of 23 published economics papers from top economics journals that utilize GDP as a key component of an estimated model, we assess whether using either revised GDP or GDI instead of GDP in the published paper would change reported results. We find that estimating models using revised GDP generates the same qualitative result as the original paper in all 23 cases. Estimating models using GDI, both with the GDI data originally available to the authors and with revised GDI, instead of GDP generates larger differences in results than those obtained with revised GDP. For 3 of 23 papers (13%), the results we obtain with GDI are qualitatively different than the original published results. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - ECONOMICS -- Research KW - GROSS domestic product KW - MACRO environment (Economics) KW - GROSS domestic income KW - UNITED States KW - MEASUREMENT errors KW - Data Revisions KW - Data Vintages KW - GDI KW - GDP KW - Gross Domestic Income KW - Gross Domestic Product KW - Latent Output KW - Measurement Error KW - National Income and Product Accounts KW - National Statistics KW - NIPA KW - Real-Time Data N1 - Accession Number: 111525402; Chang, Andrew C. 1; Email Address: a.christopher.chang@gmail.com; Li, Phillip 2; Email Address: phillip.li@occ.treas.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Office of the Comptroller of the Currency; Issue Info: Nov2015, preceding p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: GROSS domestic product; Thesaurus Term: MACRO environment (Economics); Thesaurus Term: GROSS domestic income; Subject Term: UNITED States; Subject Term: MEASUREMENT errors; Author-Supplied Keyword: Data Revisions; Author-Supplied Keyword: Data Vintages; Author-Supplied Keyword: GDI; Author-Supplied Keyword: GDP; Author-Supplied Keyword: Gross Domestic Income; Author-Supplied Keyword: Gross Domestic Product; Author-Supplied Keyword: Latent Output; Author-Supplied Keyword: Measurement Error; Author-Supplied Keyword: National Income and Product Accounts; Author-Supplied Keyword: National Statistics; Author-Supplied Keyword: NIPA; Author-Supplied Keyword: Real-Time Data; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 55p; Document Type: Article L3 - 10.17016/FEDS.2015.102 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111525402&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Naoki Aizawa AU - You Suk Kim T1 - Advertising and Risk Selection in Health Insurance Markets. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/11// M3 - Article SP - 1 EP - 50 AB - We study impacts of advertising as a channel of risk selection in Medicare Advantage. We show evidence that both mass and direct mail advertising are targeted to achieve risk selection. We develop and estimate an equilibrium model of Medicare Advantage with advertising to understand its equilibrium impacts. We find that advertising attracts the healthy more than the unhealthy. Moreover, shutting down advertising increases premiums by up to 40% for insurers that advertised by worsening their risk pools, which further reduces the demand of the unhealthy. We argue that risk selection may make consumers better off by improving insurers' risk pools. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MEDICARE KW - HEALTH insurance policies KW - RISK (Insurance) KW - HEALTH insurance companies KW - COMPUTABLE general equilibrium models N1 - Accession Number: 111525401; Naoki Aizawa 1; Email Address: aizawa@umn.edu; You Suk Kim 2; Email Address: you.kim@frb.gov; Affiliations: 1: Department of Economics at the University of Minnesota and the Federal Reserve Bank of Minneapolis; 2: Research and Statistics, the Board of Governors of the Federal Reserve System; Issue Info: Nov2015, preceding p1; Thesaurus Term: MEDICARE; Thesaurus Term: HEALTH insurance policies; Thesaurus Term: RISK (Insurance); Thesaurus Term: HEALTH insurance companies; Subject Term: COMPUTABLE general equilibrium models; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 524114 Direct Health and Medical Insurance Carriers; NAICS/Industry Codes: 524111 Direct individual life, health and medical insurance carriers; NAICS/Industry Codes: 524112 Direct group life, health and medical insurance carriers; Number of Pages: 52p; Document Type: Article L3 - 10.17016/FEDS.2015.101 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111525401&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Duygan-Bump, Burcu AU - Levkov, Alexey AU - Montoriol-Garriga, Judit T1 - Financing constraints and unemployment: Evidence from the Great Recession. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2015/10// VL - 75 M3 - Article SP - 89 EP - 105 SN - 03043932 AB - This paper shows that financing constraints of small firms were one of the drivers of unemployment dynamics during the 2007–2009 recession in the United States. Specifically, workers in small firms were more likely to become unemployed during the 2007–2009 recession than comparable workers in large firms, but only if they were employed in industries with high financing needs. We find very similar results for the 1990–1991 recession, but not for the 2001 recession, where only the former was associated with a reduction in loan supply. The findings support the credit constraints hypothesis and underscore the role of bank lending in explaining labor market activity. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UNEMPLOYMENT KW - RECESSIONS KW - SMALL business KW - BANK loans KW - LABOR market KW - BUSINESS enterprises -- Size KW - UNITED States KW - Financial dependence KW - Firm size KW - Great Recession KW - Unemployment N1 - Accession Number: 110216546; Duygan-Bump, Burcu 1; Levkov, Alexey 2; Email Address: alexey.levkov@gmail.com; Montoriol-Garriga, Judit 3; Affiliations: 1: Division of Monetary Affairs Board of Governors of the Federal Reserve System, United States; 2: The Clearing House, 1114 Avenue of the Americas, New York, NY 10036, United States; 3: La Caixa Research Department, Spain; Issue Info: Oct2015, Vol. 75, p89; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: RECESSIONS; Thesaurus Term: SMALL business; Thesaurus Term: BANK loans; Thesaurus Term: LABOR market; Thesaurus Term: BUSINESS enterprises -- Size; Subject Term: UNITED States; Author-Supplied Keyword: Financial dependence; Author-Supplied Keyword: Firm size; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Unemployment; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2014.12.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=110216546&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lipińska, Anna T1 - OPTIMAL MONETARY POLICY FOR THE EMU ACCESSION COUNTRIES. A NEW KEYNESIAN APPROACH. JO - Macroeconomic Dynamics JF - Macroeconomic Dynamics Y1 - 2015/10// VL - 19 IS - 7 M3 - Article SP - 1427 EP - 1475 SN - 13651005 AB - This paper uses a dynamic stochastic general equilibrium model of a two-sector small open economy to analyze how the Maastricht criteria modify a fully credible optimal monetary policy in the Economic and Monetary Union accession countries. We show that if the country is not constrained by the criteria, optimal policy should stabilize fluctuations in PPI inflation, in the aggregate output gap, and in the domestic and international terms of trade. The optimal policy constrained permanently by the Maastricht criteria is characterized by reduced variability of the nominal exchange rate, CPI inflation, and the nominal interest rate and by lower optimal targets for CPI inflation and nominal interest rate. This policy results in higher variability and nonzero means for both PPI inflation and output gap, thus leading to additional, but small, welfare costs compared with the unconstrained policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Macroeconomic Dynamics is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - KEYNESIAN economics KW - WHOLESALE price indexes KW - CONSUMER price indexes KW - EMU Accession Countries KW - Maastricht Convergence Criteria KW - Optimal Monetary Policy KW - ECONOMIC & Monetary Union N1 - Accession Number: 110357263; Lipińska, Anna 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2015, Vol. 19 Issue 7, p1427; Thesaurus Term: MONETARY policy; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: WHOLESALE price indexes; Thesaurus Term: CONSUMER price indexes; Author-Supplied Keyword: EMU Accession Countries; Author-Supplied Keyword: Maastricht Convergence Criteria; Author-Supplied Keyword: Optimal Monetary Policy ; Company/Entity: ECONOMIC & Monetary Union; Number of Pages: 49p; Document Type: Article L3 - 10.1017/S1365100513000898 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=110357263&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dias, Daniel A. AU - Robalo Marques, Carlos AU - Richmond, Christine T1 - Misallocation and Productivity in the Lead Up to the Eurozone Crisis. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/10// IS - 1146 M3 - Article SP - 1 EP - 54 AB - We use Portuguese firm-level data to investigate whether changes in resource misallocation may have contributed to the poor economic performance of some southern and peripheral European countries leading up to the Eurozone crisis. We extend Hsieh and Klenow's (2009) methodology to include intermediate inputs and consider all sectors of the economy (agriculture, manufacturing, and services). We find that within-industry misallocation almost doubled between 1996 and 2011. Equalizing total factor revenue productivity across firms within an industry could have boosted valued-added 48 percent and 79 percent above actual levels in 1996 and 2011, respectively. This implies that deteriorating allocative efficiency may have shaved around 1.3 percentage points of the annual GDP growth during the 1996-2011 period. Allocative efficiency deterioration, despite being a widespread phenomenon, is significantly higher in the service sector, with 5 industries accounting for 72 percent of the total variation. Capital distortions are the most important source of potential value-added efficiency gains, especially in the service sector, with a relative contribution increasing over time. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESOURCE allocation KW - RESEARCH KW - EUROPEAN Sovereign Debt Crisis, 2009- KW - PRODUCTION (Economic theory) KW - PUBLIC sector KW - GROSS domestic product KW - financial integration KW - firm-level data KW - Misallocation KW - productivity KW - wedges N1 - Accession Number: 111560177; Dias, Daniel A. 1; Email Address: daniel.dias@frb.gov; Robalo Marques, Carlos 2; Email Address: cmrmarques@bportugal.pt; Richmond, Christine 3; Email Address: crichmond@imf.org; Affiliations: 1: Board of Governors of the Federal Reserve System and CEMAPRE; 2: Banco de Portugal, Research Department; 3: International Monetary Fund; Issue Info: Oct2015, Issue 1146, preceding p1; Thesaurus Term: RESOURCE allocation; Thesaurus Term: RESEARCH; Thesaurus Term: EUROPEAN Sovereign Debt Crisis, 2009-; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: PUBLIC sector; Thesaurus Term: GROSS domestic product; Author-Supplied Keyword: financial integration; Author-Supplied Keyword: firm-level data; Author-Supplied Keyword: Misallocation; Author-Supplied Keyword: productivity; Author-Supplied Keyword: wedges; Number of Pages: 57p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111560177&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berge, Travis J. T1 - Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle. JO - Journal of Forecasting JF - Journal of Forecasting Y1 - 2015/09// VL - 34 IS - 6 M3 - Article SP - 455 EP - 471 SN - 02776693 AB - Four methods of model selection-equally weighted forecasts, Bayesian model-averaged forecasts, and two models produced by the machine-learning algorithm boosting-are applied to the problem of predicting business cycle turning points with a set of common macroeconomic variables. The methods address a fundamental problem faced by forecasters: the most useful model is simple but makes use of all relevant indicators. The results indicate that successful models of recession condition on different economic indicators at different forecast horizons. Predictors that describe real economic activity provide the clearest signal of recession at very short horizons. In contrast, signals from housing and financial markets produce the best forecasts at longer forecast horizons. A real-time forecast experiment explores the predictability of the 2001 and 2007 recessions. Copyright © 2015 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Forecasting is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS KW - BUSINESS cycles KW - ECONOMIC indicators KW - MACROECONOMICS KW - SECURITIES markets KW - Bayesian model averaging KW - boosting KW - business cycle turning points KW - probabilistic forecasts KW - variable selection N1 - Accession Number: 108930713; Berge, Travis J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Sep2015, Vol. 34 Issue 6, p455; Thesaurus Term: RECESSIONS; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: MACROECONOMICS; Thesaurus Term: SECURITIES markets; Author-Supplied Keyword: Bayesian model averaging; Author-Supplied Keyword: boosting; Author-Supplied Keyword: business cycle turning points; Author-Supplied Keyword: probabilistic forecasts; Author-Supplied Keyword: variable selection; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 17p; Document Type: Article L3 - 10.1002/for.2345 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=108930713&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Grodzicki, Daniel J. AU - Moore, Kevin B. T1 - DEATH AND TAXES: AN EVALUATION OF THE IMPACT OF PROSPECTIVE POLICIES FOR TAXING WEALTH AT THE TIME OF DEATH. JO - National Tax Journal JF - National Tax Journal Y1 - 2015/09// VL - 68 IS - 3 M3 - Article SP - 601 EP - 632 PB - National Tax Association SN - 00280283 AB - We study the efficacy of a capital gains tax relative to the current estate tax. Using wealth data on U.S. households, we forecast changes in household wealth and calculate the importance of untaxed wealth in bequeathed estates. We then compare the aggregate and distributional burden of the current estate tax to policies in which only unrealized capital gains are subject to tax. We estimate that, in the coming decade, unrealized capital gains will comprise nearly half of the gross estate for estates worth over $50 million. Policies taxing capital gains can potentially raise more revenue than the current estate tax, but not without a substantial increase in the fraction of households facing a tax. Due to the high concentration of unrealized gains among the wealthy, we find that, although a modest capital gains allowance substantially reduces tax revenue, it sharply focuses the tax burden on the wealthiest households. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH tax KW - PROPERTY tax KW - REAL property tax KW - LOCAL taxation KW - CAPITAL gains tax KW - UNITED States KW - estate taxation KW - incidence KW - tax revenue N1 - Accession Number: 109031410; Avery, Robert B. 1; Email Address: robert.avery@fhfa.gov; Grodzicki, Daniel J. 2; Email Address: djg39@psu.edu; Moore, Kevin B. 3; Email Address: kevin.b.moore@frb.gov; Affiliations: 1: Federal Housing Finance Agency, Washington, DC, USA; 2: Department of Economics, Pennsylvania State University, University Park, PA, USA; 3: Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Sep2015, Vol. 68 Issue 3, p601; Thesaurus Term: WEALTH tax; Thesaurus Term: PROPERTY tax; Thesaurus Term: REAL property tax; Thesaurus Term: LOCAL taxation; Thesaurus Term: CAPITAL gains tax; Subject Term: UNITED States; Author-Supplied Keyword: estate taxation; Author-Supplied Keyword: incidence; Author-Supplied Keyword: tax revenue; Number of Pages: 32p; Illustrations: 7 Charts, 2 Graphs; Document Type: Article L3 - 10.17310/ntj.2015.3.05 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=109031410&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny T1 - Why are Walmart and Target Next-Door neighbors? JO - Regional Science & Urban Economics JF - Regional Science & Urban Economics Y1 - 2015/09// VL - 54 M3 - Article SP - 38 EP - 48 SN - 01660462 AB - One of the most notable changes in the U.S. retail market over the past twenty years has been the rise of Big Box stores, retail chains characterized by physically large stores selling a wide range of consumer goods at discount prices. A growing literature has examined the impacts of Big Box stores on other retailers and consumers, but relatively little is known about how Big Box stores choose locations. Because Big Box stores offer highly standardized products and compete primarily on price, it is likely that they will seek to establish spatial monopolies, far from competitor stores. In this paper, I examine where new Big Box stores locate with respect to three types of existing establishments: own-firm stores, other retailers in the same product space (competitors), and retailers in other product spaces (complements). Results indicate that new Big Box stores tend to avoid existing own-firm stores and locate near complementary Big Box stores. However, there is little evidence that new Big Boxes seek to avoid competitors. Firms in the same product space may not be perfect substitutes, or firms may prefer to share consumers in a desirable location rather than cede the entire market to competitor firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Regional Science & Urban Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Retail industry KW - Supply chains KW - Consumer goods KW - Big box stores KW - Competition (Economics) KW - United States -- Economic conditions KW - Agglomeration KW - Big Box stores KW - L81 KW - R12 KW - R32 KW - Retail location KW - Spatial competition N1 - Accession Number: 109242559; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Sep2015, Vol. 54, p38; Subject Term: Retail industry; Subject Term: Supply chains; Subject Term: Consumer goods; Subject Term: Big box stores; Subject Term: Competition (Economics); Subject Term: United States -- Economic conditions; Author-Supplied Keyword: Agglomeration; Author-Supplied Keyword: Big Box stores; Author-Supplied Keyword: L81; Author-Supplied Keyword: R12; Author-Supplied Keyword: R32; Author-Supplied Keyword: Retail location; Author-Supplied Keyword: Spatial competition; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; NAICS/Industry Codes: 452999 All other miscellaneous general merchandise stores; NAICS/Industry Codes: 453999 All other miscellaneous store retailers (except beer and wine-making supplies stores); NAICS/Industry Codes: 453998 All Other Miscellaneous Store Retailers (except Tobacco Stores); Number of Pages: 11p; Document Type: Article L3 - 10.1016/j.regsciurbeco.2015.07.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=109242559&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Aikman, David AU - Kiley, Michael AU - Seung Jung Lee AU - Palumbo, Michael AU - Warusawitharana, Missaka T1 - Mapping Heat in the U.S. Financial System. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/08// M3 - Article SP - 1 EP - 71 AB - We provide a framework for assessing the build-up of vulnerabilities to the U.S. financial system. We collect forty-four indicators of financial and balance-sheet conditions, cutting across measures of valuation pressures, nonfinancial borrowing, and financial-sector health. We place the data in economic categories, track their evolution, and develop an algorithmic approach to monitoring vulnerabilities that can complement the more judgmental approach of most official-sector organizations. Our approach picks up rising imbalances in the U.S. financial system through the mid-2000s, presaging the financial crisis. We also highlight several statistical properties of our approach: most importantly, our summary measures of system-wide vulnerabilities lead the credit-to-GDP gap (a key gauge in Basel III and related research) by a year or more. Thus, our framework may provide useful information for setting macroprudential policy tools such as the countercyclical capital buffer. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL risk management KW - ECONOMIC stabilization KW - FINANCIAL crises KW - SYSTEMIC risk (Finance) KW - FINANCIAL services industry KW - UNITED States KW - Countercyclical capital buffers KW - Data visualization KW - Early warning system KW - Financial crisis KW - Financial stability KW - Financial vulnerabilities KW - Heat maps KW - Macroprudential policy KW - Systemic risk N1 - Accession Number: 109177178; Aikman, David 1; Kiley, Michael 2; Email Address: mkiley@frb.gov; Seung Jung Lee 2; Palumbo, Michael 2; Warusawitharana, Missaka 2; Affiliations: 1: Bank of England, London, UK; 2: Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Aug2015, p1; Thesaurus Term: FINANCIAL risk management; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: FINANCIAL crises; Thesaurus Term: SYSTEMIC risk (Finance); Thesaurus Term: FINANCIAL services industry; Subject Term: UNITED States; Author-Supplied Keyword: Countercyclical capital buffers; Author-Supplied Keyword: Data visualization; Author-Supplied Keyword: Early warning system; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: Financial stability; Author-Supplied Keyword: Financial vulnerabilities; Author-Supplied Keyword: Heat maps; Author-Supplied Keyword: Macroprudential policy; Author-Supplied Keyword: Systemic risk; Number of Pages: 71p; Document Type: Article L3 - 10.17016/FEDS.2015.059 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=109177178&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chang, Andrew C. AU - Hanson, Tyler J. T1 - The Accuracy of Forecasts Prepared for the Federal Open Market Committee. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/08// M3 - Article SP - 1 EP - 24 AB - We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the Federal Open Market Committee from 1997 to 2008, called the Greenbooks. We compare the root mean squared error, mean absolute error, and the proportion of directional errors of Greenbook forecasts of these macroeconomic indicators to the errors from three forecasting benchmarks: a random walk, a first-order autoregressive model, and a Bayesian model averaged forecast from a suite of univariate time-series models commonly taught tofirst-year economics graduate students. We estimate our forecasting benchmarks both on end-of-sample vintage and real-time vintage data. We find find that Greenbook forecasts significantly outperform our benchmark forecasts for horizons less than one quarter ahead. However, by the one-year forecast horizon, typically at least one of our forecasting benchmarks performs as well as Greenbook forecasts. Greenbook forecasts of the personal consumption expenditures and unemployment tend to do relatively well, while Greenbook forecasts of inventory investment, government expenditures, and inflation tend to do poorly. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - CONSUMPTION (Economics) KW - PUBLIC spending KW - GROSS domestic product KW - INFLATION (Finance) KW - FEDERAL Reserve monetary policy KW - UNITED States KW - Bayesian Model Averaging KW - Federal Open Market Committee KW - Forecast Accuracy KW - Greenbook KW - National Income and Product Accounts KW - NIPA KW - Real-Time Data KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 109177181; Chang, Andrew C. 1; Email Address: a.christopher.chang@gmail.com; Hanson, Tyler J. 2; Email Address: thanson2691@gmail.com; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: 275 Third Street, Cambridge, MA 02142 USA; Issue Info: Aug2015, p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PUBLIC spending; Thesaurus Term: GROSS domestic product; Thesaurus Term: INFLATION (Finance); Thesaurus Term: FEDERAL Reserve monetary policy; Subject Term: UNITED States; Author-Supplied Keyword: Bayesian Model Averaging; Author-Supplied Keyword: Federal Open Market Committee; Author-Supplied Keyword: Forecast Accuracy; Author-Supplied Keyword: Greenbook; Author-Supplied Keyword: National Income and Product Accounts; Author-Supplied Keyword: NIPA; Author-Supplied Keyword: Real-Time Data ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 24p; Document Type: Article L3 - 10.17016/FEDS.2015.062 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=109177181&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Londono, Juan M. AU - Regúlez, Marta AU - Vázquez, Jesús T1 - An alternative view of the US price–dividend ratio dynamics. JO - International Review of Economics & Finance JF - International Review of Economics & Finance Y1 - 2015/07// VL - 38 M3 - Article SP - 291 EP - 307 SN - 10590560 AB - The price–dividend (PD) ratio must be stationary for the present value model to be valid. However, several market episodes show stock prices drifting apart from dividends. This paper investigates PD ratio stationarity by considering a Markov-switching model featuring an asymmetric adjustment speed toward a unique attractor. A three-regime model displays the best regime identification. Within this specification, the post-war period is mainly characterized by a stationary state featuring slow reversion to a high attractor, the growing PD ratio period of 1996–2000 features a high-reversion stationary regime, and the subprime crisis episode is classified into a temporary nonstationary regime. [ABSTRACT FROM AUTHOR] AB - Copyright of International Review of Economics & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC models KW - DIVIDENDS KW - MARKOV processes KW - MATHEMATICAL models KW - STOCK exchanges KW - C32 KW - G12 KW - Markov regime switching KW - Price–dividend ratio KW - Stationarity N1 - Accession Number: 102659117; Londono, Juan M. 1; Email Address: juan-miguel.londono-yarce@frb.gov; Regúlez, Marta 2; Email Address: marta.regulez@ehu.es; Vázquez, Jesús 3; Email Address: jesus.vazquez@ehu.es; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington D.C. 20551, USA; 2: Departamento de Economía Aplicada III, Universidad del País Vasco (UPV/EHU), Av. Lehendakari Aguirre 83, 48015 Bilbao, Spain; 3: Departamento de Fundamentos del Análisis Económico II, Universidad del País Vasco (UPV/EHU), Av. Lehendakari Aguirre 83, 48015 Bilbao, Spain; Issue Info: Jul2015, Vol. 38, p291; Thesaurus Term: ECONOMIC models; Thesaurus Term: DIVIDENDS; Thesaurus Term: MARKOV processes; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: STOCK exchanges; Author-Supplied Keyword: C32; Author-Supplied Keyword: G12; Author-Supplied Keyword: Markov regime switching; Author-Supplied Keyword: Price–dividend ratio; Author-Supplied Keyword: Stationarity; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.iref.2015.03.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102659117&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - CARAPELLA, FRANCESCA AU - WILLIAMSON, STEPHEN T1 - Credit Markets, Limited Commitment, and Government Debt. JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 2015/07// VL - 82 IS - 3 M3 - Article SP - 963 EP - 990 PB - Oxford University Press / USA SN - 00346527 AB - Adynamic model with credit under limited commitment is constructed, in which limited memory can weaken the effects of punishment for default. This creates an endogenous role for government debt in credit markets, and the economy can be non-Ricardian. Default can occur in equilibrium, and government debt essentially plays a role as collateral and thus improves borrowers' incentives. The provision of government debt acts to discourage default, whether default occurs in equilibrium or not. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PUBLIC debts KW - RICARDIAN equivalence theorem KW - CREDIT KW - COLLATERAL security KW - EQUILIBRIUM KW - Credit KW - Government Debt KW - Limited Commitment KW - Ricardian equivalence N1 - Accession Number: 112057892; CARAPELLA, FRANCESCA 1; WILLIAMSON, STEPHEN 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Washington University in St Louis and Federal Reseve Bank of St Louis; Issue Info: Jul2015, Vol. 82 Issue 3, p963; Thesaurus Term: PUBLIC debts; Thesaurus Term: RICARDIAN equivalence theorem; Thesaurus Term: CREDIT; Thesaurus Term: COLLATERAL security; Subject Term: EQUILIBRIUM; Author-Supplied Keyword: Credit; Author-Supplied Keyword: Government Debt; Author-Supplied Keyword: Limited Commitment; Author-Supplied Keyword: Ricardian equivalence; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 28p; Illustrations: 2 Black and White Photographs, 1 Diagram; Document Type: Article L3 - 10.1093/restud/rdv006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=112057892&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Devlin-Foltz, Sebastian AU - Sabelhaus, John T1 - Heterogeneity in Economic Shocks and Household Spending. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/07// M3 - Article SP - 1 EP - 43 AB - Large swings in aggregate household-sector spending, especially for big ticket items such as cars and housing, have been a dominant feature of the macroeconomic landscape in the past two decades. Income and wealth inequality increased over the same period, leading some to suggest the two phenomena are interconnected. Indeed, there is supporting evidence for the idea that heterogeneity in economic shocks and spending are connected, most notably in studies using local-area geography as the unit of analysis. The Survey of Consumer Finances (SCF) provides a household-level perspective on changes in wealth, income, and spending across different types of families. The SCF confirms that inequality is indeed increasing in recent decades, and the data provide support for the proposition that shocks to income and wealth are indeed related to large swings in spending across and within birth cohorts. However, the economic shocks associated with the Great Recession and changes in spending and debt to income ratios are widespread, and inconsistent with a narrow focus on the experiences and changes in behavior of particular (especially low- and modest-income) households. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - CONSUMER credit KW - MACROECONOMICS KW - FINANCIAL ratios KW - RECESSIONS -- 2008-2013 N1 - Accession Number: 109177065; Devlin-Foltz, Sebastian 1; Sabelhaus, John 1; Email Address: john.sabelhaus@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Jul2015, following p1; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: CONSUMER credit; Thesaurus Term: MACROECONOMICS; Thesaurus Term: FINANCIAL ratios; Thesaurus Term: RECESSIONS -- 2008-2013; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 44p; Document Type: Article L3 - 10.17016/FEDS.2015.049 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=109177065&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ihrig, Jane AU - Meade, Ellen E. AU - Weinbach, Gretchen C. T1 - Monetary Policy 101: A Primer on the Fed's Changing Approach to Policy Implementation. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/07// M3 - Article SP - 1 EP - 29 AB - The Federal Reserve conducts monetary policy in order to achieve its statutory mandate of maximum employment, stable prices, and moderate long-term interest rates as prescribed by the Congress and laid out in the Federal Reserve Act. For many years prior to the financial crisis, the FOMC set a target for the federal funds rate and achieved that target through small purchases and sales of securities in the open market. In the aftermath of the financial crisis, with a superabundant level of reserve balances in the banking system having been created as a result of the Federal Reserve's large scale asset purchase programs, this approach to implementing monetary policy will no longer work. This paper provides a primer on the Fed's implementation of monetary policy. We use the standard textbook model to illustrate why the approach used by the Federal Reserve before the financial crisis to keep the federal funds rate near the FOMC's target will not work in current circumstances, and explain the approach that the Committee intends to use instead when it decides to begin raising short-term interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL Reserve monetary policy KW - INTEREST rates KW - GLOBAL Financial Crisis, 2008-2009 KW - BANKING industry -- United States KW - OPEN market operations KW - UNITED States KW - Federal Reserve KW - FOMC KW - liftoff KW - monetary policy implementation KW - monetary policy normalization KW - monetary policy tools KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - FEDERAL Reserve Act (U.S. : 1913) N1 - Accession Number: 109177063; Ihrig, Jane 1; Meade, Ellen E. 1; Weinbach, Gretchen C. 1; Affiliations: 1: Economists, Division of Monetary Affairs, Board of Governors of the Federal Reserve System; Issue Info: Jul2015, p1; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: INTEREST rates; Thesaurus Term: GLOBAL Financial Crisis, 2008-2009; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: OPEN market operations; Subject Term: UNITED States; Author-Supplied Keyword: Federal Reserve; Author-Supplied Keyword: FOMC; Author-Supplied Keyword: liftoff; Author-Supplied Keyword: monetary policy implementation; Author-Supplied Keyword: monetary policy normalization; Author-Supplied Keyword: monetary policy tools ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); Reviews & Products: FEDERAL Reserve Act (U.S. : 1913); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 29p; Document Type: Article L3 - 10.17016/FEDS.2015.047 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=109177063&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kelly, Bryan AU - Pruitt, Seth T1 - The three-pass regression filter: A new approach to forecasting using many predictors. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2015/06// VL - 186 IS - 2 M3 - Article SP - 294 EP - 316 SN - 03044076 AB - We forecast a single time series using many predictor variables with a new estimator called the three-pass regression filter (3PRF). It is calculated in closed form and conveniently represented as a set of ordinary least squares regressions. 3PRF forecasts are consistent for the infeasible best forecast when both the time dimension and cross section dimension become large. This requires specifying only the number of relevant factors driving the forecast target, regardless of the total number of common factors driving the cross section of predictors. The 3PRF is a constrained least squares estimator and reduces to partial least squares as a special case. Simulation evidence confirms the 3PRF’s forecasting performance relative to alternatives. We explore two empirical applications: Forecasting macroeconomic aggregates with a large panel of economic indices, and forecasting stock market returns with price–dividend ratios of stock portfolios. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - REGRESSION analysis KW - PARAMETER estimation KW - ECONOMIC indicators KW - VARIABLES (Mathematics) KW - LEAST squares KW - C22 KW - C23 KW - C53 KW - Constrained least squares KW - Factor model KW - Forecast KW - Partial least squares KW - Principal components N1 - Accession Number: 102495442; Kelly, Bryan 1; Email Address: bryan.kelly@chicagobooth.edu; Pruitt, Seth 2,3; Email Address: seth.pruitt@asu.edu; Affiliations: 1: University of Chicago, Booth School of Business, 5807 S. Woodlawn Ave., Chicago, IL 60637, United States; 2: Board of Governors of the Federal Reserve System, Washington DC, United States; 3: Arizona State University, W.P. Carey School of Business, Tempe, AZ 852877, United States; Issue Info: Jun2015, Vol. 186 Issue 2, p294; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: REGRESSION analysis; Thesaurus Term: PARAMETER estimation; Thesaurus Term: ECONOMIC indicators; Subject Term: VARIABLES (Mathematics); Subject Term: LEAST squares; Author-Supplied Keyword: C22; Author-Supplied Keyword: C23; Author-Supplied Keyword: C53; Author-Supplied Keyword: Constrained least squares; Author-Supplied Keyword: Factor model; Author-Supplied Keyword: Forecast; Author-Supplied Keyword: Partial least squares; Author-Supplied Keyword: Principal components; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jeconom.2015.02.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102495442&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rua, Gisela T1 - Global Markets Transformed: 1870–1945. JO - Journal of Economic History JF - Journal of Economic History Y1 - 2015/06// VL - 75 IS - 2 M3 - Book Review SP - 615 EP - 617 SN - 14716372 KW - INTERNATIONAL trade KW - NONFICTION KW - TOPIK, Steven C. KW - WELLS, Allen KW - GLOBAL Markets Transformed: 1870-1945 (Book) N1 - Accession Number: 103044124; Rua, Gisela 1; Affiliations: 1 : Board of Governors of the Federal Reserve System *; Source Info: Jun2015, Vol. 75 Issue 2, p615; Historical Period: 1870 to 1945; Subject Term: INTERNATIONAL trade; Subject Term: NONFICTION; Number of Pages: 3p; Document Type: Book Review L3 - 10.1017/S0022050715000911 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=hia&AN=103044124&site=ehost-live&scope=site DP - EBSCOhost DB - hia ER - TY - JOUR AU - Kennickell, Arthur B. AU - Kwast, Myron L. AU - Pogach, Jonathan T1 - Small Businesses and Small Business Finance during the Financial Crisis and the Great Recession: New Evidence From the Survey of Consumer Finances. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/06// M3 - Article SP - 1 EP - 94 AB - We use the Federal Reserve's 2007, 2009 re-interview of 2007 respondents, and 2010 Surveys of Consumer Finances (SCFs) to examine the experiences of small businesses owned and actively managed by households during these turbulent years. This is the first paper to use these SCFs to study small businesses even though the surveys contain extensive data on a broad cross-section of firms and their owners. We find that the vast majority of small businesses were severely affected by the financial crisis and the Great Recession, including facing tight credit constraints. We document numerous and often complex interdependencies between the finances of small businesses and their owner-manager households, including a more complicated role of housing assets than has been reported previously. We find that workers who lost their job responded in part by starting their own small business, and that factors correlated with the survival of a small business differed greatly depending upon whether the firm was established or new. Our results strongly reinforce the importance of relationship finance to small businesses, and the primary role of commercial banks in such relationships. We find that both cross-section and panel data are needed to understand the complex issues associated with the creation, survival and failure of small businesses. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business -- Finance KW - CONSUMER surveys KW - RECESSIONS -- 2008-2013 KW - BUSINESS enterprises -- Finance KW - UNITED States -- Economic conditions -- 2001-2009 N1 - Accession Number: 103169808; Kennickell, Arthur B. 1; Kwast, Myron L. 2; Pogach, Jonathan 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C.; 2: Federal Deposit Insurance Corporation, Washington, D.C.; Issue Info: Jun2015, preceding p1; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: CONSUMER surveys; Thesaurus Term: RECESSIONS -- 2008-2013; Thesaurus Term: BUSINESS enterprises -- Finance; Subject Term: UNITED States -- Economic conditions -- 2001-2009; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 95p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169808&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wachter, Jessica A. AU - Warusawitharana, Missaka T1 - What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2015/05// VL - 186 IS - 1 M3 - Article SP - 74 EP - 93 SN - 03044076 AB - We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time series of returns and predictor variables. Correctly taking into account the stochastic properties of the regressor has a dramatic impact on inference, particularly over the 2000–2005 period. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK repurchasing KW - INSURANCE premiums KW - DIVIDENDS KW - CAPITALISTS & financiers KW - UNCERTAINTY (Information theory) KW - Bayesian statistics KW - C11 KW - C22 KW - G11 KW - G17 KW - Model uncertainty KW - Return predictability N1 - Accession Number: 101923155; Wachter, Jessica A. 1,2; Email Address: jwachter@wharton.upenn.edu; Warusawitharana, Missaka 3; Email Address: missaka.n.warusawitharana@frb.gov; Affiliations: 1: Department of Finance, The Wharton School, University of Pennsylvania, 2300 SH-DH, Philadelphia, PA, 19104, United States; 2: NBER, United States; 3: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Mail Stop 97, 20th and Constitution Ave, Washington D.C., 20551, United States; Issue Info: May2015, Vol. 186 Issue 1, p74; Thesaurus Term: STOCK repurchasing; Thesaurus Term: INSURANCE premiums; Thesaurus Term: DIVIDENDS; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: UNCERTAINTY (Information theory); Author-Supplied Keyword: Bayesian statistics; Author-Supplied Keyword: C11; Author-Supplied Keyword: C22; Author-Supplied Keyword: G11; Author-Supplied Keyword: G17; Author-Supplied Keyword: Model uncertainty; Author-Supplied Keyword: Return predictability; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.jeconom.2014.05.018 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101923155&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bekaert, Geert AU - Engstrom, Eric AU - Ermolov, Andrey T1 - Bad environments, good environments: A non-Gaussian asymmetric volatility model. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2015/05// VL - 186 IS - 1 M3 - Article SP - 258 EP - 275 SN - 03044076 AB - We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional heteroskedasticity (GARCH) class that admits conditional non-Gaussianities in a tractable fashion. Our “bad environment–good environment” (BEGE) model utilizes two gamma-distributed shocks and generates a conditional shock distribution with time-varying heteroskedasticity, skewness, and kurtosis. The BEGE model features nontrivial news impact curves and closed-form solutions for higher-order moments. In an empirical application to stock returns, the BEGE model outperforms asymmetric GARCH and regime-switching models along several dimensions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VOLATILITY (Finance) KW - INFORMATION asymmetry KW - RISK management in business KW - AUTOREGRESSIVE processes KW - HETEROSCEDASTICITY KW - Asymmetric volatility KW - Conditional skewness KW - G11 KW - G17 KW - GARCH KW - Non-Gaussianities KW - Risk management N1 - Accession Number: 101923159; Bekaert, Geert 1,2; Engstrom, Eric 3; Email Address: eric.c.engstrom@frb.gov; Ermolov, Andrey 1; Affiliations: 1: Columbia University, United States; 2: National Bureau of Economic Research, United States; 3: Board of Governors of the Federal Reserve System 1 1 The views expressed in this document do not necessarily reflect those of the Board of Governors of the Federal Reserve System, or its staff. , United States; Issue Info: May2015, Vol. 186 Issue 1, p258; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: INFORMATION asymmetry; Thesaurus Term: RISK management in business; Subject Term: AUTOREGRESSIVE processes; Subject Term: HETEROSCEDASTICITY; Author-Supplied Keyword: Asymmetric volatility; Author-Supplied Keyword: Conditional skewness; Author-Supplied Keyword: G11; Author-Supplied Keyword: G17; Author-Supplied Keyword: GARCH; Author-Supplied Keyword: Non-Gaussianities; Author-Supplied Keyword: Risk management; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jeconom.2014.06.021 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101923159&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Brevoort, Kenneth P. T1 - THE SUBPRIME CRISIS: IS GOVERNMENT HOUSING POLICY TO BLAME? JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2015/05// VL - 97 IS - 2 M3 - Article SP - 352 EP - 363 PB - MIT Press SN - 00346535 AB - Some have suggested that housing policy, embodied by the Community Reinvestment Act (CRA) and affordable housing goals of the government-sponsored enterprises (GSEs), caused the subprime crisis. We examine if these programs led to worse mortgage outcomes using two approaches. The first examines whether more activity by CRA-covered lenders, or more loan sales to the GSEs, was associated with worse outcomes. The second uses regression discontinuity to determine if outcomes were worse at the geographic thresholds used by each program. Our results suggest that neither program played a significant role in the subprime crisis. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUBPRIME mortgages KW - RESEARCH KW - SUBPRIME loans KW - URBAN planning KW - HOUSING policy -- United States KW - URBAN policy N1 - Accession Number: 102240459; Avery, Robert B. 1; Brevoort, Kenneth P. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May2015, Vol. 97 Issue 2, p352; Thesaurus Term: SUBPRIME mortgages; Thesaurus Term: RESEARCH; Thesaurus Term: SUBPRIME loans; Thesaurus Term: URBAN planning; Subject Term: HOUSING policy -- United States; Subject Term: URBAN policy; NAICS/Industry Codes: 237210 Land Subdivision; NAICS/Industry Codes: 925120 Administration of Urban Planning and Community and Rural Development; Number of Pages: 12p; Illustrations: 5 Charts, 1 Graph; Document Type: Article L3 - 10.1162/REST_a_00491 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102240459&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kandrac, John AU - Schlusche, Bernd T1 - An agency problem in the MBS market and the solicited refinancing channel of large-scale asset purchases. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/05// M3 - Article SP - 1 EP - 48 AB - In this paper, we document that mortgage-backed securities (MBS) held by the Federal Reserve exhibit faster principal prepayment rates than MBS held by the rest of the market. Next, we show that this stylized fact persists even when controlling for factors that affect prepayment behavior, and thus determine the MBS that are delivered to the Federal Reserve. After ruling out several potential explanations for this result, we provide evidence that points to an agency problem in the secondary market for MBS, which has not previously been documented, as the most likely explanation for the abnormal prepayment behavior of Federal Reserve-held MBS. This agency problem—a key feature of the MBS market—arises when originators of mortgages that underlie the MBS no longer share in the prepayment risk of the securities, thereby increasing incentives to solicit refinancing activity. Therefore, Federal Reserve MBS holdings acquired from originators as a result of large-scale asset purchases can help stimulate economic activity through a so-called "solicited refinancing channel." Finally, we provide an estimate of the additional refinancing activity resulting from the solicited refinancing channel in the years after the Federal Reserve's first MBS purchase program, demonstrating that this channel conveyed savings on monthly mortgage payments to homeowners. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE-backed securities KW - RESEARCH KW - MORTGAGES KW - MONETARY policy KW - REFINANCING KW - UNITED States KW - Federal Reserve KW - LSAP KW - monetary policy KW - mortgage KW - mortgage-backed securities KW - pre-payment rates KW - QE KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 102673918; Kandrac, John 1; Email Address: john.p.kandrac@frb.gov; Schlusche, Bernd 1; Email Address: bernd.schlusche@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May2015, preceding p1; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: RESEARCH; Thesaurus Term: MORTGAGES; Thesaurus Term: MONETARY policy; Thesaurus Term: REFINANCING; Subject Term: UNITED States; Author-Supplied Keyword: Federal Reserve; Author-Supplied Keyword: LSAP; Author-Supplied Keyword: monetary policy; Author-Supplied Keyword: mortgage; Author-Supplied Keyword: mortgage-backed securities; Author-Supplied Keyword: pre-payment rates; Author-Supplied Keyword: QE ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 50p; Document Type: Article L3 - 10.17016/FEDS.2015.027 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102673918&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bricker, Jesse AU - Henriques, Alice AU - Krimmel, Jacob AU - Sabelhaus, John T1 - Measuring Income and Wealth at the Top Using Administrative and Survey Data. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/05// M3 - Article SP - 1 EP - 63 AB - Administrative tax data indicate that U.S. top income and wealth shares are substantial and increasing rapidly (Piketty and Saez 2003, Saez and Zucman 2014). A key reason for using administrative data to measure top shares is to overcome the under-representation of families at the very top that plagues most household surveys. However, using tax records alone restricts the unit of analysis for measuring economic resources, limits the concepts of income and wealth being measured, and imposes a rigid correlation between income and wealth. The Survey of Consumer Finances (SCF) solves the under-representation problem by combining administrative and survey data (Bricker et al, 2014). Administrative records are used to select the SCF sample and verify that high-end families are appropriately represented, and the survey is designed to measure comprehensive concepts of income and wealth at the family level. The SCF shows high and rising top income and wealth shares, as in the administrative tax data. However, unadjusted, the levels and growth based on administrative tax data alone appear to be substantially larger. By constraining the SCF to be conceptually comparable, we reconcile the differences, and show the extent to which restrictions and rigidities needed to estimate top income and wealth shares in the administrative data bias up levels and growth rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCOME KW - WEALTH KW - CONSUMERS KW - FINANCE KW - UNITED States KW - HOUSEHOLD surveys KW - HOUSEHOLDS KW - HOUSEHOLDS -- United States N1 - Accession Number: 103169829; Bricker, Jesse 1; Email Address: jesse.bricker@frb.gov; Henriques, Alice 1; Krimmel, Jacob 1; Sabelhaus, John 1; Affiliations: 1: 1Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: May2015, preceding p1; Thesaurus Term: INCOME; Thesaurus Term: WEALTH; Thesaurus Term: CONSUMERS; Thesaurus Term: FINANCE; Subject Term: UNITED States; Subject Term: HOUSEHOLD surveys; Subject Term: HOUSEHOLDS; Subject Term: HOUSEHOLDS -- United States; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 64p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169829&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dräger, Lena AU - Lamla, Michael J. AU - Pfajfar, Damjan T1 - Are Survey Expectations Theory-Consistent? The Role of Central Bank Communication and News. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/05// M3 - Article SP - 1 EP - 46 AB - In this paper we analyze whether central bank communication can facilitate the understanding of key economic concepts. Using survey data for consumers and professionals, we calculate how many of them have expectations consistent with the Fisher Equation, the Taylor rule and the Phillips curve and test, by accounting for three different communication channels, whether central banks can in uence those. A substantial share of participants has expectations consistent with the Fisher equation, followed by the Taylor rule and the Phillips curve. We show that having theory-consistent expectations is beneficial, as it improves the forecast accuracy. Furthermore, consistency is time varying. Exploring this time variation, we provide evidence that central bank communication as well as news on monetary policy can facilitate the understanding of those concepts and thereby improve the efficacy of monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS communication KW - CENTRAL banking industry KW - MONETARY policy KW - FISHER effect (Economics) KW - PHILLIPS curve KW - TAYLOR'S rule KW - central bank communication KW - consumer forecast accuracy KW - Macroeconomic expectations KW - macroeconomic literacy KW - monetary news KW - survey microdata N1 - Accession Number: 103169834; Dräger, Lena 1; Email Address: Lena.Draeger@wiso.uni-hamburg.de; Lamla, Michael J. 2; Email Address: mlamla@essex.ac.uk; Pfajfar, Damjan 3; Email Address: damjan.pfajfar@frb.gov; Affiliations: 1: University of Hamburg; 2: University of Essex and ETH Zurich, KOF Swiss Economic Institute; 3: Board of Governors of the Federal Reserve System; Issue Info: May2015, preceding p1; Thesaurus Term: BUSINESS communication; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONETARY policy; Thesaurus Term: FISHER effect (Economics); Thesaurus Term: PHILLIPS curve; Subject Term: TAYLOR'S rule; Author-Supplied Keyword: central bank communication; Author-Supplied Keyword: consumer forecast accuracy; Author-Supplied Keyword: Macroeconomic expectations; Author-Supplied Keyword: macroeconomic literacy; Author-Supplied Keyword: monetary news; Author-Supplied Keyword: survey microdata; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 47p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169834&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Jalil, Andrew AU - Rua, Gisela T1 - Inflation Expectations and Recovery from the Depression in 1933: Evidence from the Narrative Record. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/05// M3 - Article SP - 1 EP - 83 AB - This paper uses the historical narrative record to determine whether inflation expectations shifted during the second quarter of 1933, precisely as the recovery from the Great Depression took hold. First, by examining the historical news record and the forecasts of contemporary business analysts, we show that inflation expectations increased dramatically. Second, using an event-studies approach, we identify the impact on financial markets of the key events that shifted inflation expectations. Third, we gather new evidence-both quantitative and narrative-that indicates that the shift in inflation expectations played a causal role in stimulating the recovery. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) -- Forecasting KW - DEPRESSIONS (Economics) -- 1929 KW - BUSINESS forecasting KW - ECONOMIC forecasting KW - SECURITIES markets KW - ECONOMIC recovery KW - Great Depression KW - inflation expectations KW - liquidity trap KW - narrative evidence KW - regime change N1 - Accession Number: 103169828; Jalil, Andrew 1; Email Address: jalil@oxy.edu; Rua, Gisela 2; Email Address: gisela.rua@frb.gov; Affiliations: 1: Department of Economics, Occidental College; 2: Board of Governors of the Federal Reserve System; Issue Info: May2015, preceding p1; Thesaurus Term: INFLATION (Finance) -- Forecasting; Thesaurus Term: DEPRESSIONS (Economics) -- 1929; Thesaurus Term: BUSINESS forecasting; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: SECURITIES markets; Thesaurus Term: ECONOMIC recovery; Author-Supplied Keyword: Great Depression; Author-Supplied Keyword: inflation expectations; Author-Supplied Keyword: liquidity trap; Author-Supplied Keyword: narrative evidence; Author-Supplied Keyword: regime change; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 84p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169828&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Li Lin AU - Tsomocos, Dimitrios P. AU - Vardoulakis, Alexandros P. T1 - On Default and Uniqueness of Monetary Equilibria. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/05// M3 - Article SP - 1 EP - 30 AB - We examine the role that credit risk in the central bank's monetary operations plays in the determination of the equilibrium price level and allocations. Our model features trade in fiat money, real assets and a monetary authority which injects money into the economy through short-term and long-term loans to agents. Short-term loans are riskless, but long-term loans are collateralized by a portfolio of real assets and are subject to credit risk. The private monetary wealth of individuals is zero, i.e., there is no outside money. When there is no default in equilibrium, there is indeterminacy. Positive default in every state of the world on some long-term loan endogenously creates positive liquid wealth that supports positive interest rates and resolves the aforementioned indeterminacy. Hence, a non-Ricardian policy across loan markets can determine the equilibrium allocations while it allows the central bank to earn profits from seigniorage in order to compensate for any losses. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EQUILIBRIUM (Economics) KW - CREDIT risk KW - MONETARY policy KW - CENTRAL banking industry KW - LONG-term debt KW - SHORT-term debt KW - DEFAULT (Finance) KW - Collateral KW - Default KW - Determinacy KW - Liquid wealth KW - Monetary policy N1 - Accession Number: 103169833; Li Lin 1; Email Address: llin@imf.org; Tsomocos, Dimitrios P. 2; Email Address: dimitrios.tsomocos@sbs.ox.ac.uk; Vardoulakis, Alexandros P. 3; Email Address: alexandros.vardoulakis@frb.gov; Affiliations: 1: International Monetary Fund; 2: Saïd Business School and St. Edmund Hall, University of Oxford, United Kingdom; 3: Board of Governors of the Federal Reserve System, United States; Issue Info: May2015, p1; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: CREDIT risk; Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: LONG-term debt; Thesaurus Term: SHORT-term debt; Thesaurus Term: DEFAULT (Finance); Author-Supplied Keyword: Collateral; Author-Supplied Keyword: Default; Author-Supplied Keyword: Determinacy; Author-Supplied Keyword: Liquid wealth; Author-Supplied Keyword: Monetary policy; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169833&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Syron Ferris, Erin E. T1 - Dividend Taxes and Stock Volatility. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2015/05// M3 - Article SP - 1 EP - 38 AB - How do dividend taxes affect stock volatility? In this paper, I use a decrease in dividend taxes as a natural experiment to identify their impact on firm's price volatility. If a risk-averse executive faces price risk through his incentive contract, changes in stock volatility due to dividend taxes may increase agency costs and therefore decrease overall welfare. Stock volatility decreased after the tax cut for firms where an executive has large holdings of shares and options relative to firms where an executive has small holdings of shares and options. Therefore, with a risk-averse executive and risk-neutral shareholders, dividend taxes may exacerbate agency costs. The increase in agency costs will decrease shareholder welfare, which can be partially offset by the use of options in the employment contract. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DIVIDENDS -- Taxation KW - VOLATILITY (Securities) KW - STOCK options -- Sales & prices KW - STOCKS (Finance) -- Prices KW - STOCKHOLDERS N1 - Accession Number: 103169835; Syron Ferris, Erin E. 1; Email Address: erin.e.syron@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May2015, preceding p1; Thesaurus Term: DIVIDENDS -- Taxation; Thesaurus Term: VOLATILITY (Securities); Thesaurus Term: STOCK options -- Sales & prices; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: STOCKHOLDERS; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 39p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=103169835&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gustafson, Matthew T. AU - Ivanov, Ivan T. AU - Ritter, John T1 - Financial condition and product market cooperation. JO - Journal of Corporate Finance JF - Journal of Corporate Finance Y1 - 2015/04// VL - 31 M3 - Article SP - 1 EP - 16 SN - 09291199 AB - We provide evidence that existing studies relating financial condition to product market cooperation produce mixed results because of unique features of the industries examined. In particular, all evidence suggesting that poor financial condition decreases cooperation comes from the airline industry during periods of high idle capacity. Using a unique data set of aggregate airfare hikes and a more recent low-idle-capacity period, we find that poor financial condition is positively associated with product market cooperation. Although financially weak airlines appear to value the immediate cash flows of increased cooperation, only liquidity-constrained firms seem willing to incur the cost of cooperative attempts. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Corporate Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COMPETITION (Economics) KW - MARKET prices KW - LIQUIDITY (Economics) KW - AIRLINE industry -- Rates KW - AIRLINE industry KW - FINANCE KW - Airfare hikes KW - Capacity constraints KW - Financial distress KW - G30 KW - G32 KW - G33 KW - L11 KW - L13 KW - Liquidity KW - Product market cooperation N1 - Accession Number: 101999939; Gustafson, Matthew T. 1; Email Address: matthew.gustafson@psu.edu; Ivanov, Ivan T. 2; Email Address: ivan.t.ivanov@frb.gov; Ritter, John 3; Email Address: john.ritter@simon.rochester.edu; Affiliations: 1: Smeal College of Business, Penn State University, State College, PA 16801, USA; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; 3: William E. Simon Graduate School of Business Administration, University of Rochester, Rochester, NY 14627, USA; Issue Info: Apr2015, Vol. 31, p1; Thesaurus Term: COMPETITION (Economics); Thesaurus Term: MARKET prices; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: AIRLINE industry -- Rates; Thesaurus Term: AIRLINE industry; Thesaurus Term: FINANCE; Author-Supplied Keyword: Airfare hikes; Author-Supplied Keyword: Capacity constraints; Author-Supplied Keyword: Financial distress; Author-Supplied Keyword: G30; Author-Supplied Keyword: G32; Author-Supplied Keyword: G33; Author-Supplied Keyword: L11; Author-Supplied Keyword: L13; Author-Supplied Keyword: Liquidity; Author-Supplied Keyword: Product market cooperation; NAICS/Industry Codes: 481111 Scheduled Passenger Air Transportation; NAICS/Industry Codes: 481110 Scheduled air transportation; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jcorpfin.2014.12.014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101999939&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur T1 - Curbstoning and culture. JO - Statistical Journal of the IAOS JF - Statistical Journal of the IAOS Y1 - 2015/04// VL - 31 IS - 2 M3 - Article SP - 237 EP - 240 PB - IOS Press SN - 18747655 AB - This paper examines various aspects of data fabrication, or "curbstoning" in field surveys. Our ability to detect and control such behavior is limited by the costs of the most effective instruments, the weakness of most of our instruments and our limited understanding of what drives such behavior. Culture, an emergent pattern of thoughts and behaviors from a larger complex of systems and behaviors, operates in spaces where direct incentives or control cannot reach. Monitoring is important, but fostering a healthy culture among field staff may be the most efficient and the most humane approach to controlling curbstoning. [ABSTRACT FROM AUTHOR] AB - Copyright of Statistical Journal of the IAOS is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CULTURE KW - INCENTIVES in industry KW - SURVEYS KW - DIRECT costing KW - PAYMENT KW - FAMILIES KW - Fabrication KW - field work KW - WORLD Bank N1 - Accession Number: 108558231; Kennickell, Arthur 1; Email Address: Arthur.Kennickell@frb.gov; Affiliation: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; Source Info: 2015, Vol. 31 Issue 2, p237; Subject Term: CULTURE; Subject Term: INCENTIVES in industry; Subject Term: SURVEYS; Subject Term: DIRECT costing; Subject Term: PAYMENT; Subject Term: FAMILIES; Author-Supplied Keyword: Fabrication; Author-Supplied Keyword: field work; Company/Entity: WORLD Bank; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; Number of Pages: 4p; Document Type: Article L3 - 10.3233/SJI-150900 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=108558231&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Ahmed, Javed AU - Zarutskie, Rebecca AU - Anderson, Christopher T1 - Are the Borrowing Costs of Large Financial Firms Unusual? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/04// M3 - Article SP - 1 EP - 64 AB - Estimates of investor expectations of government support of large financial firms are often based on large financial firms' lower borrowing costs relative to smaller financial firms. Using pricing data on credit default swaps (CDS) and corporate bonds over the period 2004 to 2013, however, we find that the CDS and bond spreads of financial firms are no more sensitive to borrower size than the spreads of non-financial firms. Outside of the financial crisis period, spreads are more sensitive to borrower size in several non-financial industries. We find that size-related differences in spreads are partially driven by higher liquidity and recovery rates of larger borrowers. Prior to the financial crisis, we also find that financial firms exhibited generally lower spreads that were less sensitive to size than spreads for several other industries. Our results suggest that estimates of implicit government guarantees to financial firms may overemphasize size-related borrowing cost difierentials. However, our analysis also suggests that, prior to the financial crisis, investor expectations of government support, or generally reduced risk perceptions, may have reduced borrowing costs for the financial industry as a whole. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COMMERCIAL credit KW - RESEARCH KW - CREDIT default swaps KW - BUSINESS enterprises -- Finance KW - FINANCIAL services industry KW - CORPORATE bonds KW - borrowing costs KW - credit default swaps KW - Financial industry KW - implicit government guarantee KW - size effect KW - too-big-to-fail N1 - Accession Number: 102673915; Ahmed, Javed 1; Zarutskie, Rebecca 1; Anderson, Christopher 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Harvard University; Issue Info: Apr2015, preceding p1; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: RESEARCH; Thesaurus Term: CREDIT default swaps; Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: CORPORATE bonds; Author-Supplied Keyword: borrowing costs; Author-Supplied Keyword: credit default swaps; Author-Supplied Keyword: Financial industry; Author-Supplied Keyword: implicit government guarantee; Author-Supplied Keyword: size effect; Author-Supplied Keyword: too-big-to-fail; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 66p; Document Type: Article L3 - 10.17016/FEDS.2015.024 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102673915&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Favara, Giovanni AU - Imbs, Jean T1 - Credit Supply and the Price of Housing†. JO - American Economic Review JF - American Economic Review Y1 - 2015/03// VL - 105 IS - 3 M3 - Article SP - 958 EP - 992 SN - 00028282 AB - An exogenous expansion in mortgage credit has significant effects on house prices. This finding is established using US branching deregulations between 1994 and 2005 as instruments for credit. Credit increases for deregulated banks, but not in placebo samples. Such differential responses rule out demand-based explanations, and identify an exogenous credit supply shock. Because of geographic diver-sification, treated banks expand credit: housing demand increases, house prices rise, but to a lesser extent in areas with elastic housing supply, where the housing stock increases instead. In an instrumental variable sense, house prices are well explained by the credit expansion induced by deregulation. (JEL G21, G28, R21, R31) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING KW - MORTGAGE loans KW - HOME prices KW - CREDIT -- United States KW - BANKING industry -- Deregulation KW - BANKING industry -- United States N1 - Accession Number: 101349067; Favara, Giovanni 1; Imbs, Jean 2; Affiliations: 1 : Board of Governors of the Federal Reserve System, Division of Research and Statistics, 20th Street and Constitution Avenue NW, Washington, DC 20551 (e-mail: ); 2 : Paris School of Economics, 106 Boulevard de l'Hopital, 75013 Paris, France, CNRS, and CEPR (e-mail: ).; Source Info: Mar2015, Vol. 105 Issue 3, p958; Historical Period: 1994 to 2005; Subject Term: HOUSING; Subject Term: MORTGAGE loans; Subject Term: HOME prices; Subject Term: CREDIT -- United States; Subject Term: BANKING industry -- Deregulation; Subject Term: BANKING industry -- United States; Number of Pages: 35p; Illustrations: 1 Black and White Photograph, 2 Illustrations, 1 Diagram, 8 Charts, 3 Graphs, 1 Map; Document Type: Article L3 - 10.1257/aer.20121416 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=101349067&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - de Groot, Oliver T1 - Solving asset pricing models with stochastic volatility. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2015/03// VL - 52 M3 - Article SP - 308 EP - 321 SN - 01651889 AB - This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility innovations can be drawn from any distribution for which the moment-generating function exists. The solution is useful in allowing comparisons among numerical methods used to approximate the nontrivial closed form. The closed-form solution reveals that, when using perturbation methods around the deterministic steady state, the approximate solution needs to be sixth-order accurate in order for the parameter capturing the conditional standard deviation of the stochastic volatility process to be present. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSETS (Accounting) KW - STOCHASTIC analysis KW - VOLATILITY (Finance) KW - GROWTH rate KW - SALES & prices KW - GAUSSIAN function KW - AUTOREGRESSION (Statistics) KW - C61 KW - C62 KW - Closed-form solution KW - Endowment model KW - G12 KW - Numerical methods KW - Price-dividend ratio N1 - Accession Number: 101092121; de Groot, Oliver 1; Email Address: oliver.v.degroot@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, United States; Issue Info: Mar2015, Vol. 52, p308; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: GROWTH rate; Subject Term: SALES & prices; Subject Term: GAUSSIAN function; Subject Term: AUTOREGRESSION (Statistics); Author-Supplied Keyword: C61; Author-Supplied Keyword: C62; Author-Supplied Keyword: Closed-form solution; Author-Supplied Keyword: Endowment model; Author-Supplied Keyword: G12; Author-Supplied Keyword: Numerical methods; Author-Supplied Keyword: Price-dividend ratio; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jedc.2015.01.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101092121&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cacciatore, Matteo AU - Ghironi, Fabio AU - Stebunovs, Viktors T1 - The domestic and international effects of interstate U.S. banking. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2015/03// VL - 95 IS - 2 M3 - Article SP - 171 EP - 187 SN - 00221996 AB - This paper studies the domestic and international effects of national bank market integration in a two-country, dynamic, stochastic, general equilibrium model with endogenous producer entry. Integration of banking across localities reduces the degree of local monopoly power of financial intermediaries. The economy that implements this form of deregulation experiences increased producer entry, real exchange rate appreciation, and a current account deficit. The foreign economy experiences a long-run increase in GDP and consumption. Less monopoly power in financial intermediation results in less volatile business creation, reduced markup countercyclicality, and weaker substitution effects in labor supply in response to productivity shocks. Bank market integration thus contributes to moderation of firm-level and aggregate output volatility. In turn, trade and financial ties allow also the foreign economy to enjoy lower GDP volatility in most scenarios we consider. These results are consistent with features of U.S. and international fluctuations after the United States began its transition to interstate banking in the late 1970s. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERSTATE banking KW - BANKING industry -- United States KW - EQUILIBRIUM (Economics) KW - ECONOMIC models KW - MONOPOLIES KW - GROSS domestic product KW - SUBSTITUTION (Economics) KW - Business cycle volatility KW - Current account KW - Deregulation KW - E32 KW - F32 KW - F41 KW - G21 KW - Interstate banking KW - Producer entry KW - Real exchange rate N1 - Accession Number: 101037152; Cacciatore, Matteo 1; Email Address: matteo.cacciatore@hec.ca; Ghironi, Fabio 2,3,4,5; Email Address: ghiro@uw.edu; Stebunovs, Viktors 6; Email Address: Viktors.Stebunovs@frb.gov; Affiliations: 1: HEC Montréal, Institute of Applied Economics 3000, Chemin de la Cô te-Sainte-Catherine, Montréal, Quebec, Canada; 2: Department of Economics, University of Washington, Savery Hall, Box 353330, Seattle, WA 98195, USA; 3: Centre for Economic Policy Research, United Kingdom; 4: Euro Area Business Cycle Network, Germany; 5: National Bureau of Economic Research, USA; 6: Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue, NW, Washington, DC 20551, USA; Issue Info: Mar2015, Vol. 95 Issue 2, p171; Thesaurus Term: INTERSTATE banking; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: ECONOMIC models; Thesaurus Term: MONOPOLIES; Thesaurus Term: GROSS domestic product; Thesaurus Term: SUBSTITUTION (Economics); Author-Supplied Keyword: Business cycle volatility; Author-Supplied Keyword: Current account; Author-Supplied Keyword: Deregulation; Author-Supplied Keyword: E32; Author-Supplied Keyword: F32; Author-Supplied Keyword: F41; Author-Supplied Keyword: G21; Author-Supplied Keyword: Interstate banking; Author-Supplied Keyword: Producer entry; Author-Supplied Keyword: Real exchange rate; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jinteco.2014.12.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101037152&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nalewaik, Jeremy AU - Pinto, Eugénio T1 - The response of capital goods shipments to demand over the business cycle. JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2015/03// VL - 43 M3 - Article SP - 62 EP - 80 SN - 01640704 AB - We study how producers of capital goods set shipments in response to fluctuations in new orders. We find that shipments respond more to orders when new orders fall below a certain level relative to shipments, usually after orders plunge in recessions. This cyclical change in producers’ behavior accounts for a considerable portion of the downturn in equipment investment in the 2001 and 2008–9 recessions. A simple model of production to order suggests that heightened persistence in new orders growth may explain the greater responsiveness of shipments, as may increases in the producers’ target delivery lag. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL equipment KW - SHIPMENT of goods KW - DEMAND (Economic theory) KW - BUSINESS cycles KW - RECESSIONS KW - CAPITAL investments KW - Business cycles KW - Business investment KW - E22 KW - E23 KW - E32 KW - Markov-switching models KW - Orders KW - Shipments KW - Threshold cointegration N1 - Accession Number: 100982060; Nalewaik, Jeremy 1; Email Address: jeremy.j.nalewaik@frb.gov; Pinto, Eugénio 1; Email Address: eugenio.p.pinto@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Stop 80, Washington, DC 20551, USA; Issue Info: Mar2015, Vol. 43, p62; Thesaurus Term: INDUSTRIAL equipment; Thesaurus Term: SHIPMENT of goods; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: BUSINESS cycles; Thesaurus Term: RECESSIONS; Thesaurus Term: CAPITAL investments; Author-Supplied Keyword: Business cycles; Author-Supplied Keyword: Business investment; Author-Supplied Keyword: E22; Author-Supplied Keyword: E23; Author-Supplied Keyword: E32; Author-Supplied Keyword: Markov-switching models; Author-Supplied Keyword: Orders; Author-Supplied Keyword: Shipments; Author-Supplied Keyword: Threshold cointegration; NAICS/Industry Codes: 417230 Industrial machinery, equipment and supplies merchant wholesalers; NAICS/Industry Codes: 423830 Industrial Machinery and Equipment Merchant Wholesalers; NAICS/Industry Codes: 423840 Industrial Supplies Merchant Wholesalers; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jmacro.2014.09.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100982060&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Angelini, Paolo AU - Clerc, Laurent AU - Cúrdia, Vasco AU - Gambacorta, Leonardo AU - Gerali, Andrea AU - Locarno, Alberto AU - Motto, Roberto AU - Roeger, Werner AU - Van den Heuvel, Skander AU - Vlček, Jan T1 - Basel III: Long-term Impact on Economic Performance and Fluctuations. JO - Manchester School (14636786) JF - Manchester School (14636786) Y1 - 2015/03// VL - 83 IS - 2 M3 - Article SP - 217 EP - 251 PB - Wiley-Blackwell SN - 14636786 AB - Using a wide range of macroeconomic and econometric models we assess the long-term economic impact of the Basel III reform. Our main results are the following. (1) The economic costs of the new regulatory standards for bank capital and liquidity are considerably below existing estimates of the benefits that the reform should have by reducing the probability of banking crises (Basel Committee on Banking Supervision (2010) 'An Assessment of the Long-term Impact of Stronger Capital and Liquidity Requirements', Basel). (2) The reform dampens output volatility modestly, although there is some heterogeneity across models. (3) The adoption of countercyclical capital buffers can substantially amplify the dampening effect on output volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of Manchester School (14636786) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - ECONOMETRIC models KW - LIQUIDITY (Economics) KW - VOLATILITY (Finance) KW - ECONOMIC reform KW - BASEL III (Proposed) N1 - Accession Number: 100524452; Angelini, Paolo 1; Clerc, Laurent 2; Cúrdia, Vasco 3; Gambacorta, Leonardo 4; Gerali, Andrea 1; Locarno, Alberto 1; Motto, Roberto 5; Roeger, Werner 6; Van den Heuvel, Skander 7; Vlček, Jan 8; Affiliations: 1: Bank of Italy; 2: Banque de France; 3: Federal Reserve Bank of New York; 4: Bank for International Settlements; 5: European Central Bank; 6: European Commission; 7: Board of Governors of the Federal Reserve System; 8: International Monetary Fund; Issue Info: Mar2015, Vol. 83 Issue 2, p217; Thesaurus Term: ECONOMIC development; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMIC reform; Reviews & Products: BASEL III (Proposed); NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 35p; Document Type: Article L3 - 10.1111/manc.12056 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100524452&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Aramonte, Sirio AU - Jahan-Parvar, Mohammad R. AU - Shugarman, Justin K. T1 - Institutions and return predictability in oil-exporting countries. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/03// M3 - Article SP - 1 EP - 30 AB - We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger when institutional quality is lower. We argue that the relation between predictability and institutional quality reects the preference of countries with weaker institutions to consume oil windfalls locally rather than smooth out the impact of windfalls by, for instance, investing the proceeds through a sovereign wealth fund. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PETROLEUM -- Export & import trade KW - STOCK exchanges KW - PETROLEUM -- Sales & prices KW - RATE of return KW - QUALITY KW - Country studies KW - Quality of institutions KW - Return predictability N1 - Accession Number: 102025805; Aramonte, Sirio 1; Email Address: Sirio.Aramonte@frb.gov; Jahan-Parvar, Mohammad R. 1; Email Address: Mohammad.Jahan-Parvar@frb.gov; Shugarman, Justin K. 1; Email Address: Justin.K.Shugarman@frb.gov; Affiliations: 1: Financial Stability Policy and Research, Board of Governors of the Federal Reserve System, 20th St. and Constitution Ave. NW, Washington, DC 20551; Issue Info: Mar2015, p1; Thesaurus Term: PETROLEUM -- Export & import trade; Thesaurus Term: STOCK exchanges; Thesaurus Term: PETROLEUM -- Sales & prices; Thesaurus Term: RATE of return; Subject Term: QUALITY; Author-Supplied Keyword: Country studies; Author-Supplied Keyword: Quality of institutions; Author-Supplied Keyword: Return predictability; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; NAICS/Industry Codes: 324191 Petroleum Lubricating Oil and Grease Manufacturing; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 30p; Document Type: Article L3 - 10.17016/FEDS.2015.014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102025805&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ehrmann, Michael AU - Pfajfar, Damjan AU - Santoro, Emiliano T1 - Consumers' Attitudes and Their Inflation Expectations. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/03// M3 - Article SP - 1 EP - 30 AB - This paper studies consumers' inflation expectations using micro-level data from the Surveys of Consumers conducted by University of Michigan. It shows that beyond the well-established socio-economic factors such as income, age or gender, other characteristics such as the households' nancial situation and their purchasing attitudes are important determinants of their forecast accuracy. Respondents with current or expected financial diffculties, pessimistic attitudes about major purchases, or expectations that income will go down in the future have a stronger upward bias in their expectations than other households. However, their bias shrinks by more than that of the average household in response to increasing media report- ing about in.ation. Equivalent results are found during recessions. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMERS -- Attitudes KW - SOCIOECONOMIC factors KW - RECESSIONS KW - SURVEYS KW - Consumer Attitudes KW - In.ation Expectations KW - News on In.ation KW - UNIVERSITY of Michigan N1 - Accession Number: 102025806; Ehrmann, Michael 1; Email Address: mehrmann@bankofcanada.ca; Pfajfar, Damjan 2; Email Address: damjan.pfajfar@frb.gov; Santoro, Emiliano 3; Email Address: emiliano.santoro@econ.ku.dk; Affiliations: 1: Bank of Canada, 234 Laurier Avenue West, Ottawa ON K1A0G9, Canada; 2: Board of Governors of the Federal Reserve System, 20th and Constitu- tion Ave, NW Washington, DC 20551, U.S.A.; 3: Department of Economics, University of Copenhagen, Øster Farimagsgade 5, Building 26, 1353 Copenhagen, Denmark; Issue Info: Mar2015, p1; Thesaurus Term: CONSUMERS -- Attitudes; Thesaurus Term: SOCIOECONOMIC factors; Thesaurus Term: RECESSIONS; Subject Term: SURVEYS; Author-Supplied Keyword: Consumer Attitudes; Author-Supplied Keyword: In.ation Expectations; Author-Supplied Keyword: News on In.ation ; Company/Entity: UNIVERSITY of Michigan; Number of Pages: 30p; Document Type: Article L3 - 10.17016/FEDS.2015.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102025806&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny AU - Spader, Jonathan AU - Cortes, Alvaro T1 - Have Distressed Neighborhoods Recovered? Evidence from the Neighborhood Stabilization Program. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/03// M3 - Article SP - 1 EP - 48 AB - During the 2007-2009 housing crisis, concentrations of foreclosed and vacant properties created severe blight in many cities and neighborhoods. The federal Neighborhood Stabilization Program (NSP) was established to help mitigate distress in hard-hit areas by funding the rehabilitation or demolition of troubled properties. This paper analyzes housing market changes in areas that received investments during the second round of NSP funding, focusing on seven large urban counties. Grantees used NSP to invest in census tracts with high rates of distressed and vacancy properties, and tracts that had previously received other housing subsidies. The median NSP tract received quite sparse investment, relative to the overall housing stock and the initial levels of distress. Analysis of housing market outcomes indicates the recovery has been uneven across counties and neighborhoods. In a few counties, there is some evidence that NSP2 activity is correlated with improved housing outcomes. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - INVESTMENTS KW - METROPOLITAN areas KW - UNITED States KW - COUNTIES KW - economic recovery KW - federal housing policy KW - Foreclosures KW - housing markets KW - neighborhood revitalization KW - NEIGHBORHOOD Stabilization Program (U.S.) N1 - Accession Number: 102025807; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Spader, Jonathan 2; Cortes, Alvaro 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Abt Associates Inc; Issue Info: Mar2015, preceding p1; Thesaurus Term: HOUSING market; Thesaurus Term: INVESTMENTS; Thesaurus Term: METROPOLITAN areas; Subject Term: UNITED States; Subject Term: COUNTIES; Author-Supplied Keyword: economic recovery; Author-Supplied Keyword: federal housing policy; Author-Supplied Keyword: Foreclosures; Author-Supplied Keyword: housing markets; Author-Supplied Keyword: neighborhood revitalization ; Company/Entity: NEIGHBORHOOD Stabilization Program (U.S.); Number of Pages: 49p; Document Type: Article L3 - 10.17016/FEDS.2015.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=102025807&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Devlin-Foltz, Sebastian AU - Henriques, Alice AU - Sabelhaus, John T1 - The Evolution of Retirement Wealth. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/02// M3 - Article SP - 1 EP - 34 AB - Is the current mix of tax preferences for employer-sponsored pensions and individual retirement saving in the U.S. delivering the best possible retirement-preparedness across and within generations? Using data from the triennial Survey of Consumer Finances for 1989 through 2013, cohort-based analysis of life-cycle trajectories shows that (1) overall retirement plan participation was relatively stable or even rising through 2007, though participation fell noticeably in the wake of the Great Recession and has remained lower, (2) participation is strongly correlated with income, and the shift in the type of pension coverage occurred within--not just across--income groups, (3) relative to previous cohorts and a counterfactual lifecycle benchmark, the recent decline in retirement plan participation and defined contribution (DC) retirement account balance to-income ratios is concentrated among younger families and lower-income families. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEFINED contribution pension plans KW - RETIREMENT income -- Planning KW - RETIREMENT planning KW - EMPLOYEE fringe benefits KW - INDIVIDUAL retirement accounts KW - UNITED States N1 - Accession Number: 101360161; Devlin-Foltz, Sebastian 1; Henriques, Alice 1; Email Address: alice.m.henriques@frb.gov; Sabelhaus, John 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Feb2015, preceding p1; Thesaurus Term: DEFINED contribution pension plans; Thesaurus Term: RETIREMENT income -- Planning; Thesaurus Term: RETIREMENT planning; Thesaurus Term: EMPLOYEE fringe benefits; Thesaurus Term: INDIVIDUAL retirement accounts; Subject Term: UNITED States; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 36p; Document Type: Article L3 - 10.17016/FEDS.2015.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101360161&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Frost, Josh AU - Logan, Lorie AU - Martin, Antoine AU - McCabe, Patrick AU - Natalucci, Fabio AU - Remache, Julie T1 - Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2015/02// M3 - Article SP - 1 EP - 37 AB - We review recent changes in monetary policy that have led to development and testing of an overnight reverse repurchase agreement (ON RRP) facility, an innovative tool for implementing monetary policy during the normalization process. Making ON RRPs available to a broad set of investors, including nonbank institutions that are significant lenders in money markets, could complement the use of the interest on excess reserves (IOER) and help control short-term interest rates. We examine some potentially important secondary effects of an ON RRP facility, both positive and negative, including impacts on the structure of short-term funding markets and financial stability. We also investigate design features of an ON RRP facility that could mitigate secondary effects deemed undesirable. Finally, we discuss tradeoffs that policymakers may face in designing an ON RRP facility, as they seek to balance the objectives of setting an effective floor on money market rates during the normalization process and limiting any adverse secondary effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - NONBANK financial institutions KW - MONEY market KW - INTEREST rates KW - FINANCIAL services industry KW - UNITED States KW - Federal Reserve Board and Federal Reserve System KW - interest on excess reserves KW - monetary policy KW - money market funds KW - overnight RRP KW - repo KW - reverse repo N1 - Accession Number: 101360162; Frost, Josh 1; Logan, Lorie 1; Martin, Antoine 1; McCabe, Patrick 2; Natalucci, Fabio 2; Remache, Julie 1; Affiliations: 1: Federal Reserve Bank of New York; 2: Board of Governors of the Federal Reserve System; Issue Info: Feb2015, preceding p1; Thesaurus Term: MONETARY policy; Thesaurus Term: NONBANK financial institutions; Thesaurus Term: MONEY market; Thesaurus Term: INTEREST rates; Thesaurus Term: FINANCIAL services industry; Subject Term: UNITED States; Author-Supplied Keyword: Federal Reserve Board and Federal Reserve System; Author-Supplied Keyword: interest on excess reserves; Author-Supplied Keyword: monetary policy; Author-Supplied Keyword: money market funds; Author-Supplied Keyword: overnight RRP; Author-Supplied Keyword: repo; Author-Supplied Keyword: reverse repo; Number of Pages: 39p; Document Type: Article L3 - 10.17016/FEDS.2015.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101360162&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Argento, Robert AU - Bryant, Victoria L. AU - Sabelhaus, John T1 - EARLY WITHDRAWALS FROM RETIREMENT ACCOUNTS DURING THE GREAT RECESSION. JO - Contemporary Economic Policy JF - Contemporary Economic Policy Y1 - 2015/01// VL - 33 IS - 1 M3 - Article SP - 1 EP - 16 PB - Wiley-Blackwell SN - 10743529 AB - Early withdrawals from retirement accounts are a double-edged sword, because withdrawals reduce retirement resources, but they also allow individuals to smooth consumption when they experience demographic and economic shocks. Using tax data, we show that preretirement withdrawals increased between 2004 and 2010, especially after 2007, but early withdrawal rates are substantial (relative to new contributions) in all those years. Early withdrawal events are strongly correlated with shocks to income and marital status, and lower-income taxpayers are more likely to experience the types of shocks associated with early withdrawals and more likely to have a taxable withdrawal when they experience a given shock. ( JEL G23, H24, H31) [ABSTRACT FROM AUTHOR] AB - Copyright of Contemporary Economic Policy is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDIVIDUAL retirement accounts KW - RESEARCH KW - SHOCK (Economics) KW - INCOME KW - PENSIONS KW - INCOME tax KW - MARITAL status N1 - Accession Number: 99276320; Argento, Robert 1; Bryant, Victoria L. 2; Sabelhaus, John 3; Affiliations: 1: Senior Research Assistant, Board of Governors of the Federal Reserve System; 2: Economist, Statistics of Income Division, Internal Revenue Service; 3: Economist, Board of Governors of the Federal Reserve System; Issue Info: Jan2015, Vol. 33 Issue 1, p1; Thesaurus Term: INDIVIDUAL retirement accounts; Thesaurus Term: RESEARCH; Thesaurus Term: SHOCK (Economics); Thesaurus Term: INCOME; Thesaurus Term: PENSIONS; Thesaurus Term: INCOME tax; Subject Term: MARITAL status; NAICS/Industry Codes: 526111 Trusteed pension funds; Number of Pages: 16p; Document Type: Article L3 - 10.1111/coep.12064 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99276320&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hess Chung AU - Herbst, Edward AU - Kiley, Michael T. T1 - Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination. JO - NBER/Macroeconomics Annual (University of Chicago Press) JF - NBER/Macroeconomics Annual (University of Chicago Press) Y1 - 2015/01// VL - 29 IS - 1 M3 - Article SP - 289 EP - 344 SN - 08893365 AB - We explore the importance of the nature of nominal price and wage adjustment for the design of effective monetary policy strategies, especially at the zero lower bound. Our analysis suggests that sticky-price and sticky-information models fit standard macroeconomic time series comparably well. However, the model with information rigidity responds differently to anticipated shocks and persistent zero lower bound episodes-to a degree important for monetary policy and for understanding the effects of fundamental disturbances when monetary policy cannot adjust. These differences may be important for understanding other policy issues as well, such as fiscal multipliers. Despite these differences, many aspects of effective policy strategy are common across the two models: in particular, highly inertial interest rate rules that respond to nominal income or the price level perform well, even when hit by adverse supply shocks or large demand shocks that induce the zero lower bound. Rules that respond to the level or change in the output gap can perform poorly under those conditions. [ABSTRACT FROM AUTHOR] AB - Copyright of NBER/Macroeconomics Annual (University of Chicago Press) is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - KEYNESIAN economics KW - INTEREST rates KW - PRICE levels KW - SHOCK (Economics) KW - SUPPLY & demand KW - UNITED States N1 - Accession Number: 108870318; Hess Chung 1; Email Address: hess.t.chung@frb.gov; Herbst, Edward 1; Email Address: edward.p.herbst@frb.gov; Kiley, Michael T. 1; Email Address: michael.t.kiley@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Jan2015, Vol. 29 Issue 1, p289; Thesaurus Term: MONETARY policy; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: INTEREST rates; Thesaurus Term: PRICE levels; Thesaurus Term: SHOCK (Economics); Thesaurus Term: SUPPLY & demand; Subject Term: UNITED States; Number of Pages: 56p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=108870318&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Do, Chau AU - Gonzalez, Arturo T1 - Hispanic brokers and borrowers: The effect of language affinity on the price of home mortgages. JO - Regional Science & Urban Economics JF - Regional Science & Urban Economics Y1 - 2015/01// VL - 50 M3 - Article SP - 77 EP - 86 SN - 01660462 AB - Our study focuses on whether mortgage prices for Hispanic borrowers in areas of limited English fluency depend on the broker's ethnicity. While we find that Hispanic borrowers in areas where the majority of Hispanics are not fluent in English pay higher prices overall, mortgage prices are lower if the loans are originated by Hispanic brokers relative to non-Hispanic white brokers. This effect is found only in fixed-rate mortgage loans and for low/no-documentation loans. Nevertheless, our results cannot be easily explained by different levels of market competition or borrower characteristics. Our results are consistent with other empirical studies that find that language barriers carry additional costs. We note that our conclusions may be affected by the accuracy of our proxy measurements of English and Spanish fluency. [ABSTRACT FROM AUTHOR] AB - Copyright of Regional Science & Urban Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Market prices KW - Brokers KW - Mortgage loans KW - Fixed rate mortgages KW - Competition (Economics) KW - D4 KW - Hispanic KW - J10 KW - J7 KW - Language KW - Mortgage KW - R18 N1 - Accession Number: 100236719; Do, Chau 1; Email Address: chau.do@occ.treas.gov; Gonzalez, Arturo 2; Email Address: arturo.gonzalez@frb.gov; Affiliations: 1: Office of the Comptroller of the Currency, 400 7th St SW, Washington, DC 20219, United States; 2: Board of Governors of the Federal Reserve System, 20th St & Constitution Ave NW, Washington, DC 20551, United States; Issue Info: Jan2015, Vol. 50, p77; Subject Term: Market prices; Subject Term: Brokers; Subject Term: Mortgage loans; Subject Term: Fixed rate mortgages; Subject Term: Competition (Economics); Author-Supplied Keyword: D4; Author-Supplied Keyword: Hispanic; Author-Supplied Keyword: J10; Author-Supplied Keyword: J7; Author-Supplied Keyword: Language; Author-Supplied Keyword: Mortgage; Author-Supplied Keyword: R18; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.regsciurbeco.2014.11.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=100236719&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Bassetto, Marco AU - Cagetti, Marco AU - De Nardi, Mariacristina T1 - Credit crunches and credit allocation in a model of entrepreneurship. JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2015/01// VL - 18 IS - 1 M3 - Article SP - 53 EP - 76 SN - 10942025 AB - We study the effects of credit shocks in a model with heterogeneous entrepreneurs, financing constraints, and a realistic firm-size distribution. As entrepreneurial firms can grow only slowly and rely heavily on retained earnings to expand the size of their business, we show that, by reducing entrepreneurial firm size and earnings, negative shocks have a very persistent effect on real activity. In determining the speed of recovery from an adverse economic shock, the most important factor is the extent to which the shock erodes entrepreneurial wealth. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises -- Size KW - ENTREPRENEURSHIP KW - CREDIT control KW - RETAINED earnings KW - SHOCK (Economics) KW - Borrowing constraints KW - Credit allocation KW - Credit crunches KW - D58 KW - E21 KW - E22 KW - E32 KW - E44 KW - E62 KW - Entrepreneurship KW - Wealth inequality N1 - Accession Number: 101091793; Bassetto, Marco 1,2,3; Email Address: m.bassetto@ucl.ac.uk; Cagetti, Marco 4; Email Address: marco.cagetti@frb.gov; De Nardi, Mariacristina 1,2,3,5; Email Address: denardim@nber.org; Affiliations: 1: Department of Economics, University College London, 30 Gordon Street, London WC1H 0AX, United Kingdom; 2: Federal Reserve Bank of Chicago, Chicago, IL 60604, USA; 3: Institute for Fiscal Studies, London WC1E 7AE, United Kingdom; 4: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 5: National Bureau of Economic Research, Cambridge, MA 02138, USA; Issue Info: Jan2015, Vol. 18 Issue 1, p53; Thesaurus Term: BUSINESS enterprises -- Size; Thesaurus Term: ENTREPRENEURSHIP; Thesaurus Term: CREDIT control; Thesaurus Term: RETAINED earnings; Thesaurus Term: SHOCK (Economics); Author-Supplied Keyword: Borrowing constraints; Author-Supplied Keyword: Credit allocation; Author-Supplied Keyword: Credit crunches; Author-Supplied Keyword: D58; Author-Supplied Keyword: E21; Author-Supplied Keyword: E22; Author-Supplied Keyword: E32; Author-Supplied Keyword: E44; Author-Supplied Keyword: E62; Author-Supplied Keyword: Entrepreneurship; Author-Supplied Keyword: Wealth inequality; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.red.2014.08.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=101091793&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2014-55672-012 AN - 2014-55672-012 AU - Mazumder, Bhashkar AU - Acosta, Miguel T1 - Using occupation to measure intergenerational mobility. JF - Annals of the American Academy of Political and Social Science JO - Annals of the American Academy of Political and Social Science JA - Ann Am Acad Pol Soc Sci Y1 - 2015/01// VL - 657 IS - 1 SP - 174 EP - 193 CY - US PB - Sage Publications SN - 0002-7162 SN - 1552-3349 N1 - Accession Number: 2014-55672-012. Partial author list: First Author & Affiliation: Mazumder, Bhashkar; Federal Reserve Bank of Chicago, Chicago, IL, US. Release Date: 20150119. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Occupational Mobility; Occupations; Social Mobility; Socioeconomic Status; Transgenerational Patterns. Minor Descriptor: Fathers; Income (Economic); Sons. Classification: Social Processes & Social Issues (2900). Population: Human (10); Male (30). Location: US. Age Group: Adulthood (18 yrs & older) (300); Thirties (30-39 yrs) (340); Middle Age (40-64 yrs) (360). Tests & Measures: Panel Study of Income Dynamics. Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 20. Issue Publication Date: Jan, 2015. AB - Scholarly investigations of intergenerational mobility typically focus on either the occupations of fathers and sons or their incomes. Using an identical sample of fathers and sons, we examine how estimates of intergenerational mobility in income and occupational prestige are affected by (1) measurement that uses long time averages and (2) varying the point in the life cycle when outcomes are measured. We find that intergenerational occupational mobility is overstated when using a single year of fathers’ occupation compared to a 10-year average centered on mid-career. We also find that for both income and occupation, mobility estimates are largest when sons are in their mid-career, suggesting that this may be the ideal period in which to measure their status. Finally, we see differences in the pattern of estimates across the two types of measures: for income, estimates of intergenerational persistence are highest when fathers are in their mid-career; for occupation, estimates are much larger when fathers’ occupations are accounted for late in their careers. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - intergenerational mobility KW - social mobility KW - occupational mobility KW - income KW - occupation KW - 2015 KW - Occupational Mobility KW - Occupations KW - Social Mobility KW - Socioeconomic Status KW - Transgenerational Patterns KW - Fathers KW - Income (Economic) KW - Sons KW - 2015 DO - 10.1177/0002716214552056 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-55672-012&site=ehost-live&scope=site UR - ORCID: 0000-0003-4366-1311 UR - DP - EBSCOhost DB - psyh ER - TY - JOUR ID - 2015-04392-014 AN - 2015-04392-014 AU - Noussair, Charles N. AU - Pfajfar, Damjan AU - Zsiros, Janos T1 - Pricing decisions in an experimental dynamic stochastic general equilibrium economy. JF - Journal of Economic Behavior & Organization JO - Journal of Economic Behavior & Organization JA - J Econ Behav Organ Y1 - 2015/01// VL - 109 SP - 188 EP - 202 CY - Netherlands PB - Elsevier Science SN - 0167-2681 AD - Noussair, Charles N. N1 - Accession Number: 2015-04392-014. Partial author list: First Author & Affiliation: Noussair, Charles N.; Tilburg University, Tilburg, Netherlands. Release Date: 20150427. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Costs and Cost Analysis; Decision Making; Economy; Equilibrium; Stochastic Modeling. Minor Descriptor: Behavior. Classification: Industrial & Organizational Psychology (3600). Population: Human (10). Location: Netherlands. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Field Study; Mathematical Model; Quantitative Study. Supplemental Data: Other Internet. References Available: Y. Page Count: 15. Issue Publication Date: Jan, 2015. Publication History: First Posted Date: Nov 4, 2014; Accepted Date: Oct 26, 2014; Revised Date: Oct 23, 2014; First Submitted Date: Mar 15, 2013. AB - We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian dynamic stochastic general equilibrium (DSGE) model. We analyze the behavior of firms’ pricing decisions in four different experimental economies. We consider how well the experimental data conform to a number of accepted empirical stylized facts. Pricing patterns mostly conform to these patterns. Most price changes are positive, and inflation is strongly correlated with average magnitude, but not the frequency, of price changes. Prices are affected negatively by the productivity shock and positively by the output gap. Lagged real interest rate has a negative effect on prices, unless human subjects choose the interest rate, or firms sell perfect substitutes in the output market. There is inertia in price setting, firms integrate wage increases into their prices, and there is evidence of adaptive behavior in price-setting in our laboratory economy. The hazard function for price changes, however, is upward-sloping, in contrast to most empirical studies. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - Experimental economics KW - DSGE economy KW - Pricing behavior KW - Menu costs KW - 2015 KW - Costs and Cost Analysis KW - Decision Making KW - Economy KW - Equilibrium KW - Stochastic Modeling KW - Behavior KW - 2015 DO - 10.1016/j.jebo.2014.10.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2015-04392-014&site=ehost-live&scope=site UR - zsiros@gmail.com UR - Damjan.Pfajfar@frb.gov UR - C.N.Noussair@uvt.nl DP - EBSCOhost DB - psyh ER - TY - UNPB AU - Bonaldi, Pietro AU - Hortacsu, Ali AU - Song, Zhaogang AD - University of Chicago AD - University of Chicago AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-82 Y1 - 2015/// SP - 10 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531354; Keywords: Agency MBS; Auction; Nonparametric; Publication Type: Working Paper; Update Code: 201511 N2 - Auction theory has ambiguous implications regarding the relative efficiency of three formats of multiunit auctions: uniform-price, discriminatory-price, and Vickrey auctions. We empirically evaluate the performance of these three auction formats using the bid-level data of the Federal Reserve's purchase auctions of agency mortgage-backed securities (MBS) from June 1, 2014 through November 17, 2014. We estimate marginal cost curves for all dealers, at each auction, based on structural models of the multiunit discriminatory-price auction. Our preliminary results suggest that neither uniform-price nor Vickrey auctions outperform discriminatory-price auctions in terms of the total expenditure. However, they do outperform in terms of efficiency, with efficiency gains around 0.74% of the surplus that dealers extract. We caution that our empirical estimation and analysis involve technical assumptions made about the specific auction mechanism the Federal Reserve uses and how auction participants perceive the auction mechanism, both of which may be distinct from practice and may alter the conclusions substantively. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015082pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531354&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015082pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCully, Brett AU - Pence, Karen M. AU - Vine, Daniel J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How Much Are Car Purchases Driven by Home Equity Withdrawal? Evidence from Household Surveys PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-106 Y1 - 2015/// SP - 13 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549601; Keywords: Auto loans; auto sales; cash-out refinancing; home equity; home equity lines of credit; mortgage refinancing; motor vehicles; Publication Type: Working Paper; Update Code: 201602 N2 - We use data from three nationally representative surveys to document that very few households report purchasing cars with home equity lines of credit or the proceeds from a cash-out refinancing. Households that do report using these sources of funds to purchase cars tend to be affluent and appear to have ample access to credit. These findings suggest that an easing of home-equity borrowing constraints was not the major factor driving any relationship between home prices and car sales during the housing boom in the 2000s. We discuss other mechanisms that might underlie this relationship. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015106pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549601&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015106pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tito, Maria D. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Welfare Evaluation in a Heterogeneous Agent Model: How Representative is the CES Representative Consumer? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-109 Y1 - 2015/// SP - 18 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549594; Publication Type: Working Paper; Update Code: 201602 N2 - The present paper investigates the impact of asymmetric price changes on welfare in a model with heterogeneous consumers. I consider consumer heterogeneity a la Anderson et al. (1992). The standard welfare equivalence between the CES representative consumer and the discrete choice model breaks down in presence of asymmetric price changes. In fact, asymmetric variation in prices produce differential gains among heterogeneous consumers. I show that there exists no feasible Kaldor-Hicks income transfer such that the gains are equally redistributed. Intuitively, in presence of decreasing marginal utility, aggregation creates an insurance mechanism: the CES representative consumer softens the impact of price changes reallocating consumption among the available varieties. Individual consumers, instead, purchase a single product and do not internalize the effects of changes in prices of other available varieties. This result suggests that only symmetric policy-induced price changes minimize the utility losses across heterogeneous consumers. KW - Consumer Economics: Theory D11 KW - Welfare Economics: General D60 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015109pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549594&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015109pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Luciani, Matteo AU - Pundit, Madhavi AU - Ramayandi, Arief AU - Veronese, Giovanni AD - Board of Governors of the Federal Reserve System (U.S.) AD - Asian Development Bank AD - Asian Development Bank AD - Banca d'Italia T1 - Nowcasting Indonesia PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-100 Y1 - 2015/// SP - 21 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531357; Keywords: Dynamic Factor Models; Emerging Market Economies; Nowcasting; Publication Type: Working Paper; Update Code: 201511 N2 - We produce predictions of the current state of the Indonesian economy by estimating a dynamic factor model on a dataset of eleven indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators of current economic conditions, Indonesia presents additional challenges typical to emerging market economies where data are often scant and unreliable. By means of a pseudo-real-time forecasting exercise we show that our model outperforms univariate benchmarks, and it does comparably with predictions of market operators. Finally, we show that when quality of data is low, a careful selection of indicators is crucial for better forecast performance. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015100pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531357&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015100pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Agostino, Antonello AU - Giannone, Domenico AU - Lenza, Michele AU - Modugno, Michele AD - European Stability Mechanism AD - Federal Reserve Bank of New York AD - European Central Bank AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-66 Y1 - 2015/// SP - 24 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517256; Keywords: Current Economic Conditions; Dynamic Factor Models; Dynamic Heterogeneity; Business Cycles; Real Time; Nowcasting.; Publication Type: Working Paper; Update Code: 201509 N2 - We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend existing approaches by permitting for heterogenous lead-lag patterns of the various indicators along the business cycles. The framework is well suited for high-frequency monitoring of current economic conditions in real time--nowcasting--since inference can be conducted in presence of mixed frequency data and irregular patterns of data availability. Our assessment of the underlying index of business cycle conditions is accurate and more timely than popular alternatives, including the Chicago Fed National Activity Index (CFNAI). A formal real-time forecasting evaluation shows that the framework produces well-calibrated probability nowcasts that resemble the consensus assessment of t he Survey of Professional Forecasters. KW - Bayesian Analysis: General C11 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models C38 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015066pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517256&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015066pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Andrew C. AU - Hanson, Tyler J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Hopper T1 - The Accuracy of Forecasts Prepared for the Federal Open Market Committee PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-62 Y1 - 2015/// SP - 24 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517255; Keywords: Bayesian model averaging; Federal Open Market Committee; forecast accuracy; Greenbook; NIPA; national income and product accounts; real-time data; Publication Type: Working Paper; Update Code: 201509 N2 - We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the Federal Open Market Committee from 1997 to 2008, called the Greenbooks. We compare the root mean squared error, mean absolute error, and the proportion of directional errors of Greenbook forecasts of these macroeconomic indicators to the errors from three forecasting benchmarks: a random walk, a first-order autoregressive model, and a Bayesian model averaged forecast from a suite of univariate time-series models commonly taught to first-year economics graduate students. We estimate our forecasting benchmarks both on end-of-sample vintage and real-time vintage data. We find find that Greenbook forecasts significantly outperform our benchmark forecasts for horizons less than one quarter ahead. However, by the one-year forecast horizon, typically at least one of our forecasting benchmarks performs as well as Greenbook forecasts. Greenbook forecasts of the personal consumption expenditures and unemployment tend to do relatively well, while Greenbook forecasts of inventory investment, government expenditures, and inflation tend to do poorly. KW - Forecasting Models; Simulation Methods C53 KW - General Aggregative Models: Forecasting and Simulation: Models and Applications E17 KW - Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications E27 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Trade: Forecasting and Simulation F17 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015062pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517255&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015062pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Eliciting GDP Forecasts from the FOMC's Minutes Around the Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1152 Y1 - 2015/// SP - 25 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531381; Keywords: Autometrics; bias; Fed; financial crisis; FOMC; forecasts; GDP; Great Recession; Greenbook; impulse indicator saturation; projections; Tealbook; United States; Publication Type: Working Paper; Update Code: 201511 N2 - Stekler and Symington (2016) construct indexes that quantify the Federal Open Market Committee's views about the U.S. economy, as expressed in the minutes of the FOMC's meetings. These indexes provide insights on the FOMC's deliberations, especially at the onset of the Great Recession. The current paper complements Stekler and Symington's analysis by showing that their indexes reveal relatively minor bias in the FOMC's views when the indexes are reinterpreted as forecasts. Additionally, these indexes provide a proximate mechanism for inferring the Fed staff's Greenbook forecasts of the U.S. real GDP growth rate, years before the Greenbook's public release. KW - Forecasting Models; Simulation Methods C53 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1152.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531381&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1152.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Andrew C. AU - Li, Phillip AD - Board of Governors of the Federal Reserve System (U.S.) AD - Officer of the Comptroller of the Currency T1 - Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say 'Usually Not' PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-83 Y1 - 2015/// SP - 25 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531377; Publication Type: Working Paper; Update Code: 201511 KW - Economic Methodology B41 KW - Data Collection and Data Estimation Methodology; Computer Programs: General C80 KW - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access C82 KW - Econometric Software C87 KW - Data Collection and Data Estimation Methodology; Computer Programs: Other Computer Software C88 KW - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts E01 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531377&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AU - Lopez-Salido, J. David AU - Sockin, Jason A. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Cyclicality of Sales, Regular and Effective Prices: Comment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-52 Y1 - 2015/// SP - 25 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508970; Keywords: Outlet substitution bias; effective prices; inflation measurement; Publication Type: Working Paper; Update Code: 201507 N2 - Coibion, Gorodnichenko, and Hong (2015) argue that the CPI underestimates the deceleration in consumer prices during economic downturns because the index fails to account for the reallocation of consumer spending from high-to low-price stores. We show that these authors' measures of inflation with and without store switching suffer from several methodological deficiencies, including an excessive truncation of price adjustments and the lack of a treatment for missing observations. When we address these deficiencies, the authors' key regression results no longer suggest that greater store switching during downturns is a statistically or economically significant phenomenon. KW - Consumer Economics: Empirical Analysis D12 KW - Price Level; Inflation; Deflation E31 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015052pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508970&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015052pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Board of Governors of the Federal Reserve System T1 - Eliciting GDP Forecasts from the FOMC's Minutes Around the Financial Crisis PB - The George Washington University, Department of Economics, Research Program on Forecasting, Working Papers: 2015-003 Y1 - 2015/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531422; Keywords: Autometrics; bias; Fed; financial crisis; FOMC; forecasts; GDP; Great Recession; Greenbook; impulse indicator saturation; projections; Tealbook; United States.; Publication Type: Working Paper; Update Code: 201511 N2 - Stekler and Symington (2016) construct indexes that quantify the Federal Open Market Committee's views about the U.S. economy, as expressed in the minutes of the FOMC's meetings. These indexes provide insights on the FOMC's deliberations, especially at the onset of the Great Recession. The current paper complements Stekler and Symington's analysis by showing that their indexes reveal relatively minor bias in the FOMC's views when the indexes are reinterpreted as forecasts. Additionally, these indexes provide a proximate mechanism for inferring the Fed staff's Greenbook forecasts of the U.S. real GDP growth rate, years before the Greenbook's public release. KW - Central Banks and Their Policies E58 KW - Forecasting Models; Simulation Methods C53 L3 - http://www.gwu.edu/~forcpgm/2015-003.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531422&site=ehost-live&scope=site UR - http://www.gwu.edu/~forcpgm/2015-003.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamal, Fariha AU - Krizan, C. J. AU - Monarch, Ryan AD - Center for Economic Studies, U.S. Census Bureau AD - Center for Economic Studies, U.S. Census Bureau AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Identifying Foreign Suppliers in U.S. Merchandise Import Transactions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1142 Y1 - 2015/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517261; Keywords: International Trade; Transactional Relationships; Publication Type: Working Paper; Update Code: 201509 N2 - International trade data capturing relationships between importing and exporting firm provides new insight into the activity of trading firms, but the quality of such disaggregated data is unknown. In this paper, we assess the reliability of two-sided data from the United States by comparing the number of foreign suppliers from U.S. import data to origin-country data. Such exporter counts tend to be lower than the same counts from raw U.S. data. We propose and implement a set of methods that align the totals more closely. Overall, our analysis presents broad support for usage of U.S. data to study buyer-supplier relationships. KW - Trade: General F10 KW - Transactional Relationships; Contracts and Reputation; Networks L14 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1142.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517261&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1142.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Martin, Robert AU - Munyan, Tenyanna AU - Wilson, Beth Anne AD - Barclays Investment Bank AD - Vanderbilt University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Potential Output and Recessions: Are We Fooling Ourselves? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1145 Y1 - 2015/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517262; Keywords: business fluctuations; cycles; general macro; international business cycles; Publication Type: Working Paper; Update Code: 201509 N2 - This paper studies the impact of recessions on the longer-run level of output using data on 23 advanced economies over the past 40 years. We find that severe recessions have a sustained and sizable negative impact on the level of output. This sustained decline in output raises questions about the underlying properties of output and how we model trend output or potential around recessions. We find little support for the view that output rises faster than trend immediately following recessions to close the output gap. Indeed, we find little evidence that growth is faster following recessions than before; if anything post-trough growth is slower. Instead, we find that output gaps close importantly through downward revisions to potential output rather than through rapid post-recession growth. The revisions are made slowly (over years)--a process that leads to an initial underestimation of the effect of recessions on potential output and a corresponding under-prediction of inflation. KW - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data) E20 KW - Business Fluctuations; Cycles E32 KW - International Business Cycles F44 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1145.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517262&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1145.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Have Global Value Chains Contributed to Global Imbalances? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1154 Y1 - 2015/// SP - 28 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549613; Keywords: Global value chains; current account balances; Publication Type: Working Paper; Update Code: 201602 N2 - Global value chains (GVCs) have grown rapidly over the past several decades. Over the same period, the aggregate value of current account imbalances has risen substantially. This paper looks at whether these developments are related. While there is a sizable literature that has documented the rise of global production networks, there have been few attempts to assess the potential effect on global imbalances. The paper uses measures of GVCs developed in the literature in panel regressions to assess the effect on global imbalances over the period 1995-2011. It is argued that these variables should be entered as a product rather than individually and that they should be lagged, not contemporaneous with the change in current account balances. The results suggest that GVC position weighted by participation and trade share is negatively related to a country's current account balance, i.e., moving upstream in the production process is negative for a country's current account. However, the effects on global imbalances over the period studied appear to be small. KW - Trade: General F10 KW - Macroeconomic Aspects of International Trade and Finance: General F40 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1154.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549613&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1154.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghamami, Samim AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Derivatives Pricing under Bilateral Counterparty Risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-26 Y1 - 2015/// SP - 29 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495223; Keywords: Basel III; Counterparty Risk; Credit Value Adjustment; Reduced-Form Modeling; Wrong Way Risk; Publication Type: Working Paper; Update Code: 201505 N2 - We consider risk-neutral valuation of a contingent claim under bilateral counterparty risk in a reduced-form setting similar to that of Duffie and Huang [1996] and Duffie and Singleton [1999]. The probabilistic valuation formulas derived under this framework cannot be usually used for practical pricing due to their recursive path-dependencies. Instead, finite-difference methods are used to solve the quasi-linear partial differential equations that equivalently represent the claim value function. By imposing restrictions on the dynamics of the risk-free rate and the stochastic intensities of the counterparties' default times, we develop path-independent probabilistic valuation formulas that have closed-form solution or can lead to computationally efficient pricing schemes. Our framework incorporates the so-called wrong way risk (WWR) as the two counterparty default intensities can depend on the derivatives values. Inspired by the work of Ghamami and Goldberg [2014] on th e impact of WWR on credit value adjustment (CVA), we derive calibration-implied formulas that enable us to mathematically compare the derivatives values in the presence and absence of WWR. We illustrate that derivatives values under unilateral WWR need not be less than the derivatives values in the absence of WWR. A sufficient condition under which this inequality holds is that the price process follows a semimartingale with independent increments. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015026pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495223&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015026pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane E. AU - Meade, Ellen E. AU - Weinbach, Gretchen C. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Monetary Policy 101: A Primer on the Fed's Changing Approach to Policy Implementation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-47 Y1 - 2015/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508988; Keywords: FOMC; Federal Reserve; liftoff; monetary policy implementation; monetary policy normalization; monetary policy tools; Publication Type: Working Paper; Update Code: 201507 N2 - The Federal Reserve conducts monetary policy in order to achieve its statutory mandate of maximum employment, stable prices, and moderate long-term interest rates as prescribed by the Congress and laid out in the Federal Reserve Act. For many years prior to the financial crisis, the FOMC set a target for the federal funds rate and achieved that target through purchases and sales of securities in the open market. In the aftermath of the financial crisis, with a superabundant level of reserve balances in the banking system having been created as a result of the Federal Reserve's large scale asset purchase programs, this approach to implementing monetary policy will no longer work. This paper provides a primer on the Fed's implementation of monetary policy. We use the standard textbook model to illustrate why the approach used by the Federal Reserve before the financial crisis to keep the federal funds rate near the FOMC's target will not work in current circumstances, and explain the approach that the Committee intends to use instead when it decides to begin raising short-term interest rates. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015047pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508988&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015047pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - What Can the Data Tell Us About the Equilibrium Real Interest Rate? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-77 Y1 - 2015/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531356; Keywords: Bayesian Methods; Equilibrium real interest rate; Potential Output; Publication Type: Working Paper; Update Code: 201511 N2 - The equilibrium real interest rate (r*) is the short-term real interest rate that, in the long run, is consistent with aggregate production at potential and stable inflation. Estimation of r* faces considerable econometric and empirical challenges. On the econometric front, classical inference confronts the "pile-up" problem. Empirically, the co-movement of output, inflation, unemployment, and real interest rates is too weak to yield precise estimates of r*. These challenges are addressed by applying Bayesian methods and examining the role of several "demand shifters", including asset prices, fiscal policy, and credit conditions. We find that the data provide relatively little information on the r* data-generating process, as the posterior distribution of this process lies very close to its prior. This result contrasts sharply with those for the trend growth or natural rate of unemployment processes. Second, credit spreads are very important for the estimated links between output and interest rates and hence for estimates of r*. Estimates of r* that account for this range of considerations are more stable than other estimates, with r* at the end of 2014 equal to approximately 1-1/4 percent. KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E30 KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015077pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531356&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015077pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ehrmann, Michael AU - Pfajfar, Damjan AU - Santoro, Emilianio AD - Bank of Canada AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Copenhagen T1 - Consumers' Attitudes and Their Inflation Expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-15 Y1 - 2015/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495224; Keywords: Consumer Attitudes; Inflation Expectations; News on Inflation; Publication Type: Working Paper; Update Code: 201505 N2 - This paper studies consumers' inflation expectations using micro-level data from the Surveys of Consumers conducted by University of Michigan. It shows that beyond the well-established socio-economic factors such as income, age or gender, other characteristics such as the households' financial situation and their purchasing attitudes are important determinants of their forecast accuracy. Respondents with current or expected financial difficulties, pessimistic attitudes about major purchases, or expectations that income will go down in the future have a stronger upward bias in their expectations than other households. However, their bias shrinks by more than that of the average household in response to increasing media reporting about inflation. Equivalent results are found during recessions. KW - Forecasting Models; Simulation Methods C53 KW - Expectations; Speculations D84 KW - Price Level; Inflation; Deflation E31 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015015pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495224&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015015pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aramonte, Sirio AU - Jahan-Parvar, Mohammad AU - Shugarman, Justin AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Institutions and return predictability in oil-exporting countries PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-14 Y1 - 2015/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495203; Keywords: Country studies; Quality of institutions; Return predictability; Publication Type: Working Paper; Update Code: 201505 N2 - We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger when institutional quality is lower. We argue that the relation between predictability and institutional quality reflects the preference of countries with weaker institutions to consume oil windfalls locally rather than smooth out the impact of windfalls by, for instance, investing the proceeds through a sovereign wealth fund. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 KW - Economywide Country Studies: General O50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015014pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015014pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laubach, Thomas AU - Williams, John C. AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of San Francisco T1 - Measuring the natural rate of interest redux PB - Federal Reserve Bank of San Francisco, Working Paper Series: 2015-16 Y1 - 2015/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531340; Publication Type: Working Paper; Update Code: 201511 N2 - Persistently low real interest rates have prompted the question whether low interest rates are here to stay. This essay assesses the empirical evidence regarding the natural rate of interest in the United States using the Laubach-Williams model. Since the start of the Great Recession, the estimated natural rate of interest fell sharply and shows no sign of recovering. These results are robust to alternative model specifications. If the natural rate remains low, future episodes of hitting the zero lower bound are likely to be frequent and long-lasting. In addition, uncertainty about the natural rate argues for policy approaches that are more robust to mismeasurement of natural rates. L3 - http://www.frbsf.org/economic-research/files/wp2015-16.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531340&site=ehost-live&scope=site UR - http://www.frbsf.org/economic-research/files/wp2015-16.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lin, Li AU - Tsomocos, Dimitrios P. AU - Vardoulakis, Alexandros AD - International Monetary Fund AD - University of Oxford AD - Board of Governors of the Federal Reserve System (U.S.) T1 - On Default and Uniqueness of Monetary Equilibria PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-34 Y1 - 2015/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508975; Keywords: Collateral; Default; Determinacy; Liquid wealth; Monetary policy; Publication Type: Working Paper; Update Code: 201507 N2 - We examine the role that credit risk in the central bank's monetary operations plays in the determination of the equilibrium price level and allocations. Our model features trade in fiat money, real assets and a monetary authority which injects money into the economy through short-term and long-term loans to agents. Short-term loans are riskless, but long-term loans are collateralized by a portfolio of real assets and are subject to credit risk. The private monetary wealth of individuals is zero, i.e., there is no outside money. When there is no default in equilibrium, there is indeterminacy. Positive default in every state of the world on some long-term loan endogenously creates positive liquid wealth that supports positive interest rates and resolves the aforementioned indeterminacy. Hence, a non-Ricardian policy across loan markets can determine the equilibrium allocations while it allows the central bank to earn profits from seigniorage in order to compensate for any losses. KW - General Equilibrium and Disequilibrium: General D50 KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015034pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508975&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015034pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AU - Sarama, Robert F. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - End of the Line: Behavior of HELOC Borrowers Facing Payment Changes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-73 Y1 - 2015/// SP - 32 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517243; Keywords: HELOC; consumer credit; end of draw; home equity; payment changes; Publication Type: Working Paper; Update Code: 201509 N2 - An important question in the household finance literature is whether a change in required debt payments affects borrower behavior. One challenge in this literature has been identifying whether higher default rates observed after an increase in debt payments stem from the inability of borrowers to pay the higher amount, or the attrition of better borrowers in advance of the payment change. A related question is whether the higher default rate is a result of specific features of the debt product, or the type of borrower who chooses the product. We address both of these questions as they relate to a scheduled increase in payments on home equity lines of credit (HELOCs). Many existing HELOCs are structured such that when they reach the end of the draw period, they convert from open-ended, non-amortizing lines of credit to closed-end, amortizing loans. We compare the performance of HELOCs reaching end of draw with those not reaching end of draw and find that HELOCs that reach end of draw have a significantly higher cumulative default rate in the following months. We also show that, at end of draw, borrowers who have a HELOC with a balloon feature are more likely to have lower credit scores and higher LTVs than borrowers who have HELOCs with longer amortization periods. However, even controlling for borrower and loan characteristics, HELOCs with a balloon payment are more likely to default. This result provides evidence that HELOC defaults can be influenced both by the features of the product and the characteristics of borrowers who choose those features. KW - Household Saving; Personal Finance D14 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Housing Supply and Markets R31 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015073pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517243&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015073pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Altunbas, Yener AU - Manganelli, Simone AU - Marques-Ibanez, David AD - Bangor Business School AD - European Central Bank AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Realized Bank Risk during the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1140 Y1 - 2015/// SP - 32 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517257; Keywords: Bank risk; business models; Great Recession; Publication Type: Working Paper; Update Code: 201509 N2 - In the years preceding the 2007-2009 financial crisis, forward-looking indicators of bank risk concentrated and suggested unusually low expectations of bank default. We assess whether the ex-ante (i.e. prior to the crisis) cross-sectional variability in bank characteristics is related to the ex-post (i.e. during the crisis) materialization of bank risk. Our tailor-made dataset crucially accounts for the different dimensions of realized bank risk including access to central bank liquidity during the crisis. We consistently find that less reliance on deposit funding, more aggressive credit growth, larger size and leverage were associated with larger levels of realized risk. The impact of these characteristics is particularly relevant for capturing the systemic dimensions of bank risk and tends to become stronger for the tail of the riskier banks. The majority of these characteristics also predicted bank risk as materialized before the financial crisis. KW - Central Banks and Their Policies E58 KW - International Financial Markets G15 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1140.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517257&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1140.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gramlich, Jacob P. AU - Ray, Korok AD - Board of Governors of the Federal Reserve System (U.S.) AD - Texas A&M School of Business T1 - Reconciling Full-Cost and Marginal-Cost Pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-72 Y1 - 2015/// SP - 32 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517238; Keywords: Full Cost Pricing; Marginal Cost Pricing; Optimal Pricing; Pricing; Publication Type: Working Paper; Update Code: 201509 N2 - Despite the clear prescription from economic theory that a firm should set price based only on variable costs, firms routinely factor fixed costs into pricing decisions. We show that full-cost pricing (FCP) can help firms uncover their optimal price from economic theory. FCP marks up variable cost with the contribution margin per unit, which in equilibrium includes the fixed cost. This requires some knowledge of the firm's equilibrium return, though this is arguably easier a lower informational burden than knowing one's demand curve, which is required for optimal economic pricing. We characterize when FCP can implement the optimal price in a static game, a dynamic game, with multiple products, and under a satisficing objective. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015072pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517238&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015072pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kara, Alper AU - Marques-Ibanez, David AU - Ongena, Steven AD - Hull University Business School AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Zurich T1 - Securitization and lending standards: Evidence from the European wholesale loan market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1141 Y1 - 2015/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517258; Keywords: Securitization; bank lending rates; syndicated loans; Publication Type: Working Paper; Update Code: 201509 N2 - We assess the effect of securitization activity on banks' lending rates employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, in the run up to the 2007-2009 crisis banks that were more active at originating asset-backed securities did not price their loans more aggressively (i.e. with narrower lending spreads) than less-active banks. Using a unique feature of our dataset, we show that also within the set of loans that were previously securitized, the relative level of securitization activity by the originating bank is not related to narrower lending spreads. Our results suggest that while the credit cycle seems to have a major impact of lending standards, the effect of securitization activity appears to be very limited. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1141.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517258&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1141.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goodman, Sarena AU - Henriques, Alice M. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Effect of Shocks to College Revenues on For-Profit Enrollment: Spillover from the Public Sector PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-25 Y1 - 2015/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495215; Keywords: enrollment; for-profit colleges; public colleges; state appropriations; Publication Type: Working Paper; Update Code: 201505 N2 - This paper investigates whether declines in public funding for post-secondary institutions have increased for-profit enrollment. The two primary channels through which funding might operate to reallocate students across sectors are price (measured by tuition) and quality (measured by resource constraints). We estimate, on average, that a 10 percent cut in appropriations raises tuition about 1 to 2 percent and decreases faculty resources by 1/2 to 1 percent, creating substantial bottlenecks for prospective students on both price and quality. These cuts, in turn, generate a nearly one percentage point increase in the for-profit market share of "elastic" enrollment (i.e. attendees of community colleges plus for-profit institutions), owing entirely to students who, in a better funding environment, would have attended a public institution. We estimate an elasticity of for-profit enrollment with respect to state and local appropriations of 0.2. Finally, we extend our analys is to show that for every 1 percent increase in flagship tuition generated by funding shortfalls, for-profit attendance increases by 1-1/2 percent. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015025pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495215&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015025pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peneva, Ekaterina V. AU - Rudd, Jeremy B. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Passthrough of Labor Costs to Price Inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-42 Y1 - 2015/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508986; Keywords: Prices; business fluctuations; and cycles; wages; and compensation; Publication Type: Working Paper; Update Code: 201507 N2 - We use a time-varying parameter/stochastic volatility VAR framework to assess how the passthrough of labor costs to price inflation has evolved over time in U.S. data. We find little evidence that changes in labor costs have had a material effect on price inflation in recent years, even for compensation measures where some degree of passthrough to prices still appears to be present. Our results cast doubt on explanations of recent inflation behavior that appeal to such mechanisms as downward nominal wage rigidity or a differential contribution of long-term and short-term unemployed workers to wage and price pressures. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015042pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508986&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015042pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Looney, Adam AU - Moore, Kevin B. AD - Brookings Institution AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Changes in the Distribution of After-Tax Wealth: Has Income Tax Policy Increased Wealth Inequality? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-58 Y1 - 2015/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517237; Keywords: Inequality; taxation; wealth; Publication Type: Working Paper; Update Code: 201509 N2 - A substantial share of the wealth of Americans is held in tax-deferred form such as in retirement accounts or as unrealized capital gains. Most data and statistics on assets and wealth is reported on a pre-tax basis, but pre-tax values include an implicit tax liability and may not provide as accurate a measure of the financial position or material well-being of families. In this paper, we describe the distribution of tax-deferred assets in the SCF from 1989 to 2013, provide new estimates of the income tax liabilities implicit in those assets, and present new statistics on the level and distribution of after-tax net worth. The results of our analysis suggest that, relative to published statistics on pre-tax net worth, the distribution of after-tax wealth is slightly less concentrated at each point in time and the effectiveness of the income tax system in reducing wealth inequality has decreased during the last decade. We find the reduction in the long-term capital gains rate is the primary reason for the muted effectiveness of the income tax system in reducing wealth inequality. KW - Taxation and Subsidies: Incidence H22 KW - Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes H24 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015058pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517237&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015058pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Larrimore, Jeff AU - Mortenson, Jacob AU - Splinter, David AD - Board of Governors of the Federal Reserve System (U.S.) AD - Georgetown University AD - Joint Committee on Taxation T1 - Income and Earnings Mobility in U.S. Tax Data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-61 Y1 - 2015/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517236; Keywords: Administrative data; income mobility; post-tax income; Publication Type: Working Paper; Update Code: 201509 N2 - We use a large panel of federal income tax data to investigate intragenerational income mobility in the United States. We have two primary objectives. First, we explore the determinants of two-year changes in individual labor earnings and family incomes, such as job or industry changes, marriage, divorce, and geographic mobility. Second, we evaluate how federal income taxes stabilize or destabilize post-tax income changes relative to pre-tax changes. We find a relatively high degree of income mobility, with almost half of workers exhibiting earnings increases or decreases of at least 25 percent, and two-fifths of tax units experiencing income changes of this magnitude. Male and female labor income mobility patterns are remarkably similar, though marriage is associated with earnings gains among men, but is associated with modest earnings declines among women. We also observe that large income gains are most likely among families that add workers--either through marriage or through a second family member entering the workforce. KW - Personal Income, Wealth, and Their Distributions D31 KW - Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes H24 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015061pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517236&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015061pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kara, Alper AU - Marques-Ibanez, David AU - Ongena, Steven AD - Loughborough University AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Zurich T1 - Securitization and Credit Quality PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1148 Y1 - 2015/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531382; Keywords: Securitization; syndicated loans; credit risk; Publication Type: Working Paper; Update Code: 201511 N2 - Banks are usually better informed on the loans they originate than outside investors. As a result, securitized loans might be of lower credit quality than--otherwise similar--non-securitized loans. We assess the effect of securitization activity on credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks' reduced monitoring incentives. L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1148.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531382&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1148.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Modugno, Michele AU - D'Agostino, Antonello AU - Osbat, Chiara AD - Board of Governors of the Federal Reserve System (U.S.) AD - European Stability Mechanism AD - European Central Bank T1 - A Global Trade Model for the Euro Area PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-13 Y1 - 2015/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495210; Publication Type: Working Paper; Update Code: 201505 N2 - We propose a model for analyzing euro area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and macroeconomic variables, with the latter being released in a more timely manner. Second, the model tracks well the dynamics of trade variables conditional on the path of macroeconomic variables during the great recession; this result makes our model a reliable tool for scenario analysis. Third, we quantify the contribution of the most important euro area trading partners (regions) to the aggregate extra euro area developments: we evaluate the impact of an increase of the external demand from a specific region on the extra euro area trade. KW - Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models C38 KW - Trade: Forecasting and Simulation F17 KW - Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications F47 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015013pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495210&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015013pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sahm, Claudia R. AU - Shapiro, Matthew D. AU - Slemrod, Joel B. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Michigan AD - University of Michigan T1 - Balance-Sheet Households and Fiscal Stimulus: Lessons from the Payroll Tax Cut and Its Expiration PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-37 Y1 - 2015/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508978; Keywords: Fiscal stimulus; balance sheets; marginal propensity to consume; payroll tax; survey responses; Publication Type: Working Paper; Update Code: 201507 N2 - Balance-sheet repair drove the response of a significant fraction of households to fiscal stimulus following the Great Recession. By combining survey, behavioral, and time-series evidence on the 2011 payroll tax cut and its expiration in 2013, this papers identifies and analyzes households who smooth debt repayment. These "balance-sheet households" are as prevalent as "permanent-income households," who smooth consumption in response to the temporary tax cut, and outnumber "constrained households," who temporarily boost spending. The asymmetric spending response of balance-sheet households poses challenges to standard models, but nonetheless appears important for understanding individual and aggregate responses to fiscal stimulus. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015037pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508978&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015037pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmeiser, Maximilian D. AU - Stoddard, Christiana AU - Urban, Carly AD - Board of Governors of the Federal Reserve System (U.S.) AD - Montana State University AD - Montana State University T1 - Does Salient Financial Information Affect Academic Performance and Borrowing Behavior among College Students? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-75 Y1 - 2015/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517249; Keywords: financial counseling; financial education; financial literacy; higher education; student loans; Publication Type: Working Paper; Update Code: 201509 N2 - While rising student loan debt can plague college students future finances, few federal programs have been instituted to educate college students on the mechanics of student loan borrowing. This paper exploits a natural experiment in which some students received "Know Your Debt" letters with incentivized offers for one-on-one financial counseling. Montana State University students who reached a specific debt threshold received these letters; University of Montana students did not. We use a difference-in-difference-in-differences strategy to compare students above and below the thresholds across campuses and before and after the intervention to determine how the letters affect student behavior. Employing a rich administrative dataset on individual-level academic records and financial aid packages, we find that students receiving the letters borrow an average of $1,360, less in the subsequent semester--a reduction of one-third. This does not adversely affect their academic performance. In fact, those who receive the intervention take more credits and have higher GPAs in the subsequent semester. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015075pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517249&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015075pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Optimal Government Spending at the Zero Lower Bound: A Non-Ricardian Analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-38 Y1 - 2015/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508982; Keywords: Commitment; distortionary taxation; government spending; liquidity trap; nominal debt; optimal policy; zero lower bound; Publication Type: Working Paper; Update Code: 201507 N2 - This paper analyzes the implications of distortionary taxation and debt financing for optimal government spending policy in a sticky-price economy where the nominal interest rate is subject to the zero lower bound constraint. Regardless of the type of tax available and the initial debt level, optimal government spending policy in a recession is characterized by an initial increase followed by a reduction below, and an eventual return to, the steady state. The magnitude of variations in the government spending as well as their welfare implications depend importantly on the available tax instrument and the initial debt level. KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 KW - Fiscal Policy E62 KW - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy E63 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015038pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508982&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015038pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bucks, Brian K. AU - Pence, Karen M. AD - Consumer Financial Protection Bureau AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Wealth, Pensions, Debt, and Savings: Considerations for a Panel Survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-19 Y1 - 2015/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495220; Keywords: Measurement error; survey methods; wealth; Publication Type: Working Paper; Update Code: 201505 N2 - Several U.S. panel surveys measure household wealth. At the same time, many important questions about household wealth accumulation remain somewhat unresolved. We consider whether measurement error on the existing suite of longitudinal surveys hinders their usefulness for addressing these questions. We review the features of wealth data that make it difficult to collect and assess which assets and debts households are more likely to report accurately. We suggest several considerations in choosing between improving existing surveys and starting a new one. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015019pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495220&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015019pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Coulibaly, Brahima AU - Zlate, Andrei AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1135 Y1 - 2015/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508996; Keywords: Emerging market economies; financial spillovers; economic fundamentals; vulnerability; depreciation pressure; taper tantrum; financial stress; Publication Type: Working Paper; Update Code: 201507 N2 - We assess the importance of economic fundamentals in the transmission of international shocks to financial markets in various emerging market economies (EMEs). Our analysis covers the so-called taper-tantrum episode of 2013 and six earlier episodes of severe EME-wide financial stress since the mid-1990s. Cross-country regressions lead us to the following results: (1) EMEs with relatively better economic fundamentals suffered less deterioration in financial markets during the 2013 taper-tantrum episode. (2) Differentiation among EMEs set in quite early and persisted throughout this episode. (3) Controlling for economic fundamentals, we also find that, during the taper tantrum, financial conditions deteriorated more in those EMEs that had earlier experienced larger private capital inflows and greater exchange rate appreciation. (4) For earlier episodes, we find little evidence of investor differentiation across EMEs being explained by differences in their relative vulnerabilities during EME crises of the 1990s and early 2000s. (5) That said, differentiation across EMEs based on fundamentals does not appear to be unique to the 2013 episode. Differences in economic fundamentals played a role in explaining the heterogeneous EME financial market responses during the global financial crisis of 2008, and the role of fundamentals appeared to progressively increase through the European crisis in 2011 and subsequently the 2013 taper tantrum. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - International Finance: General F30 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1135.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508996&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1135.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hsu, Joanne W. AU - McFall, Brooke H. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Michigan T1 - Mode effects in mixed-mode economic surveys: Insights from a randomized experiment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-8 Y1 - 2015/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495213; Keywords: Data quality; household surveys; mode effects; response rates; Publication Type: Working Paper; Update Code: 201505 N2 - Web-based surveys have become increasingly common in economic, marketing, and other social science research. However, questions exist about the comparability of data gathered using a web interview and data gathered using more traditional survey modes, particularly for surveys on household economic behavior. Differences between data from different survey modes may arise through two different mechanisms: sample selectivity due to (lack of) web access and mode effects. This study leverages the randomized experimental design of the mixed-mode Cognitive Economics Study to examine mode effects separately from sample selectivity issues. In particular, we examine differences in survey response rates, item nonresponse, and data quality due to mode effects. Our results indicate that, in contrast to mail mode, web mode surveys (1) attain higher response rates among web users, (2) display lower item nonresponse, and (3) elicit more precise values for financial measures. We conclude that, for web-using populations, web mode surveys appear to result in more usable data than mail mode surveys, and these data appear to be of high quality. However, we also find no systematic mode differences in the categorical distributions of responses to items, providing no evidence that pooling data from the two modes is inadvisable. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015008pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495213&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015008pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Devlin-Foltz, Sebastian AU - Henriques, Alice M. AU - Sabelhaus, John AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Evolution of Retirement Wealth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-9 Y1 - 2015/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495217; Keywords: Lifecycle; pension; retirement; Publication Type: Working Paper; Update Code: 201505 N2 - Is the current mix of tax preferences for employer-sponsored pensions and individual retirement saving in the U.S. delivering the best possible retirement-preparedness across and within generations? Using data from the triennial Survey of Consumer Finances for 1989 through 2013, cohort-based analysis of life-cycle trajectories shows that (1) overall retirement plan participation was relatively stable or even rising through 2007, though participation fell noticeably in the wake of the Great Recession and has remained lower, (2) participation is strongly correlated with income, and the shift in the type of pension coverage occurred within--not just across--income groups, (3) relative to previous cohorts and a counterfactual lifecycle benchmark, the recent decline in retirement plan participation and defined contribution (DC) retirement account balance-to-income ratios is concentrated among younger families and lower-income families. KW - Household Saving; Personal Finance D14 KW - Social Security and Public Pensions H55 KW - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions J32 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015009pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495217&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015009pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moulton, Stephanie AU - Dodini, Samuel AU - Haurin, Donald R. AU - Schmeiser, Maximilian D. AD - Ohio State University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Ohio State University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How House Price Dynamics and Credit Constraints affect the Equity Extraction of Senior Homeowners PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-70 Y1 - 2015/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517235; Keywords: Home Equity Extraction; Mortgages and credit; Reverse Mortgages; Publication Type: Working Paper; Update Code: 201509 N2 - Households can borrow against equity through different channels, including home equity lines of credit (HELOCs), second liens, cash-out refinancing, and--for senior homeowners--reverse mortgages. We use data from the New York Federal Reserve/Equifax Consumer Credit Panel, the U.S. Department of Housing and Urban Development, and other sources to jointly estimate the decision to extract equity through these different channels. Specifically, we identify the influence of credit constraints, house price dynamics and their interactions on the proportion of seniors in a ZIP code extracting through a given channel each year from 2004 to 2012: the boom and bust period in the U.S. housing market. Prior research finds credit constrained households were more responsive to house price gains than non-constrained households. Our results suggest that this response varies depending on the borrowing channel. As house prices increased, cash-out refinancing increased in credit-constrained areas, but HELOCs increased in less-credit-constrained areas. Further, when house prices fell, reverse mortgage originations increased--particularly in credit-constrained areas. We also observe differential responses to credit constraints and house price changes in minority versus non-minority neighborhoods. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015070pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517235&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015070pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Duygan-Bump, Burcu AU - Nelson, William R. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007-09 U.S. Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-11 Y1 - 2015/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495209; Keywords: Lender of last resort; central banks; financial crises; liquidity regulation; Publication Type: Working Paper; Update Code: 201505 N2 - During the 2007-09 financial crisis, there were severe reductions in the liquidity of financial markets, runs on the shadow banking system, and destabilizing defaults and near-defaults of major financial institutions. In response, the Federal Reserve, in its role as lender of last resort (LOLR), injected extraordinary amounts of liquidity. In the aftermath, lawmakers and regulators have taken steps to reduce the likelihood that such lending would be required in the future, including the introduction of liquidity regulations. These changes were motivated in part by the argument that central bank lending entails extremely high costs and should be made unnecessary by liquidity regulations. By contrast, some have argued that the loss of liquidity was the result of market failures, and that central banks can solve such failures by lending, making liquidity regulations unnecessary. In this paper, we argue that LOLR lending and liquidity regulations are complementary tools. Liquidity shortfalls can arise for two very different reasons: First, sound institutions can face runs or a deterioration in the liquidity of markets they depend on for funding. Second, solvency concerns can cause creditors to pull away from troubled institutions. Using examples from the recent crisis, we argue that central bank lending is the best response in the former situation, while orderly resolution (by the institution as it gets through the problem on its own or via a controlled failure) is the best response in the second situation. We also contend that liquidity regulations are a necessary tool in both situations: They help ensure that the authorities will have time to assess the nature of the shortfall and arrange the appropriate response, and they provide an incentive for banks to internalize the externalities associated with any liquidity risks. KW - Central Banks and Their Policies E58 KW - Financial Crises G01 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015011pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495209&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015011pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yoldas, Emre AU - Senyuz, Zeynep AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Financial Stress and Equilibrium Dynamics in Money Markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-91 Y1 - 2015/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531373; Keywords: Money markets; Cointegration; Threshold models; GARCH; Constant conditional correlation model.; Publication Type: Working Paper; Update Code: 201511 N2 - Interest rate spreads are widely-used indicators of funding pressures and market functioning in money markets. Using weekly data from 2002 to 2015, we analyze money market dynamics in a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms. We find strong evidence for nonlinearities with respect to levels of the spreads. We provide point and interval estimates for spread thresholds that quantify funding pressure points from a long-run perspective. Our results indicate significant asymmetry in the adjustment toward long-run equilibrium. We show that economically and statistically significant adjustments occur only following large shocks to risk premia. Additionally, we quantify shifts in interest rate volatilities in high spread regimes characterized by elevated funding stress as well as declining correlations between risky funding rates and relatively safe base rates in such environments. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015091pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531373&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015091pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Banegas, Ayelen AU - Judson, Ruth AU - Sims, Charles AU - Stebunovs, Viktors AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System (U.S.) T1 - International Dollar Flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1144 Y1 - 2015/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517259; Keywords: capital flows; currency flows; U.S. banknotes; safe asset; emerging market economies; economic uncertainty; flight to quality; capital flight; money demand.; Publication Type: Working Paper; Update Code: 201509 N2 - Using confidential Federal Reserve data, we study the factors driving U.S. banknote flows between the United States and other countries. These flows are a significant component of capital flows in emerging market economies, where physical U.S. currency functions as a safe asset and precautionary demand for U.S. banknotes is a form of flight to quality. Prior to the global financial crisis, country-specific factors, including local economic uncertainty, largely explain the volume and heterogeneity of the flows. Since the crisis, global factors, particularly, global economic uncertainty, explain the flows markedly well. Further, precautionary demand for U.S. banknotes is not episodic. KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - International Finance: General F30 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1144.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517259&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1144.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher J. AU - Johannsen, Benjamin K. AU - Lopez-Salido, J. David AD - Unlisted AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Monetary Policy, Incomplete Information, and the Zero Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-99 Y1 - 2015/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531350; Publication Type: Working Paper; Update Code: 201511 N2 - In the context of a stylized New Keynesian model, we explore the interaction between imperfect knowledge about the state of the economy and the zero lower bound. We show that optimal policy under discretion near the zero lower bound responds to signals about an increase in the equilibrium real interest rate by less than it would when far from the zero lower bound. In addition, we show that Taylor-type rules that either include a time-varying intercept that moves with perceived changes in the equilibrium real rate or that respond aggressively to deviations of inflation and output from their target levels perform similarly to optimal discretionary policy. Our analysis of first-difference rules highlights that rules with interest rate smoothing terms carry forward current and past misperceptions about the state of the economy and can lead to suboptimal performance. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015099pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531350&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015099pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frost, Joshua AU - Logan, Lorie AU - Martin, Antoine AU - McCabe, Patrick E. AU - Natalucci, Fabio M. AU - Remache, Julie AD - Federal Reserve Bank of New York AD - Federal Reserve Bank of New York AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - http://www.federalreserve.gov/econresdata/fabio-m-natalucci.htm T1 - Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-10 Y1 - 2015/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495202; Keywords: Federal Reserve Board and Federal Reserve System; monetary policy; interest on excess reserves; money market funds; overnight RRP; repo; reverse repo; Publication Type: Working Paper; Update Code: 201505 N2 - We review recent changes in monetary policy that have led to development and testing of an overnight reverse repurchase agreement (ON RRP) facility, an innovative tool for implementing monetary policy during the normalization process. Making ON RRPs available to a broad set of investors, including nonbank institutions that are significant lenders in money markets, could complement the use of the interest on excess reserves (IOER) and help control short-term interest rates. We examine some potentially important secondary effects of an ON RRP facility, both positive and negative, including impacts on the structure of short-term funding markets and financial stability. We also investigate design features of an ON RRP facility that could mitigate secondary effects deemed undesirable. Finally, we discuss tradeoffs that policymakers may face in designing an ON RRP facility, as they seek to balance the objectives of setting an effective floor on money market rates during t he normalization process and limiting any adverse secondary effects. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015010pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015010pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmeiser, Maximilian D. AU - Gross, Matthew B. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Michigan T1 - The Determinants of Subprime Mortgage Performance Following a Loan Modification PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-6 Y1 - 2015/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495198; Keywords: Mortgage Modification; Subprime; Mortgage Default; Foreclosure; HAMP; Publication Type: Working Paper; Update Code: 201505 N2 - We examine the evolution of mortgage modification terms obtained by distressed subprime borrowers during the recent housing crisis, and the effect of the various types of modifications on the subsequent loan performance. Using the CoreLogic LoanPerformance dataset that contains detailed loan level information on mortgages, modification terms, second liens, and home values, we estimate a discrete time proportional hazard model with competing risks to examine the determinants of post-modification mortgage outcomes. We find that principal reductions are particularly effective at improving loan outcomes, as high loan-to-value ratios are the single greatest contributor to re-default and foreclosure. However, any modification that reduces total payment and interest (P&I) reduces the likelihood of subsequent re-default and foreclosure. Modifications that involve increasing the loan principal--primarily through capitalized interest and fees--are more likely to fail, even controlling for change in P&I. KW - Consumer Economics: Empirical Analysis D12 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Household Analysis: General R20 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Government Policy R28 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015006pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015006pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lopez-Salido, J. David AU - Stein, Jeremy C. AU - Zakrajsek, Egon AD - Board of Governors of the Federal Reserve System (U.S.) AD - Harvard University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Credit-Market Sentiment and the Business Cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-28 Y1 - 2015/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495208; Keywords: Business cycles; credit-market sentiment; financial stability; Publication Type: Working Paper; Update Code: 201505 N2 - Using U.S. data from 1929 to 2013, we show that elevated credit-market sentiment in year t-2 is associated with a decline in economic activity in years t through t+2. Underlying this result is the existence of predictable mean reversion in credit-market conditions. That is, when our sentiment proxies indicate that credit risk is aggressively priced, this tends to be followed by a subsequent widening of credit spreads, and the timing of this widening is, in turn, closely tied to the onset of a contraction in economic activity. Exploring the mechanism, we find that buoyant credit-market sentiment in year t-2 also forecasts a change in the composition of external finance: net debt issuance falls in year t, while net equity issuance increases, patterns consistent with the reversal in credit-market conditions leading to an inward shift in credit supply. Unlike much of the current literature on the role of financial frictions in macroeconomics, this paper suggests that time-variation in expected returns to credit market investors can be an important driver of economic fluctuations. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015028pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495208&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015028pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ferris, Erin E. Syron AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Dividend Taxes and Stock Volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-36 Y1 - 2015/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508981; Keywords: Corporate finance and governance; taxation; Publication Type: Working Paper; Update Code: 201507 N2 - How do dividend taxes affect stock volatility? In this paper, I use a decrease in dividend taxes as a natural experiment to identify their impact on firm's price volatility. If a risk-averse executive faces price risk through his incentive contract, changes in stock volatility due to dividend taxes may increase agency costs and therefore decrease overall welfare. Stock volatility decreased after the tax cut for firms where an executive has large holdings of shares and options relative to firms where an executive has small holdings of shares and options. Therefore, with a risk-averse executive and risk-neutral shareholders, dividend taxes may exacerbate agency costs. The increase in agency costs will decrease shareholder welfare, which can be partially offset by the use of options in the employment contract. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015036pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508981&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015036pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pfajfar, Damjan AU - Zakelj, Blaz AD - Board of Governors of the Federal Reserve System (U.S.) AD - Universitat Pompeu Fabra T1 - Inflation Expectations and Monetary Policy Design: Evidence from the Laboratory PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-45 Y1 - 2015/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508983; Keywords: Inflation expectations; laboratory experiments; monetary policy design; New Keynesian model; Publication Type: Working Paper; Update Code: 201507 N2 - Using laboratory experiments within a New Keynesian framework, we explore the interaction between the formation of inflation expectations and monetary policy design. The central question in this paper is how to design monetary policy when expectations formation is not perfectly rational. Instrumental rules that use actual rather than forecasted inflation produce lower inflation variability and reduce expectational cycles. A forward-looking Taylor rule where a reaction coefficient equals 4 produces lower inflation variability than rules with reaction coefficients of 1.5 and 1.35. Inflation variability produced with the latter two rules is not significantly different. Moreover, the forecasting rules chosen by subjects appear to vary systematically with the policy regime, with destabilizing mechanisms chosen more often when inflation control is weaker. KW - Design of Experiments: Laboratory, Individual C91 KW - Design of Experiments: Laboratory, Group Behavior C92 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015045pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508983&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015045pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arias, Jonas E. AU - Caldara, Dario AU - Rubio-Ramirez, Juan F. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Duke University T1 - The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1131 Y1 - 2015/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495229; Keywords: SVARs; Monetary policy shocks; Systematic component of monetary policy; Publication Type: Working Paper; Update Code: 201505 N2 - Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions. KW - Model Construction and Estimation C51 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1131.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495229&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1131.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - King, Thomas B. AU - Lewis, Kurt F. AD - Chicago FED AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Credit Risk, Liquidity and Lies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-112 Y1 - 2015/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549607; Keywords: Bank Funding; Credit Risk; LIBOR; Liquidity; Misreporting; Publication Type: Working Paper; Update Code: 201602 N2 - We reexamine the relative effects of credit risk and liquidity in the interbank market using bank-level panel data on Libor submissions and CDS spreads. Our model synthesizes previous work by combining the fundamental determinants of interbank spreads with the effects of strategic misreporting by Libor-submitting firms. We find that interbank spreads were very sensitive to credit risk at the peak of the crisis. However, liquidity premia constitute the bulk of those spreads on average, and Federal Reserve interventions coincide with improvements in liquidity at short maturities. Accounting for misreporting, which is large at times, is important for obtaining these results. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Transactional Relationships; Contracts and Reputation; Networks L14 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015112pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549607&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015112pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Jonathan D. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Old-Fashioned Deposit Runs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-111 Y1 - 2015/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549595; Publication Type: Working Paper; Update Code: 201602 N2 - This paper characterizes the deposit runs that occurred in the commercial banking system during 2008 and compares them with deposit runs during the 1930s. The importance of withdrawals by large depositors is a strong source of continuity across the two eras and reflects the longstanding concentration of deposit holdings. Runs occurred during 2008 despite the presence of national deposit insurance, which does not fully cover large accounts and therefore has limited impact on the incentives of those account holders. Large depositors continue to represent a source of both market discipline and financial instability. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015111pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549595&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015111pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Bolotnyy, Valentin AU - Klee, Elizabeth C. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Harvard University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Un-Networking: The Evolution of Networks in the Federal Funds Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-55 Y1 - 2015/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517244; Keywords: Banks; credit unions; and other financial institutions; counterparty credit risk; data visualization; network models; Publication Type: Working Paper; Update Code: 201509 N2 - Using a network approach to characterize the evolution of the federal funds market during the Great Recession and financial crisis of 2007-2008, we document that many small federal funds lenders began reducing their lending to larger institutions in the core of the network starting in mid-2007. But an abrupt change occurred in the fall of 2008, when small lenders left the federal funds market en masse and those that remained lent smaller amounts, less frequently. We then test whether changes in lending patterns within key components of the network were associated with increases in counterparty and liquidity risk of banks that make up the core of the network. Using both aggregate and bank-level network metrics, we find that increases in counterparty and liquidity risk are associated with reduced lending activity within the network. We also contribute some new ways of visualizing financial networks. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015055pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517244&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015055pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gissler, Stefan AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A margin call gone wrong: Credit, stock prices, and Germany's Black Friday 1927 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-54 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517252; Keywords: Asset pricing and bonds; banks; credit unions; and other financial institutions; economic history; equity; Publication Type: Working Paper; Update Code: 201509 N2 - Leverage is often seen as villain in financial crises. Sudden deleveraging may lead to fire sales and price pressure when asset demand is downward-sloping. This paper looks at the effects of changes in leverage on asset prices. It provides a historical case study where a large, well-identified shock to margin credit disrupted the German stock market. In May 1927, the German central bank forced banks to cut margin lending to their clients. However, this shock affected banks differentially; the magnitude of credit change differed across banks. Using the strong connections between banks and firms in interwar Germany, I show in a difference-in-differences framework that stocks affiliated with affected banks decreased over 12 percent during 4 weeks. Volatility of these stocks doubled. Relating directly bank balance sheet information to asset prices, this paper finds that a one standard deviation decrease in lending to investors increased an affected stock's volatility by 0.2 2 standard deviations. These results are robust to the problem that banks' lending decisions may be influenced by asset prices. The Reichsbank threatened banks to cut their short-run funding. Using the differences in exposure towards this threat, an instrumental variable strategy provides further evidence that a sharp decrease in leverage may lead to stock price fluctuations. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015054pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517252&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015054pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carapella, Francesca AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Banking panics and deflation in dynamic general equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-18 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495200; Keywords: banking panics; deflation; deposit insurance; Publication Type: Working Paper; Update Code: 201505 N2 - This paper develops a framework to study the interaction between banking, price dynamics, and monetary policy. Deposit contracts are written in nominal terms: if prices unexpectedly fall, the real value of banks' existing obligations increases. Banks default, panics precipitate, economic activity declines. If banks default, aggregate demand for cash increases because financial intermediation provided by banks disappears. When money supply is unchanged, the price level drops, thereby providing incentives for banks to default. Active monetary policy prevents banks from failing and output from falling. Deposit insurance can achieve the same goal but amplifies business cycle fluctuations by inducing moral hazard. KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015018pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015018pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adenbaum, Jacob AU - Copeland, Adam AU - Stevens, John J. AD - Federal Reserve Bank of NY AD - Federal Reserve Bank of NY AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Do long-haul truckers undervalue future fuel savings? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-118 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549612; Keywords: fuel efficiency standards; durable goods; discrete-choice demand estimation; Publication Type: Working Paper; Update Code: 201602 N2 - The U.S. federal government enacted fuel efficiency standards for medium and heavy trucks for the first time in September 2011. Rationales for using this policy tool typically depend upon frictions existing in the marketplace or consumers being myopic, such that vehicle purchasers undervalue the future fuel savings from increased fuel efficiency. We measure by how much long-haul truck owners undervalue future fuel savings by employing recent advances to the classic hedonic approach to estimate the distribution of willingness-to-pay for fuel efficiency. We find significant heterogeneity in truck owners' willingness to pay for fuel efficiency, with the elasticity of fuel efficiency to price ranging from 0.51 at the 10th percentile to 1.33 at the 90th percentile, and an average of 0.91. Combining these results with estimates of future fuel savings from increases in fuel efficiency, we find that long-haul truck owners' willingness-to-pay for a 1 percent increase in fuel efficiency is, on average, just 29.5 percent of the expected future fuel savings. These results suggest that introducing fuel efficiency standards for heavy trucks might be an effective policy tool to raise medium and heavy trucks' fuel economy. KW - Firm Behavior: Empirical Analysis D22 KW - Economics of Regulation L51 KW - Railroads and Other Surface Transportation L92 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015118pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549612&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015118pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mallucci, Enrico AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Domestic Debt and Sovereign Defaults PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1153 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549617; Keywords: Sovereign Defaults; Domestic Debt; Debt Crises; Credit Market; Publication Type: Working Paper; Update Code: 201602 N2 - This paper examines how domestic holdings of government debt affect sovereign default risk and government debt management. I develop a dynamic stochastic general equilibrium model with both external and domestic debt that endogenously generates output contraction upon default. Domestic holdings of government debt weaken investors' balance sheets and induce a contraction of credit and output upon default. I calibrate the model to the Argentinean economy and show that the model reproduces key empirical moments. Introducing domestic debt also yields relevant normative implications. While domestic debt is crucial to determining the risk of default, the efficient internal-external composition of debt cannot be achieved without government intervention. Pigouvian subsidies can restore efficiency. KW - International Lending and Debt Problems F34 KW - Open Economy Macroeconomics F41 KW - National Debt; Debt Management; Sovereign Debt H63 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1153.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549617&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1153.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zarutskie, Rebecca AU - Yang, Tiantian AD - Board of Governors of the Federal Reserve System (U.S.) AD - Duke University T1 - How Did Young Firms Fare During the Great Recession? Evidence from the Kauffman Firm Survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-85 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531365; Keywords: Entrepreneurship; Financing constraints; Firm performance; Great Recession; Young firms; Publication Type: Working Paper; Update Code: 201511 N2 - We examine the evolution of several key firm economic and financial variables in the years surrounding and during the Great Recession using the Kauffman Firm Survey, a large panel of young firms founded in 2004 and surveyed for eight consecutive years. We find that these young firms experienced slower growth in revenues, employment, and assets and faced tighter financing conditions during the recessionary years. While we find some evidence that firm growth picked up following the recession, it is not clear that it returned to the levels it would have been absent the recessionary shock. We find little evidence that financing conditions for young firms loosened following the recession and show that financing constraints, in addition to diminished demand, may have contributed to these firms' slower growth. We discuss the strengths and the limitations of the Kauffman Firm Survey in measuring the impact of the Great Recession on young firms and their founders and consider features of future data collection and measurement efforts that would be useful in studying entrepreneurial activity over the business cycle. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015085pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531365&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015085pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Infante, Sebastian AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Liquidity Windfalls: The Consequences of Repo Rehypothecation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-22 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495212; Keywords: bankruptcy; haircuts; liquidity; prime brokerage; rehypothecation; repo; Publication Type: Working Paper; Update Code: 201505 N2 - This paper presents a model of repo rehypothecation in which dealers intermediate funds and collateral between cash lenders (e.g., money market funds) and prime brokerage clients (e.g., hedge funds). Dealers take advantage of their position as intermediaries, setting different repo terms with each counterparty. In particular, the difference in haircuts represents a positive cash balance for the dealer that can be an important source of liquidity. The model shows that dealers with higher default risk are more exposed to runs by collateral providers than to runs by cash lenders, who are completely insulated from a dealer's default. In addition, collateral providers' repo terms are sensitive to changes in a dealer's default probability and its correlation with the collateral's outcome, whereas cash lenders' repo terms are unaffected by these changes. This paper rationalizes the difference in haircuts observed in bilateral and tri-party repo markets, reconciles the partial evidence of the run on repo during the recent financial crisis, and presents new empirical evidence to support the model's main prediction on haircut sensitivities. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015022pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495212&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015022pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oh, Dong Hwan AU - Patton, Andrew J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Duke University T1 - Modelling Dependence in High Dimensions with Factor Copulas PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-51 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508969; Keywords: Copulas; correlation; dependence; systemic risk; tail dependence; Publication Type: Working Paper; Update Code: 201507 N2 - his paper presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high dimensional applications, involving fifty or more variables, and can be combined with semiparametric marginal distributions to obtain flexible multivariate distributions. Factor copulas generally lack a closed-form density, but we obtain analytical results for the implied tail dependence using extreme value theory, and we verify that simulation-based estimation using rank statistics is reliable even in high dimensions. We consider "scree" plots to aid the choice of the number of factors in the model. The model is applied to daily returns on all 100 constituents of the S&P 100 index, and we find significant evidence of tail dependence, heterogeneous dependence, and asymmetric dependence, with dependence being stronger in crashes than in booms. We also show that factor copula models provide superior estimates of some measures of systemic risk. KW - Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models C31 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Model Construction and Estimation C51 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015051pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508969&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015051pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuetz, Jenny AU - Spader, Jonathan AU - Buell, Jennifer Lewis AU - Burnett, Kimberly AU - Buron, Larry AU - Cortes, Alvaro AU - DiDomenico, Michael AU - Jefferson, Anna AU - Redfearn, Christian AU - Whitlow, Stephen AD - Board of Governors of the Federal Reserve System (U.S.) AD - Abt Associates AD - Abt Associates AD - Abt Associates AD - Abt Associates AD - Abt Associates AD - Abt Associates AD - Abt Associates AD - University of Southern California AD - Abt Associates T1 - Which Way to Recovery? Housing Market Outcomes and the Neighborhood Stabilization Program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-4 Y1 - 2015/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495207; Keywords: Urban redevelopment; mortgages; housing markets; federal housing policy; fiscal federalism; Publication Type: Working Paper; Update Code: 201505 N2 - To help communities recover from the foreclosure crisis, Congress enacted a set of policies known as the Neighborhood Stabilization Program (NSP). NSP's objective was to mitigate the impact of foreclosures on neighboring properties, through reducing the stock of distressed properties and removing sources of visual blight. This paper presents evidence on production outcomes achieved through the second round of NSP funding (NSP2), and discusses the housing market context under which the program operated from 2010 to 2013. Two key findings emerge. First, local grantees undertook quite different approaches to NSP2. The type and scale of activity, expenditures per property and spatial concentration vary widely across grantees. Second, census tracts that received NSP2 investment had poor economic and housing market conditions prior to the program, but generally saw improved housing markets during the program's implementation period, as did non-NSP2 tracts in the same counties. Based on these findings, we outline topics and suggested approaches for additional research. KW - National Government Expenditures and Related Policies: General H50 KW - State and Local Government; Intergovernmental Relations: General H70 KW - General Regional Economics (includes Regional Data) R10 KW - Real Estate Markets, Spatial Production Analysis, and Firm Location: General R30 KW - Regional Government Analysis: General R50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015004pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015004pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Spader, Jonathan AU - Schuetz, Jenny AU - Cortes, Alvaro AD - Harvard University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Abt Associates T1 - Fewer Vacants, Fewer Crimes? Impacts of Neighborhood Revitalization Policies on Crime PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-88 Y1 - 2015/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531371; Keywords: Crime; broken windows; foreclosures; neighborhood revitalization; Publication Type: Working Paper; Update Code: 201511 N2 - The relationship between neighborhood physical environment and social disorder, particularly crime, is of critical interest to urban economists and sociologists, as well as local governments. Over the past 50 years, various policy interventions to improve physical conditions in distressed neighborhoods have also been heralded for their potential to reduce crime. Urban renewal programs in the mid-20th century and public housing redevelopment in the 1990s both subscribed to the idea that signs of physical disorder invite social disorder. More recently, the federal Neighborhood Stabilization Program (NSP) provided funding for local policymakers to rehabilitate or demolish foreclosed and vacant properties, in order to mitigate negative spillovers--including crime--on surrounding neighborhoods. In this paper, we investigate the impact of NSP investments on localized crime patterns in Cleveland, Chicago and Denver. Results suggest that demolition activity in Cleveland decreased burglary and theft, but do not find measurable impacts of property rehabilitation investments--although the precision of these estimates are limited by the number of rehabilitation activities. KW - Publicly Provided Goods: General H40 KW - State and Local Government; Intergovernmental Relations: General H70 KW - General Regional Economics (includes Regional Data) R10 KW - Regional Government Analysis: General R50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/index.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531371&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/index.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zer, Ilknur AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Information Disclosures, Default Risk, and Bank Value PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-104 Y1 - 2015/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531369; Keywords: Disclosure; default probability; firm value; risk management; asymmetric information; corporate governance; Publication Type: Working Paper; Update Code: 201511 N2 - This paper investigates the causal effects of voluntary information disclosures on a bank's expected default probability, enterprise risk, and value. I measure disclosure via a self-constructed index for the largest 80 U.S. bank holding companies for the period 1998-2011. I provide evidence that a bank's management responds to a plausibly exogenous deterioration in the supply of public information by increasing its voluntary disclosure, which in turn improves investors' assessment of the bank risk and value. This evidence suggests that disclosure may alleviate informational frictions and lead to a more efficient allocation of risk and return. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015104pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531369&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015104pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dore, Timothy E. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Venture Capital and the Performance of Incumbents PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-80 Y1 - 2015/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531353; Keywords: Corporate finance; Financial markets; Venture Capital; Publication Type: Working Paper; Update Code: 201511 N2 - I study the effect of investment in young, private firms by venture capitalists (VC) on public firms in the same industry. I construct an instrument for VC investment that relies on individual VC's investment histories, holdings of equity stakes in IPO firms, and aggregate market returns immediately following those IPOs. I find that increased VC investment has a large effect on incumbent profitability. The effect arises due to higher costs and not depressed sales. The effect is short lived as firms respond by reallocating resources away from treated markets and by reducing their use of labor. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015080pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531353&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015080pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shin, Minchul AU - Zhong, Molin AD - University of Illinois AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Does Realized Volatility Help Bond Yield Density Prediction? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-115 Y1 - 2015/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549606; Keywords: Dynamic factor model; forecasting; stochastic volatility; term structure of interest rates; dynamic Nelson-Siegel model; Publication Type: Working Paper; Update Code: 201602 N2 - We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting model parameter estimates are highly efficient, which one hopes would translate into superior predictive performance. We explore this conjecture in the context of density prediction of U.S. bond yields by incorporating realized volatility into a dynamic Nelson-Siegel (DNS) model with stochastic volatility. The results clearly indicate that using realized volatility improves density forecasts relative to popular specifications in the DNS literature that neglect realized volatility. KW - Econometric Modeling: General C50 KW - Money and Interest Rates: General E40 KW - General Financial Markets: General (includes Measurement and Data) G10 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015115pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549606&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015115pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acosta, Miguel AD - Board of Governors of the Federal Reserve System (U.S.) T1 - FOMC Responses to Calls for Transparency PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-60 Y1 - 2015/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517242; Keywords: Federal Open Market Committee; transparency; latent semantic analysis; deliberation; natural language processing; conformity; central bank; Publication Type: Working Paper; Update Code: 201509 N2 - I apply latent semantic analysis to Federal Open Market Committee (FOMC) transcripts and minutes from 1976 to 2008 in order to analyze the Fed's responses to calls for transparency. Using a newly constructed measure of the transparency of deliberations, I study two events that define markedly different periods of transparency over this 32-year period. First, the 1978 Humphrey-Hawkins Act increased the degree to which the FOMC used meeting minutes to convey the content of its meetings. Historical evidence suggests that this increased transparency reflected a response to the Act's requirement that the Fed provide greater detail in reporting with respect to its goals and objectives. Second, the 1993 decision to publish nearly verbatim transcripts also increased transparency. However, the cost was an increasing degree of conformity at each meeting, as evidenced by lower variance in content disagreement at the member level. KW - Positive Analysis of Policy Formulation and Implementation D78 KW - Asymmetric and Private Information; Mechanism Design D82 KW - Central Banks and Their Policies E58 KW - Public Administration; Public Sector Accounting and Audits H83 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015060pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517242&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015060pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grundl, Serafin J. AU - Zhu, Yu AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Leicester T1 - Identification of First-Price Auctions With Biased Beliefs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-56 Y1 - 2015/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517248; Keywords: Biased beliefs; first-price auction; nonparametric identification; risk aversion; Publication Type: Working Paper; Update Code: 201509 N2 - This paper exploits variation in the number of bidders to separately identify the valuation distribution and the bidders' belief about the valuation distribution in first-price auctions with independent private values. Exploiting variation in auction volume the result is extended to environments with risk averse bidders. In an illustrative application we fail to reject the null hypothesis of correct beliefs. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015056pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517248&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015056pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lopez, Pier AU - Lopez-Salido, J. David AU - Vazquez-Grande, Francisco AD - Banqe de France AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Nominal Rigidities and the Term Structures of Equity and Bond Returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-64 Y1 - 2015/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517251; Keywords: Equity and bond yields; habit formation; nominal rigidities; structural term structure modeling; Publication Type: Working Paper; Update Code: 201509 N2 - A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a technology shock, and hence their riskiness, and generate countercyclical inflation. Marginal costs gradually fall after a negative technology shock as the price level increases sluggishly, so the payoffs of short-duration dividend claims (bonds) are more (less) procyclical than the payoffs of long-duration claims (bonds). The simultaneous presence of market and home consumption habits allows for uniting nonlinear habits and a production economy without compromising the ability of the model to fit macroeconomic variables. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015064pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517251&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015064pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aramonte, Sirio AU - Lee, Seung Jung AU - Stebunovs, Viktors AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Risk Taking and Low Longer-term Interest Rates: Evidence from the U.S. Syndicated Loan Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-68 Y1 - 2015/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517239; Keywords: Risk-taking channel of monetary policy; Search for yield; Shadow banking; Shared National Credit Program; Syndicated loans; Zero lower bound; Publication Type: Working Paper; Update Code: 201509 N2 - We use supervisory data to investigate risk taking in the U.S. syndicated loan market at a time when longer-term interest rates are exceptionally low, and we study the ex-ante credit risk of loans acquired by different types of lenders, including banks and shadow banks. We find that insurance companies, pension funds, and, in particular, structured-finance vehicles take higher credit risk when investors expect interest rates to remain low. Banks originate riskier loans that they tend to divest shortly after origination, thus appearing to accommodate other lenders' investment choices. These results are consistent with a "search for yield" by certain types of shadow banks and, to the extent that Federal Reserve policies affected longer-term rates, the results are also consistent with the presence of a risk-taking channel of monetary policy. Finally, we find that longer-term interest rates have only a modest effect on loan spreads. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Portfolio Choice; Investment Decisions G11 KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015068pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517239&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015068pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Devlin-Foltz, Sebastian AU - Sabelhaus, John AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Heterogeneity in Economic Shocks and Household Spending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-49 Y1 - 2015/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508972; Keywords: Consumption; lifecycle; synthetic cohort; Publication Type: Working Paper; Update Code: 201507 N2 - Large swings in aggregate household-sector spending, especially for big ticket items such as cars and housing, have been a dominant feature of the macroeconomic landscape in the past two decades. Income and wealth inequality increased over the same period, leading some to suggest the two phenomena are interconnected. Indeed, there is supporting evidence for the idea that heterogeneity in economic shocks and spending are connected, most notably in studies using local-area geography as the unit of analysis. The Survey of Consumer Finances (SCF) provides a household-level perspective on changes in wealth, income, and spending across different types of families. The SCF confirms that inequality is indeed increasing in recent decades, and the data provide support for the proposition that shocks to income and wealth are indeed related to large swings in spending across and within birth cohorts. However, the economic shocks associated with the Great Recession and changes in spending and debt to income ratios are widespread, and inconsistent with a narrow focus on the experiences and changes in behavior of particular (especially low- and modest-income) households. KW - Data Collection and Data Estimation Methodology; Computer Programs: General C80 KW - Household Behavior: General D10 KW - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data) E20 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015049pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508972&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015049pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Athreya, Kartik B. AU - Ionescu, Felicia AU - Neelakantan, Urvi AD - Federal Reserve Bank of Richmond AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of Richmond T1 - Stock Market Investment: The Role of Human Capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-65 Y1 - 2015/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517247; Keywords: Human capital investment; life-cycle; financial portfolios; Publication Type: Working Paper; Update Code: 201509 N2 - Portfolio choice models counterfactually predict (or advise) almost universal equity market participation and a high share for equity in wealth early in life. Empirically consistent predictions have proved elusive without participation costs, informational frictions, or nonstandard preferences. We demonstrate that once human capital investment is allowed, standard theory predicts portfolio choices much closer to those empirically observed. Two intuitive mechanisms are at work: For participation, human capital returns exceed financial asset returns for most young households and, as households age, this is reversed. For shares, risks to human capital limit the household's desire to hold wealth in risky financial equity. KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Portfolio Choice; Investment Decisions G11 KW - Human Capital; Skills; Occupational Choice; Labor Productivity J24 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015065pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517247&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015065pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steve AU - Sherlund, Shane M. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Crowding Out Effects of Refinancing on New Purchase Mortgages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-17 Y1 - 2015/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495225; Keywords: Mortgages and credit; capacity constraint; refinancing; Publication Type: Working Paper; Update Code: 201505 N2 - We present evidence that binding mortgage processing capacity constraints reduce mortgage originations to borrowers of low to modest credit quality. Mortgage processing capacity constraints typically bind when the demand for mortgage refinancing shifts outward, usually because of lower mortgage rates. As a result, high capacity utilization leads mortgage lenders to ration mortgage credit, completing mortgages that require less underwriting resources, and are thus less costly, to produce. This is hypothesized to have a particularly adverse impact on the ability of low-to modest-credit-quality borrowers to obtain mortgages. What is more, we show that, by lowering capacity utilization, a rise in interest rates can, under certain circumstances, induce an increase in mortgage originations to borrowers of low to modest credit quality. In particular, we find fairly large effects for purchasing borrowers of modest credit quality, in which we find that a decrease in capacity utilization of 4 applications per mortgage employee (similar to that observed from 2012 to 2013) could result in increased purchase mortgage originations, as the relaxed capacity constraint at least partially offsets the higher cost of mortgage credit. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015017pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495225&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015017pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aramonte, Sirio AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Innovation, investor sentiment, and firm-level experimentation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-67 Y1 - 2015/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517253; Keywords: Investor sentiment; R&D; Technological innovation; Publication Type: Working Paper; Update Code: 201509 N2 - Due to frictions like informational externalities, firms invest too little in learning the productivity of newly available technologies through small-scale experimentation. I study the effect of investor sentiment on the relation between technological innovation and future firm-level R&D expenses, which include the resources used for small-scale experimentation. I find that rapidly improving investor sentiment strengthens the effect of technological innovation on one-year-ahead R&D expenses, and that the effect is more pronounced for high-tech firms with tighter financing constraints. The results are not driven by sentiment proxying for technological innovation or by sentiment and R&D expenses being jointly determined. The evidence is consistent with the hypothesis that sentiment counteracts frictions in the process of technology diffusion. KW - Behavioral Finance: Underlying Principles G02 KW - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G31 KW - Management of Technological Innovation and R&D O32 KW - Technological Change: Choices and Consequences; Diffusion Processes O33 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015067pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517253&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015067pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gallant, A. Ronald AU - Jahan-Parvar, Mohammad AU - Liu, Hening AD - Pennsylvania State University AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Manchester T1 - Measuring Ambiguity Aversion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-105 Y1 - 2015/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549592; Keywords: Ambiguity aversion; Bayesian estimation; Equity premium puzzle; Markov switching; Publication Type: Working Paper; Update Code: 201602 N2 - We confront the generalized recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) with data using Bayesian methods introduced by Gallant and McCulloch (2009) to close two existing gaps in the literature. First, we use macroeconomic and financial data to estimate the size of ambiguity aversion as well as other structural parameters in a representative-agent consumption-based asset pricing model. Second, we use estimated structural parameters to investigate asset pricing implications of ambiguity aversion. Our structural parameter estimates are comparable with those from existing calibration studies, demonstrate sensitivity to sampling frequencies, and suggest ample scope for ambiguity aversion. KW - Optimization Techniques; Programming Models; Dynamic Analysis C61 KW - Criteria for Decision-Making under Risk and Uncertainty D81 KW - Portfolio Choice; Investment Decisions G11 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015105pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549592&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015105pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Regime-Switching Models for Estimating Inflation Uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-93 Y1 - 2015/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531363; Keywords: Inflation; Markov-Switching; Uncertainty; Publication Type: Working Paper; Update Code: 201511 N2 - This paper constructs regime-switching models for estimating the probability of inflation returning to its relatively high levels of variability and persistence in the 1970s and 1980s. Forecasts and probabilities of extreme events from the models are evaluated against comparable estimates from other statistical models, from surveys, and from financial markets. The paper then uses the models to construct prediction intervals around Federal Reserve Board staff forecasts of PCE price inflation, combining the recent non-parametric forecast error distribution with parametric information from the model. The outer tails of the prediction intervals depend importantly on the probability inflation is in its high-variance, high-persistence regime. KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E30 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015093pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531363&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015093pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mezza, Alvaro A. AU - Sommer, Kamila AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A Trillion Dollar Question: What Predicts Student Loan Delinquencies? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-98 Y1 - 2015/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531352; Keywords: Credit Scores; Delinquencies; Student Loans; Publication Type: Working Paper; Update Code: 201511 N2 - The recent significant increase in student loan delinquencies has generated interest in understanding the key factors predicting the non-performance of these loans. However, despite the large size of the student loan market, existing analyses have been limited by data. This paper studies predictors of student loan delinquencies using a nationally representative panel dataset that anonymously combines individual credit bureau records with Pell Grant and Federal student loan recipient information, records on college enrollment, graduation and major, and school characteristics. We show that borrower-level credit characteristics are important predictors of student loan delinquencies. In particular, credit scores of young borrowers are highly predictive of future student loan delinquencies, even when measured well before borrowers enter repayment. In marked contrast, our results point to only a limited power of student debt levels in predicting future student loan credit events. Our findings have potentially useful practical implications. For example, access to credit file information when borrowers exit school could help to more effectively target student loan borrowers who might benefit from enrolling in income-driven repayment or loan modification plans. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015098pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531352&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015098pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AU - Szerszen, Pawel J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bayesian Estimation of Time-Changed Default Intensity Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-2 Y1 - 2015/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495199; Keywords: Bayesian estimation; CDS; CIR process; credit derivatives; MCMC; particle filter; stochastic time change; Publication Type: Working Paper; Update Code: 201505 N2 - We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on firm-level time-series of CDS spreads, and find strong in-sample evidence of stochastic volatility in this market. Relative to the widely-used CIR model for the default intensity, we find that stochastic time-change offers modest benefit in fitting the cross-section of CDS spreads at each point in time, but very large improvements in fitting the time-series, i.e., in bringing agreement between the moments of the default intensity and the model-implied moments. Finally, we obtain model-implied out-of-sample density forecasts via auxiliary particle filter, and find that the time-changed model strongly outperforms the baseline CIR model. KW - Bayesian Analysis: General C11 KW - Statistical Simulation Methods: General C15 KW - Financial Econometrics C58 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Financial Forecasting and Simulation G17 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015002pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015002pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunetti, Celso AU - Harris, Jeffrey H. AU - Mankad, Shawn AU - Michailidis, George AD - Board of Governors of the Federal Reserve System (U.S.) AD - American University AD - University of Maryland AD - University of Michigan T1 - Interconnectedness in the Interbank Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-90 Y1 - 2015/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531370; Keywords: Interconnectedness; correlation network; financial crisis; interbank market; physical network; Publication Type: Working Paper; Update Code: 201511 N2 - We study the behavior of the interbank market before, during and after the 2008 financial crisis. Leveraging recent advances in network analysis, we study two network structures, a correlation network based on publicly traded bank returns, and a physical network based on interbank lending transactions. While the two networks behave similarly pre-crisis, during the crisis the correlation network shows an increase in interconnectedness while the physical network highlights a marked decrease in interconnectedness. Moreover, these networks respond differently to monetary and macroeconomic shocks. Physical networks forecast liquidity problems while correlation networks forecast financial crises. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015090pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531370&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015090pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morais, Bernardo AU - Peydro, Jose Luis AU - Ruiz, Claudia AD - Board of Governors of the Federal Reserve System (U.S.) AD - Universitat Pompeu Fabra AD - World Bank T1 - The International Bank Lending Channel of Monetary Policy Rates and QE: Credit Supply, Reach-for-Yield, and Real Effects PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1137 Y1 - 2015/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508992; Keywords: Credit channel of monetary policy; financial globalization; quantitative easing (QE); credit supply; risk-taking; foreign banks.; Publication Type: Working Paper; Update Code: 201507 N2 - We identify the international credit channel of monetary policy by analyzing the universe of corporate loans in Mexico, matched with firm and bank balance-sheet data, and by exploiting foreign monetary policy shocks, given the large presence of European and U.S. banks in Mexico. We find that a softening of foreign monetary policy increases the supply of credit of foreign banks to Mexican firms. Each regional policy shock affects supply via their respective banks (for example, U.K. monetary policy affects credit supply in Mexico via U.K. banks), in turn implying strong real effects, with substantially larger elasticities from monetary rates than QE. Moreover, low foreign monetary policy rates and expansive QE increase disproportionally more the supply of credit to borrowers with higher ex ante loan rates--reach-for-yield--and with substantially higher ex post loan defaults, thus suggesting an international risk-taking channel of monetary policy. All in all, the results suggest that foreign QE increases risk-taking in emerging markets more than it improves the real outcomes of firms. KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1137.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508992&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1137.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Drager, Lena AU - Lamla, Michael AU - Pfajfar, Damjan AD - University of Hamburg AD - University of Essex AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Are Survey Expectations Theory-Consistent? The Role of Central Bank Communication and News PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-35 Y1 - 2015/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508979; Keywords: Macroeconomic expectations; central bank communication; consumer forecast accuracy; macroeconomic literacy; monetary news; survey microdata; Publication Type: Working Paper; Update Code: 201507 N2 - In this paper we analyze whether central bank communication can facilitate the understanding of key economic concepts. Using survey data for consumers and professionals, we calculate how many of them have expectations consistent with the Fisher Equation, the Taylor rule and the Phillips curve and test, by accounting for three different communication channels, whether central banks can influence those. A substantial share of participants has expectations consistent with the Fisher equation, followed by the Taylor rule and the Phillips curve. We show that having theory-consistent expectations is beneficial, as it improves the forecast accuracy. Furthermore, consistency is time varying. Exploring this time variation, we provide evidence that central bank communication as well as news on monetary policy can facilitate the understanding of those concepts and thereby improve the efficacy of monetary policy. KW - Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities C25 KW - Expectations; Speculations D84 KW - Price Level; Inflation; Deflation E31 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015035pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508979&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015035pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benigno, Gianluca AU - Converse, Nathan AU - Fornaro, Luca AD - London School of Economics AD - Board of Governors of the Federal Reserve System (U.S.) AD - CREI T1 - Large Capital Inflows, Sectoral Allocation, and Economic Performance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1132 Y1 - 2015/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495232; Keywords: Capital Flows; Surges; Sectoral Allocation; Sudden Stops; Publication Type: Working Paper; Update Code: 201505 N2 - This paper describes the stylized facts characterizing periods of exceptionally large capital inflows in a sample of 70 middle- and high-income countries over the last 35 years. We identify 155 episodes of large capital inflows and find that these events are typically accompanied by an economic boom and followed by a slump. Moreover, during episodes of large capital inflows capital and labor shift out of the manufacturing sector, especially if the inflows begin during a period of low international interest rates. However, accumulating reserves during the period in which capital inflows are unusually large appears to limit the extent of labor reallocation. Larger credit booms and capital inflows during the episodes we identify increase the probability of a sudden stop occurring during or immediately after the episode. In addition, the severity of the post-inflows recession is significantly related to the extent of labor reallocation during the boom, with a stronger shift of labor out of manufacturing during the inflows episode associated with a sharper contraction in the aftermath of the episode. KW - Foreign Exchange F31 KW - Current Account Adjustment; Short-term Capital Movements F32 KW - Open Economy Macroeconomics F41 KW - One, Two, and Multisector Growth Models O41 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1132.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495232&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1132.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AU - Sommer, Kamila AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A Historical Welfare Analysis of Social Security: Whom Did the Program Benefit? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-92 Y1 - 2015/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531375; Keywords: Social Security; Recessions; Great Depression; Overlapping Generations; Publication Type: Working Paper; Update Code: 201511 N2 - A well-established result in the literature is that Social Security tends to reduce steady state welfare in a standard life cycle model. However, less is known about the historical effects of the program on agents who were alive when the program was adopted. In a computational life cycle model that simulates the Great Depression and the enactment of Social Security, this paper quantifies the welfare effects of the program's enactment on the cohorts of agents who experienced it. In contrast to the standard steady state results, we find that the adoption of the original Social Security tended to improve these cohorts' welfare. In particular, we estimate that the original program benefited households alive at the time of the program's adoption with a likelihood of over 80 percent, and increased these agents' welfare by the equivalent of 5.9% of their expected future lifetime consumption. The welfare benefit was particularly large for poorer agents and agents who were near retirement age when the program was enacted. Through a series of counterfactual experiments we demonstrate that the difference between the steady state and transitional welfare effects is primarily driven by a slower adoption of payroll taxes and a quicker adoption of benefit payments during the program's phase-in. Overall, the opposite welfare effects experienced by agents in the steady state versus agents who experienced the program's adoption might offer one explanation for why a program that potentially reduces welfare in the steady state was originally adopted. KW - Intertemporal Household Choice; Life Cycle Models and Saving D91 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Social Security and Public Pensions H55 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015092pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531375&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015092pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liu, Qi AU - Lu, Lei AU - Sun, Bo AU - Yan, Hongjun AD - Unlisted AD - Unlisted AD - Board of Governors of the Federal Reserve System (U.S.) AD - Unlisted T1 - A Model of Anomaly Discovery PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1128 Y1 - 2015/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495230; Keywords: Anomaly; Arbitrage; Discovery; Arbitrageur-based asset pricing; Publication Type: Working Paper; Update Code: 201505 N2 - We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and 10 for that anomaly. Using data for 12 well-known anomalies, we find strong evidence consistent with this prediction. Moreover, the correlation between deciles 1 and 10 of an anomaly becomes correlated with the aggregate hedge-fund wealth volatility after the anomaly is discovered. Our model also sheds light on how to distinguish between risk- and mispricing-based anomalies. KW - Portfolio Choice; Investment Decisions G11 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1128.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495230&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1128.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizawa, Naoki AU - Kim, You Suk AD - University of Minnesota AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Advertising and Risk Selection in Health Insurance Markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-101 Y1 - 2015/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531359; Keywords: Advertising; Health insurance; Medicare; Risk selection; Publication Type: Working Paper; Update Code: 201511 N2 - We study impacts of advertising as a channel of risk selection in Medicare Advantage. We show evidence that both mass and direct mail advertising are targeted to achieve risk selection. We develop and estimate an equilibrium model of Medicare Advantage with advertising to understand its equilibrium impacts. We find that advertising attracts the healthy more than the unhealthy. Moreover, shutting down advertising increases premiums by up to 40% for insurers that advertised by worsening their risk pools, which further reduces the demand of the unhealthy. We argue that risk selection may make consumers better off by improving insurers' risk pools. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015101pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531359&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015101pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kandrac, John AU - Schlusche, Bernd AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An agency problem in the MBS market and the solicited refinancing channel of large-scale asset purchases PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-27 Y1 - 2015/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495227; Keywords: Federal Reserve; LSAP; Monetary policy; QE; mortgage; mortgage-backed securities; prepayment rates; Publication Type: Working Paper; Update Code: 201505 N2 - In this paper, we document that mortgage-backed securities (MBS) held by the Federal Reserve exhibit faster principal prepayment rates than MBS held by the rest of the market. Next, we show that this stylized fact persists even when controlling for factors that affect prepayment behavior, and thus determine the MBS that are delivered to the Federal Reserve. After ruling out several potential explanations for this result, we provide evidence that points to an agency problem in the secondary market for MBS, which has not previously been documented, as the most likely explanation for the abnormal prepayment behavior of Federal Reserve-held MBS. This agency problem--a key feature of the MBS market--arises when originators of mortgages that underlie the MBS no longer share in the prepayment risk of the securities, thereby increasing incentives to solicit refinancing activity. Therefore, Federal Reserve MBS holdings acquired from originators as a result of large-scale asset purchases can help stimulate economic activity through a so-called "solicited refinancing channel." Finally, we provide an estimate of the additional refinancing activity resulting from the solicited refinancing channel in the years after the Federal Reserve's first MBS purchase program, demonstrating that this channel conveyed savings on monthly mortgage payments to homeowners. KW - Monetary Policy E52 KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Production Analysis and Firm Location: Government Policy R38 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015027pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495227&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015027pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barbarino, Alessandro AU - Bura, Efstathia AD - Board of Governors of the Federal Reserve System (U.S.) AD - George Washington University T1 - Forecasting with Sufficient Dimension Reductions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-74 Y1 - 2015/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517250; Keywords: Diffusion Index; Dimension Reduction; Factor Models; Forecasting; Partial Least Squares; Principal Components; Publication Type: Working Paper; Update Code: 201509 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Forecasting Models; Simulation Methods C53 KW - Large Data Sets: Modeling and Analysis C55 KW - General Aggregative Models: Forecasting and Simulation: Models and Applications E17 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015074pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517250&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015074pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuetz, Jenny AU - Spader, Jonathan AU - Cortes, Alvaro AD - Board of Governors of the Federal Reserve System (U.S.) AD - Abt Associates, Inc AD - Abt Associates, Inc. T1 - Have Distressed Neighborhoods Recovered? Evidence from the Neighborhood Stabilization Program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-16 Y1 - 2015/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495218; Keywords: Foreclosures; Neighborhood revitalization; economic recovery; federal housing policy; housing markets; Publication Type: Working Paper; Update Code: 201505 N2 - During the 2007-2009 housing crisis, concentrations of foreclosed and vacant properties created severe blight in many cities and neighborhoods. The federal Neighborhood Stabilization Program (NSP) was established to help mitigate distress in hard-hit areas by funding the rehabilitation or demolition of troubled properties. This paper analyzes housing market changes in areas that received investments during the second round of NSP funding, focusing on seven large urban counties. Grantees used NSP to invest in census tracts with high rates of distressed and vacancy properties, and tracts that had previously received other housing subsidies. The median NSP tract received quite sparse investment, relative to the overall housing stock and the initial levels of distress. Analysis of housing market outcomes indicates the recovery has been uneven across counties and neighborhoods. In a few counties, there is some evidence that NSP2 activity is correlated with improved housing outcomes. KW - Publicly Provided Goods: General H40 KW - State and Local Government; Intergovernmental Relations: General H70 KW - General Regional Economics (includes Regional Data) R10 KW - Real Estate Markets, Spatial Production Analysis, and Firm Location: General R30 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015016pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495218&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015016pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anderson, Alyssa G. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Ambiguity in Securitization Markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-33 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508974; Keywords: Structured finance; ambiguity aversion; market freezes; Publication Type: Working Paper; Update Code: 201507 N2 - During the financial crisis of 2008, origination and trading in asset-backed securities markets dropped dramatically. I present a model with ambiguity averse investors to explain how such a market freeze could occur and to investigate how ambiguity affects origination and securitization decisions. The model captures many features of the crisis, including market freezes and fire sales, as well as the timing and duration of the freeze. The presence of ambiguity also reduces real economic activity. Lastly, I consider the differing implications of ambiguity and risk, as well as the role of policies that reduce ambiguity during market freezes. KW - Financial Markets and the Macroeconomy E44 KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015033pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508974&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015033pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dettling, Lisa J. AU - Goodman, Sarena AU - Smith, Jonathan AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - College Board T1 - Every Little Bit Counts: The Impact of High-speed Internet on the Transition to College PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-108 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549602; Keywords: Broadband; College Choice; Undermatch; Publication Type: Working Paper; Update Code: 201602 N2 - This paper investigates the effects of high-speed Internet on students' college application decisions. We link the diffusion of zip code-level residential broadband Internet to millions of PSAT and SAT takers' college testing and application outcomes and find that students with access to high-speed Internet in their junior year of high school perform better on the SAT and apply to a higher number and more expansive set of colleges. Effects appear to be concentrated among higher-SES students, indicating that while, on average, high-speed Internet improved students' postsecondary outcomes, it may have increased pre-existing inequities by primarily benefiting those with more resources. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015108pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549602&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015108pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stella, Andrea AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Firm Dynamics and the Origins of Aggregate Fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1133 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508993; Keywords: Business Cycles; Firm Dynamics; Granular Residual; Dynamic Factor Models; Publication Type: Working Paper; Update Code: 201507 N2 - What drives aggregate fluctuations? I test the granular hypothesis, according to which the largest firms in the economy drive aggregate dynamics, by estimating a dynamic factor model with firm-level data and controlling for the propagation of firm-level shocks using multi-firm growth model. Each time series, the growth rate of sales of a specific firm, is decomposed in an unobserved common macroeconomic component and in a residual that I interpret as an idiosyncratic firm-level component. The empirical results suggest that, once I control for aggregate shocks, idiosyncratic shocks do not explain much of U.S. GDP growth fluctuations. KW - Multiple or Simultaneous Equation Models; Multiple Variables: General C30 KW - Production and Organizations: General D20 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1133.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508993&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1133.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AU - Olmstead-Rumsey, Jane AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How Effective are Macroprudential Policies? An Empirical Investigation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1136 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508990; Keywords: Bank credit; house prices; macroprudential policy; dynamic panel data model; Publication Type: Working Paper; Update Code: 201507 N2 - In recent years, policymakers have generally relied on macroprudential policies to address financial stability concerns. However, our understanding of these policies and their efficacy is limited. In this paper, we construct a novel index of domestic macroprudential policies in 57 advanced and emerging economies covering the period from 2000:Q1 to 2013:Q4, with tightenings and easings recorded separately. The effectiveness of these policies in curbing bank credit growth and house price inflation is then assessed using a dynamic panel data model. The main findings of the paper are: (1) Macroprudential policies have been used far more actively after the global financial crisis in both advanced and emerging market economies. (2) These policies have primarily targeted the housing sector, especially in the advanced economies. (3) Macroprudential policies are usually changed in tandem with bank reserve requirements, capital flow management measures, and monetary policy. (4) Empirical analysis suggests that macroprudential tightening is associated with lower bank credit growth, housing credit growth, and house price inflation. (5) Targeted policies--for example, those specifically intended to limit the growth of housing credit--seem to be more effective. (6) In emerging economies, capital inflow restrictions targeting the banking sector are also associated with lower credit growth, although portfolio flow restrictions are not. KW - Business Fluctuations; Cycles E32 KW - Open Economy Macroeconomics F41 KW - International Business Cycles F44 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1136.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508990&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1136.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilbert, Thomas AU - Scotti, Chiara AU - Strasser, Georg AU - Vega, Clara AD - Foster School of Business AD - Board of Governors of the Federal Reserve System (U.S.) AD - Boston College AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-46 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508985; Keywords: Macroeconomic announcements; central bank policy; coordination role of public information; learning; macroeconomic forecasting; price discovery; Publication Type: Working Paper; Update Code: 201507 N2 - The literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement, which we define as the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate. Using the same nowcasting framework, we then decompose this intrinsic value into the announcement's characteristics: its relation to fundamentals, timing, and revision noise. We find that in the 1998-2013 period, a significant fraction of the variation in the announcements' price impact on the Treasury bond futures market can be explained by differences in intrinsic value. Furthermore, our novel measure of timing explains significantly more of this variation than the announcements' relation to fundamentals, reporting lag (which previous studies have used as a measure of timing), or revision noise. KW - Financial Markets and the Macroeconomy E44 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015046pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508985&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015046pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ungerer, Christoph AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Monetary Policy, Hot Housing Markets and Leverage PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-48 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508977; Keywords: Credit frictions; housing market; monetary policy; search frictions; Publication Type: Working Paper; Update Code: 201507 N2 - Expansionary monetary policy can increase household leverage by stimulating housing liquidity. Low mortgage rates encourage buyers to enter the housing market, raising the speed at which properties can be sold. Because lenders can resell seized foreclosure inventory at lower cost in such a hot housing market, ex-ante they are comfortable financing a larger fraction of the house purchase. Consistent with this mechanism, this study documents empirically that both the housing sales rate and loan-to-value ratios increase after expansionary monetary policy. Calibrating a New Keynesian macroeconomic model to fit the response of housing liquidity to monetary policy, the interaction between credit frictions and housing market search frictions generates endogenous movements in the loan-to-value ratio which amplify the economy's response to monetary policy. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Monetary Policy E52 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand R21 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015048pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508977&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015048pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Taxing Capital? The Importance of How Human Capital is Accumulated PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-117 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549610; Keywords: Optimal Taxation; Capital Taxation; Human Capital; Publication Type: Working Paper; Update Code: 201602 N2 - This paper considers the impact of how human capital is accumulated on optimal capital tax policy in a life cycle model. In particular, it compares the optimal capital tax when human capital is accumulated exogenously, endogenously through learning-by-doing, and endogenously through learning-or-doing. Previous work demonstrates that in a simple two generation life cycle model with exogenous human capital accumulation, if the utility function is separable and homothetic in each consumption and labor, then the government has no motive to condition taxes on age or tax capital. In contrast, this paper demonstrates analytically that adding either form of endogenous human capital accumulation creates a motive for the government to use age-dependent labor income taxes. Moreover, if the government cannot condition taxes on age, then a capital tax can be optimal in order to mimic such taxes. This paper quantitatively explores the strength of this channel and finds that, including human capital accumulation with learning-by-doing, as opposed to exogenously, causes the optimal capital tax to increase by between 7.3 and 14.5 percentage points. In contrast, introducing learning-or-doing causes a much smaller increase in the optimal capital tax of between 0.7 and 3.7 percentage points. Taken as a whole, this paper finds that the specific formulation by which human capital is accumulated can have notable implications on the optimal capital tax. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - Fiscal Policy E62 KW - Taxation and Subsidies: Efficiency; Optimal Taxation H21 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015117pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549610&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015117pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tian, Mary AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Tradability of Output, Business Cycles, and Asset Prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-3 Y1 - 2015/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495211; Keywords: Asset returns; cyclicality; tradability; Publication Type: Working Paper; Update Code: 201505 N2 - I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns. There are three novel empirical findings: (1) firms with higher tradability have more cyclical asset returns; (2) firms with higher tradability have more cyclical earnings growth; (3) returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict the real exchange rate. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles driven by endowment shocks. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015003pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495211&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015003pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Batty, Michael M. AU - Ippolito, Benedic N. AD - Board of Governors of the Federal Reserve System (U.S.) AD - American Enterprise Institute T1 - Financial Incentives, Hospital Care, and Health Outcomes: Evidence from Fair Pricing Laws PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-107 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549605; Keywords: Health care; insurance; public economics; Publication Type: Working Paper; Update Code: 201602 N2 - It is often assumed that financial incentives of healthcare providers affect the care they deliver, but this issue is surprisingly difficult to study. The recent enactment of state laws that limit how much hospitals can charge uninsured patients provide a unique opportunity. Using an event study framework and panel data from the Nationwide Inpatient Sample, we examine whether these regulations lead to reductions in the amount and quality of care given to uninsured patients. We find that the introduction of a fair pricing law leads to a seven to nine percent reduction in the average length of hospital stay for uninsured patients, with no corresponding change for insured patients. These care reductions are not accompanied by worsening quality of inpatient care. Overall, our results provide strong evidence that hospitals actively alter their behavior in response to financial incentives, and are consistent with the laws promoting a shift towards more efficient care delivery. The findings also add to the growing evidence that hospitals can, and do, treat patients differently based upon insurance status. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015107pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549605&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015107pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Iacoviello, Matteo AU - Covas, Francisco AU - Driscoll, John C. AU - Kiley, Michael T. AU - Jahan-Parvar, Mohammad AU - Queralto, Albert AU - Sim, Jae W. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Macroeconomic Effects of Banking Sector Losses across Structural Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-44 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508968; Keywords: Bank losses; banks; capital requirements; DSGE models; Publication Type: Working Paper; Update Code: 201507 N2 - The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions. KW - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems E42 KW - Financial Markets and the Macroeconomy E44 KW - Money and Interest Rates: Forecasting and Simulation: Models and Applications E47 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015044pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508968&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015044pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huang, Xin AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-97 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531355; Keywords: Macroeconomic news announcements; realized variance; jumps; disagreement and uncertainty; economic derivatives; financial systemic risk; Publication Type: Working Paper; Update Code: 201511 N2 - This paper studies financial market volatility and jump responses to macroeconomic news announcements. Based on two decades of high-frequency data, we finds that there are significantly more jumps on news days than on no-news days, with the bond market being more responsive than the equity market, and nonfarm payroll employment being the most influential news. Both the first moment of news surprises and the second moments of disagreement and uncertainty affect financial market responses, with their impact significance changing over different market and response types. Market responses to news vary with economic situations, financial systemic risk and the zero-lower-bound policy. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015097pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531355&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015097pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Foley-Fisher, Nathan AU - Narajabad, Borghan N. AU - Verani, Stephane AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Self-fulfilling Runs: Evidence from the U.S. Life Insurance Industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-32 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508980; Keywords: Shadow banking; funding agreement-backed securities; life insurance companies; self-fulfilling runs; Publication Type: Working Paper; Update Code: 201507 N2 - Is liquidity creation in shadow banking vulnerable to self-fulfilling runs? Investors typically decide to withdraw simultaneously, making it challenging to identify self-fulfilling runs. In this paper, we exploit the contractual structure of funding agreement-backed securities offered by U.S. life insurers to institutional investors. The contracts allow us to obtain variation in investors' expectations about other investors' actions that is plausibly orthogonal to changes in fundamentals. We find that a run on U.S. life insurers during the summer of 2007 was partly due to self-fulfilling expectations. Our findings suggest that other contemporaneous runs in shadow banking by institutional investors may have had a self-fulfilling component. KW - Financial Crises G01 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Insurance; Insurance Companies; Actuarial Studies G22 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015032pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508980&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015032pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fang, Hanming AU - Kim, You Suk AU - Li, Wenli AD - University of Pennsylvania AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of Philadelphia T1 - The Dynamics of Adjustable-Rate Subprime Mortgage Default: A Structural Estimation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-114 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549596; Keywords: Adjustable-Rate Mortgage; Automatic Modification with a Cushion; Default; Loan Modification; Publication Type: Working Paper; Update Code: 201602 N2 - We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs, as well as the housing and labor market conditions were not as important in borrowers' delinquency decisions as in their decisions to pay off their loans. For loans originated in 2006, interest rate resets, housing price declines, and worsening labor market conditions all contributed importantly to their high delinquency rates. Counterfactual policy simulations reveal that even if the Libor rate could be lowered to zero by aggressive traditional monetary policies, it would have a limited effect on reducing the delinquency rates. We find that automatic modification mortgage designs under which the monthly payment or the principal balance of the loans are automatically reduced when housing prices decline can be effective in reducing both delinquency and foreclosure. Importantly, we find that automatic modification mortgages with a cushion, under which the monthly payment or principal balance reductions are triggered only when housing price declines exceed a certain percentage may result in a Pareto improvement in that borrowers and lenders are both made better off than under the baseline, with a lower delinquency and foreclosure rates. Our counterfactual analysis also suggests that limited commitment power on the part of the lenders to loan modification policies may be an important reason for the relatively small rate of modifications observed during the housing crisis. KW - Consumer Economics: Empirical Analysis D12 KW - Household Saving; Personal Finance D14 KW - Financial Institutions and Services: General G20 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Bankruptcy; Liquidation G33 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015114pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549596&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015114pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Park, Yang-Ho AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-71 Y1 - 2015/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517240; Keywords: VIX options; VIX futures; jump-diffusion; stochastic volatility; volatility smile; Publication Type: Working Paper; Update Code: 201509 N2 - This paper proposes a new collection of affine jump-diffusion models for the valuation of VIX derivatives. The models have two distinctive features. First, we allow for a positive correlation between changes in the VIX and in its stochastic volatility to accommodate asymmetric volatility. Second, upward and downward jumps in the VIX are separately modeled to accommodate the possibility that investors react differently to good and bad surprises. Using the VIX futures and options data from July 2006 through January 2013, we find conclusive evidence for the benefits of including both asymmetric volatility and upward jumps in models of VIX derivatives pricing. We do not, however, find evidence supporting downward jumps. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015071pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517240&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015071pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ferrante, Francesco AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-21 Y1 - 2015/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495219; Keywords: Bank Runs; Financial Frictions; Shadow Banking; Unconventional Monetary Policy; Publication Type: Working Paper; Update Code: 201505 N2 - I develop a macroeconomic model with a financial sector, in which banks can finance risky projects (loans) and can affect their quality by exerting a costly screening effort. Informational frictions regarding the observability of loan characteristics limit the amount of external funds that banks can raise. In this framework I consider two possible types of financial intermediation, traditional banking (TB) and shadow banking (SB), differing in the level of diversification across projects. In particular, shadow banks, by pooling different loans, improve on the diversification of their idiosyncratic risk and increase the marketability of their assets. Due to their ability to pledge a larger share of the return on their projects, shadow banks will have a higher endogenous leverage compared to traditional banks, despite choosing a lower screening level. As a result, on the one hand, the introduction of SB will imply a higher amount of capital intermediated. On the other hand it will make the economy more fragile via three channels. First, by being highly leveraged and more exposed to risky projects, shadow banks will amplify exogenous negative shocks. Second, during a recession, the quality of projects intermediated by shadow banks will endogenously deteriorate even further, causing a slower recovery of the financial sector. A final source of instability is that the SB-system will be vulnerable to runs. When a run occurs, shadow banks will have to sell their assets to traditional banks, and this fire sale, because of the limited leverage capacity of the TB-system, will depress asset prices, making the run self-fulfilling and negatively affecting investment. In this framework I study how central bank credit intermediation helps reduce the impact of a crisis and the likelihood of a run. KW - Financial Markets and the Macroeconomy E44 KW - Central Banks and Their Policies E58 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 KW - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies G24 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015021pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495219&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015021pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von Beschwitz, Bastian AU - Massa, Massimo AD - Board of Governors of the Federal Reserve System (U.S.) AD - INSEAD T1 - Biased Shorts: Short sellers' Disposition Effect and Limits to Arbitrage PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1147 Y1 - 2015/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531378; Keywords: Short selling; Disposition effect; Behavioral finance; Publication Type: Working Paper; Update Code: 201511 N2 - We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the closing of short positions. Consistent with the disposition effect, short sellers are more likely to close a position the higher their capital gains. Furthermore, stocks with high short sale capital gains experience negative returns, suggesting that their disposition effect has an effect on stock prices. A trading strategy based on this finding achieves significant three-factor alphas. Overall, short sellers' behavioral biases limit their ability to arbitrage away the mispricing caused by the disposition effect of other market participants. L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1147.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531378&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1147.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Schoenle, Raphael AU - Sim, Jae W. AU - Zakrajsek, Egon AD - Boston University AD - Brandeis University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Inflation Dynamics During the Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-12 Y1 - 2015/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495205; Publication Type: Working Paper; Update Code: 201505 N2 - Firms with limited internal liquidity significantly increased prices in 2008, while their liquidity unconstrained counterparts slashed prices. Differences in the firms' price-setting behavior were concentrated in sectors likely characterized by customer markets. We develop a model, in which firms face financial frictions, while setting prices in a customer-markets setting. Financial distortions create an incentive for firms to raise prices in response to adverse demand or financial shocks. These results reflect the firms' reaction to preserve internal liquidity and avoid accessing external finance, factors that strengthen the countercyclical behavior of markups and attenuate the response of inflation to fluctuations in output. KW - Price Level; Inflation; Deflation E31 KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Money Supply; Credit; Money Multipliers E51 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015012pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015012pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobs, Lindsay AD - Unlisted T1 - Occupational Choice, Retirement, and the Effects of Disability Insurance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2016-051 Y1 - 2015/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1586846; Keywords: Occupational choice; Disability; Life-cycle modeling; Retirement; Publication Type: Working Paper; Update Code: 201608 N2 - There is much variation in the physical requirements across occupations, giving rise to great differences in later-life productivity, disability risk, and the value of Social Security Disability Insurance (SSDI). In this paper, I look at how such differences across occupations affect initial career choice as well as the extent to which SSDI, which insures shocks to productivity due to disability, prompts more people to choose physically intense occupations. Using data from the Health and Retirement Study (HRS) and the Current Population Survey (CPS), I estimate a dynamic model of occupational choice and retirement with heterogeneous agents and equilibrium effects on earnings across occupations. I document the differences between blue-collar and white-collar occupations in the effects of declining health and disability on productivity, which affects labor supply in later life and, in the context of a life-cycle model, influences the occupation decision. Through counterfactual exercises, I show that the additional disability risk in blue-collar jobs relative to white-collar jobs is equivalent to an additional six percentage point reduction in lifetime consumption and that the absence of SSDI, which insures some of this risk, would be equivalent to, respectively, a twelve and seven percent reduction in consumption for those in blue- and white-collar jobs. Furthermore, I find that the presence of SSDI results in three percent more individuals choosing blue-collar occupations, which is comparable to the effect on occupation selection resulting from an eight-percent increase in blue-collar earnings. This overall effect, however, masks the importance of the selection of less risk-averse individuals into blue-collar jobs and the equilibrium effects on wages; earnings for the most risk-averse type would have to be nearly fifteen percent greater to choose blue-collar occupations in the absence of SSDI. KW - Fiscal Policies and Behavior of Economic Agents: Household H31 KW - Economics of the Elderly; Economics of the Handicapped; Non-labor Market Discrimination J14 KW - Human Capital; Skills; Occupational Choice; Labor Productivity J24 KW - Retirement; Retirement Policies J26 KW - Computational Techniques; Simulation Modeling C63 L3 - http://www.federalreserve.gov/econresdata/feds/2016/files/2016051pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1586846&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2016/files/2016051pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nielsen, Eric AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Achievement Gap Estimates and Deviations from Cardinal Comparability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-40 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508976; Keywords: Achievement gaps; econometrics; health; education; and welfare; inequalty; measurement; robustness; Publication Type: Working Paper; Update Code: 201507 N2 - This paper assesses the sensitivity of standard empirical methods for measuring group differences in achievement to violations in the cardinal comparability of achievement test scores. The paper defines a distance measure over possible weighting functions (scalings) of test scores. It then constructs worst-case bounds for the bias in the estimated achievement gap (or achievement gap change) that could result from using the observed rather than the true test scale, given that the true and observed scales are no more than a fixed distance from each other. The worst-case weighting functions have simple, closed-form expressions consisting of achievement thresholds, flat regions in which test scores are uninformative, and regions in which the observed test scores are actually cardinally comparable. The paper next estimates these worst-case weighting functions for black/white and high-/low-income achievement gaps and gap changes using data from several commonly employed surveys. The results of this empirical exercise suggest that cross-sectional achievement gap estimates tend to be quite robust to scale misspecification. In contrast, achievement gap change estimates seem to be quite sensitive to the choice of test scale. Standard empirical methods may not robustly identify the sign of the trend in achievement inequality between students from different racial groups and income classes. Furthermore, ordinal methods may be more powerful and will continue to have the correct size when the test scale has been misspecified. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015040pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508976&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015040pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oh, Dong Hwan AU - Patton, Andrew J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Duke University T1 - High-Dimensional Copula-Based Distributions with Mixed Frequency Data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-50 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508967; Keywords: Composite likelihood; forecasting; high frequency data; nonlinear dependence; Publication Type: Working Paper; Update Code: 201507 N2 - This paper proposes a new model for high-dimensional distributions of asset returns that utilizes mixed frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high frequency data to accurately forecast linear dependence, and a new class of copulas designed to capture nonlinear dependence among the resulting uncorrelated, low frequency, residuals. Estimation of the new class of copulas is conducted using composite likelihood, facilitating applications involving hundreds of variables. In- and out-of-sample tests confirm the superiority of the proposed models applied to daily returns on constituents of the S&P 100 index. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Model Construction and Estimation C51 KW - Financial Econometrics C58 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015050pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508967&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015050pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Keys, Benjamin J. AU - Li, Geng AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Chicago AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Information, Contract Design, and Unsecured Credit Supply: Evidence from Credit Card Mailings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-103 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531366; Keywords: Credit supply; information asymmetry; credit cards; mail solicitation; personal bankruptcy; CARD Act; household finance; Publication Type: Working Paper; Update Code: 201511 N2 - How do lenders of unsecured credit use screening and contract design to mitigate the risks of information asymmetry and limited commitment in the absence of collateral? To address this question, we take advantage of a unique dataset of over 200,000 credit card mail solicitations to a representative sample of households over the recent credit cycle--a period that includes the implementation of the CARD Act. We find that while lenders use credit scores as a prominent screening device, they also take into account a wide array of other information on borrowers' credit histories and financial and demographic characteristics. For instance, the likelihood of receiving an offer is sensitive to the exact timing of a prior bankruptcy filing. We also find that credit market conditions affect the marginal information used in lenders' offer decisions, as lenders sharply reduced credit supplied to subprime borrowers during the crisis and in response to the CARD Act. Finally, we document that lenders extend multiple distinct offers to the same consumers over a relatively short period, likely designed such that consumers reveal private information in their choice of contract. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015103pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531366&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015103pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Andrew C. AU - Li, Phillip AD - Board of Governors of the Federal Reserve System (U.S.) AD - Office of the Comptroller of the Currency T1 - Measurement Error in Macroeconomic Data and Economics Research: Data Revisions, Gross Domestic Product, and Gross Domestic Income PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-102 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531358; Keywords: Data Revisions; Data Vintages; Gross Domestic Product; GDP; Gross Domestic Income; GDI; Latent Output; Measurement Error; National Statistics; National Income and Product Accounts; NIPA; Real-Time Data; Publication Type: Working Paper; Update Code: 201511 N2 - We analyze the effect of measurement error in macroeconomic data on economics research using two features of the estimates of latent US output produced by the Bureau of Economic Analysis (BEA). First, we use the fact that the BEA publishes two theoretically identical estimates of latent US output that only differ due to measurement error: the more well-known gross domestic product (GDP), which the BEA constructs using expenditure data, and gross domestic income (GDI), which the BEA constructs using income data. Second, we use BEA revisions to previously published releases of GDP and GDI. Using a sample of 23 published economics papers from top economics journals that utilize GDP as a key component of an estimated model, we assess whether using either revised GDP or GDI instead of GDP in the published paper would change reported results. We find that estimating models using revised GDP generates the same qualitative result as the original paper in all 23 cases. Estimating models using GDI, both with the GDI data originally available to the authors and with revised GDI, instead of GDP generates larger differences in results than those obtained with revised GDP. For 3 of 23 papers (13%), the results we obtain with GDI are qualitatively different than the original published results. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015102pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531358&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015102pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dias, Daniel A. AU - Marques, Carlos Robalo AU - Richmond, Christine AD - Board of Governors of the Federal Reserve System (U.S.) AD - Banco de Portugal AD - International Monetary Fund T1 - Misallocation and Productivity in the Lead Up to the Eurozone Crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1146 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531379; Keywords: Misallocation; wedges; productivity; firm-level data; financial integration; Publication Type: Working Paper; Update Code: 201511 N2 - We use Portuguese firm-level data to investigate whether changes in resource misallocation may have contributed to the poor economic performance of some southern and peripheral European countries leading up to the Eurozone crisis. We extend Hsieh and Klenow's (2009) methodology to include intermediate inputs and consider all sectors of the economy (agriculture, manufacturing, and services). We find that within-industry misallocation almost doubled between 1996 and 2011. Equalizing total factor revenue productivity across firms within an industry could have boosted valued-added 48 percent and 79 percent above actual levels in 1996 and 2011, respectively. This implies that deteriorating allocative efficiency may have shaved around 1.3 percentage points off the annual GDP growth during the 1996-2011 period. Allocative efficiency deterioration, despite being a widespread phenomenon, is significantly higher in the service sector, with 5 industries accounting for 72 percent of the total variation. Capital distortions are the most important source of potential value-added efficiency gains, especially in the service sector, with a relative contribution increasing over time. KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Macroeconomic Analyses of Economic Development O11 KW - One, Two, and Multisector Growth Models O41 KW - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence O47 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1146.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531379&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1146.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AU - Sim, Jae W. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Optimal Monetary and Macroprudential Policies: Gains and Pitfalls in a Model of Financial Intermediation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-78 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531361; Keywords: Bayesian estimation; DSGE models; Macroprudential policy; Monetary policy; Publication Type: Working Paper; Update Code: 201511 N2 - We estimate a quantitative general equilibrium model with nominal rigidities and financial intermediation to examine the interaction of monetary and macroprudential stabilization policies. The estimation procedure uses credit spreads to help identify the role of financial shocks amenable to stabilization via monetary or macroprudential instruments. The estimated model implies that monetary policy should not respond strongly to the credit cycle and can only partially insulate the economy from the distortionary effects of financial frictions/shocks. A counter-cyclical macroprudential instrument can enhance welfare, but faces important implementation challenges. In particular, a Ramsey planner who adjusts a leverage tax in an optimal way can largely insulate the economy from shocks to intermediation, but a simple-rule approach must be cautious not to limit credit expansions associated with efficient investment opportunities. These results demonstrate the importance of considering both optimal Ramsey policies and simpler, but more practical, approaches in an empirically grounded model. KW - Central Banks and Their Policies E58 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 KW - General Financial Markets: Government Policy and Regulation G18 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015078pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531361&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015078pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morais, Bernardo AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Risk, Financial Development and Firm Dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1134 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508991; Keywords: productivity; misallocation; financial frictions; learning; Publication Type: Working Paper; Update Code: 201507 N2 - I document that the average productivity of firms tends to increase, and its variance to decrease, as they age. These two facts combined suggest that managers learn to reduce their mistakes as they operate. I develop a quantitative framework mimicking these dynamics and find that young firms have substantially higher financing costs due to lower and riskier returns. In this scenario, a reduction in the financial development of an economy raises disproportionately the cost of credit of young-productive firms increasing the input misallocation within this subgroup. To test the validity of the theory, I find that the data confirms some novel predictions on a series of firm-level moments. Finally, I show that introducing these two facts allows the model to better explain the relation between financial and economic development. KW - Macroeconomic Analyses of Economic Development O11 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1134.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508991&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1134.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Meisenzahl, Ralf R. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Real Effects of Credit Line Drawdowns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-7 Y1 - 2015/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495201; Keywords: Credit Lines; Financial Crisis; Investment; Liquidity Management; Publication Type: Working Paper; Update Code: 201505 N2 - Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit lines, we study the purpose of drawdowns during the 2007-2009 financial crisis. Our data show that credit line drawdowns had already increased in 2007, precisely when disruptions in bank funding markets began to squeeze aggregate liquidity. Consistent with theory, our results confirm that firms use drawdowns to sustain investment after an idiosyncratic liquidity shock. Using an instrumental variable approach based on institutional features of credit line contracts, we find that a one standard deviation increase in credit line drawdown is associated with an increase of 9 percent in average capital expenditures. Low aggregate liquidity amplifies this effect significantly. During the financial crisis, the effect of drawdowns on investment increased to 16 percent. The effect was even larger for smaller and financially constrained firms. We find only limited evidence, mostly for large and investment grade firms, that drawdowns were used to boost (precautionary) cash holdings during the crisis. KW - Investment; Capital; Intangible Capital; Capacity E22 KW - Financial Crises G01 KW - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G31 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015007pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015007pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dokko, Jane AU - Li, Geng AU - Hayes, Jessica AD - Brookings Institution AD - Board of Governors of the Federal Reserve System (U.S.) AD - UCLA T1 - Credit Scores and Committed Relationships PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-81 Y1 - 2015/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531362; Keywords: Credit scores; Committed relationships; Assortative matching; Household finance; Trustworthiness; Publication Type: Working Paper; Update Code: 201511 N2 - This paper presents novel evidence on the role of credit scores in the dynamics of committed relationships. We document substantial positive assortative matching with respect to credit scores, even when controlling for other socioeconomic and demographic characteristics. As a result, individual-level differences in access to credit are largely preserved at the household level. Moreover, we find that the couples' average level of and the match quality in credit scores, measured at the time of relationship formation, are highly predictive of subsequent separations. This result arises, in part, because initial credit scores and match quality predict subsequent credit usage and financial distress, which in turn are correlated with relationship dissolution. Credit scores and match quality appear predictive of subsequent separations even beyond these credit channels, suggesting that credit scores reveal an individual's relationship skill and level of commitment. We present ancillary evidence supporting the interpretation of this skill as trustworthiness. KW - Household Saving; Personal Finance D14 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Marriage; Marital Dissolution; Family Structure; Domestic Abuse J12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015081pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531362&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015081pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Byrne, David M. AU - Corrado, Carol AD - Board of Governors of the Federal Reserve System (U.S.) AD - The Conference Board T1 - Prices for Communications Equipment: Rewriting the Record PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-69 Y1 - 2015/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517254; Keywords: ICT; communications equipment; price measurement; technical change; wireless technology; communications technology; communications equipment industry; Publication Type: Working Paper; Update Code: 201509 N2 - Communication equipment plays as large a role in high-tech investment as computers, yet prices for communication equipment have not been studied as extensively as prices for computers and electronic components. Prices for satellites, cell phones, and the ground stations for these systems--important components of a nation's communications infrastructure--are difficult to locate in official statistics. This paper develops new price measures for 16 types of communications equipment from 1963 to 2009. Indexes for some (e.g., cellular phone systems) experience declines of 15-20 percent per year, similar to the decline in quality-adjusted prices for computers, and suggest that advances in wireless communications technology have been very rapid. All told, our price index for domestic production falls 4.8 percent per year on average over the time period we study and 9.8 percent per year on average since 1985--nearly 10 percentage points faster than the official U.S. producer price index introduced in that year. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015069pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517254&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015069pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engen, Eric M. AU - Laubach, Thomas AU - Reifschneider, David L. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-5 Y1 - 2015/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495216; Keywords: Monetary policy reaction function; federal funds rate; forward guidance; large-scale asset purchases; zero lower bound; Publication Type: Working Paper; Update Code: 201505 N2 - After reaching the effective lower bound for the federal funds rate in late 2008, the Federal Reserve turned to two unconventional policy tools--quantitative easing and increasingly explicit and forward-leaning guidance for the future path of the federal funds rate--in order to provide additional monetary policy accommodation. We use survey data from the Blue Chip Economic Indicators to infer changes in private-sector perceptions of the implicit interest rate rule that the Federal Reserve would use following liftoff from the effective lower bound. Using our estimates of the changes over time in private expectations for the implicit policy rule, and estimates of the effects of the Federal Reserve's quantitative easing programs on term premiums derived from other studies, we simulate the FRB/US model to assess the actual economic stimulus provided by unconventional policy since early 2009. Our analysis suggests that the net stimulus to real activity and inflation was limited by the gradual nature of the changes in policy expectations and term premium effects, as well as by a persistent belief on the part of the public that the pace of recovery would be much faster than proved to be the case. Our analysis implies that the peak unemployment effect--subtracting 1-1/4 percentage points from the unemployment rate relative to what would have occurred in the absence of the unconventional policy actions--does not occur until early 2015, while the peak inflation effect--adding 1/2 percentage point to the inflation rate--is not anticipated until early 2016. KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015005pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495216&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015005pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doniger, Cynthia L. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Wage Dispersion with Heterogeneous Wage Contracts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-23 Y1 - 2015/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495214; Keywords: Labor supply and demand; Market structure and pricing; Wages and compensation; Publication Type: Working Paper; Update Code: 201505 N2 - I study a labor market in which identical workers search on- and off-the-job and heterogeneous firms employ using either posted wages or wage contracts contingent on outside options. Firm level costs for contingent contracts generate a separating equilibrium in which less productive firms post wages. The model with heterogeneous contracts can achieve wage dispersion, labor share, employment transitions, and flow value of unemployment that are simultaneously consistent with empirical observations even when most firms post wages. Using German employee-level administrative data, I estimate roughly 70 percent of firms post wages and employ nearly 50 percent of workers under such contracts. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015023pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495214&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015023pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bognanni, Mark AU - Herbst, Edward AD - Federal Reserve Bank of Cleveland AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-116 Y1 - 2015/// SP - 56 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549593; Keywords: Bayesian Analysis; Regime-Switching Models; Sequential Monte Carlo; Vector Autoregressions; Publication Type: Working Paper; Update Code: 201602 N2 - Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC) estimators accurately estimate Bayesian MS-VAR posteriors. Relative to multi-step, model-specific MCMC routines, SMC has the advantages of generality, parallelizability, and freedom from reliance on particular analytical relationships between prior and likelihood. For our second contribution, we use SMC's flexibility to demonstrate that the choice of prior drives the key empirical finding of Sims, Waggoner, and Zha (2008) as much as does the data. KW - Bayesian Analysis: General C11 KW - Methodological Issues: General C18 KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Model Evaluation, Validation, and Selection C52 KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E30 KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015116pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549593&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015116pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, James AU - Molloy, Raven S. AU - Zarutskie, Rebecca AD - Amherst Holdings, LLC AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Large-Scale Buy-to-Rent Investors in the Single-Family Housing Market: The Emergence of a New Asset Class? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-84 Y1 - 2015/// SP - 56 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531372; Keywords: Institutional investors; buy-to-rent; ownership structure; real estate investors; rental housing; securitization; single-family rental; Publication Type: Working Paper; Update Code: 201511 N2 - In 2012, several large firms began purchasing single-family homes with the stated intention of creating large portfolios of rental property. We present the first systematic evidence on how this new investor activity differs from that of other investors in the housing market. Many aspects of buy-to-rent investor behavior are consistent with holding property for rent rather than reselling quickly. Additionally, the large size of these investors imparts a few important advantages. In the short run, this investment activity appears to have supported house prices in the areas where it is concentrated. The longer-run impacts remain to be seen. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015084pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531372&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015084pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maksimovic, Vojislav AU - Tham, Mandy AU - Yook, Youngsuk AD - University of Maryland AD - Nanyang Technological University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Demand Shock, Liquidity Management, and Firm Growth during the Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-96 Y1 - 2015/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531368; Keywords: Financial crisis; demand shock; liquidity management; trade credit; inventory; Publication Type: Working Paper; Update Code: 201511 N2 - We examine the transmission of liquidity across the supply chain during the 2007-09 financial crisis, a period of financial market illiquidity, for a sample of unrated public firms with differential demand shocks. We measure differential demand by comparing firms that primarily supply to government customers with those that primarily supply to corporate customers. A difference-in-difference analysis shows little evidence that relatively high demand firms provide more or less liquidity to their own suppliers. The main determinant of the usage of short-term financing is a product market shock. Firms with relatively high demand have higher raw-material inventory and use more trade credit. There is little evidence that the amount of credit usage per unit of raw-material inventory changes with firms' demand shocks. These outcomes are consistent with theories of trade credit that stress the use of trade credit in financing inputs rather than providing efficient monitoring of creditors by suppliers. The lack of liquidity provision to suppliers by high demand firms is likely due to the high opportunity costs they face: We show that such firms become more investment-constrained over the crisis and engage in more acquisition activities once the liquidity crunch dissipates. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015096pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531368&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015096pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brancati, Emanuele AU - Macchiavelli, Marco AD - LUISS Guido Carli AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Role of Dispersed Information in Pricing Default: Evidence from the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-79 Y1 - 2015/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531360; Keywords: CDS Spreads; Coordination Risk; Dispersed Information; Financial Crisis; Global Games; Publication Type: Working Paper; Update Code: 201511 N2 - The recent Global Games literature makes important predictions on how financial crises unfold. We test the empirical relevance of these theories by analyzing how dispersed information affects banks' default risk. We find evidence that precise information acts as a coordination device which reduces creditors' willingness to roll over debt to a bank, thus increasing both its default risk and its vulnerability to changes in expectations. We establish two new results. First, given an unfavorable median forecast, less dispersed beliefs greatly increase default risk; this is consistent with incomplete information models that rely on coordination risk while in contrast with a wide range of models that neglect this component. Second, less dispersion of beliefs amplifies the reaction of default risk to changes in market expectations; importantly, precise information raises banks' vulnerability by more than standard measures of banks' fragility. Taken together, our results suggest that enhanced transparency, by providing agents with more precise information, increases banks' vulnerability to changes in sentiment and raises the default risk of weaker banks. Finally, we address concerns of endogeneity of market expectations by introducing a novel set of instruments. KW - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness D83 KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015079pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531360&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015079pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von Beschwitz, Bastian AU - Chuprinin, Oleg AU - Massa, Massimo AD - Board of Governors of the Federal Reserve System (U.S.) AD - Australian School of Business AD - INSEAD T1 - Why Do Short Sellers Like Qualitative News? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1149 Y1 - 2015/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531383; Publication Type: Working Paper; Update Code: 201511 N2 - Short sellers trade more on days with qualitative news--i.e. news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news thus enabling short sellers to better disguise their informed trades. Natural experiments support our findings. For example, qualitative news has a bigger effect on short sellers' trading after a decrease in liquidity following a stock's deletion from S&P 500 and a lower effect when investor attention is distracted by the Olympic Games. L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1149.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531383&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1149.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grundl, Serafin J. AU - Zhu, Yu AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Leicester T1 - Identification and Estimation of Risk Aversion in First Price Auctions With Unobserved Auction Heterogeneity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-89 Y1 - 2015/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531349; Keywords: Estimation; First Price Auction; Identification; Risk Aversion; Unobserved Heterogeneity; Publication Type: Working Paper; Update Code: 201511 N2 - We extent the point-identification result in Guerre, Perrigne, and Vuong (2009) to environments with one-dimensional unobserved auction heterogeneity. In addition, we also show a robustness result for the case where the exclusion restriction used for point identification is violated: We provide conditions to ensure that the primitives recovered under the violated exclusion restriction still bound the true primitives in this case. We propose a new Sieve Maximum Likelihood Estimator, show its consistency and illustrate its finite sample performance in a Monte Carlo experiment. We investigate the bias in risk aversion estimates if unobserved auction heterogeneity is ignored and explain why the sign of the bias depends on the correlation between the number of bidders and the unobserved auction heterogeneity. In an application to USFS timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015089pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531349&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015089pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Niepmann, Friederike AU - Schmidt-Eisenlohr, Tim AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - International Trade Risk and the Role of Banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1151 Y1 - 2015/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531380; Keywords: Trade finance; multinational banks; risk; letter of credit; Publication Type: Working Paper; Update Code: 201511 N2 - International trade exposes exporters and importers to substantial risks. To mitigate these risks, firms can buy special trade finance products from banks. This paper explores under which conditions and to what extent firms use these products. We find that letters of credit and documentary collections cover about 10 percent of U.S. exports and are preferred for larger transactions, indicating substantial fixed costs. Letters of credit are employed the most for exports to countries with intermediate contract enforcement. Compared to documentary collections, they are used for riskier destinations. We provide a model that rationalizes these empirical findings and discuss implications. KW - International Investment; Long-term Capital Movements F21 KW - Multinational Firms; International Business F23 KW - International Lending and Debt Problems F34 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1151.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531380&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1151.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gissler, Stefan AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Slow capital, fast prices: Shocks to funding liquidity and stock price reversals PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-43 Y1 - 2015/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508971; Keywords: Asset pricing and bonds; banks; credit unions; other financial institutions; economic history; equity; liquidity; Publication Type: Working Paper; Update Code: 201507 N2 - A V-shaped price pattern is often observed in financial markets--in response to a negative shock, prices fall "too far" before reversing course. This paper looks at one particular channel of such patterns: the link between a liquidity provider's balance sheet and asset prices. I examine a well-identified historical case study where a large exogenous shock to a liquidity provider's balance sheet resulted in severe capital constraints. Using evidence from German universal banks, who acted as market makers for selected stocks in the interwar period, I show in a difference-in-differences framework that binding capital constraints made stocks 15-20 percent more likely to be illiquid if they were connected to the distressed liquidity provider. This resulted in V-shaped price patterns during times of illiquidity, where prices declined on average 2.5 percent and reversed over the next one to three days. Investing in these particular stocks would have yielded substantial gains. These findings can be rationalized by a model that incorporates imperfect competition and asymmetric information. Under this model, banks' market-making reduces price volatility (and uninformed traders' reactions to price movements) in normal times whereas in distressed times, the price impact of noise trading is high and leads to sharp price declines that are unrelated to fundamentals. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015043pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508971&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015043pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Verani, Stephane AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Aggregate Consequences of Dynamic Credit Relationships PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-63 Y1 - 2015/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517245; Keywords: Business cycles; financial contracting; financial development; firm dynamics; limited enforcement; private information; Publication Type: Working Paper; Update Code: 201509 N2 - Which financial frictions matter in the aggregate? This paper presents a general equilibrium model in which entrepreneurs finance a firm with a long-term contract. The contract is constrained efficient because firm revenue is costly to monitor and entrepreneurs may default. The cost of monitoring firms and the entrepreneurs' outside options determine the significance of moral hazard relative to limited enforcement for financial contracting. Calibrating the model to the U.S. economy, I find that the relative welfare loss from financial frictions is about 5 percent in terms of aggregate consumption with moral hazard, while it is 1 percent with limited enforcement. Reforms designed to strengthen contract enforcement increase aggregate consumption in the short-run, but their long-run effects are modest when monitoring costs are high. Weak contract enforcement contributes to aggregate fluctuations by amplifying the effect of aggregate technological shocks, but moral hazard does not. KW - Asymmetric and Private Information; Mechanism Design D82 KW - Business Fluctuations; Cycles E32 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 KW - Transactional Relationships; Contracts and Reputation; Networks L14 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015063pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517245&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015063pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lin, Tse-chun AU - Liu, Qi AU - Sun, Bo AD - University of Hong Kong AD - Peking University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Contracting with Feedback PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1143 Y1 - 2015/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517260; Keywords: Feedback effect; CEO compensation; Transaction costs; Reg-SHO Pilot program; Decimalization; Publication Type: Working Paper; Update Code: 201509 N2 - We study the effect of financial market conditions on managerial compensation structure. First, we analyze the optimal pay-for-performance in a model in which corporate decisions and firm value are both endogenous to trading due to feedback from information contained in stock prices. In a less frictional financial market, the improved information content of stock prices helps guide managerial decisions, and this information substitutes out part of the direct incentive provision from compensation contracts. Thus, the optimal pay-for-performance is lowered in response to reductions in market frictions. Second, we test our theory using two quasi-natural experiments and find evidence that is consistent with the theory. Our results indicate that the financial market environment plays an important role in shaping CEO compensation structure. KW - Corporate Finance and Governance: General G30 KW - Compensation Packages; Payment Methods J33 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1143.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517260&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1143.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark S. AU - Sun, Bo AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Risk Choices and Compensation Design PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1130 Y1 - 2015/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495231; Keywords: Compensation; Bad tail risk; Publication Type: Working Paper; Update Code: 201505 N2 - We analyze the impact of bad-tail risks on managerial pay functions, especially the decision to pay managers in stock or in options. In contrast to conventional wisdom, we find that options are often a superior vehicle for limiting managerial incentives to take bad-tail risks while providing incentives to exert effort. Arrangements similar to collar options are able to incent the desired project choice in wider range of circumstances than call options or stock. However, information requirements appear high. We briefly explore alternatives with features similar to maluses and clawbacks, which are a bit like weakening the limited liability of managers. KW - Economics of Contract: Theory D86 KW - Financial Institutions and Services: General G20 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1130.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495231&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1130.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AU - Suarez, Gustavo A. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Exploring the Racial Wealth Gap Using the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-76 Y1 - 2015/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531351; Keywords: Inequality; Racial Wealth Gap; Saving; Publication Type: Working Paper; Update Code: 201511 N2 - This paper studies the racial wealth gap using data from the Federal Reserve's Survey of Consumer Finances from 1989 to 2013. We document that the mean and median wealth (net worth) of white families has consistently been much greater than that of black and Hispanic families, and the gap between them has increased in recent years. We use reduced-form OLS regressions and non-parametric decomposition techniques to assess the contribution to the racial wealth gap of life-cycle patterns, educational attainment, inheritance, attitudes toward saving and investing, and a number of additional factors. Our analysis indicates that the wealth gap between white and Hispanic families can be almost entirely attributed to differences in observable variables. Observable factors account for most of the gap between white and black families, but a substantial unexplained portion remains. Wealth differences between black and white families are completely due to different asset holdings, while wealth differences between black and Hispanic families are mostly a result of different debt holdings. The unexplained portion of the wealth gap, for white families relative to black and Hispanic families, is greater at the top of the wealth distribution. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015076pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531351&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015076pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grishchenko, Olesya V. AU - Song, Zhaogang AU - Zhou, Hao AD - Board of Governors of the Federal Reserve System (U.S.) AD - John Hopkins Carey School of Business AD - PBC School of Finance, Tsinghua University T1 - Term Structure of Interest Rates with Short-run and Long-run Risks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-95 Y1 - 2015/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531374; Keywords: Long-run risk; economic uncertainty; term structure of interest rates; bond risk premium; variance risk premium; predictability; interest rate derivatives; Publication Type: Working Paper; Update Code: 201511 N2 - Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model offers two important insights. First, our model matches well the post-1990 nominal upward-sloping U.S. Treasury yield curve. Second, consistent with our model's implication, variance risk premium based on the U.S. interest rate derivatives data emerges as a strong predictor for short-horizon Treasury excess returns, above and beyond the predictive power of other popular factors. In the model equilibrium, the variance risk premium is related to the short-run risks in the economy, while standard forward-rate-based factors are associated with long-run risks in the economy. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015095pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531374&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015095pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - Kamin, Steven B. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Corporate Saving Glut in the Aftermath of the Global Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1150 Y1 - 2015/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531384; Keywords: Investment; Corporate Saving; Corporate Balance Sheets; Publication Type: Working Paper; Update Code: 201511 N2 - We examine the increase in the net lending (saving minus investment) of nonfinancial corporations in the years preceding and especially following the Global Financial Crisis (GFC). We consider whether this increase in net lending is an endogenous reflection of the current weak pace of growth or an outcome of other factors, such as firms' desire to cut investment and hoard assets, and thus an exogenous drag on growth. Looking at G7 economies, we find that the fall in corporate investment during the GFC was in line with historical norms, given the path of GDP growth, interest rates, profits, and other relevant determinants. However, we find that investment declined from a surprisingly weak starting point, as corporate investment in many of the G7 economies started falling below our models' predictions in the years before the GFC. Moreover, corporate payouts to investors in the form of dividends and equity buybacks have trended up over the past 1-1/2 decades, inconsistent with the view that cautious firms were cutting back on investment spending to strengthen their balance sheets. Identifying the causes of the rise in corporate net lending and declines in investment rates starting in the years before the GFC should be an important focus of future research. L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1150.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531384&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1150.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nielsen, Eric AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Income-Achievement Gap and Adult Outcome Inequality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-41 Y1 - 2015/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508989; Keywords: Achievement inequality; anchoring; human capital; measurement of inequality; ordinal statistics; Publication Type: Working Paper; Update Code: 201507 N2 - This paper discusses various methods for assessing group differences in academic achievement using only the ordinal content of achievement test scores. Researchers and policymakers frequently draw conclusions about achievement differences between various populations using methods that rely on the cardinal comparability of test scores. This paper shows that such methods can lead to erroneous conclusions in an important application: measuring changes over time in the achievement gap between youth from high- and low-income households. Commonly-employed, cardinal methods suggest that this "income-achievement gap" did not change between the National Longitudinal Surveys of Youth (NLSY) 1979 and 1997 surveys. In contrast, ordinal methods show that this gap narrowed substantially for reading achievement and may have narrowed for math achievement as well. In fact, any weighting scheme that places more value on higher test scores must conclude that the reading income-achievement gap decreased between these two surveys. The situation for math achievement is more complex, but low-income students in the middle and high deciles of the low-income math achievement distribution unambiguously gained relative to their high-income peers. Furthermore, an anchoring exercise suggests that the narrowing of the income-achievement gap corresponds to an economically significant convergence in lifetime labor wealth and school completion rates for youth from high- and low-income backgrounds. KW - Semiparametric and Nonparametric Methods: General C14 KW - Methodological Issues: General C18 KW - Analysis of Education I21 KW - Education and Inequality I24 KW - Human Capital; Skills; Occupational Choice; Labor Productivity J24 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015041pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508989&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015041pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bekaert, Geert AU - Engstrom, Eric AD - Columbia University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-53 Y1 - 2015/// SP - 62 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508984; Keywords: VIX; equity premium; habit; risk aversion; skewness; Publication Type: Working Paper; Update Code: 201507 N2 - We introduce a "bad environment-good environment" (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices, and their comovements with the macroeconomic outlook. In particular, when option implied volatility is high, as measured for instance by the VIX index, the distribution of consumption growth is more negatively skewed. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015053pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508984&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015053pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AU - Henriques, Alice M. AU - Krimmel, Jacob AU - Sabelhaus, John AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Measuring Income and Wealth at the Top Using Administrative and Survey Data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-30 Y1 - 2015/// SP - 65 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495206; Keywords: Administrative data; survey data; top income shares; top wealth shares; Publication Type: Working Paper; Update Code: 201505 N2 - Administrative tax data indicate that U.S. top income and wealth shares are substantial and increasing rapidly (Piketty and Saez 2003, Saez and Zucman 2014). A key reason for using administrative data to measure top shares is to overcome the under-representation of families at the very top that plagues most household surveys. However, using tax records alone restricts the unit of analysis for measuring economic resources, limits the concepts of income and wealth being measured, and imposes a rigid correlation between income and wealth. The Survey of Consumer Finances (SCF) solves the under-representation problem by combining administrative and survey data (Bricker et al, 2014). Administrative records are used to select the SCF sample and verify that high-end families are appropriately represented, and the survey is designed to measure comprehensive concepts of income and wealth at the family level. The SCF shows high and rising top income and wealth shares, as in the administrative tax data. However, unadjusted, the levels and growth based on administrative tax data alone appear to be substantially larger. By constraining the SCF to be conceptually comparable, we reconcile the differences, and show the extent to which restrictions and rigidities needed to estimate top income and wealth shares in the administrative data bias up levels and growth rates. KW - Personal Income, Wealth, and Their Distributions D31 KW - Equity, Justice, Inequality, and Other Normative Criteria and Measurement D63 KW - Taxation, Subsidies, and Revenue: General H20 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015030pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495206&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015030pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Javed I. AU - Anderson, Christopher W. AU - Zarutskie, Rebecca AD - Board of Governors of the Federal Reserve System (U.S.) AD - Harvard University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Are the Borrowing Costs of Large Financial Firms Unusual? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-24 Y1 - 2015/// SP - 66 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495222; Keywords: Borrowing costs; credit default swaps; financial industry; implicit government guarantee; size effect; Too-Big-to-Fail; Publication Type: Working Paper; Update Code: 201505 N2 - Estimates of investor expectations of government support of large financial firms are often based on large financial firms' lower borrowing costs relative to smaller financial firms. Using pricing data on credit default swaps (CDS) and corporate bonds over the period 2004 to 2013, however, we find that the CDS and bond spreads of financial firms are no more sensitive to borrower size than the spreads of non-financial firms. Outside of the financial crisis period, spreads are more sensitive to borrower size in several non-financial industries. We find that size-related differences in spreads are partially driven by higher liquidity and recovery rates of larger borrowers. Prior to the financial crisis, we also find that financial firms exhibited generally lower spreads that were less sensitive to size than spreads for several other industries. Our results suggest that estimates of implicit government guarantees to financial firms may overemphasize size-related borrowing cost differentials. However, our analysis also suggests that, prior to the financial crisis, investor expectations of government support, or generally reduced risk perceptions, may have reduced borrowing costs for the financial industry, as a whole. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Insurance; Insurance Companies; Actuarial Studies G22 KW - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies G24 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015024pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495222&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015024pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feunou, Bruno AU - Jahan-Parvar, Mohammad AU - Okou, Cedric AD - Bank of Canada AD - Board of Governors of the Federal Reserve System (U.S.) AD - UQAM T1 - Downside Variance Risk Premium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-20 Y1 - 2015/// SP - 66 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495204; Keywords: Downside variance risk premium; realized volatility; risk-neutral volatility; skewness risk premium; upside variance risk premium; Publication Type: Working Paper; Update Code: 201505 N2 - We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor with significant prediction power for aggregate excess returns. Our empirical investigation highlights the positive and significant link between the downside variance risk premium and the equity premium, as well as a positive and significant relation between the skewness risk premium and the equity premium. Finally, we document the fact that the skewness risk premium fills the time gap between one quarter ahead predictability, delivered by the variance risk premium as a short term predictor of excess returns and traditional long term predictors such as price-dividend or price-earning ratios. Our results are supported by a simple equilibrium consumption-based asset pricing model. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015020pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015020pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dettling, Lisa J. AU - Devlin-Foltz, Sebastian AU - Krimmel, Jacob AU - Pack, Sarah AU - Thompson, Jeffrey P. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Comparing Micro and Macro Sources for Household Accounts in the United States: Evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-86 Y1 - 2015/// SP - 67 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531364; Keywords: Income; Spending; Survey of Consumer Finances; Wealth; Publication Type: Working Paper; Update Code: 201511 N2 - Household income, spending, and net worth are key inputs in macroeconomic forecasting and economic research. Macro-level data sources are often used to measure household accounts, but lack important information about heterogeneity across different types of households that can be found in micro-level data sources. This paper compares aggregates computed based on one micro-level data source--the Survey of Consumer Finances (SCF)--with macro-level sources of information on household accounts. We find that on most measures, aggregates computed from the SCF line up well with macro-level data sources once we construct comparable series. Our results imply that researchers and policy makers can be confident in making macroeconomic inferences from household-level surveys like the SCF. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015086pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531364&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015086pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cull, Robert AU - Li, Wei AU - Sun, Bo AU - Xu, Lixin Colin AD - Unlisted AD - Unlisted AD - Board of Governors of the Federal Reserve System (U.S.) AD - Unlisted T1 - Government Connections and Financial Constraints: Evidence from a Large Representative Sample of Chinese Firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1129 Y1 - 2015/// SP - 68 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495233; Keywords: Financial constraints; investment; political connections; firm size; China; capital allocation; invest cash flow sensitivity; Publication Type: Working Paper; Update Code: 201505 N2 - We examine the role of firms' government connections, defined by government intervention in CEO appointment and the status of state ownership, in determining the severity of financial constraints faced by Chinese firms. We demonstrate that government connections are associated with substantially less severe financial constraints (i.e., less reliance on internal cash flows to fund investment), and that the sensitivity of investment to internal cash flows is higher for firms that report greater obstacles to obtaining external funds. We also find that those large non-state firms with weak government connections, likely the engine for innovation in the coming years in China, are especially financially constrained, due perhaps to the formidable hold that their state rivals have on financial resources after the 'grabbing-the-big-and-letting-go-the-small' privatization program in China. Our empirical results suggest that government connections play an important role in explaining Chinese firms' financing conditions, and provide further evidence on the nature of the misallocation of credit by China's dominant state-owned banks. KW - General Financial Markets: Government Policy and Regulation G18 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Corporate Finance and Governance: Government Policy and Regulation G38 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1129.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495233&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1129.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irani, Rustom M. AU - Meisenzahl, Ralf R. AD - University of Illinois at Urbana-Champaign AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-1 Y1 - 2015/// SP - 68 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495221; Keywords: Bank risk management; financial crisis; loan sales; wholesale funding; Publication Type: Working Paper; Update Code: 201505 N2 - We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan share ownership in the secondary market using data from the Shared National Credit Program, a credit register of syndicated bank loans administered by U.S. regulators. We analyze the 2007-2009 financial crisis as a market-wide liquidity shock and control for loan demand using a loan-year fixed effects approach. We find that banks with greater reliance on wholesale funding at the onset of the crisis were more likely to exit loan syndicates during the crisis. Our analysis identifies the importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive emphasized in prior literature. KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015001pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495221&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015001pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Rappoport, David AU - Vardoulakis, Alexandros AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Secondary Market Liquidity and the Optimal Capital Structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-31 Y1 - 2015/// SP - 68 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508973; Keywords: Capital structure; market liquidity; quantitiative easing; secondary markets; Publication Type: Working Paper; Update Code: 201507 N2 - We present a model where endogenous liquidity generates a feedback loop between secondary market liquidity and firms' financing decisions in primary markets. The model features two key frictions: a costly state verification problem in primary markets, and search frictions in over-the-counter secondary markets. Our concept of liquidity depends endogenously on illiquid assets put up for sale relative to the resources available for buying those assets in the secondary market. Liquidity determines the liquidity premium, which affects issuance in the primary market, and this effect feeds back into secondary market liquidity by changing the composition of investors' portfolios. We show that the privately optimal allocations are inefficient because investors and firms fail to internalize how their behavior affects secondary market liquidity. These inefficiencies are established analytically through a set of wedge expressions for key efficiency margins. Our analysis provide s a rationale for the effect of quantitative easing on secondary and primary capital markets and the real economy. KW - Financial Markets and the Macroeconomy E44 KW - General Financial Markets: Government Policy and Regulation G18 KW - Corporate Finance and Governance: General G30 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015031pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508973&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015031pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Surico, Paolo AU - Trezzi, Riccardo AD - London Business School AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Consumer Spending and Property Taxes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-57 Y1 - 2015/// SP - 69 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517241; Keywords: Fiscal consolidation; marginal propensity to spend; mortgage debt; residential property taxes; Publication Type: Working Paper; Update Code: 201509 N2 - A major change of the property tax system in 2011 generated significant variation in the amount of housing taxes paid by Italian households. Using new questions added to the Survey on Household Income and Wealth (SHIW), we exploit this variation to provide an unprecedented analysis of the effects of property taxes on consumer spending. A tax on the main dwelling leads to large expenditure cuts among households with mortgage debt and low liquid wealth but generates only small revenues for the government. In contrast, higher tax rates on other residential properties reduce private savings and yield large tax revenues. KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Fiscal Policy E62 KW - Fiscal Policies and Behavior of Economic Agents: Household H31 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015057pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517241&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015057pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goodman, Sarena AU - Isen, Adam AD - Board of Governors of the Federal Reserve System (U.S.) AD - Treasury Department T1 - Un-Fortunate Sons: Effects of the Vietnam Draft Lottery on the Next Generation's Labor Market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-119 Y1 - 2015/// SP - 69 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549608; Keywords: Vietnam War draft lottery; household environment; intergenerational mobility; labor supply; military service; occupational transmission; parental inputs; Publication Type: Working Paper; Update Code: 201602 N2 - We study how randomized variation from the Vietnam draft lottery affects the next generation's labor market. Using the universe of federal tax returns, we link fathers from draft cohorts to their sons and offer two primary findings. First, sons of men called by the lottery have lower earnings and labor force participation than their peers. Second, they are more likely to volunteer for military service themselves. Similar but smaller effects are uncovered for daughters. Our findings demonstrate that manipulating parental circumstances can alter children's outcomes and, more specifically, are consistent with two separately operating channels: (1) parental inputs as important determinants of human capital development and (2) intergenerational transmission of occupation. KW - National Security and War H56 KW - Human Capital; Skills; Occupational Choice; Labor Productivity J24 KW - Job, Occupational, and Intergenerational Mobility; Promotion J62 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015119pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549608&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015119pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aikman, David AU - Kiley, Michael T. AU - Lee, Seung Jung AU - Palumbo, Michael G. AU - Warusawitharana, Missaka AD - Bank of England AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Mapping Heat in the U.S. Financial System PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-59 Y1 - 2015/// SP - 71 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1517246; Keywords: Early warning system; financial crisis; financial stability; financial vulnerabilities; heat maps; macroprudential policy; systemic risk; data visualization; countercyclical capital buffers; Publication Type: Working Paper; Update Code: 201509 N2 - We provide a framework for assessing the build-up of vulnerabilities in the U.S. financial system. We collect forty-four indicators of financial and balance-sheet conditions, cutting across measures of valuation pressures, nonfinancial borrowing, and financial-sector health. We place the data in economic categories, track their evolution, and develop an algorithmic approach to monitoring vulnerabilities that can complement the more judgmental approach of most official-sector organizations. Our approach picks up rising imbalances in the U.S. financial system through the mid-2000s, presaging the financial crisis. We also highlight several statistical properties of our approach: most importantly, our summary measures of system-wide vulnerabilities lead the credit-to-GDP gap (a key gauge in Basel III and related research) by a year or more. Thus, our framework may provide useful information for setting macroprudential policy tools such as the countercyclical capital buffer. KW - Financial Crises G01 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015059pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1517246&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015059pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Boehm, Christoph E. AU - Flaaen, Aaron AU - Pandalai-Nayer, Nitya AD - University of Michigan AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Michigan T1 - Input Linkages and the Transmission of Shocks: Firm-Level Evidence from the 2011 Tohoku Earthquake PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-94 Y1 - 2015/// SP - 73 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531367; Keywords: Multinational firms; international business cycles; business fluctuations; elasticity of substitution; Publication Type: Working Paper; Update Code: 201511 N2 - Using novel firm-level microdata and leveraging a natural experiment, this paper provides causal evidence for the role of trade and multinational firms in the cross-country transmission of shocks. Foreign multinational affiliates in the U.S. exhibit substantial intermediate input linkages with their source country. The scope for these linkages to generate cross-country spillovers in the domestic market depends on the elasticity of substitution with respect to other inputs. Using the 2011 Tohoku earthquake as an exogenous shock, we estimate this elasticity for those firms most reliant on Japanese imported inputs: the U.S. affiliates of Japanese multinationals. These firms suffered large drops in U.S. output in the months following the shock, roughly one-for-one with the drop in imports and consistent with a Leontief relationship between imported and domestic inputs. Structural estimates of the production function for all firms with input linkages to Japan yield disaggregated production elasticities that are similarly low. Our results suggest that global supply chains are sufficiently rigid to play an important role in the cross-country transmission of shocks. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015094pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531367&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015094pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diercks, Anthony M. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Equity Premium, Long-Run Risk, & Optimal Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-87 Y1 - 2015/// SP - 77 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1531376; Keywords: Asset Pricing; Long-run risk; Monetary policy; Publication Type: Working Paper; Update Code: 201511 N2 - In this study I examine the welfare implications of monetary policy by constructing a novel New Keynesian model that properly accounts for asset pricing facts. I find that the Ramsey optimal monetary policy yields an inflation rate above 3.5% and inflation volatility close to 1.5%. The same model calibrated to a counterfactually low equity premium implies an optimal inflation rate close to zero and inflation volatility less than 10 basis points, consistent with much of the existing literature. Relatively higher optimal inflation is due to the greater welfare costs of recessions associated with matching the equity premium. Additionally, the second order approximation allows monetary policy to have positive welfare effects on the labor share of income. I show that this channel is generally absent in standard macroeconomic models that do not take risk into account. Furthermore, the interest rate rule that comes closest to matching the dynamics of the optimal Ramsey policy puts a sizable weight on capital growth along with the price of capital, as it emphasizes stabilizing the medium to long term over the very short run. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015087pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1531376&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015087pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Pooter, Michiel AU - Martin, Robert F. AU - Pruitt, Seth AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Arizona State University T1 - The Liquidity Effects of Official Bond Market Intervention PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1138 Y1 - 2015/// SP - 78 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508995; Keywords: Securities Markets Programme; European Central Bank; bond; liquidity risk; search and matching; Publication Type: Working Paper; Update Code: 201507 N2 - To "ensure depth and liquidity," the European Central Bank in 2010 and 2011 repeatedly intervened in sovereign debt markets through its Securities Markets Programme. These purchases provide a unique natural experiment for testing the effects of large-scale asset purchases on risk premia arising from liquidity concerns. To explore how official intervention influences liquidity premia, we develop a search-based asset-pricing model. Consistent with our model's predictions, we find statistically and economically significant stock and flow effects on sovereign bonds' liquidity premia in response to official purchases. KW - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness D83 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Central Banks and Their Policies E58 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1138.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508995&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1138.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jalil, Andrew AU - Rua, Gisela AD - Occidental College AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Inflation Expectations and Recovery from the Depression in 1933: Evidence from the Narrative Record PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-29 Y1 - 2015/// SP - 85 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495226; Keywords: Great Depression; inflation expectations; liquidity trap; narrative evidence; regime change; Publication Type: Working Paper; Update Code: 201505 N2 - This paper uses the historical narrative record to determine whether inflation expectations shifted during the second quarter of 1933, precisely as the recovery from the Great Depression took hold. First, by examining the historical news record and the forecasts of contemporary business analysts, we show that inflation expectations increased dramatically. Second, using an event-studies approach, we identify the impact on financial markets of the key events that shifted inflation expectations. Third, we gather new evidence--both quantitative and narrative--that indicates that the shift in inflation expectations played a causal role in stimulating the recovery. KW - Price Level; Inflation; Deflation E31 KW - Business Fluctuations; Cycles E32 KW - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems E42 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015029pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495226&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015029pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bombardini, Matilde AU - Orefice, Gianluca AU - Tito, Maria D. AD - University of British Columbia AD - CEPII AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Does Exporting Improve Matching? Evidence from French Employer-Employee Data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-113 Y1 - 2015/// SP - 88 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549603; Keywords: International Trade; Search frictions; Worker-Firm Matching; Publication Type: Working Paper; Update Code: 201602 N2 - Does opening a market to international trade affect the pattern of matching between firms and workers? This paper answers this question both theoretically and empirically in three parts. We set up a model of matching between heterogeneous workers and firms in which variation in the worker type at the firm level exists in equilibrium only because of the presence of search costs. When firms gain access to the foreign market, their revenue potential increases. When stakes are high, matching with the right worker becomes particularly important because deviations from the ideal match quickly reduce the value of the relationship. Hence, exporting firms select sets of workers that are less dispersed relative to the average. We then document a novel fact about the hiring decisions of exporting firms versus non-exporting firms in a French matched employer-employee dataset. We construct the type of each worker using both a traditional wage regression and a model-based approach and construct measures of the average worker type and worker type dispersion at the firm level. We find that exporting firms feature a lower type dispersion in the pool of workers they hire. This effect is comparable and larger than the common finding in the literature that exporters pay higher wages because, among other factors, they employ better workers. The matching between exporting firms and workers is even tighter in sectors characterized by better exporting opportunities as measured by foreign demand or tariff shocks. Finally, we show that revenue loss is lower relative to the optimum allocation for exporting and more productive firms. This analysis is suggestive of the potential presence of additional gains from trade due to improved sorting. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015113pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549603&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015113pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ferrante, Francesco AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Risky Mortgages, Bank Leverage and Credit Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-110 Y1 - 2015/// SP - 88 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1549599; Keywords: Bank runs; deposit insurance; large depositors; Publication Type: Working Paper; Update Code: 201602 N2 - Two key channels that allowed the 2007-2009 mortgage crisis to severely impact the real economy were: a housing net worth channel, as defined by Mian and Sufi (2014), which affected the wealth of leveraged households; and a bank net worth channel, which reduced the ability of financial intermediaries to provide credit. To capture these features of the Great Recession, I develop a DSGE model with balance-sheet constrained banks financing both risky mortgages and productive capital. Mortgages are provided to agents facing idiosyncratic housing depreciation risk, implying an endogenous default decision and a link between their borrowing capacity and house prices. The interaction among the housing net worth channel, the bank net worth channel and endogenous foreclosures generates novel amplification mechanisms. I analyze the quantitative implications of these new channels by considering two different shocks linked to the supply of mortgage credit: an increase in the variance of housing risk and a deterioration in the collateral value of mortgages for bank funding. Both shocks are able to produce co-movements in house prices, business investment, consumption and output. Finally, I study two types of policy interventions that are able to reduce the severity of a mortgage crisis: debt relief for borrowing households and central bank credit intermediation. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015110pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1549599&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015110pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Kwast, Myron L. AU - Pogach, Jonathan AD - Board of Governors of the Federal Reserve System (U.S.) AD - FDIC AD - FDIC T1 - Small Businesses and Small Business Finance during the Financial Crisis and the Great Recession: New Evidence From the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2015-39 Y1 - 2015/// SP - 96 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508987; Keywords: Great Recession; small business; Publication Type: Working Paper; Update Code: 201507 N2 - We use the Federal Reserve's 2007, 2009 re-interview of 2007 respondents, and 2010 Surveys of Consumer Finances (SCFs) to examine the experiences of small businesses owned and actively managed by households during these turbulent years. This is the first paper to use these SCFs to study small businesses even though the surveys contain extensive data on a broad cross-section of firms and their owners. We find that the vast majority of small businesses were severely affected by the financial crisis and the Great Recession, including facing tight credit constraints. We document numerous and often complex interdependencies between the finances of small businesses and their owner-manager households, including a more complicated role of housing assets than has been reported previously. We find that workers who lost their job responded in part by starting their own small business, and that factors correlated with the survival of a small business differed greatly depending upon whether the firm was established or new. Our results strongly reinforce the importance of relationship finance to small businesses, and the primary role of commercial banks in such relationships. We find that both cross-section and panel data are needed to understand the complex issues associated with the creation, survival and failure of small businesses. L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015039pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508987&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015039pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Pooter, Michiel AU - Rebecca, DeSimone AU - Martin, Robert F. AU - Pruitt, Seth AD - Board of Governors of the Federal Reserve System (U.S.) AD - Columbia Business School AD - Barclays Capital AD - Arizona State University T1 - Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1139 Y1 - 2015/// SP - 99 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1508994; Keywords: Monetary policy; interest rates; recession; European Central Bank; asset purchases; euro area; Publication Type: Working Paper; Update Code: 201507 N2 - In 2010, in response to an ever-worsening fiscal crisis, the ECB began purchasing sovereign debt from troubled euro-area countries through its Securities Market Programme (SMP). This program was designed to improve market functioning and restore the monetary transmission mechanism within the euro area. This paper does not test those ideals. Rather, we test whether SMP purchases systematically lowered peripheral yields and spreads. We find limited evidence of purchase effects but large announcement effects. In addition, on days in which the ECB was believed to have made large purchases, yields moved down, independent of the size of the ECB's purchases or even if the ECB conducted any purchase at all that week. In all, we conclude that the ECB's SMP influenced yields through a confidence channel rather than through any direct purchase effect. In the appendix to this paper we provide a detailed timeline of SMP purchases and market beliefs about purchase timing. KW - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data) E20 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Monetary Policy E52 KW - International Business Cycles F44 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1139.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1508994&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1139.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Kandrac, John T1 - Modelling the causes and manifestation of bank stress: an example from the financial crisis. JO - Applied Economics JF - Applied Economics Y1 - 2014/12/20/ VL - 46 IS - 35 M3 - Article SP - 4290 EP - 4301 PB - Routledge SN - 00036846 AB - In this study, I model the predictors and manifestation of bank stress during the financial crisis using a Multiple Indicator Multiple Cause model. Unlike most early warning models that predict failure probabilities, this article describes a framework for predicting a broader notion of bank stress that need not rely on regulatory decisions. As such, this method can be easily applied to large institutions, and avoids the complications associated with modelling a regulatory decision such as failure or a CAMELS downgrade. Using bank reliance on Term Auction Facility funds and the out-of-sample incidence of failures and acquisitions, I demonstrate that the measure of bank stress generated here accords with other notions of bank-level distress. Finally, this method catalogues predictors of distress during the financial crisis. Thus, this article can help assess the validity of several recent regulatory proposals. I find that those banks entering the crisis with more Tier 1 capital, more liquid balance sheets, and relatively stable liabilities subsequently came under less stress. These findings support the Basel III recommended increases in banks’ capital adequacy, liquidity and stable funding. [ABSTRACT FROM PUBLISHER] AB - Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - FINANCIAL crises KW - BANK failures KW - BANKING law & legislation KW - BANK capital KW - BANK liquidity KW - BANK liabilities KW - bank failure KW - bank stress KW - early warning model KW - financial crisis KW - financial regulation KW - G17 KW - G21 KW - G28 KW - BASEL III (Proposed) N1 - Accession Number: 98682167; Kandrac, John 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC20551, USA; Issue Info: Dec2014, Vol. 46 Issue 35, p4290; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BANK failures; Thesaurus Term: BANKING law & legislation; Thesaurus Term: BANK capital; Thesaurus Term: BANK liquidity; Thesaurus Term: BANK liabilities; Author-Supplied Keyword: bank failure; Author-Supplied Keyword: bank stress; Author-Supplied Keyword: early warning model; Author-Supplied Keyword: financial crisis; Author-Supplied Keyword: financial regulation; Author-Supplied Keyword: G17; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Reviews & Products: BASEL III (Proposed); NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 12p; Illustrations: 5 Charts; Document Type: Article L3 - 10.1080/00036846.2014.955257 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98682167&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mach, Traci L. T1 - The Role of Credit Access in Firm Sustainability: A comparison of the 1998 and 2003 Surveys of Small Business Finances. JO - International Review of Entrepreneurship JF - International Review of Entrepreneurship Y1 - 2014/12// VL - 12 IS - 4 M3 - Article SP - 141 EP - 161 PB - Senate Hall Ltd SN - 20092822 AB - The current paper uses two nationally representative cross-sections of US businesses from 1998 and 2003 to examine 5-year survival rates of small businesses. Despite the fact that the 2003 cohort experienced the Great Recession at the end of their 5-year window, exits were about 4 percent higher for the 1998 cohort than the 2003. The analysis finds that credit access and credit quality measures are among the most important explanatory variables in each period. Using the Blinder-Oaxaca decomposition to decompose the differences across the cohorts, the data further indicate that the lower survival rate in the 1998 cohort is largely driven by differences in the coefficients on the credit access and credit quality measures. On the other hand, measures of real estate appreciation and depreciation do not seem to have played a large role in the difference. [ABSTRACT FROM AUTHOR] AB - Copyright of International Review of Entrepreneurship is the property of Senate Hall Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business KW - FINANCE KW - COMMERCIAL loans KW - RECESSIONS -- 2008-2013 KW - BUSINESS enterprises KW - RESEARCH KW - UNITED States KW - COEFFICIENTS (Statistics) KW - firm discontinuance KW - NETS KW - small businesses finances KW - SSBF N1 - Accession Number: 108892424; Mach, Traci L. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Washington; Issue Info: 2014, Vol. 12 Issue 4, p141; Thesaurus Term: SMALL business; Thesaurus Term: FINANCE; Thesaurus Term: COMMERCIAL loans; Thesaurus Term: RECESSIONS -- 2008-2013; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: RESEARCH; Subject Term: UNITED States; Subject Term: COEFFICIENTS (Statistics); Author-Supplied Keyword: firm discontinuance; Author-Supplied Keyword: NETS; Author-Supplied Keyword: small businesses finances; Author-Supplied Keyword: SSBF; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=108892424&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - GEN AU - YELLEN, JANET L. T1 - IMPORTANT QUESTIONS ABOUT INCOME AND WEALTH. JO - Vital Speeches of the Day JF - Vital Speeches of the Day Y1 - 2014/12// VL - 80 IS - 12 M3 - Speech SP - 382 EP - 386 PB - Pro Rhetoric, LLC SN - 0042742X AB - The article presents a speech given by Janet L. Yellen, the Chair of the Board of Governors of the U.S. Federal Reserve System, at the Conference on Economic Opportunity and Equality at the Federal Reserve Bank of Boston in Boston, Massachusetts on October 17, 2014. Topics include income and wealth distribution in the U.S., the cost of higher education, and the role of inherited wealth in income distribution and wealth mobility. KW - INCOME distribution KW - HIGHER education -- Costs KW - INHERITANCE & succession KW - UNITED States KW - FEDERAL Reserve Bank of Boston -- Congresses KW - YELLEN, Janet L. (Janet Louise), 1946- -- Political & social views N1 - Accession Number: 99913077; YELLEN, JANET L. 1; Affiliation: 1: Chair, Board of Governors of the Federal Reserve System; Source Info: Dec2014, Vol. 80 Issue 12, p382; Subject Term: INCOME distribution; Subject Term: HIGHER education -- Costs; Subject Term: INHERITANCE & succession; Subject Term: UNITED States; Company/Entity: FEDERAL Reserve Bank of Boston -- Congresses DUNS Number: 069263739; People: YELLEN, Janet L. (Janet Louise), 1946- -- Political & social views; Number of Pages: 5p; Document Type: Speech UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=99913077&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Haltmaier, Jane T1 - Cyclically Adjusted Current Account Balances. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/12// IS - 1126 M3 - Article SP - 1 EP - 25 AB - The Great Financial Crisis coincided with a sizable reduction in global external imbalances, defined as the absolute value of the sum of individual country current account surpluses and deficits relative to global GDP. Although current account balances should not respond to a downturn that is uniform across countries, one that hits countries with current account deficits harder than those with surpluses might result in a decline in the global balance. This paper quantifies the cyclical portion of the current account balance for 35 countries using estimates of the severity of the cycle in each country relative to that of its trading partners in conjunction with three estimates of the sensitivity of the current account balance to changes in the output gap. Two of the estimates are derived from equations linking trade to income and the third is derived from the relationship between changes in current account balances and changes in output gap differentials. The main result is that the bulk of the reduction in the global current account imbalance since 2006 appears to have been structural. Cyclical forces are estimated to account for between 10 and 30 percent of the decline. In the aggregate, the cyclical effect is estimated to be currently holding down the global current account balance by about 1/2 percentage point. However, the size of the cyclical effect is more substantial for some countries. Both surplus and deficit countries have contributed to the decline in the absolute value of the global current account imbalance, but the contribution of the deficit countries is about twice as large as that of the surplus countries. Changes in oil prices have had largely offsetting effects on the global current account balance, but changes in real exchange rates in recent years have contributed to the reduction. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - BALANCE of payments KW - BALANCE of trade KW - GROSS domestic product KW - PETROLEUM -- Sales & prices KW - current account KW - cycles N1 - Accession Number: 100314345; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 20, Washington D.C. 20551, U.S.A; Issue Info: Dec2014, Issue 1126, preceding p1; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BALANCE of payments; Thesaurus Term: BALANCE of trade; Thesaurus Term: GROSS domestic product; Thesaurus Term: PETROLEUM -- Sales & prices; Author-Supplied Keyword: current account; Author-Supplied Keyword: cycles; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; Number of Pages: 26p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100314345&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ahmed, Shaghil AU - Zlate, Andrei T1 - Capital flows to emerging market economies: A brave new world? JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2014/11/10/Nov2014:Part B VL - 48 M3 - Article SP - 221 EP - 248 SN - 02615606 AB - We examine the determinants of net private capital inflows to emerging market economies (EMEs) since 2002. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials since the crisis. Third, capital controls introduced in recent years do appear to have discouraged both total and portfolio net inflows. Finally, we find positive effects of unconventional U.S. monetary policy on EME inflows, especially portfolio inflows. Even so, U.S. unconventional policy is one among several important factors influencing flows. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL movements KW - EMERGING markets KW - ECONOMIC development KW - FINANCIAL risk KW - PORTFOLIO management (Investments) KW - FINANCIAL crises KW - MONETARY policy KW - UNITED States KW - Capital controls KW - Capital flows KW - E5 KW - Emerging market economies KW - F3 KW - Unconventional U.S. monetary policy N1 - Accession Number: 99035885; Ahmed, Shaghil 1; Email Address: shaghil.ahmed@frb.gov; Zlate, Andrei 1; Email Address: andrei.zlate@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, Mail Stop 24, Washington, DC 20551, USA; Issue Info: Nov2014:Part B, Vol. 48, p221; Thesaurus Term: CAPITAL movements; Thesaurus Term: EMERGING markets; Thesaurus Term: ECONOMIC development; Thesaurus Term: FINANCIAL risk; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: FINANCIAL crises; Thesaurus Term: MONETARY policy; Subject Term: UNITED States; Author-Supplied Keyword: Capital controls; Author-Supplied Keyword: Capital flows; Author-Supplied Keyword: E5; Author-Supplied Keyword: Emerging market economies; Author-Supplied Keyword: F3; Author-Supplied Keyword: Unconventional U.S. monetary policy; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 28p; Document Type: Article L3 - 10.1016/j.jimonfin.2014.05.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99035885&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Tarullo, Daniel K. T1 - Corporate Governance And Bank Regulation. JO - Corporate Board JF - Corporate Board Y1 - 2014/11//Nov/Dec2014 VL - 35 IS - 209 M3 - Article SP - 1 EP - 5 PB - Vanguard Publications SN - 07468652 AB - The financial crisis of 2008 unleashed a wave of banking oversight reforms, chiefly the Dodd-Frank Act. A controversial aspect of these changes are new rules on how banking and financial firm boards must weigh and judge risks. While some directors feel their fiduciary oversight has been usurped by these governance mandates, Daniel Tarullo, a governor of the U.S. Federal Reserve system, believes boards should welcome these changes as strengthening their governance powers. [ABSTRACT FROM AUTHOR] AB - Copyright of Corporate Board is the property of Vanguard Publications and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING law & legislation KW - FINANCIAL crises KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act N1 - Accession Number: 99148807; Tarullo, Daniel K. 1; Affiliations: 1: Member of Board of Governors of U.S. Federal Reserve System; Issue Info: Nov/Dec2014, Vol. 35 Issue 209, p1; Thesaurus Term: BANKING law & legislation; Thesaurus Term: FINANCIAL crises; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); Reviews & Products: UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99148807&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Herbst, Edward AU - Schorfheide, Frank T1 - SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS. JO - Journal of Applied Econometrics JF - Journal of Applied Econometrics Y1 - 2014/11// VL - 29 IS - 7 M3 - Article SP - 1073 EP - 1098 SN - 08837252 AB - SUMMARY We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using two empirical illustrations consisting of the Smets and Wouters model and a larger news shock model we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely used random walk Metropolis-Hastings algorithm. We find that a more diffuse prior for the Smets and Wouters model improves its marginal data density and that a slight modification of the prior for the news shock model leads to drastic changes in the posterior inference about the importance of news shocks for fluctuations in hours worked. Unlike standard Markov chain Monte Carlo (MCMC) techniques; the SMC algorithm is well suited for parallel computing. Copyright © 2014 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Applied Econometrics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONTE Carlo method KW - APPROXIMATION theory KW - SHOCK (Economics) -- Mathematical models KW - COMPUTABLE general equilibrium models KW - SEQUENTIAL analysis N1 - Accession Number: 100031490; Herbst, Edward 1; Schorfheide, Frank 2,3,4; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Department of Economics, University of Pennsylvania; 3: CEPR; 4: NBER; Issue Info: Nov2014, Vol. 29 Issue 7, p1073; Thesaurus Term: MONTE Carlo method; Thesaurus Term: APPROXIMATION theory; Thesaurus Term: SHOCK (Economics) -- Mathematical models; Subject Term: COMPUTABLE general equilibrium models; Subject Term: SEQUENTIAL analysis; Number of Pages: 26p; Document Type: Article L3 - 10.1002/jae.2397 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100031490&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Caldara, Dario AU - Harrison, Richard AU - Lipińska, Anna T1 - PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS. JO - Journal of Applied Econometrics JF - Journal of Applied Econometrics Y1 - 2014/11// VL - 29 IS - 7 M3 - Article SP - 1145 EP - 1163 SN - 08837252 AB - SUMMARY In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by either matching impulse responses of the augmented DSGE model to those generated by an auxiliary model or by using Bayesian techniques. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy or housing sectors. Copyright © 2014 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Applied Econometrics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SHOCK (Economics) -- Mathematical models KW - MONETARY policy KW - MATHEMATICAL models KW - ESTIMATION theory KW - COMPUTABLE general equilibrium models KW - FACTOR analysis N1 - Accession Number: 100031493; Caldara, Dario 1; Harrison, Richard 2; Lipińska, Anna 1; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Bank of England; Issue Info: Nov2014, Vol. 29 Issue 7, p1145; Thesaurus Term: SHOCK (Economics) -- Mathematical models; Thesaurus Term: MONETARY policy; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ESTIMATION theory; Subject Term: COMPUTABLE general equilibrium models; Subject Term: FACTOR analysis; Number of Pages: 19p; Document Type: Article L3 - 10.1002/jae.2409 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100031493&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Monarch, Ryan AU - Park, Jooyoun AU - Sivadasan, Jagadeesh T1 - Gains from Offshoring? Evidence from U.S. Microdata. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/11// IS - 1124 M3 - Article SP - 1 EP - 61 AB - We construct a new linked data set with over one thousand offshoring events by matching Trade Adjustment Assistance program petition data to confidential data on U.S. firm operations. We exploit these data to assess how offshoring affects domestic firm-level aggregate employment, output, wages and productivity. Consistent with heterogenous firm models where offshoring involves a fixed cost, we find that the average offshoring firm is larger and more productive than the average non-offshorer. After initiating offshoring, firms experience large declines in employment (46.2 per cent), output (38.5 per cent) and capital (28.8 per cent) relative to their industry peers. We find no significant change in average wages or in total factor productivity measures for offshoring firms. These results are consistent across two separate difference-in-differences (DID) approaches, an instrumental variables approach, and a number of robustness checks. Thus, we find offshoring to be a strong substitute for domestic activity in this large sample of offshoring events. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - OFFSHORE outsourcing KW - EMPLOYMENT (Economic theory) KW - INDUSTRIAL productivity KW - WAGES KW - BIG data KW - employment KW - firm performance KW - manufacturing KW - Outsourcing KW - productivity KW - trade N1 - Accession Number: 100314343; Monarch, Ryan 1; Email Address: ryan.p.monarch@frb.gov; Park, Jooyoun 2; Email Address: jpark8@kent.edu; Sivadasan, Jagadeesh 3; Email Address: jagadees@umich.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; 2: Department of Economics, Kent State University; 3: Ross School of Business, University of Michigan; Issue Info: Nov2014, Issue 1124, preceding p1; Thesaurus Term: OFFSHORE outsourcing; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: WAGES; Subject Term: BIG data; Author-Supplied Keyword: employment; Author-Supplied Keyword: firm performance; Author-Supplied Keyword: manufacturing; Author-Supplied Keyword: Outsourcing; Author-Supplied Keyword: productivity; Author-Supplied Keyword: trade; Number of Pages: 62p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=100314343&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Akinci, Ozge AU - Queralto, Albert T1 - Banks, Capital Flows and Financial Crises. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/10/15/ IS - 1121 M3 - Article SP - 2 EP - 39 AB - This paper proposes a macroeconomic model with financial intermediaries (banks), in which banks face occasionally binding leverage constraints and may endogenously affect the strength of their balance sheets by issuing new equity. The model can account for occasional financial crises as a result of the nonlinearity induced by the constraint. Banks' precautionary equity issuance makes financial crises infrequent events occurring along with "regular" business cycle fluctuations. We show that an episode of capital in flows and rapid credit expansion, triggered by low country interest rates, leads banks to endogenously decrease the rate of equity issuance, contributing to a higher likelihood of future crises. Macroprudential policies directed at strengthening banks' balance sheets, such as capital requirements, are shown to lower the probability of financial crises and to enhance welfare. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK capital KW - RESEARCH KW - CAPITAL movements KW - FINANCIAL crises KW - BANKING industry KW - FINANCIAL statements KW - Financial Intermediation KW - Leverage Constraints KW - Occasionally Binding Constraints KW - Sudden Stops N1 - Accession Number: 99502997; Akinci, Ozge 1; Email Address: ozge.akinci@frb.gov; Queralto, Albert 1; Email Address: albert.queralto@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, 20th St and Constitution Ave NW, Washington, DC, 20551, USA; Issue Info: Oct2014, Issue 1121, preceding p2; Thesaurus Term: BANK capital; Thesaurus Term: RESEARCH; Thesaurus Term: CAPITAL movements; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL statements; Author-Supplied Keyword: Financial Intermediation; Author-Supplied Keyword: Leverage Constraints; Author-Supplied Keyword: Occasionally Binding Constraints; Author-Supplied Keyword: Sudden Stops; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 40p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99502997&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Baglan, Deniz AU - Yoldas, Emre T1 - Non-linearity in the inflation–growth relationship in developing economies: Evidence from a semiparametric panel model. JO - Economics Letters JF - Economics Letters Y1 - 2014/10// VL - 125 IS - 1 M3 - Article SP - 93 EP - 96 SN - 01651765 AB - Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is notably lower than the comparable estimate obtained from a threshold model. Our results also suggest that models with restrictive functional form assumptions tend to underestimate marginal effects of inflation on economic growth. We also document significant variation in the effect of inflation on growth across countries and over time. [ABSTRACT FROM AUTHOR] AB - Copyright of Economics Letters is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - ECONOMIC development KW - ECONOMIC models KW - ESTIMATION theory KW - ECONOMIC policy KW - FINANCIAL risk management KW - Bootstrap KW - C23 KW - Economic growth KW - Inflation KW - O40 KW - Semiparametric panel data model KW - Series estimation N1 - Accession Number: 98575053; Baglan, Deniz 1; Email Address: deniz.baglan@howard.edu; Yoldas, Emre 2; Email Address: emre.yoldas@frb.gov; Affiliations: 1: Department of Economics, Howard University, United States; 2: Board of Governors of the Federal Reserve System, United States; Issue Info: Oct2014, Vol. 125 Issue 1, p93; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC development; Thesaurus Term: ECONOMIC models; Thesaurus Term: ESTIMATION theory; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCIAL risk management; Author-Supplied Keyword: Bootstrap; Author-Supplied Keyword: C23; Author-Supplied Keyword: Economic growth; Author-Supplied Keyword: Inflation; Author-Supplied Keyword: O40; Author-Supplied Keyword: Semiparametric panel data model; Author-Supplied Keyword: Series estimation; Number of Pages: 4p; Document Type: Article L3 - 10.1016/j.econlet.2014.08.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98575053&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bhutta, Neil T1 - Payday loans and consumer financial health. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2014/10// VL - 47 M3 - Article SP - 230 EP - 242 SN - 03784266 AB - The annualized interest rate for a payday loan often exceeds 10 times that of a typical credit card, yet this market grew immensely in the 1990s and 2000s, elevating concerns about the risk payday loans pose to consumers and whether payday lenders target minority neighborhoods. This paper employs individual credit record data, and Census data on payday lender store locations, to assess these concerns. Taking advantage of several state law changes since 2006 and, following previous work, within-state-year differences in access arising from proximity to states that allow payday loans, I find little to no effect of payday loans on credit scores, new delinquencies, or the likelihood of overdrawing credit lines. The analysis also indicates that neighborhood racial composition has little influence on payday lender store locations conditional on income, wealth and demographic characteristics. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PAYDAY loans KW - CREDIT cards KW - CONSUMER finance companies KW - INTEREST rates KW - ECONOMIC change KW - INCOME KW - DEMOGRAPHIC characteristics KW - Behavioral economics KW - Consumer finance KW - Consumer financial protection KW - Credit scores KW - D14 KW - G2 KW - Payday lending KW - Predatory lending N1 - Accession Number: 98358530; Bhutta, Neil 1; Email Address: neil.bhutta@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C St NW, Washington, DC 20551, United States; Issue Info: Oct2014, Vol. 47, p230; Thesaurus Term: PAYDAY loans; Thesaurus Term: CREDIT cards; Thesaurus Term: CONSUMER finance companies; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC change; Thesaurus Term: INCOME; Subject Term: DEMOGRAPHIC characteristics; Author-Supplied Keyword: Behavioral economics; Author-Supplied Keyword: Consumer finance; Author-Supplied Keyword: Consumer financial protection; Author-Supplied Keyword: Credit scores; Author-Supplied Keyword: D14; Author-Supplied Keyword: G2; Author-Supplied Keyword: Payday lending; Author-Supplied Keyword: Predatory lending; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 326199 All Other Plastics Product Manufacturing; NAICS/Industry Codes: 522210 Credit Card Issuing; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jbankfin.2014.04.024 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98358530&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Scotti, Chiara T1 - Comment. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2014/10// VL - 32 IS - 4 M3 - Letter to the Editor SP - 504 EP - 506 SN - 07350015 AB - A letter to the editor is presented in response to the article "The Impact of Uncertainty Shocks" by N. Bloom in the Volume 77, 2009 issue. KW - SHOCK (Economics) KW - ECONOMIC forecasting KW - UNCERTAINTY N1 - Accession Number: 99090598; Scotti, Chiara 1; Affiliations: 1: Federal Reserve Board, Washington, D.C.20551(chiara.scotti@frb.gov); Issue Info: Oct2014, Vol. 32 Issue 4, p504; Thesaurus Term: SHOCK (Economics); Thesaurus Term: ECONOMIC forecasting; Subject Term: UNCERTAINTY; Number of Pages: 3p; Document Type: Letter to the Editor L3 - 10.1080/07350015.2014.956873 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99090598&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AU - Wongswan, Jon T1 - Uncovered Equity Parity and rebalancing in international portfolios. JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2014/10// VL - 47 M3 - Article SP - 86 EP - 99 SN - 02615606 AB - Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors rebalance away from equity markets that recently performed well and move into equity markets just prior to relatively strong performance, suggesting tactical reallocations to increase returns rather than reduce risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PORTFOLIO management (Investments) KW - STOCK exchanges KW - FOREIGN exchange rates KW - CAPITALISTS & financiers KW - DEPRECIATION KW - Equity portfolios KW - Exchange rate determination KW - International returns N1 - Accession Number: 97594626; Curcuru, Stephanie E. 1; Thomas, Charles P. 1; Warnock, Francis E. 2,3,4,5; Email Address: WarnockF@darden.virginia.edu; Wongswan, Jon 6; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Darden Graduate School of Business, University of Virginia, USA; 3: Institute for International Integration Studies, Trinity College Dublin, Ireland; 4: Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, USA; 5: National Bureau of Economic Research, USA; 6: Phatra Securities Public Company Limited, Thailand; Issue Info: Oct2014, Vol. 47, p86; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: STOCK exchanges; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: DEPRECIATION; Author-Supplied Keyword: Equity portfolios; Author-Supplied Keyword: Exchange rate determination; Author-Supplied Keyword: International returns; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jimonfin.2014.04.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97594626&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kim, Don H. T1 - SWAPTION PRICING IN AFFINE AND OTHER MODELS. JO - Mathematical Finance JF - Mathematical Finance Y1 - 2014/10// VL - 24 IS - 4 M3 - Article SP - 790 EP - 820 PB - Wiley-Blackwell SN - 09601627 AB - This paper shows that Singleton and Umantsev's method for swaption pricing in affine models can be simplified and extended to other models. Two alternative methods for approximating the option exercise boundary are introduced: one based on the multivariate Taylor series expansion, and the other based on duration-matched zero-coupon bond approximation. Applied to affine models and quadratic-Gaussian models, these methods are found to give accurate swaption prices. [ABSTRACT FROM AUTHOR] AB - Copyright of Mathematical Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SWAPS (Finance) KW - PRICING KW - MULTIVARIATE analysis KW - BONDS (Finance) KW - MATHEMATICAL formulas KW - TAYLOR'S series KW - affine models KW - coupon bond options KW - quadratic-Gaussian models KW - swaptions N1 - Accession Number: 98487067; Kim, Don H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2014, Vol. 24 Issue 4, p790; Thesaurus Term: SWAPS (Finance); Thesaurus Term: PRICING; Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: BONDS (Finance); Subject Term: MATHEMATICAL formulas; Subject Term: TAYLOR'S series; Author-Supplied Keyword: affine models; Author-Supplied Keyword: coupon bond options; Author-Supplied Keyword: quadratic-Gaussian models; Author-Supplied Keyword: swaptions; Number of Pages: 31p; Document Type: Article L3 - 10.1111/mafi.12014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98487067&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dettling, Lisa J. AU - Hsu, Joanne W. T1 - The State of Young Adults' Balance Sheets: Evidence from the Survey of Consumer Finances. JO - Review (00149187) JF - Review (00149187) Y1 - 2014///2014 4th Quarter VL - 96 IS - 4 M3 - Article SP - 305 EP - 330 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The authors investigate recent trends in the financial circumstances of young adults using data from the triennial Survey of Consumer Finances (SCF) from 2001 to 2013. They examine trends in young adults' net worth, break down the composition into specific assets and liabilities, and describe young adults' experiences with credit markets. The analysis focuses on three main comparisons: (i) trends over time (ii) between young adults and older adults and (iii) between young adults in 2013 (members of the "Millennial Generation") and young adults in 1989 (members of "Generation X"). They find that between 2001 and 2013, young adults experienced a decline in net worth, driven largely by declines in asset holdings. The median young adult in 2013 also had lower net worth than the median young adult surveyed in the 1989 SCF. Despite media attention surrounding the Millennial Generation's relatively poor economic outcomes during the Great Recession, young adults in the SCF have fared better on many measures than both current older adults and earlier young adults. Compared with older adults, young adults experienced a relatively modest decline in net worth, particularly during the Great Recession. Young adults in 2013 were also more likely than young adults in 1989 to own homes, stocks, and retirement accounts, and they were less likely to have very high debt payment-to-income ratios than their counterparts in 2001 and 1989 or older adults in 2013. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER surveys KW - FINANCIAL statements KW - GENERATION Y KW - RECESSIONS KW - CONSUMPTION (Economics) N1 - Accession Number: 99996163; Dettling, Lisa J. 1 Hsu, Joanne W. 1; Affiliation: 1: economists, Microeconomic Surveys Section, Board of Governors of the Federal Reserve System; Source Info: 2014 4th Quarter, Vol. 96 Issue 4, p305; Subject Term: CONSUMER surveys; Subject Term: FINANCIAL statements; Subject Term: GENERATION Y; Subject Term: RECESSIONS; Subject Term: CONSUMPTION (Economics); Number of Pages: 26p; Illustrations: 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=99996163&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Merry, Ellen A. AU - Thomas, Logan T1 - Asset Holdings of Young Households: Trends and Patterns. JO - Review (00149187) JF - Review (00149187) Y1 - 2014///2014 4th Quarter VL - 96 IS - 4 M3 - Article SP - 391 EP - 411 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The authors use multiple waves of the triennial Survey of Consumer Finances (SCF) from 1989 to 2013 to examine the composition of the asset portfolios of young households whose head of household is between 18 and 41 years of age. The focus is on households' decisions to hold different types of assets, including both financial assets (e.g., bank accounts, stocks, and retirement accounts) and non-financial assets (e.g., residential real estate, businesses, and automobiles). The authors describe the patterns of acquisition of broad asset categories in the early part of the life cycle with attention to patterns that appear to have changed over time and explore how the propensity to hold different types of assets varies across households. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER surveys KW - HOUSEHOLDS KW - PERSONAL finance KW - FINANCIAL management KW - ASSET acquisitions N1 - Accession Number: 99996166; Merry, Ellen A. 1 Thomas, Logan 2; Affiliation: 1: senior economist, Division of Consumer and Community Affairs of the Board of Governors of the Federal Reserve System 2: research assistant, Division of Consumer and Community Affairs of the Board of Governors of the Federal Reserve System; Source Info: 2014 4th Quarter, Vol. 96 Issue 4, p391; Subject Term: CONSUMER surveys; Subject Term: HOUSEHOLDS; Subject Term: PERSONAL finance; Subject Term: FINANCIAL management; Subject Term: ASSET acquisitions; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 21p; Illustrations: 2 Diagrams, 2 Charts, 9 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=99996166&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Johnson, Kathleen AU - Pence, Karen AU - Vine, Daniel T1 - Auto Sales and Credit Supply. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/10// M3 - Article SP - 1 EP - 40 AB - Vehicle purchases fell by more than 20 percent during the 2007-09 recession, and auto loan originations fell by a third. We show that vehicle purchases typically account for an outsized share of the contraction in economic activity during a recession, in part because a concurrent tightening in auto lending conditions makes car purchases less affordable for many households. We explore the link between lending conditions and vehicle purchases with a novel gauge of credit supply conditions-household perceptions of vehicle financing conditions as measured on the Reuters/University of Michigan Survey of Consumers. In both a vector autoregression estimated on aggregate data and a logit regression estimated on household-level data, this measure indicates that credit conditions are a significant influence on auto sales, as large as factors such as unemployment and income. Estimates from the household-level model show that the new car purchases of households that are more likely to depend on credit are particularly sensitive to assessments of financing conditions, and that households are a bit more likely to purchase vehicles when they expect interest rates to rise in the next year. The results contribute to the literature validating the usefulness of survey measures of household perceptions for forecasting macroeconomic activity. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - AUTOMOBILES -- Sales & prices KW - AUTOMOBILE industry KW - AUTOMOBILE loans KW - RECESSIONS KW - CONSUMER surveys KW - UNEMPLOYMENT KW - UNITED States KW - ECONOMIC conditions N1 - Accession Number: 99519260; Johnson, Kathleen 1; Email Address: Kathleen.W.Johnson@frb.gov; Pence, Karen 1; Email Address: Karen.Pence@frb.gov; Vine, Daniel 1; Email Address: Daniel.J.Vine@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2014, preceding p1; Thesaurus Term: AUTOMOBILES -- Sales & prices; Thesaurus Term: AUTOMOBILE industry; Thesaurus Term: AUTOMOBILE loans; Thesaurus Term: RECESSIONS; Thesaurus Term: CONSUMER surveys; Thesaurus Term: UNEMPLOYMENT; Subject Term: UNITED States; Subject Term: ECONOMIC conditions; NAICS/Industry Codes: 336110 Automobile and light-duty motor vehicle manufacturing; NAICS/Industry Codes: 336111 Automobile Manufacturing; NAICS/Industry Codes: 811121 Automotive Body, Paint, and Interior Repair and Maintenance; NAICS/Industry Codes: 423110 Automobile and Other Motor Vehicle Merchant Wholesalers; NAICS/Industry Codes: 441110 New Car Dealers; NAICS/Industry Codes: 415110 New and used automobile and light-duty truck merchant wholesalers; NAICS/Industry Codes: 811198 All Other Automotive Repair and Maintenance; Number of Pages: 41p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99519260&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny T1 - Why Are Wal-Mart and Target Next-Door Neighbors? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/10// M3 - Article SP - 1 EP - 36 AB - One of the most notable changes in the U.S. retail market over the past twenty years has been the rise of Big Box stores, retail chains characterized by physically large stores selling a wide range of consumer goods at discount prices. A growing literature has examined the impacts of Big Box stores on other retailers and consumers, but relatively little is known about how Big Box stores choose locations. Because Big Box stores offer highly standardized products and compete primarily on price, it is likely that they will seek to establish spatial monopolies, far from competitor stores. In this paper, I examine where new Big Box stores locate with respect to three types of existing establishments: own-firm stores, other retailers in the same product space (competitors), and retailers in other product spaces (complements). Results indicate that new Big Box stores tend to avoid existing own-firm stores and locate near complementary Big Box stores. However, there is little evidence that new Big Boxes avoid competitors. Firms in the same product space may not be perfect substitutes, or firms may prefer to share consumers in a desirable location rather than cede the entire market to competitor firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RETAIL industry KW - BIG box stores KW - CHAIN stores KW - CONSUMER goods KW - UNITED States KW - agglomeration KW - Big Box stores JEL classifications: L81 KW - R12 KW - R32 KW - Retail location KW - spatial competition KW - WAL-Mart Stores Inc. N1 - Accession Number: 99519259; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct2014, preceding p1; Thesaurus Term: RETAIL industry; Thesaurus Term: BIG box stores; Thesaurus Term: CHAIN stores; Thesaurus Term: CONSUMER goods; Subject Term: UNITED States; Author-Supplied Keyword: agglomeration; Author-Supplied Keyword: Big Box stores JEL classifications: L81; Author-Supplied Keyword: R12; Author-Supplied Keyword: R32; Author-Supplied Keyword: Retail location; Author-Supplied Keyword: spatial competition ; Company/Entity: WAL-Mart Stores Inc. DUNS Number: 051957769 Ticker: WMT; NAICS/Industry Codes: 453999 All other miscellaneous store retailers (except beer and wine-making supplies stores); NAICS/Industry Codes: 453998 All Other Miscellaneous Store Retailers (except Tobacco Stores); NAICS/Industry Codes: 452999 All other miscellaneous general merchandise stores; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; Number of Pages: 37p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99519259&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bertaut, Carol AU - Tabova, Alexandra AU - Wong, Vivian T1 - The Replacement of Safe Assets: Evidence from the U.S. Bond Portfolio. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/10// IS - 1120 M3 - Article SP - 1 EP - 47 AB - The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of foreign securities, we show that since the crisis, it is mostly the foreign financial sector that appears to have met U.S. demand for safe and liquid investment assets by expanding its supply of debt securities. We also find a strong negative correlation between the foreign share of the U.S. financial bond portfolio and measures of U.S. safe assets availability: providing evidence on the importance of foreign-issued financial sector debt as a substitute when U.S. issued "safe" assets are scarce. Furthermore, although U.S. investors continue to tap foreign financial markets for "safe" assets, we show that the type of foreign financial debt that fills this portfolio niche post-crisis is quite different than pre-crisis. Post-crisis, we find that U.S. investors have replaced offshore-issued structured securities with high-grade U.S. dollar-denominated financial debt issued from a small group of OECD countries (most notably Australia and Canada). Lastly, these developments have led to a decline in home bias in the U.S. financial bond portfolio that we are able to document for the first time. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BONDS (Finance) KW - FOREIGN securities KW - INVESTMENTS KW - CAPITALISTS & financiers KW - GLOBAL Financial Crisis, 2008-2009 KW - UNITED States KW - financial sector debt KW - home bias KW - international portfolio choice KW - safe assets N1 - Accession Number: 99502996; Bertaut, Carol; Email Address: carol.bertaut@frb.gov; Tabova, Alexandra; Email Address: alexandra.m.tabova@frb.gov; Wong, Vivian 1; Affiliations: 1: Staff economists, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 USA; Issue Info: Oct2014, Issue 1120, preceding p1; Thesaurus Term: BONDS (Finance); Thesaurus Term: FOREIGN securities; Thesaurus Term: INVESTMENTS; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: GLOBAL Financial Crisis, 2008-2009; Subject Term: UNITED States; Author-Supplied Keyword: financial sector debt; Author-Supplied Keyword: home bias; Author-Supplied Keyword: international portfolio choice; Author-Supplied Keyword: safe assets; Number of Pages: 48p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=99502996&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gourio, François AU - Messer, Todd AU - Siemer, Michael T1 - What is the economic impact of the slowdown in new business formation? JO - Chicago Fed Letter JF - Chicago Fed Letter Y1 - 2014/09// IS - 326 M3 - Article SP - 1 EP - 4 PB - Federal Reserve Bank of Chicago SN - 08950164 AB - The article focuses on the economic impact of slowdown in new business formation, particularly in the U.S. Topics discussed include the decline of new business formation which is associated to credit, the missing generation theory, and the decline of employment in younger firms compared to older firms. It also discusses the calculation of the magnitude of job losses caused by missing generation. KW - RECESSIONS KW - NEW business enterprises KW - ECONOMIC indicators KW - CREDIT KW - ORGANIZATIONAL age KW - EMPLOYMENT (Economic theory) KW - UNITED States N1 - Accession Number: 97378204; Gourio, François 1 Messer, Todd 2 Siemer, Michael 3; Affiliation: 1: Senior economist, Board of Governors of the Federal Reserve System 2: Associate economist, Board of Governors of the Federal Reserve System 3: Economist, Board of Governors of the Federal Reserve System; Source Info: Sep2014, Issue 326, p1; Subject Term: RECESSIONS; Subject Term: NEW business enterprises; Subject Term: ECONOMIC indicators; Subject Term: CREDIT; Subject Term: ORGANIZATIONAL age; Subject Term: EMPLOYMENT (Economic theory); Subject Term: UNITED States; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=97378204&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Nakata, Taisuke T1 - Welfare costs of shifting trend inflation. JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2014/09// VL - 41 M3 - Article SP - 66 EP - 78 SN - 01640704 AB - This paper studies the welfare consequences of exogenous variations in trend inflation in a New Keynesian economy. Consumption and leisure respond asymmetrically to a rise and a decline in trend inflation. As a result, an increase in the variance of shocks to the trend inflation process decreases welfare not only by increasing the volatilities of consumption and leisure, but also by decreasing their average levels. I find that the welfare cost of drifting trend inflation is modest and that it comes mainly from reduced average levels of consumption and leisure, not from their increased volatilities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - WELFARE economics KW - KEYNESIAN economics KW - CONSUMPTION (Economics) KW - VOLATILITY (Finance) KW - LEISURE KW - Second-order approximation KW - The great inflation KW - Trend inflation KW - Welfare N1 - Accession Number: 97335494; Nakata, Taisuke 1; Email Address: taisuke.nakata@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Sep2014, Vol. 41, p66; Thesaurus Term: INFLATION (Finance); Thesaurus Term: WELFARE economics; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: VOLATILITY (Finance); Subject Term: LEISURE; Author-Supplied Keyword: Second-order approximation; Author-Supplied Keyword: The great inflation; Author-Supplied Keyword: Trend inflation; Author-Supplied Keyword: Welfare; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jmacro.2014.05.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97335494&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schuetz, Jenny T1 - Do art galleries stimulate redevelopment? JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2014/09// VL - 83 M3 - Article SP - 59 EP - 72 SN - 00941190 AB - New York City is often held up as a successful example of arts-led economic development. Case studies have documented the influx of avant-garde artists and galleries into several neighborhoods, including Greenwich Village, Soho, and Chelsea, followed by yuppies and boutiques. Some researchers have used these examples to argue that artists and galleries can spur gentrification. An alternative hypothesis is that galleries choose to locate in neighborhoods with high levels of amenities. In this paper, I examine whether concentrations of galleries in Manhattan are associated with redevelopment of surrounding neighborhoods, conditional on initial neighborhood amenities. Results indicate that new galleries locate in high amenity, affluent neighborhoods, and near existing star galleries. In simple bivariate regressions, star gallery density is positively correlated with several metrics of building change. However, these correlations diminish when controls are added for initial neighborhood physical and economic conditions, and weaken still further under an IV approach. Results are consistent with galleries selecting neighborhoods that have a higher propensity to redevelop, due to the presence of observed and unobserved amenities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - ART museums KW - REGRESSION analysis KW - CORRELATION (Statistics) KW - HYPOTHESIS KW - MANHATTAN (New York, N.Y.) KW - Amenities KW - Cultural institutions KW - Economic development KW - Neighborhood change KW - R1 KW - R3 KW - Z1 N1 - Accession Number: 98144999; Schuetz, Jenny 1; Email Address: jenny.schuetz@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Sep2014, Vol. 83, p59; Thesaurus Term: ECONOMIC development; Thesaurus Term: ART museums; Thesaurus Term: REGRESSION analysis; Thesaurus Term: CORRELATION (Statistics); Subject Term: HYPOTHESIS; Subject: MANHATTAN (New York, N.Y.); Author-Supplied Keyword: Amenities; Author-Supplied Keyword: Cultural institutions; Author-Supplied Keyword: Economic development; Author-Supplied Keyword: Neighborhood change; Author-Supplied Keyword: R1; Author-Supplied Keyword: R3; Author-Supplied Keyword: Z1; NAICS/Industry Codes: 712110 Museums; NAICS/Industry Codes: 712111 Non-commercial art museums and galleries; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jue.2014.08.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98144999&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bolotnyy, Valentin T1 - The Government-Sponsored Enterprises and the Mortgage Crisis: The Role of the Affordable Housing Goals. JO - Real Estate Economics JF - Real Estate Economics Y1 - 2014///Fall2014 VL - 42 IS - 3 M3 - Article SP - 724 EP - 755 PB - Wiley-Blackwell SN - 10808620 AB - I use regression discontinuity analysis to measure the effect of one of the Affordable Housing Goals, the Underserved Areas Goal (UAG), on the number of whole single-family mortgages purchased by Fannie Mae and Freddie Mac (GSEs) in undeserved census tracts for 1996-2002. Focusing additionally on tracts that became UAG-eligible in 2005-2006, I measure the effect of the UAG during peak years for the subprime market. The results suggest a small UAG effect and challenge the view that the goals caused the GSEs to supply substantially more credit to high-risk borrowers than they otherwise would have supplied during the subprime boom. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT-sponsored enterprises KW - MORTGAGE loan default KW - FINANCIAL crises KW - HOUSING policy KW - FANNIE Mae KW - FREDDIE Mac (Company) N1 - Accession Number: 97654909; Bolotnyy, Valentin 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Federal Reserve Board; Issue Info: Fall2014, Vol. 42 Issue 3, p724; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: MORTGAGE loan default; Thesaurus Term: FINANCIAL crises; Subject Term: HOUSING policy ; Company/Entity: FANNIE Mae Ticker: FNMA ; Company/Entity: FREDDIE Mac (Company) DUNS Number: 053382495 Ticker: FMCC; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 925110 Administration of Housing Programs; NAICS/Industry Codes: 624229 Other Community Housing Services; Number of Pages: 32p; Document Type: Article L3 - 10.1111/1540-6229.12031 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97654909&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kazemi, Maziar AU - Islamaj, Ergys T1 - Returns to Active Management: The Case of Hedge Funds. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/08/08/ IS - 1112 M3 - Article SP - 1 EP - 24 AB - Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to develop a measure of activeness for each hedge fund. Our results show that there exists a nonlinear relationship between activeness and performance. Using raw returns as a measure of performance, it is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure performance, we find the opposite results; that is, activeness is inversely related to returns. Still, we find that a few very active managers outperform the moderately active funds and generate higher returns. We conclude that the most active managers use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted returns. Finally, we find that compared to the least active managers, the most active managers are less homogeneous and, therefore, due diligence is far more important when selecting an active manager. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HEDGE funds KW - ABSOLUTE return funds KW - HEDGING (Finance) KW - SHADOW banking system KW - FINANCIAL leverage KW - Active Management KW - Dynamic Trading KW - Fama-French KW - Hedge Funds N1 - Accession Number: 98353946; Kazemi, Maziar 1; Email Address: mazi.kazemi@frb.gov; Islamaj, Ergys 2; Email Address: erislamaj@vassar.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; 2: Department of Economics, Vassar College, Poughkeepsie, NY, 12604, U.S.A; Issue Info: 8/8/2014, Issue 1112, preceding p1; Thesaurus Term: HEDGE funds; Thesaurus Term: ABSOLUTE return funds; Thesaurus Term: HEDGING (Finance); Thesaurus Term: SHADOW banking system; Thesaurus Term: FINANCIAL leverage; Author-Supplied Keyword: Active Management; Author-Supplied Keyword: Dynamic Trading; Author-Supplied Keyword: Fama-French; Author-Supplied Keyword: Hedge Funds; NAICS/Industry Codes: 525910 Open-End Investment Funds; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98353946&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cao, Charles AU - Petrasek, Lubomir T1 - Liquidity risk in stock returns: An event-study perspective. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2014/08// VL - 45 M3 - Article SP - 72 EP - 83 SN - 03784266 AB - We examine in an event-study context what factors affect the relative performance of stocks during liquidity crises. We find that market risk, measured by the market beta, is not a good measure of expected abnormal stock returns on days with liquidity crises. Instead, abnormal stock returns during liquidity crises are strongly negatively related to liquidity risk, measured by the co-movement of stock returns with market liquidity. The degree of informational asymmetry and the ownership structure of the firm also help to explain abnormal stock returns on crisis days. Our findings have important implications for managing the liquidity risk of equity portfolios. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIQUIDITY (Economics) KW - STOCKS (Finance) -- Rate of return KW - RISK assessment KW - PERFORMANCE evaluation KW - STOCKS (Finance) -- Ratings & rankings KW - INFORMATION asymmetry KW - Asymmetric information KW - Financial crises KW - Institutional investors KW - Liquidity risk N1 - Accession Number: 97013064; Cao, Charles 1,2; Email Address: qxc2@psu.edu; Petrasek, Lubomir 3; Email Address: Lubomir.Petrasek@frb.gov; Affiliations: 1: Pennsylvania State University, University Park, PA 16803, United States; 2: Tsinghua University, Beijing 100083, China; 3: Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; Issue Info: Aug2014, Vol. 45, p72; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: RISK assessment; Thesaurus Term: PERFORMANCE evaluation; Thesaurus Term: STOCKS (Finance) -- Ratings & rankings; Thesaurus Term: INFORMATION asymmetry; Author-Supplied Keyword: Asymmetric information; Author-Supplied Keyword: Financial crises; Author-Supplied Keyword: Institutional investors; Author-Supplied Keyword: Liquidity risk; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jbankfin.2013.09.020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97013064&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Prager, Robin T1 - Determinants of the Locations of Alternative Financial Service Providers. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2014/08// VL - 45 IS - 1 M3 - Article SP - 21 EP - 38 SN - 0889938X AB - Many low-to-moderate income US households rely upon alternative financial service providers (AFSPs) for a variety of credit products and transaction services. The social welfare implications of this segment of the financial services industry are quite controversial. One aspect of the controversy involves the location decisions of AFSPs. This study examines the determinants of the locations of three types of AFSPs: payday lenders, pawnshops, and check-cashing outlets. Using county-level data for the entire country, I find that the number of AFSP outlets per capita is significantly related to demographic characteristics of the county population, measures of the population's creditworthiness, and the stringency of state laws and regulations that govern AFSPs. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL services industry KW - PAWNBROKING KW - PAYDAY loans KW - DECISION making in economics KW - HOUSEHOLDS -- United States KW - Alternative financial services KW - Check cashers KW - Pawnshops KW - Payday lending N1 - Accession Number: 97052279; Prager, Robin 1; Email Address: Robin.Prager@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets, NW Washington 20551 USA; Issue Info: Aug2014, Vol. 45 Issue 1, p21; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: PAWNBROKING; Thesaurus Term: PAYDAY loans; Thesaurus Term: DECISION making in economics; Subject Term: HOUSEHOLDS -- United States; Author-Supplied Keyword: Alternative financial services; Author-Supplied Keyword: Check cashers; Author-Supplied Keyword: Pawnshops; Author-Supplied Keyword: Payday lending; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; Number of Pages: 18p; Document Type: Article L3 - 10.1007/s11151-014-9421-4 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97052279&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coroneo, Laura AU - Giannone, Domenico AU - Modugno, Michele T1 - Unspanned macroeconomic factors in the yield curve. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/08// IS - 57 M3 - Article SP - 1 EP - 49 AB - In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ZERO coupon securities KW - MACROECONOMICS KW - ECONOMIC development KW - INTEREST rates KW - UNITED States KW - Factor models KW - Forecasting KW - Government Bonds KW - Yield Curve N1 - Accession Number: 97487911; Coroneo, Laura 1; Giannone, Domenico 2; Modugno, Michele 3; Affiliations: 1: University of York; 2: Luiss University of Rome, ECARES, EIEF and CEPR; 3: Board of Governors of the Federal Reserve System; Issue Info: Jul2014, Issue 57, p1; Thesaurus Term: ZERO coupon securities; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC development; Thesaurus Term: INTEREST rates; Subject: UNITED States; Author-Supplied Keyword: Factor models; Author-Supplied Keyword: Forecasting; Author-Supplied Keyword: Government Bonds; Author-Supplied Keyword: Yield Curve; Number of Pages: 49p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97487911&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cacciatore, Matteo AU - Ghironi, Fabio AU - Stebunovs, Viktors T1 - The Domestic and International Effects of Interstate U.S. Banking. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/08//8/1/2014 IS - 1111 M3 - Article SP - 1 EP - 40 AB - This paper studies the domestic and international effects of national bank market integration in a two-country, dynamic, stochastic, general equilibrium model with endogenous producer entry. Integration of banking across localities reduces the degree of local monopoly power of financial intermediaries. The economy that implements this form of deregulation experiences increased producer entry, real exchange rate appreciation, and a current account deficit. The foreign economy experiences a long-run increase in GDP and consumption. Less monopoly power in financial intermediation results in less volatile business creation, reduced markup countercyclicality, and weaker substitution effects in labor supply in response to productivity shocks. Bank market integration thus contributes to moderation of firm-level and aggregate output volatility. In turn, trade and financial ties allow also the foreign economy to enjoy lower GDP volatility in most scenarios we consider. These results are consistent with features of U.S. and international fluctuations after the United States began its transition to interstate banking in the late 1970s. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- United States KW - FINANCIAL institutions KW - LENDER liability KW - LOANS KW - GROSS domestic product KW - Business cycle volatility KW - Current account KW - Deregulation KW - Interstate banking KW - Producer entry KW - Real exchange rate N1 - Accession Number: 98353514; Cacciatore, Matteo 1; Email Address: matteo.cacciatore@hec.ca; Ghironi, Fabio 2; Email Address: ghiro@uw.edu; Stebunovs, Viktors 3; Email Address: viktors.stebunovs@frb.gov.; Affiliations: 1: HEC Montréal, Institute of Applied Economics 3000, chemin de la Côte-Sainte-Catherine, Montréal, Quebec, Canada; 2: Department of Economics, University of Washington, Savery Hall, Box 353330, Seattle, Washington, WA 98195, U.S.A; 3: Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue, NW,Washington, DC 20551, U.S.A; Issue Info: 8/1/2014, Issue 1111, preceding p1; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: LENDER liability; Thesaurus Term: LOANS; Thesaurus Term: GROSS domestic product; Author-Supplied Keyword: Business cycle volatility; Author-Supplied Keyword: Current account; Author-Supplied Keyword: Deregulation; Author-Supplied Keyword: Interstate banking; Author-Supplied Keyword: Producer entry; Author-Supplied Keyword: Real exchange rate; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 41p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=98353514&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Goulding, William AU - Rice, Tara T1 - Do small businesses still prefer community banks? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2014/07// VL - 44 M3 - Article SP - 264 EP - 278 SN - 03784266 AB - Abstract: We formulate and test hypotheses about the role of bank type – small versus large, single-market versus multimarket, and local versus nonlocal banks – in banking relationships. The conventional paradigm suggests that “community banks” – small, single-market, local institutions – are better able to form strong relationships with informationally opaque small businesses, while “megabanks” – large, multimarket, nonlocal institutions – tend to serve more transparent firms. Using the 2003 Survey of Small Business Finance (SSBF), we conduct two sets of tests. First, we test for the type of bank serving as the “main” relationship bank for small businesses with different firm and owner characteristics. Second, we test for the strength of these main relationships by examining the probability of an exclusive relationship and main bank relationship length as functions of main bank type and financial fragility, as well as firm and owner characteristics. The results are often not consistent with the conventional paradigm, perhaps because of changes in lending technologies and deregulation of the banking industry. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business -- Finance KW - COMMUNITY banks KW - TRANSPARENCY in organizations KW - PROBABILITY theory KW - BANKING industry KW - FINANCE KW - DEREGULATION KW - Banks KW - Government policy KW - Relationships KW - Small business N1 - Accession Number: 96244821; Berger, Allen N. 1,2,3; Email Address: aberger@moore.sc.edu; Goulding, William 4; Email Address: bill.goulding@sloan.mit.edu; Rice, Tara 5; Email Address: tara.rice@frb.gov; Affiliations: 1: University of South Carolina, United States; 2: Wharton Financial Institutions Center, United States; 3: European Banking Center, Netherlands; 4: Massachusetts Institute of Technology, Sloan School of Management, United States; 5: Board of Governors of the Federal Reserve System, United States; Issue Info: Jul2014, Vol. 44, p264; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: COMMUNITY banks; Thesaurus Term: TRANSPARENCY in organizations; Thesaurus Term: PROBABILITY theory; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE; Thesaurus Term: DEREGULATION; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Government policy; Author-Supplied Keyword: Relationships; Author-Supplied Keyword: Small business; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 15p; Document Type: Article L3 - 10.1016/j.jbankfin.2014.03.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96244821&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Christiano, Lawrence J. AU - Eichenbaum, Martin S. AU - Trabandt, Mathias T1 - Understanding the Great Recession. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/06/08/ M3 - Article SP - 1 EP - 49 AB - We argue that the vast bulk of movements in aggregate real economic activity during the Great Recession were due to financial frictions. We reach this conclusion by looking through the lens of an estimated New Keynesian model in which firms face moderate degrees of price rigidities, no nominal rigidities in wages and a binding zero lower bound constraint on the nominal interest rate. Our model does a good job of accounting for the joint behavior of labor and goods markets, as well as inflation, during the Great Recession. According to the model the observed fall in total factor productivity and the rise in the cost of working capital played critical roles in accounting for the small drop in inflation that occurred during the Great Recession. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS KW - KEYNESIAN economics KW - ECONOMIC development KW - FINANCIAL performance KW - INFLATION forecasting KW - UNEMPLOYMENT -- Statistics KW - UNITED States KW - HISTORY KW - Inflation KW - labor force KW - unemployment KW - zero lower bound N1 - Accession Number: 97867579; Christiano, Lawrence J. 1; Email Address: l-christiano@northwestern.edu; Eichenbaum, Martin S. 1; Email Address: eich@northwestern.edu; Trabandt, Mathias 2; Email Address: mathias.trabandt@gmail.com; Affiliations: 1: Northwestern University, Department of Economics, 2001 Sheridan Road, Evanston, Illinois 60208, USA; 2: Board of Governors of the Federal Reserve System, Division of International Finance, Global Modeling Studies Section, 20th Street and Constitution Avenue N.W., Washington, D.C. 20551, USA; Issue Info: 6/8/2014, preceding p1; Thesaurus Term: RECESSIONS; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: ECONOMIC development; Thesaurus Term: FINANCIAL performance; Thesaurus Term: INFLATION forecasting; Thesaurus Term: UNEMPLOYMENT -- Statistics; Subject Term: UNITED States; Subject Term: HISTORY; Author-Supplied Keyword: Inflation; Author-Supplied Keyword: labor force; Author-Supplied Keyword: unemployment; Author-Supplied Keyword: zero lower bound; Number of Pages: 70p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97867579&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haltenhof, Samuel AU - Jung Lee, Seung AU - Stebunovs, Viktors T1 - The credit crunch and fall in employment during the Great Recession. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2014/06// VL - 43 M3 - Article SP - 31 EP - 57 SN - 01651889 AB - Abstract: We study how a bank credit crunch—a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession—translates into job losses in U.S. manufacturing industries. To identify the impact of the recent credit crunch, we rely on differences in the degree of dependence on external finance and of tangibility of assets across manufacturing industries and in the sensitivity of these industries׳ output to changes in the supply of consumer credit. We find that, for employment, household access to bank loans matters more than firm access to bank loans. In addition, we show that, over the recent financial crisis, tightening access to commercial and industrial loans and, in particular, consumer installment loans may have contributed significantly to the drop in employment in the manufacturing sector. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - RECESSIONS KW - BUSINESS enterprises KW - BANK loans KW - CONSUMER behavior KW - MANUFACTURING industries KW - UNITED States KW - Bank credit KW - Credit crunch KW - Great Recession KW - Job losses KW - L25 KW - Senior Loan Officer Opinion Survey N1 - Accession Number: 96242853; Haltenhof, Samuel 1; Jung Lee, Seung 2; Stebunovs, Viktors 2; Email Address: viktors.stebunovs@frb.gov; Affiliations: 1: University of Michigan, United States; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, United States; Issue Info: Jun2014, Vol. 43, p31; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: RECESSIONS; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: BANK loans; Thesaurus Term: CONSUMER behavior; Thesaurus Term: MANUFACTURING industries; Subject Term: UNITED States; Author-Supplied Keyword: Bank credit; Author-Supplied Keyword: Credit crunch; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Job losses; Author-Supplied Keyword: L25; Author-Supplied Keyword: Senior Loan Officer Opinion Survey; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 27p; Document Type: Article L3 - 10.1016/j.jedc.2014.03.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96242853&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Carpenter, Seth AU - Demiralp, Selva AU - Eisenschmidt, Jens T1 - The effectiveness of non-standard monetary policy in addressing liquidity risk during the financial crisis: The experiences of the Federal Reserve and the European Central Bank. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2014/06// VL - 43 M3 - Article SP - 107 EP - 129 SN - 01651889 AB - Abstract: A number of studies sought to measure the effects of non-standard policy on bank funding markets. This paper carries those estimates a step further by looking at the effects of bank funding market stress on the volume of bank lending. By separately modeling loan supply and demand, we determine how non-standard central bank measures affected bank lending by reducing stress in bank funding markets. Our results suggest that non-standard policy measures lowered bank funding volatility in the US and the Euro Area. Lower bank funding volatility in turn increased loan supply in both regions, contributing to sustained lending activity. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - LIQUIDITY (Economics) KW - FINANCIAL crises KW - FEDERAL Reserve banks KW - Bank funding volatility KW - Bank lending KW - Non-standard policy KW - EUROPEAN Central Bank N1 - Accession Number: 96242856; Carpenter, Seth 1; Email Address: scarpenter@frb.gov; Demiralp, Selva 2; Email Address: sdemiralp@ku.edu.tr; Eisenschmidt, Jens 3; Email Address: Jens.Eisenschmidt@ecb.int; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; 2: Koc University, Rumeli Feneri Yolu, Sariyer, Istanbul 34450, Turkey; 3: European Central Bank, Monetary Policy Strategy Division, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany; Issue Info: Jun2014, Vol. 43, p107; Thesaurus Term: MONETARY policy; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: FINANCIAL crises; Thesaurus Term: FEDERAL Reserve banks; Author-Supplied Keyword: Bank funding volatility; Author-Supplied Keyword: Bank lending; Author-Supplied Keyword: Non-standard policy ; Company/Entity: EUROPEAN Central Bank; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jedc.2014.03.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96242856&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kiley, Michael T. AU - Sim, Jae W. T1 - Bank capital and the macroeconomy: Policy considerations. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2014/06// VL - 43 M3 - Article SP - 175 EP - 198 SN - 01651889 AB - Abstract: We develop a macroeconomic model in which the balance sheet condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete resolution of idiosyncratic funding risk that can be addressed only by costly refinancing, forcing them to behave in a risk-averse manner. The model shows that the balance sheet condition of intermediaries can drive asset values away from their fundamentals, causing aggregate investment and output to respond to shocks to intermediaries. We use this model to evaluate several public policies designed to address balance sheet problems at financial institutions. With regard to short-run policies, we find that capital injections conditioned upon voluntary recapitalization can be a more effective tool than asset purchases. With regard to long-run policies, we demonstrate that higher capital requirements can have sizable short-run effects on economic activity, and that a long transition period helps avoid undesirable side effects. Finally, we show that the marginal effects of policies can be larger during “crises” because of the nonlinear interactions between some financial frictions and policy actions. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK capital KW - MACROECONOMICS KW - ECONOMIC policy KW - ECONOMIC models KW - FINANCIAL statements KW - IDIOSYNCRATIC risk (Securities) KW - Crisis policies KW - Financial intermediation N1 - Accession Number: 96242859; Kiley, Michael T. 1; Email Address: mkiley@frb.gov; Sim, Jae W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Jun2014, Vol. 43, p175; Thesaurus Term: BANK capital; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMIC models; Thesaurus Term: FINANCIAL statements; Thesaurus Term: IDIOSYNCRATIC risk (Securities); Author-Supplied Keyword: Crisis policies; Author-Supplied Keyword: Financial intermediation; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.jedc.2014.01.024 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96242859&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Johnson, Kathleen W. AU - Li, Geng T1 - Are Adjustable-Rate Mortgage Borrowers Borrowing Constrained? JO - Real Estate Economics JF - Real Estate Economics Y1 - 2014///Summer2014 VL - 42 IS - 2 M3 - Article SP - 457 EP - 471 PB - Wiley-Blackwell SN - 10808620 AB - Past research argues that changes in adjustable-rate mortgage (ARM) payments may lead households to cut back on consumption. These outcomes are more likely if ARM borrowers are borrowing constrained, and we show in this article that ARM borrowers exhibit attitudes toward borrowing and behavior that are consistent with being borrowing constrained. Although the demographic and financial characteristics of ARM and fixed-rate mortgage (FRM) borrowers are somewhat similar, ARM borrowers differ from FRM borrowers in their uses of credit and attitudes toward it. In addition, we find the consumption growth of households with an ARM is more sensitive to past income than the consumption growth of other households, suggesting the ARM borrowers may be subject to borrowing constraints that hinder their ability to smooth consumption. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ADJUSTABLE rate mortgages KW - CONSUMPTION (Economics) KW - FIXED rate mortgages KW - INTEREST rates KW - HOUSEHOLDS N1 - Accession Number: 96060968; Johnson, Kathleen W. 1; Li, Geng 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Summer2014, Vol. 42 Issue 2, p457; Thesaurus Term: ADJUSTABLE rate mortgages; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: FIXED rate mortgages; Thesaurus Term: INTEREST rates; Subject Term: HOUSEHOLDS; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 15p; Document Type: Article L3 - 10.1111/1540-6229.12033 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96060968&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kaufman, Alex T1 - The Influence of Fannie and Freddie on Mortgage Loan Terms. JO - Real Estate Economics JF - Real Estate Economics Y1 - 2014///Summer2014 VL - 42 IS - 2 M3 - Article SP - 472 EP - 496 PB - Wiley-Blackwell SN - 10808620 AB - This article uses a novel instrumental variables approach to quantify the effect that government-sponsored enterprise (GSE) purchase eligibility had on equilibrium mortgage loan terms in the period from 2003 to 2007. The technique is designed to eliminate sources of bias that may have affected previous studies. GSE eligibility appears to have lowered interest rates by about ten basis points, encouraged fixed-rate loans over ARMs and discouraged low documentation and brokered loans. There is no measurable effect on loan performance or on the prevalence of certain types of 'exotic' mortgages. The overall picture suggests that GSE purchases had only a modest impact on loan terms during this period. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - GOVERNMENT-sponsored enterprises KW - FIXED rate mortgages KW - UNITED States KW - INSTRUMENTAL variables (Statistics) KW - FANNIE Mae KW - FREDDIE Mac (Company) N1 - Accession Number: 96060971; Kaufman, Alex 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Summer2014, Vol. 42 Issue 2, p472; Thesaurus Term: MORTGAGE loans; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: FIXED rate mortgages; Subject Term: UNITED States; Subject Term: INSTRUMENTAL variables (Statistics) ; Company/Entity: FANNIE Mae Ticker: FNMA ; Company/Entity: FREDDIE Mac (Company) DUNS Number: 053382495 Ticker: FMCC; NAICS/Industry Codes: 522294 Secondary Market Financing; Number of Pages: 25p; Document Type: Article L3 - 10.1111/1540-6229.12030 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96060971&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Epstein, Brendan AU - Kimball, Miles S. T1 - The Decline of Drudgery and The Paradox of Hard Work. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/06// IS - 1106-1110 M3 - Article SP - 1 EP - 40 AB - We develop a theory that focuses on the general equilibrium and long-run macro-economic consequences of trends in job utility. Given secular increases in job utility, work hours per capita can remain approximately constant over time even if the income effect of higher wages on labor supply exceeds the substitution effect. In addition, secular improvements in job utility can be substantial relative to welfare gains from ordinary technological progress. These two implications are connected by an equation flowing from optimal hours choices: improvements in job utility that have a significant effect on labor supply tend to have large welfare effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EQUILIBRIUM (Economics) KW - MACROECONOMICS KW - PER capita KW - RESEARCH KW - LABOR supply KW - EFFECT of education on wages KW - WAGE theory (Economics) KW - UNITED States KW - drudgery KW - income effect KW - job utility KW - Labor supply KW - substitution effect KW - work hours N1 - Accession Number: 97129072; Epstein, Brendan 1; Email Address: Brendan.Epstein@frb.gov; Kimball, Miles S. 2; Email Address: mkimball@umich.edu; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Professor, University of Michigan, and NBER; Issue Info: Jun2014, Issue 1106-1110, preceding p1; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: MACROECONOMICS; Thesaurus Term: PER capita; Thesaurus Term: RESEARCH; Thesaurus Term: LABOR supply; Thesaurus Term: EFFECT of education on wages; Thesaurus Term: WAGE theory (Economics); Subject Term: UNITED States; Author-Supplied Keyword: drudgery; Author-Supplied Keyword: income effect; Author-Supplied Keyword: job utility; Author-Supplied Keyword: Labor supply; Author-Supplied Keyword: substitution effect; Author-Supplied Keyword: work hours; Number of Pages: 40p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97129072&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Epstein, Brendan AU - Mukherjee, Rahul AU - Ramnath, Shanthi T1 - Taxes and International Risk Sharing. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/06// IS - 1106-1110 M3 - Article SP - 1 EP - 39 AB - We examine the extent to which differences in international tax rates may account for the small correlations of per capita consumption fluctuations across countries. Theory implies a close relationship between relative consumption growth, and consumption and capital income tax rate differentials. We find strong empirical evidence for this relationship. Idiosyncratic output uctuations account for the majority of cross country consumption growth variability, but trends in tax differentials are informative about the dynamic evolution of international risk sharing. In particular, adjusting for capital taxes reveals an intuitive positive relationship between financial connectedness and risk sharing that is absent in baseline measures. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAXATION KW - INTERNATIONAL cooperation KW - RISK sharing KW - PER capita KW - RESEARCH KW - INCOME tax -- Law & legislation KW - PRODUCTION (Economic theory) KW - IDIOSYNCRATIC risk (Securities) KW - UNITED States KW - business cycle accounting KW - International risk sharing KW - taxes N1 - Accession Number: 97129076; Epstein, Brendan 1; Email Address: brendan.epstein@frb.gov; Mukherjee, Rahul 1; Email Address: rahul.mukherjee@graduateinstitute.ch; Ramnath, Shanthi 2; Email Address: Shanthi.Ramnath@treasury.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: U.S. Treasury Department, Office of Tax Analysis; Issue Info: Jun2014, Issue 1106-1110, preceding p1; Thesaurus Term: TAXATION; Thesaurus Term: INTERNATIONAL cooperation; Thesaurus Term: RISK sharing; Thesaurus Term: PER capita; Thesaurus Term: RESEARCH; Thesaurus Term: INCOME tax -- Law & legislation; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: IDIOSYNCRATIC risk (Securities); Subject Term: UNITED States; Author-Supplied Keyword: business cycle accounting; Author-Supplied Keyword: International risk sharing; Author-Supplied Keyword: taxes; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 39p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97129076&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adolfson, Malin AU - Laséen, Stefan AU - Lindé, Jesper AU - Svensson, Lars E.O. T1 - Monetary policy trade-offs in an estimated open-economy DSGE model. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2014/05// VL - 42 M3 - Article SP - 33 EP - 49 SN - 01651889 AB - Abstract: This paper studies the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank׳s estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy. Our main finding is that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - MATHEMATICAL models KW - EQUILIBRIUM (Economics) KW - STOCHASTIC analysis KW - CONSUMER price indexes KW - INFLATION (Finance) KW - Instrument rules KW - Open-economy DSGE models KW - Optimal monetary policy KW - Output gap KW - Potential output N1 - Accession Number: 95929845; Adolfson, Malin 1; Laséen, Stefan 1; Lindé, Jesper 2,3; Email Address: jesper.l.linde@frb.gov; Svensson, Lars E.O. 3,4,5,6; Affiliations: 1: Sveriges Riksbank, Sweden; 2: Federal Reserve Board, Board of Governors of the Federal Reserve System, Division of International Finance, Mailstop 20, 20th and C Street NW, Washington NW, DC 20551, United States; 3: CEPR, United Kingdom; 4: SIFR - Stockholm School of Economics, Sweden; 5: IIES - Stockholm University, Sweden; 6: NBER, United States; Issue Info: May2014, Vol. 42, p33; Thesaurus Term: MONETARY policy; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: CONSUMER price indexes; Thesaurus Term: INFLATION (Finance); Author-Supplied Keyword: Instrument rules; Author-Supplied Keyword: Open-economy DSGE models; Author-Supplied Keyword: Optimal monetary policy; Author-Supplied Keyword: Output gap; Author-Supplied Keyword: Potential output; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jedc.2014.02.012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95929845&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AU - Wongswan, Jon T1 - Uncovered Equity Parity and Rebalancing in International Portfolios. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/05// IS - 1103-1105 M3 - Article SP - 1 EP - 41 AB - Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors may be exploiting mean reversion in underlying equity markets, rebalancing away from equity markets that recently performed well and moving into equity markets market just prior to relatively strong performance. Such behavior suggests tactical reallocations to increase returns rather than reduce risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - INVESTMENT banking KW - MONETARY policy KW - RESERVES (Accounting) KW - RISK management in business KW - equity portfolios KW - exchange rate determination KW - international returns N1 - Accession Number: 96426759; Curcuru, Stephanie E. 1; Thomas, Charles P. 1; Warnock, Francis E. 2,3,4,5; Wongswan, Jon 6; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Darden Graduate School of Business, University of Virginia; 3: Institute for International Integration Studies, Trinity College Dublin; 4: Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas; 5: National Bureau of Economic Research; 6: Phatra Securities Public Company Limited; Issue Info: May2014, Issue 1103-1105, p1; Thesaurus Term: RATE of return; Thesaurus Term: INVESTMENT banking; Thesaurus Term: MONETARY policy; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: RISK management in business; Author-Supplied Keyword: equity portfolios; Author-Supplied Keyword: exchange rate determination; Author-Supplied Keyword: international returns; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 41p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96426759&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Desai, Chintal AU - Elliehausen, Gregory AU - Lawrence, Edward T1 - On the County-Level Credit Outcome Beta. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2014/04// VL - 45 IS - 2 M3 - Article SP - 201 EP - 218 SN - 09208550 AB - In their pioneering work, Musto and Souleles (Journal of Monetary Economics 53(1):59-84, ) apply portfolio theory to consumer lending. This paper extends their work by analyzing three county-level credit outcome betas. We use the probability of default calibrated from the credit score, the actual default rate, and the actual bankruptcy rate to compute 'score', 'default', and 'bankruptcy' betas for each U.S. county. The correlation between default and bankruptcy betas is quite low. Counties in states in which a borrower has a right to take action against aggressive collection practices tend to have higher default betas but lower bankruptcy betas. These findings suggest the possibility of an 'informal bankruptcy' option for consumers. The effects of county score, default, and bankruptcy betas on the county average revolving credit line per borrower are negative. For small lenders that do not have access to the detailed historical credit files on individual consumers, the county-level beta approach of this paper might be helpful for diversifying portfolios geographically and managing risk on existing accounts. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEDICATED portfolio theory KW - BANK loan default KW - PERSONAL bankruptcy KW - CREDIT risk KW - LINES of credit KW - Beta KW - Consumer credit KW - Default KW - E51 KW - G21 KW - Personal bankruptcy KW - Portfolio theory N1 - Accession Number: 94833756; Desai, Chintal 1; Email Address: desaica@utpa.edu; Elliehausen, Gregory 2; Lawrence, Edward 3; Affiliations: 1: The University of Texas-Pan American, Edinburg USA; 2: Board of Governors of the Federal Reserve System, Washington USA; 3: University of Missouri, St. Louis USA; Issue Info: Apr2014, Vol. 45 Issue 2, p201; Thesaurus Term: DEDICATED portfolio theory; Thesaurus Term: BANK loan default; Thesaurus Term: PERSONAL bankruptcy; Thesaurus Term: CREDIT risk; Thesaurus Term: LINES of credit; Author-Supplied Keyword: Beta; Author-Supplied Keyword: Consumer credit; Author-Supplied Keyword: Default; Author-Supplied Keyword: E51; Author-Supplied Keyword: G21; Author-Supplied Keyword: Personal bankruptcy; Author-Supplied Keyword: Portfolio theory; Number of Pages: 18p; Document Type: Article L3 - 10.1007/s10693-012-0157-8 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94833756&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bubb, Ryan AU - Kaufman, Alex T1 - Securitization and moral hazard: Evidence from credit score cutoff rules. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2014/04// VL - 63 M3 - Article SP - 1 EP - 18 SN - 03043932 AB - Abstract: A growing literature exploits credit score cutoff rules as a natural experiment to estimate the moral hazard effect of securitization on lender screening. However, these cutoff rules can be traced to underwriting guidelines for originators, not for securitizers. Moreover, loan-level data reveal that lenders change their screening at credit score cutoffs in the absence of changes in the probability of securitization. Credit score cutoff rules thus cannot be used to learn about the moral hazard effect of securitization on underwriting. By showing that this evidence has been misinterpreted, our analysis should move beliefs away from the conclusion that securitization led to lax screening. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSET-backed financing KW - MORAL hazard KW - CREDIT ratings KW - MONEYLENDERS KW - MORTGAGE underwriting KW - PROBABILITY theory KW - Credit scores KW - Financial crisis KW - Moral hazard KW - Mortgages KW - Securitization N1 - Accession Number: 95225876; Bubb, Ryan 1; Email Address: ryan.bubb@nyu.edu; Kaufman, Alex 2; Email Address: alex.kaufman@gmail.com; Affiliations: 1: New York University, 40 Washington Square South, New York, NY 10012, United States; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, D.C. 20551, United States; Issue Info: Apr2014, Vol. 63, p1; Thesaurus Term: ASSET-backed financing; Thesaurus Term: MORAL hazard; Thesaurus Term: CREDIT ratings; Thesaurus Term: MONEYLENDERS; Thesaurus Term: MORTGAGE underwriting; Thesaurus Term: PROBABILITY theory; Author-Supplied Keyword: Credit scores; Author-Supplied Keyword: Financial crisis; Author-Supplied Keyword: Moral hazard; Author-Supplied Keyword: Mortgages; Author-Supplied Keyword: Securitization; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jmoneco.2014.01.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95225876&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - An Alternative Theory of the Plant Size Distribution, with Geography and Intra- and International Trade. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 2014/04// VL - 122 IS - 2 M3 - Article SP - 369 EP - 425 PB - University of Chicago Press SN - 00223808 AB - There is wide variation in the sizes of manufacturing plants, even within the most narrowly defined industry classifications. Standard theories attribute such size differences to productivity differences. This paper develops an alternative theory in which industries are made up of large plants producing standardized goods and small plants making custom or specialty goods. It uses confidential census data to estimate the parameters of the model. The model fits the data well. In particular, the predictions of the model regarding the effect of a surge of imports from China are consistent with what happened over the period 1997-2007. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FACTORIES KW - RESEARCH KW - MATHEMATICAL models KW - MANUFACTURING industries KW - INDUSTRIAL organization (Economic theory) KW - ECONOMIC geography KW - MARKET area KW - PRODUCTION (Economic theory) KW - SIZE N1 - Accession Number: 96044726; Holmes, Thomas J. 1; Stevens, John J. 2; Affiliations: 1: University of Minnesota, Federal Reserve Bank of Minneapolis, and National Bureau of Economic Research; 2: Board of Governors of the Federal Reserve System; Issue Info: Apr2014, Vol. 122 Issue 2, p369; Thesaurus Term: FACTORIES; Thesaurus Term: RESEARCH; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: ECONOMIC geography; Thesaurus Term: MARKET area; Thesaurus Term: PRODUCTION (Economic theory); Subject Term: SIZE; Number of Pages: 53p; Illustrations: 1 Color Photograph, 12 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=96044726&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Scherbina, Anna AU - Schlusche, Bernd T1 - Asset price bubbles: a survey. JO - Quantitative Finance JF - Quantitative Finance Y1 - 2014/04// VL - 14 IS - 4 M3 - Article SP - 589 EP - 604 SN - 14697688 AB - Why do asset price bubbles continue to appear in various markets? What types of events give rise to bubbles and why do arbitrage forces fail to quickly burst them? Do bubbles have real economic consequences and should policy makers do more to prevent them? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. The latest U.S. real estate bubble is described in the context of this literature. [ABSTRACT FROM AUTHOR] AB - Copyright of Quantitative Finance is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK exchanges KW - ECONOMIC impact KW - REAL estate bubbles KW - COMMODITY exchanges KW - PROGRAM trading (Securities) KW - Asset bubbles KW - Asset pricing KW - Behavioral finance KW - Behavioral models N1 - Accession Number: 95004748; Scherbina, Anna 1; Email Address: ascherbina@ucdavis.edu; Schlusche, Bernd 2; Affiliations: 1: Graduate School of Management, University of California, Davis, One Shields Avenue, Davis, CA, 95616, USA; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC, 20551, USA; Issue Info: Apr2014, Vol. 14 Issue 4, p589; Thesaurus Term: STOCK exchanges; Thesaurus Term: ECONOMIC impact; Thesaurus Term: REAL estate bubbles; Thesaurus Term: COMMODITY exchanges; Thesaurus Term: PROGRAM trading (Securities); Author-Supplied Keyword: Asset bubbles; Author-Supplied Keyword: Asset pricing; Author-Supplied Keyword: Behavioral finance; Author-Supplied Keyword: Behavioral models; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 16p; Document Type: Article L3 - 10.1080/14697688.2012.755266 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95004748&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nalewaik, Jeremy J. T1 - Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/04// M3 - Article SP - 1 EP - 10 AB - This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory variables, causing attenuation bias under some conditions. The paper provides evidence of LoSE in US GDP growth during the period known as the Great Moderation (roughly the mid-1980s to the mid-2000s), illustrating attenuation bias in regressions of GDP growth on asset prices. These biases may have contributed to conventional macroeconomic analysis missing the severity of the adverse shocks hitting the economy in the Great Recession. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC indicators KW - GROSS domestic product KW - REGRESSION analysis KW - RECESSIONS KW - UNITED States KW - UNITED States -- Economic conditions -- 2009-2017 N1 - Accession Number: 95705475; Nalewaik, Jeremy J. 1; Email Address: jeremy.j.nalewaik@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551; Issue Info: Apr2014, p1; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: GROSS domestic product; Thesaurus Term: REGRESSION analysis; Thesaurus Term: RECESSIONS; Subject Term: UNITED States; Subject Term: UNITED States -- Economic conditions -- 2009-2017; Number of Pages: 48p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95705475&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amel, Dean F. AU - Prager, Robin A. T1 - Community Bank Performance: How Important are Managers? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/04// M3 - Article SP - 2 EP - 23 AB - Community banks have long played an important role in the U.S. economy, providing loans and other financial services to households and small businesses within their local markets. In recent years, technological and legal developments, as well as changes in the business strategies of larger banks and non-bank financial service providers, have purportedly made it more difficult for community banks to attract and retain customers, and hence to survive. Indeed, the number of community banks and the shares of bank branches, deposits, banking assets, and small business loans held by community banks in the U.S. have all declined substantially over the past two decades. Nonetheless, many community banks have successfully adapted to their changing environment and have continued to thrive. This paper uses data from 1992 through 2011 to examine the relationships between community bank profitability and various characteristics of the banks and the local markets in which they operate. Bank characteristics examined include size, age, ownership structure, management quality, and portfolio composition; market characteristics include population, per capita income, unemployment rate, and banking market structure. We find that community bank profitability is strongly positively related to bank size; that local economic conditions have significant effects on bank profitability; that the quality of bank management matters a great deal to profitability, especially during times of economic stress; and that small banks that make major shifts to their lending portfolios tend to be less profitable than other small banks. Variables within managers' control account for between 70 percent and 96 percent of the total explanatory power of equations explaining variations in performance across community banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COMMUNITY banks KW - FINANCIAL services industry KW - COMMERCIAL loans KW - PER capita KW - PORTFOLIO management (Investments) KW - UNITED States -- Economic conditions -- 2009-2017 KW - UNITED States KW - bank profitability KW - banking KW - community banks KW - management quality N1 - Accession Number: 95705474; Amel, Dean F. 1; Prager, Robin A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, DC 20551; Issue Info: Apr2014, preceding p2; Thesaurus Term: COMMUNITY banks; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: COMMERCIAL loans; Thesaurus Term: PER capita; Thesaurus Term: PORTFOLIO management (Investments); Subject Term: UNITED States -- Economic conditions -- 2009-2017; Subject Term: UNITED States; Author-Supplied Keyword: bank profitability; Author-Supplied Keyword: banking; Author-Supplied Keyword: community banks; Author-Supplied Keyword: management quality; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 36p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95705474&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lewis, Logan T. T1 - Menu Costs, Trade Flows, and Exchange Rate Volatility. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2014/04// IS - 1102 M3 - Article SP - 1 EP - 39 AB - U.S. imports and exports respond little to exchange rate changes in the short run. Pricing behavior has long been thought central to explaining this response: if local prices do not respond to exchange rates, neither will trade flows. Sticky prices and strategic complementarities in price setting generate sluggish responses, and they are necessary to match newly available international micro price data. Using trade flow data, I test models capable of replicating these trade price data. Even with significant pricing frictions, the models still imply a trade response to exchange rates stronger than found in the data. Moreover, using significant cross-sector heterogeneity, comparative statics implied by the model find little to no support in the data. These results suggest that while complementarity in price setting and sticky prices can explain pricing patterns, some other short-run friction is needed to match actual trade flows. Furthermore, the muted response found for sectors with high long-run substitutability implies that simply assuming low elasticities may be inappropriate. Finally, there is evidence of an asymmetric response to exchange rate changes. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - INTERNATIONAL trade KW - FOREIGN trade regulation KW - EXPORT duties KW - UNITED States KW - Pass-through KW - Trade Elasticities KW - Trade Prices N1 - Accession Number: 95841962; Lewis, Logan T. 1; Affiliations: 1: Staff economist, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2014, Issue 1102, preceding p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: FOREIGN trade regulation; Thesaurus Term: EXPORT duties; Subject: UNITED States; Author-Supplied Keyword: Pass-through; Author-Supplied Keyword: Trade Elasticities; Author-Supplied Keyword: Trade Prices; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 40p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95841962&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2014-13426-003 AN - 2014-13426-003 AU - Amromin, Gene AU - Sharpe, Steven A. T1 - From the horse’s mouth: Economic conditions and investor expectations of risk and return. JF - Management Science JO - Management Science JA - Manage Sci Y1 - 2014/04// VL - 60 IS - 4 SP - 845 EP - 866 CY - US PB - Institute for Operations Research & the Management Sciences (INFORMS) SN - 0025-1909 SN - 1526-5501 AD - Amromin, Gene, Federal Reserve Bank of Chicago, Chicago, IL, US, 60604 N1 - Accession Number: 2014-13426-003. Partial author list: First Author & Affiliation: Amromin, Gene; Federal Reserve Bank of Chicago, Chicago, IL, US. Release Date: 20141013. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Choice Behavior; Consumer Attitudes; Consumer Surveys; Costs and Cost Analysis. Minor Descriptor: Business Investments; Expectations. Classification: Consumer Attitudes & Behavior (3920). Population: Human (10); Male (30). Location: US. Age Group: Adulthood (18 yrs & older) (300). Tests & Measures: Michigan Surveys of Consumer Attitudes and Behavior; Index of Consumer Confidence; Index of Consumer Sentiment. Methodology: Empirical Study; Interview; Quantitative Study. Page Count: 22. Issue Publication Date: Apr, 2014. Publication History: First Posted Date: Dec 5, 2013; Accepted Date: May 14, 2013; First Submitted Date: Mar 30, 2011. Copyright Statement: INFORMS. 2014. AB - Data obtained from monthly Gallup/UBS surveys from 1998 to 2007 and from a special supplement to the Michigan Surveys of Consumer Attitudes and Behavior, run in 22 monthly surveys between 2000 and 2005, are used to analyze stock market beliefs and portfolio choices of household investors. We show that the key variables found to be positive predictors of actual stock returns in the asset-pricing literature are also highly correlated with investor’s subjective expected returns, but with the opposite sign. Moreover, our analysis of the microdata indicates that subjective expectations of both risk and returns on stocks are strongly influenced by perceptions of economic conditions. In particular, when investors believe macroeconomic conditions are more expansionary, they tend to expect both higher returns and lower volatility. This is difficult to reconcile with the canonical view that expected returns on stocks rise during recessions to compensate household investors for increased exposure or sensitivity to macroeconomic risks. Finally, the relevance of these investors’ subjective expectations is supported by the finding of a significant link between their expectations and portfolio choices. In particular, we show that portfolio equity positions tend to be higher for those respondents that anticipate higher expected returns or lower uncertainty. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - investor sentiment KW - expected stock returns KW - portfolio choice KW - asset pricing KW - 2014 KW - Choice Behavior KW - Consumer Attitudes KW - Consumer Surveys KW - Costs and Cost Analysis KW - Business Investments KW - Expectations KW - 2014 DO - 10.1287/mnsc.2013.1806 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-13426-003&site=ehost-live&scope=site UR - steve.a.sharpe@frb.gov UR - gamromin@frbchi.org DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Gust, Christopher AU - López-Salido, David T1 - Monetary policy and the cyclicality of risk. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2014/03// VL - 62 M3 - Article SP - 59 EP - 75 SN - 03043932 AB - Abstract: A dynamic general equilibrium model to study the relationship between monetary policy and movements in risk is developed. Variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. Accordingly, prices for risky assets respond sharply to aggregate shocks because only a relatively small subset of consumers are available to absorb these shocks. The model can account for both the mean and the volatility of returns on equity and the risk-free rate and generates a decline in the equity premium following an unanticipated easing of monetary policy. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - EQUILIBRIUM (Economics) KW - OVERHEAD costs KW - PORTFOLIO management (Investments) KW - SHOCK (Economics) KW - RISK assessment KW - HOUSEHOLDS -- Economic aspects KW - Equity premium KW - Monetary policy rules KW - Segmented markets N1 - Accession Number: 94696661; Gust, Christopher 1; Email Address: christopher.j.gust@frb.gov; López-Salido, David 1; Email Address: david.j.lopez-salido@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Mar2014, Vol. 62, p59; Thesaurus Term: MONETARY policy; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: OVERHEAD costs; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: SHOCK (Economics); Thesaurus Term: RISK assessment; Subject Term: HOUSEHOLDS -- Economic aspects; Author-Supplied Keyword: Equity premium; Author-Supplied Keyword: Monetary policy rules; Author-Supplied Keyword: Segmented markets; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2013.11.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94696661&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Robles, Bárbara J.1 T1 - Economic Inclusion and Financial Education in Culturally Diverse Communities: Leveraging Cultural Capital and Whole-Family Learning. JO - New Directions for Adult & Continuing Education JF - New Directions for Adult & Continuing Education J1 - New Directions for Adult & Continuing Education PY - 2014///Spring2014 Y1 - 2014///Spring2014 VL - 2014 IS - 141 CP - 141 M3 - Article SP - 57 EP - 66 SN - 10522891 AB - This chapter focuses on the importance of approaching economic education pedagogy as a whole-family learning process, especially in high immigrant and culturally diverse neighborhoods. [ABSTRACT FROM AUTHOR] KW - Financial management -- Study & teaching KW - Financial literacy KW - Economics -- Study & teaching (Continuing education) KW - Cultural capital KW - Lotería (Game) KW - Bingo N1 - Accession Number: 94802037; Authors:Robles, Bárbara J. 1; Affiliations: 1: Division of Consumer and Community Affairs, Board of Governors of the Federal Reserve System; Subject: Financial literacy; Subject: Economics -- Study & teaching (Continuing education); Subject: Financial management -- Study & teaching; Subject: Cultural capital; Subject: Lotería (Game); Subject: Bingo; Number of Pages: 10p; Record Type: Article L3 - 10.1002/ace.20085 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eft&AN=94802037&site=ehost-live&scope=site DP - EBSCOhost DB - eft ER - TY - JOUR AU - Hurst, Erik AU - Geng Li AU - Pugsley, Benjamin T1 - ARE HOUSEHOLD SURVEYS LIKE TAX FORMS? EVIDENCE FROM INCOME UNDERREPORTING OF THE SELF-EMPLOYED. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2014/03// VL - 96 IS - 1 M3 - Article SP - 19 EP - 33 PB - MIT Press SN - 00346535 AB - A large literature shows that the self-employed underreport their income to tax authorities. In this paper, we quantify the extent to which the self-employed also systematically underreport their income in U.S. household surveys. We use the Engel curve describing the relationship between income and expenditures of wage and salary workers to infer the actual income, and thus the reporting gap, of the self-employed based on their reported expenditures. On average, the self-employed underreport their income by about 25%. We show that failing to account for such income underreporting leads to biased conclusions in a variety of settings. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SELF-employed KW - TAX evasion KW - DESCRIPTIVE statistics KW - HOUSEHOLD surveys KW - UNITED States KW - DUMMY variables KW - LOG-linear models KW - EQUATIONS N1 - Accession Number: 94752004; Hurst, Erik 1; Geng Li 2; Pugsley, Benjamin 3; Affiliations: 1: University of Chicago; 2: Board of Governors of the Federal Reserve System; 3: Federal Reserve Bank of New York; Issue Info: Mar2014, Vol. 96 Issue 1, p19; Thesaurus Term: SELF-employed; Thesaurus Term: TAX evasion; Thesaurus Term: DESCRIPTIVE statistics; Subject Term: HOUSEHOLD surveys; Subject Term: UNITED States; Subject Term: DUMMY variables; Subject Term: LOG-linear models; Subject Term: EQUATIONS; Number of Pages: 15p; Illustrations: 4 Charts, 1 Graph; Document Type: Article L3 - 10.1162/REST_a_00363 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94752004&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2014-10491-008 AN - 2014-10491-008 AU - Han, Song AU - Zhou, Xing T1 - Informed bond trading, corporate yield spreads, and corporate default prediction. JF - Management Science JO - Management Science JA - Manage Sci Y1 - 2014/03// VL - 60 IS - 3 SP - 675 EP - 694 CY - US PB - Institute for Operations Research & the Management Sciences (INFORMS) SN - 0025-1909 SN - 1526-5501 AD - Han, Song, Short-Term Funding Markets Section, Division of Research and Statistics, Federal Reserve Board, Washington, DC, US, 20551 N1 - Accession Number: 2014-10491-008. Partial author list: First Author & Affiliation: Han, Song; Short-Term Funding Markets Section, Division of Research and Statistics, Federal Reserve Board, Washington, DC, US. Release Date: 20140804. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Costs and Cost Analysis; Information; Organizations. Classification: Organizational Behavior (3660). Population: Human (10). Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 20. Issue Publication Date: Mar, 2014. Publication History: First Posted Date: Sep 27, 2013; Accepted Date: Dec 19, 2012; First Submitted Date: Jul 14, 2011. Copyright Statement: INFORMS. 2014. AB - Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed trading in corporate bonds and its ability to predict corporate defaults. We find that microstructure measures of information asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Furthermore, information asymmetry can help forecast corporate defaults after conditioning on other default prediction variables. Such forecasting ability of informed bond trading is especially useful for private firms because the bond market constitutes the only venue for informed traders to exploit their information advantages. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - corporate yield spreads KW - corporate default prediction KW - information asymmetry KW - costs KW - 2014 KW - Costs and Cost Analysis KW - Information KW - Organizations KW - 2014 DO - 10.1287/mnsc.2013.1768 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-10491-008&site=ehost-live&scope=site UR - xing.zhou@rbsmail.rutgers.edu UR - song.han@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Carlson, Mark AU - Lewis, Kurt AU - Nelson, William T1 - USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS. JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 2014/01// VL - 19 IS - 1 M3 - Article SP - 59 EP - 72 SN - 10769307 AB - ABSTRACT This paper describes the construction of a financial stress index (FSI). Our index incorporates the level, volatility and comovement of a variety of financial series, rather than a single dimension of the data. To determine which time periods are ones of notable financial stress and thus the relevant ones for determining the role of the level, volatility and comovement of our financial series, we use actions taken by policymakers. In addition to describing the construction of our FSI, we discuss issues relevant to the general construction of stress indexes such as how an FSI differs from a financial conditions index, the challenges of combining different financial series into a single measure and the role historical experience plays in index construction. Copyright © 2013 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC policy KW - FINANCIAL stress KW - VOLATILITY (Finance) KW - SECURITIES markets KW - ECONOMIC indicators KW - POLICY sciences KW - financial market comovement KW - financial market functioning KW - financial market volatility KW - Financial stress KW - policy interventions KW - stress events N1 - Accession Number: 94575712; Carlson, Mark 1; Lewis, Kurt 1; Nelson, William 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System; Issue Info: Jan2014, Vol. 19 Issue 1, p59; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCIAL stress; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: SECURITIES markets; Thesaurus Term: ECONOMIC indicators; Subject Term: POLICY sciences; Author-Supplied Keyword: financial market comovement; Author-Supplied Keyword: financial market functioning; Author-Supplied Keyword: financial market volatility; Author-Supplied Keyword: Financial stress; Author-Supplied Keyword: policy interventions; Author-Supplied Keyword: stress events; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 14p; Document Type: Article L3 - 10.1002/ijfe.1482 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94575712&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cox, Joseph AU - Ryu, Lisa T1 - Stress testing for supervisory purposes: Framework and challenges. JO - Journal of Risk Management in Financial Institutions JF - Journal of Risk Management in Financial Institutions Y1 - 2014///Winter2013/2014 VL - 7 IS - 1 M3 - Article SP - 6 EP - 15 SN - 17528887 AB - Since 2009, when the Federal Reserve conducted the Supervisory Capital Assessment Program (SCAP), the Federal Reserve has been conducting supervisory stress tests to evaluate the capital adequacy of large banks and to support broad supervisory programmes. These stress tests provide a case study on the key challenges to designing a supervisory stress testing framework for ongoing supervision. The evolution of supervisory stress testing in the USA also provides a lens to examine particular considerations for scenario design, stress testing methodology, and public disclosure within the context of an annual exercise. The US experience suggests that annual supervisory stress tests can help link micro-prudential supervision to macro-prudential objectives; however, the value of supervisory stress tests is best assessed within the context of the broader supervisory programmes they support. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Risk Management in Financial Institutions is the property of Henry Stewart Publications LLP and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL institutions KW - SUPERVISION KW - CAPITAL KW - SUPERVISORS KW - UNITED States KW - market discipline KW - scenario design KW - stress test models KW - stress testing framework KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 94720564; Cox, Joseph 1; Email Address: joseph.b.cox@frb.gov; Ryu, Lisa 2; Email Address: lisa.h.ryu@frb.gov; Affiliations: 1: Financial analyst in the Division of Banking Supervision and Regulation at the Board of Governors of the Federal Reserve System; 2: Deputy Associate Director in the Division of Banking Supervision and Regulation at the Board of Governors of the Federal Reserve System; Issue Info: Winter2013/2014, Vol. 7 Issue 1, p6; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: SUPERVISION; Thesaurus Term: CAPITAL; Thesaurus Term: SUPERVISORS; Subject Term: UNITED States; Author-Supplied Keyword: market discipline; Author-Supplied Keyword: scenario design; Author-Supplied Keyword: stress test models; Author-Supplied Keyword: stress testing framework ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94720564&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Debortoli, Davide AU - Maih, Junior AU - Nunes, Ricardo T1 - LOOSE COMMITMENT IN MEDIUM-SCALE MACROECONOMIC MODELS: THEORY AND APPLICATIONS. JO - Macroeconomic Dynamics JF - Macroeconomic Dynamics Y1 - 2014/01// VL - 18 IS - 1 M3 - Article SP - 175 EP - 198 SN - 13651005 AB - This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment. As opposed to the existing literature, our method can be employed in the medium- and large-scale models typically used in monetary policy. We apply our method to the Smets and Wouters model [American Economic Review 97(3), 586–606 (2007)], for which we show that imperfect commitment has relevant implications for interest rate setting, the sources of business cycle fluctuations, and welfare. [ABSTRACT FROM AUTHOR] AB - Copyright of Macroeconomic Dynamics is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - BUSINESS cycles KW - INTEREST rates KW - MACROECONOMICS KW - ECONOMIC policy KW - Commitment KW - Discretion KW - Monetary Policy KW - AMERICAN Economic Association N1 - Accession Number: 93281136; Debortoli, Davide 1; Maih, Junior 2; Nunes, Ricardo 3; Affiliations: 1: University of California San Diego; 2: International Monetary Fund; 3: Board of Governors of the Federal Reserve System; Issue Info: Jan2014, Vol. 18 Issue 1, p175; Thesaurus Term: MONETARY policy; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INTEREST rates; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC policy; Author-Supplied Keyword: Commitment; Author-Supplied Keyword: Discretion; Author-Supplied Keyword: Monetary Policy ; Company/Entity: AMERICAN Economic Association DUNS Number: 053432811; Number of Pages: 24p; Document Type: Article L3 - 10.1017/S1365100512000326 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=93281136&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Zhiguo He AU - Si Li AU - Bin Wei AU - Jianfeng Yu T1 - Uncertainty, Risk, and Incentives: Theory and Evidence. JO - Management Science JF - Management Science Y1 - 2014/01// VL - 60 IS - 1 M3 - Article SP - 206 EP - 226 SN - 00251909 AB - Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this "learning-by-doing" effect generates a positive relation between profitability uncertainty and incentives. We document empirical support for this prediction. [ABSTRACT FROM AUTHOR] AB - Copyright of Management Science is the property of INFORMS: Institute for Operations Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORAL hazard KW - INCENTIVES in industry KW - CORPORATE profits KW - EXECUTIVE compensation KW - UNCERTAINTY KW - executive compensation KW - learning KW - optimal contracting KW - risk-incentive trade-off KW - uncertainty N1 - Accession Number: 94693372; Zhiguo He 1; Email Address: zhiguo.he@chicagobooth.edu; Si Li 2,3; Email Address: sli@wlu.ca; Bin Wei 4; Email Address: bin.wei@frb.gov; Jianfeng Yu 5; Email Address: jianfeng@umn.edu; Affiliations: 1: Booth School of Business, University of Chicago, Chicago, Illinois 60637; 2: School of Business and Economics, Wilfrid Laurier University, Waterloo, Ontario N2L 3C5, Canada; 3: PBC School of Finance, Tsinghua University, 100083 Beijing, China; 4: Board of Governors of the Federal Reserve System, Washington, DC 20551; 5: Carlson School of Management, University of Minnesota, Minneapolis, Minnesota 55455; Issue Info: Jan2014, Vol. 60 Issue 1, p206; Thesaurus Term: MORAL hazard; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: CORPORATE profits; Thesaurus Term: EXECUTIVE compensation; Subject Term: UNCERTAINTY; Author-Supplied Keyword: executive compensation; Author-Supplied Keyword: learning; Author-Supplied Keyword: optimal contracting; Author-Supplied Keyword: risk-incentive trade-off; Author-Supplied Keyword: uncertainty; Number of Pages: 21p; Illustrations: 1 Diagram, 7 Charts, 2 Graphs; Document Type: Article L3 - 10.1287/mnsc.2013.1744 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94693372&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orlik, Anna AU - Presno, Ignacio T1 - Optimal Monetary Policy under Model Uncertainty without Commitment. JO - Working Paper Series (Federal Reserve Bank of Boston) JF - Working Paper Series (Federal Reserve Bank of Boston) Y1 - 2014/01//1/1/2014 VL - 13 IS - 20 M3 - Article SP - 1 EP - 35 AB - This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments, unlike in the original studies of time-consistent monetary policy, managing households' expectations becomes an active channel of optimal policymaking per se, a feature that the paternalistic government seeks to exploit. We adapt recursive methods in the spirit of Abreu, Pearce, and Stacchetti (1990) as well as computational algorithms based on Judd, Yeltekin, and Conklin to fully characterize the equilibrium outcomes for a class of policy games between the government and a representative household that distrusts the model used by the government. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Paper Series (Federal Reserve Bank of Boston) is the property of Federal Reserve Bank of Boston and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - DISTRIBUTION (Probability theory) KW - ECONOMIC policy KW - MONETARY theory KW - HOUSEHOLDS KW - government credibility KW - model uncertainty KW - monetary policy KW - recursive methods KW - robust control KW - time consistency N1 - Accession Number: 94726217; Orlik, Anna 1; Email Address: anna.a.orlik@frb.gov; Presno, Ignacio 2; Email Address: ignacio.presno@bos.frb.org; Affiliations: 1: Economist in the monetary affairs division at the Board of Governors of the Federal Reserve System; 2: Economist in the research department at the Federal Reserve Bank of Boston; Issue Info: 1/1/2014, Vol. 13 Issue 20, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: DISTRIBUTION (Probability theory); Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY theory; Subject Term: HOUSEHOLDS; Author-Supplied Keyword: government credibility; Author-Supplied Keyword: model uncertainty; Author-Supplied Keyword: monetary policy; Author-Supplied Keyword: recursive methods; Author-Supplied Keyword: robust control; Author-Supplied Keyword: time consistency; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 35p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94726217&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/01// M3 - Article SP - 1 EP - 42 AB - We conduct an empirical analysis of the Federal Reserve's large-scale asset purchases (LSAPs) on MBS yields and mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more than what would have been suggested by changes in market expectations alone, suggesting that portfolio rebalancing effects of LSAPs are an important consideration for monetary policy transmission. Our estimates also suggest that the Federal Reserve must hold a substantial market share of agency MBS or of Treasury securities to significantly lower MBS yields and in turn significantly lower mortgage rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE-backed securities KW - MORTGAGE rates KW - HOUSING -- Finance KW - MORTGAGE loans KW - MONETARY policy KW - interest rates KW - LSAP KW - mortgage-backed securities (MBS) KW - mortgages KW - QE1 KW - QE2 KW - QE3 KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 94750663; Hancock, Diana 1; Email Address: Diana.Hancock@frb.gov; Passmore, Wayne 1; Email Address: Wayne.Passmore@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, DC 20551; Issue Info: Jan2014, preceding p1; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: MORTGAGE rates; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: MORTGAGE loans; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: interest rates; Author-Supplied Keyword: LSAP; Author-Supplied Keyword: mortgage-backed securities (MBS); Author-Supplied Keyword: mortgages; Author-Supplied Keyword: QE1; Author-Supplied Keyword: QE2; Author-Supplied Keyword: QE3 ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 43p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94750663&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pierce, Justin R. AU - Schott, Peter K. T1 - The Surprisingly Swift Decline of U.S. Manufacturing Employment. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2014/01// M3 - Article SP - 1 EP - 54 AB - This paper finds a link between the sharp drop in U.S. manufacturing employment beginning in 2001 and a change in U.S. trade policy that eliminated potential tariff increases on Chinese imports. Industries where the threat of tariff hikes declines the most experience more severe employment losses along with larger increases in the value of imports from China and the number of firms engaged in China-U.S. trade. These results are robust to other potential explanations of the employment loss, and we show that the U.S. employment trends differ from those in the EU, where there was no change in policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MANUFACTURING industries KW - EMPLOYMENT (Economic theory) KW - COMMERCIAL policy KW - TARIFF KW - INTERNATIONAL trade KW - UNITED States KW - CHINA N1 - Accession Number: 94750655; Pierce, Justin R. 1; Email Address: justin.r.pierce@frb.gov; Schott, Peter K. 2; Email Address: peter.schott@yale.edu; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Yale School of Management & NBER; Issue Info: Jan2014, p1; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: COMMERCIAL policy; Thesaurus Term: TARIFF; Thesaurus Term: INTERNATIONAL trade; Subject Term: UNITED States; Subject: CHINA; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 911910 Other federal government public administration; Number of Pages: 54p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94750655&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2014-03921-006 AN - 2014-03921-006 AU - He, Zhiguo AU - Li, Si AU - Wei, Bin AU - Yu, Jianfeng T1 - Uncertainty, risk, and incentives: Theory and evidence. JF - Management Science JO - Management Science JA - Manage Sci Y1 - 2014/01// VL - 60 IS - 1 SP - 206 EP - 226 CY - US PB - Institute for Operations Research & the Management Sciences (INFORMS) SN - 0025-1909 SN - 1526-5501 AD - He, Zhiguo, Booth School of Business, University of Chicago, Chicago, IL, US, 60637 N1 - Accession Number: 2014-03921-006. Partial author list: First Author & Affiliation: He, Zhiguo; Booth School of Business, University of Chicago, Chicago, IL, US. Release Date: 20140512. Correction Date: 20140519. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Grant Information: Li, Si. Major Descriptor: Incentives; Management Methods; Management Personnel; Mathematical Modeling; Uncertainty. Minor Descriptor: Prediction; Risk Factors. Classification: Management & Management Training (3640). Population: Human (10); Male (30); Female (40). Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Mathematical Model; Quantitative Study. References Available: Y. Page Count: 21. Issue Publication Date: Jan, 2014. Publication History: First Posted Date: Aug 2, 2013; Accepted Date: Feb 28, 2013; First Submitted Date: Apr 27, 2010. Copyright Statement: INFORMS. 2014. AB - Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this 'learning-by-doing' effect generates a positive relation between profitability uncertainty and incentives. We document empirical support for this prediction. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - uncertainty KW - risk factors KW - executive incentives KW - managerial efforts KW - prediction KW - mathematical models KW - 2014 KW - Incentives KW - Management Methods KW - Management Personnel KW - Mathematical Modeling KW - Uncertainty KW - Prediction KW - Risk Factors KW - 2014 U1 - Sponsor: Social Sciences and Humanities Research Council of Canada, Canada. Recipients: Li, Si DO - 10.1287/mnsc.2013.1744 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-03921-006&site=ehost-live&scope=site UR - bin.wei@frb.gov UR - sli@wlu.ca UR - zhiguo.he@chicagobooth.edu DP - EBSCOhost DB - psyh ER - TY - UNPB AU - Cipriani, Marco AU - Martin, Antoine AU - McCabe, Patrick E. AU - Parigi, Bruno AD - Federal Reserve Bank of New York AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Padova T1 - Gates, Fees, and Preemptive Runs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-30 Y1 - 2014/// SP - 18 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439636; Keywords: Banks; money market funds; runs; preemptive runs; gates; fees; Publication Type: Working Paper; Update Code: 201405 N2 - We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis--a form of suspension of convertibility--can lead to preemptive runs. In our model, a fraction of investors (depositors) can become informed about a shock to the return of the intermediary's assets. Later, the informed investors learn the realization of the shock and can choose their redemption behavior based on this information. We prove two results: First, there are situations in which informed investors would wait until the uncertainty is resolved before redeeming if redemption fees or gates cannot be imposed, but those same investors would redeem preemptively, if fees or gates are possible. Second, we show that for the intermediary, which maximizes expected utility of only its own investors, imposing gates or fees can be ex post optimal. These results have important policy implications for intermediaries that are vulnerable to runs, such as money market funds, because the preemptive runs that can be caused by the possibility of gates or fees may have damaging negative externalities. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439636&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - de Groot, Oliver AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Solving asset pricing models with stochastic volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-71 Y1 - 2014/// SP - 18 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466011; Keywords: Endowment model; price-dividend ratio; closed-form solution; Publication Type: Working Paper; Update Code: 201411 N2 - This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form. KW - Optimization Techniques; Programming Models; Dynamic Analysis C61 KW - Existence and Stability Conditions of Equilibrium C62 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201471pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466011&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201471pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghamami, Samim AU - Goldberg, Lisa R. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of California, Berkely T1 - Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-54 Y1 - 2014/// SP - 19 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456994; Keywords: Credit value adjustment; stochastic intensity modeling; wrong way and right way risk; Basel III; counterparty credit risk; Publication Type: Working Paper; Update Code: 201409 N2 - Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's credit exposure to the counterparty. We consider a class of reduced form CVA models that includes the formulation of Hull and White and show that wrong way CVA need not exceed independent CVA. This result is based on some general properties of the model calibration scheme and a formula that we derive for intensity models of dependent CVA (wrong or right way). We support our result with a stylized analytical example as well as more realistic numerical examples based on the Hull and White model. We conclude with a discussion of the implications of our findings for Basel III CVA capital charges, which are predicated on the assumption that wrong way risk increases CVA. L3 - http://www.federalreserve.gov/pubs/feds/2014/201454/201454pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456994&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201454/201454pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Mach, Traci L. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Impact of the Small Business Lending Fund on Community Bank Lending to Small Businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-111 Y1 - 2014/// SP - 20 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480180; Keywords: Community banks; government stimulus; small business lending; Publication Type: Working Paper; Update Code: 201502 N2 - Following the financial crisis, total outstanding loans to businesses by commercial banks dropped off substantially. Large loans outstanding began to rebound by the third quarter of 2010 and essentially returned to their previous growth trajectory while small loans outstanding continued to decline. Furthermore, much of the drop in small business loans outstanding was evident at community banks. To address this perceived lack of supply of credit to small businesses, the Small Business Lending Fund (SBLF) was created as part of the 2010 Small Business Jobs Act. The fund was intended to provide community banks with low-cost funding that they could then lend to their small business customers. As of December 31, 2013, the U.S. Department of the Treasury reports that SBLF participants had increased their small business lending by $12.5 billion over their baseline numbers. The current paper uses Call Report data from community banks an d thrift institutions to look at the impact of receiving funds from SBLF on their small business lending. The analysis controls for economic and demographic conditions, market structure and competition. Simple regression estimates indicate that participants in the SBLF program increased their small business lending by about 10 percent more than their non-participating counterparts, in line with numbers reported by Treasury. However, estimates that control for the ongoing growth path in small business lending indicate no statistically significant impact of SBLF participation on small business lending. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014111pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480180&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014111pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Business to Business Credit to Small Firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-55 Y1 - 2014/// SP - 21 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457004; Keywords: Small business; business to business spending; trade credit; Publication Type: Working Paper; Update Code: 201409 N2 - Following the financial crisis, total outstanding loans to businesses by commercial banks dropped off substantially. Large loans outstanding began to rebound by the third quarter of 2010 and essentially returned to their previous growth trajectory while small loans outstanding continued to decline. Anecdotal evidence suggests that firms used trade credit to smooth over cash flow problems. The current paper looks at recent trends in trade credit use by small businesses based on a recent poll done by the Credit Research Foundation. The results highlight the importance of business to business credit for small businesses. They show an increase in demand over the past year as well as a slowdown in payment that may signal a decline in the ability to pay. L3 - http://www.federalreserve.gov/pubs/feds/2014/201455/201455pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457004&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201455/201455pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baglan, Deniz AU - Yoldas, Emre AD - Howard University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Non-linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-51 Y1 - 2014/// SP - 21 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457000; Keywords: Inflation; economic growth; semiparametric panel data model; series estimation; bootstrap; Publication Type: Working Paper; Update Code: 201409 N2 - Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is notably lower than the comparable estimate obtained from a threshold model. Our results also suggest that models with restrictive functional form assumptions tend to underestimate marginal effects of inflation on economic growth. We also document significant variation in the effect of inflation on growth across countries and over time. KW - Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models C23 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.federalreserve.gov/pubs/feds/2014/201451/201451pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457000&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201451/201451pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An Evaluation of the Inflationary Pressure Associated with Short- and Long-term Unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-28 Y1 - 2014/// SP - 22 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439608; Keywords: Short-term unemployment; phillips curve; Publication Type: Working Paper; Update Code: 201405 N2 - In the years following 2009, long-term unemployment has been very elevated while inflation has fallen only moderately, raising the question of whether the long-term unemployed exert less downward pressure on prices than the short-term unemployed, perhaps because such potential workers are disconnected from the labor market. However, empirical evidence is mixed. This analysis demonstrates that the typical approach, using national data, is incapable of discriminating the inflationary pressure exerted by short and long-term unemployment because the series are highly correlated, making inference difficult given the short-span of data used in Phillips-curve estimation. However, application of more data, through the use of regional variation, can discriminate the independent influences of short-and long-term unemployment on price inflation. We present a model illustrating these issues and apply the model to data for U.S. metropolitan regions. We find that that short- and long-term unemployment exert equal downward pressure on price inflation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439608&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arias, Jonas E. AU - Ascari, Guido AU - Branzoli, Nicola AU - Castelnuovo, Efrem AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Oxford AD - Bank of Italy AD - University of Melbourne T1 - Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation--Comment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1127 Y1 - 2014/// SP - 23 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1495228; Keywords: Trend inflation; determinacy; and monetary policy; Publication Type: Working Paper; Update Code: 201505 N2 - Working with a small-scale calibrated New-Keynesian model, Coibion and Gorodnichenko (2011) find that the reduction in trend inflation during Volcker's mandate was a key factor behind the Great Moderation. We revisit this finding with an estimated New-Keynesian model with trend inflation and no indexation based on Christiano, Eichenbaum and Evans (2005). First, our simulations confirm Coibion and Gorodnichenko's (2011) main finding. Second, we show that a trend inflation-immune Taylor rule based on economic theory can avoid indeterminacy even at high levels of trend inflation such as those observed in the 1970s. KW - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C22 KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) E30 KW - Monetary Policy E52 L3 - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1127.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1495228&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1127.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Melick, William R. AD - Kenyon College T1 - The Energy Boom and Manufacturing in the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1108 Y1 - 2014/// SP - 24 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457021; Keywords: Manufacturing; natural gas; Publication Type: Working Paper; Update Code: 201409 N2 - This paper examines the response of U.S. manufacturers to changes in competitiveness brought about by movements in the price of natural gas. I estimate the response of various measures of manufacturing activity using panel regression methods across roughly 80 industries that allow each industry's response to vary with its energy intensity. These estimates suggest that the fall in the price of natural gas since 2006 is associated with a 2 to 3 percent increase in activity for the entire manufacturing sector, with much larger effects of 30 percent or more for the most energy intensive industries. KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Energy and the Macroeconomy Q43 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1108/ifdp1108.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457021&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1108/ifdp1108.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bragoli, Daniela AU - Metelli, Luca AU - Modugno, Michele AD - Universita Cattolica AD - London School of Economics AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Importance of Updating: Evidence from a Brazilian Nowcasting Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-94 Y1 - 2014/// SP - 24 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480196; Keywords: Nowcasting; Updating; Dynamic Factor Model; Publication Type: Working Paper; Update Code: 201502 N2 - How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very strongly to them. However, most of the professional forecasters, including the IMF, the OECD, and most central banks, tend to update their forecasts of economic activity only two to four times a year. The main exception is the Central Bank of Brazil which is responsible for collecting and publishing a daily survey on GDP and other variables. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil Survey and to compare it with the mechanical forecasts based on state-of-the-art nowcasting techniques. Results indicate that institutional forecasts perform as well as model-based forecasts. The latter finding suggests that, on the one hand, judgmental forecasters do not have computational limitations and are able to incorporate very quickly new information in a way that is as efficient as a machine. On the other hand, it confirms what has been found in other studies, namely that a linear time invariant model does a good job and hence that eventual nonlinearities, time variations and soft information (such as weather conditions or government decisions) that could be incorporated by judgment, do not provide new important information. KW - Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models C33 KW - Forecasting Models; Simulation Methods C53 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201494pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480196&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201494pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kazemi, Maziar AU - Islamaj, Ergys AD - Board of Governors of the Federal Reserve System (U.S.) AD - Vassar College T1 - Returns to Active Management: The Case of Hedge Funds PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1112 Y1 - 2014/// SP - 26 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457015; Keywords: Hedge funds; Fama-French; active management; dynamic trading; Publication Type: Working Paper; Update Code: 201409 N2 - Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to develop a measure of activeness for each hedge fund. Our results show that there exists a nonlinear relationship between activeness and performance. Using raw returns as a measure of performance, it is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure performance, we find the opposite results; that is, activeness is inversely related to returns. Still, we find that a few very active managers outperform the moderately active funds and generate higher returns. We conclude that the most active managers use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted returns. Finally, we find that compared to the least active managers, the most active managers are less homogeneous and, therefore, due diligence is far more important when selecting an active manager. KW - Portfolio Choice; Investment Decisions G11 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1112/ifdp1112.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457015&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1112/ifdp1112.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Cyclically Adjusted Current Account Balances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1126 Y1 - 2014/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480211; Keywords: current account; cycles; Publication Type: Working Paper; Update Code: 201502 N2 - The Great Financial Crisis coincided with a sizable reduction in global external imbalances, defined as the absolute value of the sum of individual country current account surpluses and deficits relative to global GDP. Although current account balances should not respond to a downturn that is uniform across countries, one that hits countries with current account deficits harder than those with surpluses might result in a decline in the global balance. This paper quantifies the cyclical portion of the current account balance for 35 countries using estimates of the severity of the cycle in each country relative to that of its trading partners in conjunction with three estimates of the sensitivity of the current account balance to changes in the output gap. Two of the estimates are derived from equations linking trade to income and the third is derived from the relationship between changes in current account balances and changes in output gap differentials. The main result is that the bulk of the reduction in the global current account imbalance since 2006 appears to have been structural. Cyclical forces are estimated to account for between 10 and 30 percent of the decline. In the aggregate, the cyclical effect is estimated to be currently holding down the global current account balance by about 1/2 percentage point. However, the size of the cyclical effect is more substantial for some countries. Both surplus and deficit countries have contributed to the decline in the absolute value of the global current account imbalance, but the contribution of the deficit countries is about twice as large as that of the surplus countries. Changes in oil prices have had largely offsetting effects on the global current account balance, but changes in real exchange rates in recent years have contributed to the reduction. KW - Business Fluctuations; Cycles E32 KW - Trade: Forecasting and Simulation F17 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1126.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480211&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1126.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Noussair, Charles N. AU - Pfajfar, Damjan AU - Zsiros, Janos AD - University of Tilburg AD - Board of Governors of the Federal Reserve System (U.S.) AD - Cornell University T1 - Pricing decisions in an experimental dynamic stochastic general equilibrium economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-93 Y1 - 2014/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480206; Keywords: Experimental economics; DSGE economy; pricing behavior; menu costs; Publication Type: Working Paper; Update Code: 201502 N2 - We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. We analyze the behavior of firms' pricing decisions in four different experimental economies. We consider how well the experimental data conform to a number of accepted empirical stylized facts. Pricing patterns mostly conform to these patterns. Most price changes are positive, and inflation is strongly correlated with average magnitude, but not the frequency, of price changes. Prices are affected negatively by the productivity shock and positively by the output gap. Lagged real interest rate has a negative effect on prices, unless human subjects choose the interest rate, or firms sell perfect substitutes in the output market. There is inertia in price setting, firms integrate wage increases into their prices, and there is evidence of adaptive behavior in price-setting in our laboratory economy. The hazard function for price changes, however, is upward-sloping, in contrast to most empirical studies. KW - Design of Experiments: Laboratory, Individual C91 KW - Design of Experiments: Laboratory, Group Behavior C92 KW - Price Level; Inflation; Deflation E31 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201493pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480206&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201493pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Duygan-Bump, Burcu AU - Natalucci, Fabio M. AU - Nelson, William R. AU - Ochoa, Marcelo AU - Stein, Jerome L. AU - Van den Heuvel, Skander J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Demand for Short-Term, Safe Assets and Financial Stability: Some Evidence and Implications for Central Bank Policies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-102 Y1 - 2014/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480181; Keywords: Financial stability; safe assets; money-like instruments; central bank policies; Publication Type: Working Paper; Update Code: 201502 N2 - A number of researchers have recently argued that the growth of the shadow banking system in the years preceding the recent U.S. financial crisis was driven by rising demand for "money-like" claims--short-term, safe instruments (STSI)--from institutional investors and nonfinancial firms. These instruments carry a money premium that lowers their yields. While government securities are an important part of the supply of STSI, financial intermediaries also take advantage of this money premium when they issue certain types of low-risk, short-term debt, such as asset-backed commercial paper or repo. In this paper, we take the demand for STSI as given and consider the extent to which central banks can improve financial stability and manage maturity transformation by the private sector through their ability to affect the public supply of STSI. The first part of the paper provides new evidence that complements the existing literature on two key ingredients that are necessary for there to be a role for policy: the extent to which public short-term debt and private short-term debt might be substitutes, and the relationship between the money premium and the supply of STSI. The second part of the paper then builds on this evidence and discusses potential ways a central bank could use its balance sheet and monetary policy implementation framework to affect the quantity and mix of short-term liquid assets that will be available to financial market participants. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014102pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480181&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014102pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goldberg, Jonathan E. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Idiosyncratic investment risk and business cycles PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-5 Y1 - 2014/// SP - 28 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439625; Keywords: Incomplete markets; idiosyncratic risk; business cycles; equity premium; risk-free rate; Publication Type: Working Paper; Update Code: 201405 N2 - I show that, due to imperfect risk sharing, aggregate shocks to uncertainty about idiosyncratic return on investment generate economic contractions with elevated risk premia and a decrease in the risk-free rate. I present a tractable real business cycle model in which firms experience idiosyncratic shocks, to which managers are at least partially exposed; the distribution of these shocks is time-varying and stochastic. I show that the path for aggregate quantities, the price of physical capital, and the equity premium are the same as in a model without idiosyncratic risk, but with time-preference shocks. That is, in response to an increase in idiosyncratic uncertainty, the response of these variables is the same as if there were no idiosyncratic uncertainty but managers were suddenly reluctant to invest. However, time-preference and idiosyncratic uncertainty shocks are not isomorphic: an increase in idiosyncratic uncertainty leads to greater demand for precautionary saving and hence a decrease in the risk-free rate; in contrast, an increase in impatience has the opposite effect. In addition, with an idiosyncratic uncertainty shock, investment in physical capital can remain low even after the stock market and firm profitability recover, because managers cannot fully transfer idiosyncratic risk to diversified investors. Thus, shocks to idiosyncratic investment risk can explain, qualitatively, the aftermath of financial panics--elevated risk premia, a sharp and persistent decrease in investment, and a decrease in the risk-free rate. In a calibration, an increase in idiosyncratic investment risk similar to that experienced during the Great Recession leads firms to invest as if their cost of capital were 10 percentage points higher than the cost of capital implied by financial markets, and to a large decrease in the real risk-free rate. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439625&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AU - Carter, Courtney M. AU - Slattery, Cailin R. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Pennsylvania T1 - Peer-to-peer lending to small businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-10 Y1 - 2014/// SP - 28 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439627; Keywords: Peer-to-peer lending; small business; alternative small business borrowing; lending club; Publication Type: Working Paper; Update Code: 201405 N2 - The current paper examines loan-level data from Lending Club to look at peer-to-peer borrowing by small businesses. We begin by looking at characteristics of loan applications that were and were not funded and then take a more in-depth look at funded applications. Summary statistics show an increasing number of small business loan applications over time. Beginning in 2010--when consistent measures of loan purpose were recorded for all applications--loan applications for small businesses were on average less likely than loans for other purposes to have been funded. However, logistic regression results that control for the quality of the application show that, holding all else constant, applications for a loan for a small business were almost twice as likely to have been funded than loans for other purposes. Focusing on funded applications, we note that funded business loans were slightly larger on average than loans funded for other purposes but paid similar interest rates. However, relative to small business loans from traditional sources, peer-to-peer small business borrowers paid an interest rate that was about two times higher. Regression results that control for application quality show that peer-to-peer loans for small businesses were charged almost a percentage point interest rate premium over non-business loans. Logistic regression results that look at loan performance indicate that loans for small businesses were much more likely to be delinquent or charged off. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439627&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - DeGroot, Oliver AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Risk Channel of Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-31 Y1 - 2014/// SP - 30 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439628; Keywords: Financial intermediation; portfolio choice; debt and equity; monetary policy; risk-adjusted steady state; Publication Type: Working Paper; Update Code: 201405 N2 - This paper examines how monetary policy affects the riskiness of the financial sector's aggregate balance sheet, a mechanism referred to as the risk channel of monetary policy. I study the risk channel in a DSGE model with nominal frictions and a banking sector that can issue both outside equity and debt, making banks' exposure to risk an endogenous choice, and dependent on the (monetary) policy environment. Banks' equilibrium portfolio choice is determined by solving the model around a risk-adjusted steady state. I find that banks reduce their reliance on debt finance and decrease leverage when monetary policy shocks are prevalent. A monetary policy reaction function that responds to movements in bank leverage or to movements in credit spreads can incentivize banks to increase their use of debt finance and increase leverage, ceteris paribus, increasing the riskiness of the financial sector for the real economy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439628&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Goldberg, Linda AU - Rice, Tara AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of New York AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Liquidity Risk and U.S. Bank Lending at Home and Abroad PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1105 Y1 - 2014/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457023; Keywords: International banking; global banking; liquidity; transmission; internal capital market; Publication Type: Working Paper; Update Code: 201409 N2 - While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the effects on and consequences for lending vary widely across banks. We demonstrate fundamental differences across banks without foreign affiliates versus those with foreign affiliates. Among the nonglobal banks (those without a foreign affiliate), cross-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding. By contrast, differences across global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in internal borrowing across the global organization. This intra-firm borrowing by banks serves as a shock absorber and affects lending patterns to domestic and foreign customers. The use of official-sector emergency liquidity facilities by global and nonglobal banks in response to market liquidity risks tends to reduce the importance of ex ante differences in balance sheets as drivers of cross-sectional differences in lending. L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1105/ifdp1105.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457023&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1105/ifdp1105.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Wheelock, David C. AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of St. Louis T1 - Navigating constraints: the evolution of Federal Reserve monetary policy, 1935-59 PB - Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Paper: 205 Y1 - 2014/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480162; Publication Type: Working Paper; Update Code: 201502 N2 - The 1950s are often cited as a decade in which the Federal Reserve operated a particularly successful monetary policy. The present paper examines the evolution of Federal Reserve monetary policy from the mid-1930s through the 1950s in an effort to understand better the apparent success of policy in the 1950s. Whereas others have debated whether the Fed had a sophisticated understanding of how to implement policy, our focus is on how the constraints on the Fed changed over time. Roosevelt Administration gold policies and New Deal legislation limited the Fed's ability to conduct an independent monetary policy. The Fed was forced to cooperate with the Treasury in the 1930s, and fully ceded monetary policy to Treasury financing requirements during World War II. Nonetheless, the Fed retained a policy tool in the form of reserve requirements, and from the mid-1930s to 1951, changes in required reserve ratios were the primary means by which the Fed responded to expected inflation. The inability of the Fed to maintain a credible commitment to low interest rates in the face of increased government spending and rising inflation led to the Fed-Treasury Accord of March 1951. Following the Accord, the external pressures on the Fed diminished significantly, which enabled the Fed to focus primarily on macroeconomic objectives. We conclude that a successful outcome requires not only a good understanding of how to conduct policy, but also a conducive environment in which to operate. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 L3 - http://www.dallasfed.org/assets/documents/institute/wpapers/2014/0205.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480162&site=ehost-live&scope=site UR - http://www.dallasfed.org/assets/documents/institute/wpapers/2014/0205.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Wheelock, David C. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of St. Louis T1 - Navigating Constraints: The Evolution of Federal Reserve Monetary Policy, 1935-59 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-44 Y1 - 2014/// SP - 31 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457010; Keywords: Federal Reserve; monetary policy; reserve requirements; Fed-Treasury Accord; inflation; Publication Type: Working Paper; Update Code: 201409 N2 - The 1950s are often pointed to as a decade in which the Federal Reserve operated a particularly successful monetary policy. The present paper examines the evolution of Federal Reserve monetary policy from the mid-1930s through the 1950s in an effort to understand better the apparent success of policy in the 1950s. Whereas others have debated whether the Fed had a sophisticated understanding of how to implement policy, our focus is on how the constraints on the Fed changed over time. Roosevelt Administration gold policies and New Deal legislation limited the Fed's ability to conduct an independent monetary policy. The Fed was forced to cooperate with the Treasury in the 1930s, and fully ceded monetary policy to Treasury financing requirements during World War II. Nonetheless, the Fed retained a policy tool in the form of reserve requirements, and from the mid-1930s to 1951, changes in required reserve ratios were the primary means by which the Fed responded to expected inflation. The inability of the Fed to maintain a credible commitment to low interest rates in the face of increased government spending and rising inflation led to the Fed-Treasury Accord of March 1951. Following the Accord, the external pressures on the Fed diminished significantly, which enabled the Fed to focus primarily on macroeconomic objectives. We conclude that a successful outcome requires not only a good understanding of how to conduct policy, but also a conducive environment in which to operate. KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913- N12 L3 - http://www.federalreserve.gov/pubs/feds/2014/201444/201444pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457010&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201444/201444pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Londono, Juan M. AU - Tian, Mary AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1117 Y1 - 2014/// SP - 32 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466019; Keywords: Systemic Risk; Downside Correlation Risk Premium; Bank Interventions; Variance Risk Premium; European Banking Union; Publication Type: Working Paper; Update Code: 201411 N2 - Using a novel dataset on central bank interventions to financial institutions, we examine the impact of capital injection announcements on systemic risk for the banking sector in the U.S. and the euro area between 2008 and 2013. We propose a new measure of options-based systemic risk called downside correlation risk premium (DCRP), which quantifies the compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated using options that provide a hedge against large drops in the price of a bank index and its individual components. We find that, irrespective of their characteristics, intervention announcements significantly reduce DCRP in the U.S. while for the euro area, interventions were largely unsuccessful at reducing DCRP. KW - Financial Aspects of Economic Integration F36 KW - International Financial Markets G15 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1117.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466019&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1117.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gonzalez-Astudillo, Manuel AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov-switching Estimation Exploiting Monetary-Fiscal Policy Interdependence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-97 Y1 - 2014/// SP - 32 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480188; Keywords: Markov-switching coefficients; zero lower bound; monetary-fiscal policy interactions; Publication Type: Working Paper; Update Code: 201502 N2 - In this paper, I propose an econometric technique to estimate a Markov-switching Taylor rule subject to the zero lower bound of interest rates. I show that incorporating a Tobit-like specification allows to obtain consistent estimators. More importantly, I show that linking the switching of the Taylor rule coefficients to the switching of the coefficients of an auxiliary uncensored Markov-switching regression improves the identification of an otherwise unidentifiable prevalent monetary regime. To illustrate the proposed estimation technique, I use U.S. quarterly data spanning 1960:1-2013:4. The chosen auxiliary Markov-switching regression is a fiscal policy rule where federal revenues react to debt and the output gap. Results show that there is evidence of policy co-movements with debt-stabilizing fiscal policy more likely accompanying active monetary policy, and vice versa. KW - Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models C34 KW - Monetary Policy E52 KW - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy E63 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201497pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480188&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201497pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johannsen, Benjamin K. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Inflation Experience and Inflation Expectations: Dispersion and Disagreement Within Demographic Groups PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-89 Y1 - 2014/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480201; Keywords: Inflation; expectations; inflation experience; Publication Type: Working Paper; Update Code: 201502 N2 - Using consumption data from the Consumer Expenditure Survey, I document persistent differences across demographic groups in the dispersion of household-specific rates of inflation. Using survey data on inflation expectations, I show that demographic groups with greater dispersion in experienced inflation also disagree more about future inflation. I argue that these results can be rationalized from the perspective of an imperfect information model in which idiosyncratic inflation experience serves as a signal about aggregate inflation. These empirical regularities pose a challenge to several other popular models of the expectations formation process of households. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201489pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201489pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Danielsson, Jon AU - James, Kevin AU - Valenzuela, Marcela AU - Zer, Ilknur AD - London School of Economics AD - London School of Economics AD - University of Chile AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Model Risk of Risk Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-34 Y1 - 2014/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439607; Keywords: Value-at-Risk; expected shortfall; systemic risk; financial stability; Basel III; CoVaR; MES; Publication Type: Working Paper; Update Code: 201405 N2 - This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically negligible. However, the disagreement between the various candidate models increases significantly during market distress, with a no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro prudential purposes and propose an evaluation criteria for such models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439607&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chung, Hess AU - Fallick, Bruce C. AU - Nekarda, Christopher J. AU - Ratner, David AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of Cleveland AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Assessing the Change in Labor Market Conditions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-109 Y1 - 2014/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480189; Keywords: LMCI; U.S. labor market; dynamic factor model; employment; unemployment rate; Publication Type: Working Paper; Update Code: 201502 N2 - This paper describes a dynamic factor model of 19 U.S. labor market indicators, covering the broad categories of unemployment and underemployment, employment, workweeks, wages, vacancies, hiring, layoffs, quits, and surveys of consumers' and businesses' perceptions. The resulting labor market conditions index (LMCI) is a useful tool for gauging the change in labor market conditions. In addition, the model provides a way to organize discussions of the signal value of different labor market indicators in situations when they might be sending diverse signals. The model takes the greatest signal from private payroll employment and the unemployment rate. Other influential indicators include the insured unemployment rate, consumers' perceptions of job availability, and help-wanted advertising. Through the lens of the LMCI, labor market conditions have improved at a moderate pace over the past several years, albeit with some notable variation along the way. In addition, from t he perspective of the model, the unemployment rate declined a bit faster over the past two years than was consistent with the other indicators. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - General Outlook and Conditions E66 KW - Demand and Supply of Labor: General J20 KW - Mobility, Unemployment, Vacancies, and Immigrant Workers: General J60 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014109pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480189&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014109pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Domanski, Dietrich AU - Moessner, Richhild AU - Nelson, William R. AD - Bank for International Settlements AD - Bank for International Sentiments AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Central banks as lender of last resort: experiences during the 2007-2010 crisis and lessons for the future PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-110 Y1 - 2014/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480193; Keywords: Banking crisis; central bank liquidity; lender of last resort; Publication Type: Working Paper; Update Code: 201502 N2 - During the 2007-2010 financial crisis, central banks accumulated a vast amount of experience in acting as lender of last resort. This paper reviews the various ways that central banks provided emergency liquidity assistance (ELA) during the crisis, and discusses issues for the design of ELA arising from that experience. In a number of ways, the emergency liquidity assistance since 2007 has largely adhered to Bagehot's dictums of lending freely against good collateral to solvent institutions at a penalty rate. But there were many exceptions to these rules. Those exceptions illuminate the situations where the lender of last resort role of central banks is most difficult. They also highlight key challenges in designing lender of last resort policies going forward. KW - Central Banks and Their Policies E58 KW - Foreign Exchange F31 KW - Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: General, International, or Comparative N10 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014110pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480193&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014110pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Canlin AU - Wei, Min AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-7 Y1 - 2014/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439615; Keywords: No-arbitrage term structure models; Yield curve; Preferred habitat; Supply effects; Factor models; Large-scale asset purchases (LSAP); Agency mortgage-backed securities (MBS); Publication Type: Working Paper; Update Code: 201405 N2 - This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the maturity extension program jointly reduced the 10-year Treasury yield by about 100 basis points. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439615&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AU - Holden, Steinar AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Oslo T1 - Behavioral Economics and Macroeconomic Models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-43 Y1 - 2014/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456996; Keywords: Behavioral macroeconomics; New Keynesian model; Publication Type: Working Paper; Update Code: 201409 N2 - Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy--for example, the counterfactual absence of inertia in the standard New Keynesian model of economic fluctuations. We survey efforts to use behavioral economics to improve some of the underpinnings of the New Keynesian model--specifically, consumption, the formation of expectations and determination of wages and employment that underlie aggregate supply, and the possibility of multiple equilibria and asset price bubbles. We also discuss more broadly the advantages and disadvantages of using behavioral economics features in macroeconomic models. L3 - http://www.federalreserve.gov/pubs/feds/2014/201443/201443pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456996&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201443/201443pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Don H. AU - Wright, Jonathan H. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Johns Hopkins University T1 - Jumps in Bond Yields at Known Times PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-100 Y1 - 2014/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480200; Publication Type: Working Paper; Update Code: 201502 N2 - We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogeneous affine function of the state vector. We apply the model to the term structure of US Treasury rates, estimated at the daily frequency, allowing for jumps on days of employment report announcements. Our model can match the empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models C32 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014100pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014100pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AU - Bricker, Jesse AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Does education loan debt influence household financial distress? An assessment using the 2007-09 SCF Panel PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-90 Y1 - 2014/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480204; Keywords: Student loans; financial distress; Publication Type: Working Paper; Update Code: 201502 N2 - This paper uses the recent 2007-09 SCF panel to examine the influence of student loans on financial distress. Families with student loans in 2007 have higher levels of financial distress than families without such loans, and these families were more susceptible to transitions to financial distress during the early stages of the Great Recession. This correlation persists once we control for a host of other demographic, work-status, and household balance sheet measures. Families with an average level of student loans were 3.1 percentage points more likely to be 60 days late paying bills and 3 percentage points more likely to be denied credit. During this same time period, families with other types of consumer debt were no more or less likely to be financially distressed. Education loans enable students to go to college and improve their employment and earnings prospects. On average, families with education loans in the 2007-09 SCF saw higher income growth between surveys. Further, the value of completing a degree is evident in the data: families without a degree but with education debt drive much of the correlations between financial distress and education loans. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201490pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201490pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Sapriza, Horacio AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Sovereign Debt Crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1104 Y1 - 2014/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457013; Keywords: Sovereign default; banking crises; government guarantees; financial safety net; bank regulation; Publication Type: Working Paper; Update Code: 201409 N2 - Sovereign debt crises have been recurrent events over the past two centuries. In recent years, the timing of sovereign crises has coincided or has directly followed banking crises. The link between sovereigns and banks tightened as the contingent liability that the banking sector represents for the sovereign grew, as financial "safety nets" became more common. This chapter analyzes the transmission channels between sovereigns and banks, with a focus on the effect of sovereign distress on bank solvency and financing. It then highlights the notable cost to the real economy of the close connection between sovereigns and banks. Breaking the "feedback loop" between these two sectors should be an important policy priority. L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1104/ifdp1104.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457013&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1104/ifdp1104.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ivanov, Ivan T. AU - Lenkey, Stephen L. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Penn State University T1 - Are Concerns About Leveraged ETFs Overblown? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-106 Y1 - 2014/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480179; Keywords: Leveraged ETFs; volatility; Publication Type: Working Paper; Update Code: 201502 N2 - Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in financial markets because it is thought that they mechanically rebalance their portfolios in the same direction as contemporaneous returns. We argue that these criticisms are likely exaggerated because they ignore the effects of capital flows on ETF rebalancing demand. Empirically, we find that capital flows substantially reduce the need for ETFs to rebalance when returns are large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show theoretically that flows can completely eliminate ETF rebalancing in the limit. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014106pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480179&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014106pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Prager, Robin A. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Community Bank Performance: How Important are Managers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-26 Y1 - 2014/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439623; Keywords: Banking; community banks; bank profitability; management quality; Publication Type: Working Paper; Update Code: 201405 N2 - Community banks have long played an important role in the U.S. economy, providing loans and other financial services to households and small businesses within their local markets. In recent years, technological and legal developments, as well as changes in the business strategies of larger banks and non-bank financial service providers, have purportedly made it more difficult for community banks to attract and retain customers, and hence to survive. Indeed, the number of community banks and the shares of bank branches, deposits, banking assets, and small business loans held by community banks in the U.S. have all declined substantially over the past two decades. Nonetheless, many community banks have successfully adapted to their changing environment and have continued to thrive. This paper uses data from 1992 through 2011 to examine the relationships between community bank profitability and various characteristics of the banks and the local markets in which they operate. Bank characteristics examined include size, age, ownership structure, management quality, and portfolio composition; market characteristics include population, per capita income, unemployment rate, and banking market structure. We find that community bank profitability is strongly positively related to bank size; that local economic conditions have significant effects on bank profitability; that the quality of bank management matters a great deal to profitability, especially during times of economic stress; and that small banks that make major shifts to their lending portfolios tend to be less profitable than other small banks. Variables within managers' control account for between 70 percent and 96 percent of the total explanatory power of equations explaining variations in performance across community banks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439623&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Lopez-Salido, J. David AU - Zakrajsek, Egon AD - Boston University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Monetary Policy and Real Borrowing Costs at the Zero Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-39 Y1 - 2014/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457005; Keywords: Unconventional monetary policy; LSAPs; forward guidance; term premia; corporate bond yields; mortgage interest rates; Publication Type: Working Paper; Update Code: 201409 N2 - This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury yield around policy announcements and changes in the 10-year Treasury yield that are orthogonal to those in the 2-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. L3 - http://www.federalreserve.gov/pubs/feds/2014/201439/201439pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457005&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201439/201439pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Altavilla, Carlo AU - Giannone, Domenico AU - Modugno, Michele AD - European Central Bank AD - LUISS University of Rome AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Low Frequency Effects of Macroeconomic News on Government Bond Yields PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-52 Y1 - 2014/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456992; Keywords: Macroeconomic announcements; treasury bond yields; Publication Type: Working Paper; Update Code: 201409 N2 - This study analyzes the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations with macroeconomic news, defined as differences between the actual releases and their market expectations. We show that macroeconomic news explain about one-third of the low frequency (quarterly) fluctuations of long-term bond yields. When focusing on the high frequency (daily) movements this share decreases to one-tenth. This result is due to the fact that macro news have a persistent effect on the yield curve. Non-fundamental factors, instead, substantially influence the day-to-day movements of bond yields but their effects are shorter-living and mean-reverting. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Money and Interest Rates: Forecasting and Simulation: Models and Applications E47 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://www.federalreserve.gov/pubs/feds/2014/201452/201452pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456992&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201452/201452pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - King, Thomas B. AU - Lewis, Kurt F. AD - Federal Reserve Bank of Chicago AD - Board of Governors of the Federal Reserve System T1 - What Drives Bank Funding Spreads? PB - Federal Reserve Bank of Chicago, Working Paper Series: WP-2014-23 Y1 - 2014/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480230; Keywords: LIBOR; liquidity; credit risk; misreporting; Publication Type: Working Paper; Update Code: 201502 N2 - We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for the possibility that banks may strategically misreport their funding rates in the Libor survey, we nest our decomposition within a model of the costs and benefits of lying. We find that Libor spreads typically consist mostly of a liquidity premium and that this premium declined at short maturities following Federal Reserve interventions in bank funding markets. At longer maturities, credit risk explains much of the time variation in Libor, reflecting in part fluctuations in the degree to which default risk is priced in the interbank market. Our results are consistent with banks both under- and over-reporting their funding costs during the crisis but suggest that the incidence of this behavior may have subsequently declined. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - https://www.chicagofed.org/~/media/publications/working-papers/2014/wp2014-23-pdf.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480230&site=ehost-live&scope=site UR - https://www.chicagofed.org/~/media/publications/working-papers/2014/wp2014-23-pdf.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Epstein, Brendan AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Offshoring, Mismatch, and Labor Market Outcomes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1118 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466021; Keywords: Labor market frictions; globalization; trade liberalization; heterogeneous workers; search and matching; Publication Type: Working Paper; Update Code: 201411 N2 - We study the role of labor market mismatch in the adjustment to a trade liberalization that results in the offshoring of high-tech production. Our model features two-sided heterogeneity in the labor market: high- and low-skilled workers are matched in a frictional labor market with high- and low-tech firms. Mismatch employment occurs when high-skilled workers choose to accept a less desirable job in the low-tech industry. The main result is that--perhaps counter-intuitively--this type of job displacement is actually beneficial for the labor market in the country doing the offshoring. Mismatch allows the economy to reallocate domestic high-skilled labor across both high- and low-tech industries. In doing so, mismatch dampens both the increase in the aggregate unemployment rate and the decline in aggregate wages that come as a consequence of shifting domestic production abroad. L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1118.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466021&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1118.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Xin AU - Narajabad, Borghan N. AU - Temzelides, Theodosios AD - International Monetary Fund AD - Board of Governors of the Federal Reserve System (U.S.) AD - Rice University T1 - Robust Dynamic Optimal Taxation and Environmental Externalities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-75 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466018; Keywords: Climate change; optimal dynamic taxation; uncertainty; robust; Publication Type: Working Paper; Update Code: 201411 N2 - We study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding climate change. An externality from greenhouse gas emissions damages the economy's capital stock. We assume that the mapping from climate change to damages is subject to uncertainty, and we use robust control theory techniques to study efficiency and optimal policy. We obtain a sharp analytical solution for the implied environmental externality and characterize dynamic optimal taxation. A small increase in the concern about model uncertainty can cause a significant drop in optimal fossil fuel use. The optimal tax that restores the socially optimal allocation is Pigouvian. Under more general assumptions, we develop a recursive method and solve the model computationally. We find that the introduction of uncertainty matters qualitatively and quantitatively. We study optimal output growth in the presence and in the absence of concerns about uncertainty and find that these concerns can lead to substantially different conclusions. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201475pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466018&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201475pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AU - Tonetti, Christopher AD - Board of Governors of the Federal Reserve System (U.S.) AD - Stanford GSB T1 - Small Sample Properties of Bayesian Estimators of Labor Income Processes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-25 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439637; Keywords: Labor income process; small sample properties; GMM; bayesian estimation; error component models; Publication Type: Working Paper; Update Code: 201405 N2 - There exists an extensive literature estimating idiosyncratic labor income processes. While a wide variety of models are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this context by comparing the small sample properties of a Bayesian estimator to those of GMM. Our baseline studies estimators of a commonly used simple earnings process. We extend our analysis to more complex environments, allowing for real world phenomena such as time varying and heterogeneous parameters, missing data, unbalanced panels, and non-normal errors. The Bayesian estimators are demonstrated to have favorable bias and efficiency properties. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439637&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Survey Incentives, Survey Effort, and Survey Costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-74 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466015; Keywords: Incentives; data quality; contact attempts; record-of-call paradata; Publication Type: Working Paper; Update Code: 201411 N2 - This paper uses the 2007 and 2010 waves of the Survey of Consumer Finances (SCF) to investigate how monetary incentives affect the time and effort that interviewers expend during the survey field period, and how these incentives affect effort expended by the survey respondent. The results imply that a larger monetary incentive offer helps reduce contact attempts and time in the field while maintaining data quality and effort during the survey by the respondent. Our results are based on a quasi-experiment that varies which families receive an incentive offer letter. Supporting evidence is given through a comparison of field effort outcomes between 2010 and 2007 after the base incentive increased from $20 in 2007 to $50 in 2010. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201474pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466015&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201474pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, James A. AU - Ihrig, Jane E. AU - Klee, Elizabeth C. AU - Chen, Han AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Federal Reserve's Tools for Policy Normalization in a Preferred Habitat Model of Financial Markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-83 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480183; Keywords: Policy normalization; preferred habitat; financial markets; Federal Reserve liabilities; interest on excess reserves (IOER); overnight and term reverse repurchase agreements (ON and term RRP); term deposits (TDF); Publication Type: Working Paper; Update Code: 201502 N2 - This paper develops a model of the financial system that provides a framework for analyzing monetary policy implementation in a world with multiple Federal Reserve liabilities and a superabundant supply of reserves. The analysis demonstrates that the Federal Reserve's suite of policy tools including interest on excess reserves (IOER), overnight and term reverse repurchase agreements, and term deposits should allow the Federal Reserve to raise the level of short-term interest rates at the appropriate time. The model also demonstrates that these tools could be used in different ways to achieve any given desired level of interest rates. The choices among alternative combinations of tools, of course, have implications for patterns of financial intermediation. Specifically, the quantity of Federal Reserve liabilities held outside of the banking system is shown to depend importantly on the spread between various policy rates. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201483pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480183&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201483pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuetz, Jenny AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Why Are Wal-Mart and Target Next-Door Neighbors? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-81 Y1 - 2014/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480185; Keywords: Retail location; spatial competition; agglomeration; Big Box stores; Publication Type: Working Paper; Update Code: 201502 N2 - One of the most notable changes in the U.S. retail market over the past twenty years has been the rise of Big Box stores, retail chains characterized by physically large stores selling a wide range of consumer goods at discount prices. A growing literature has examined the impacts of Big Box stores on other retailers and consumers, but relatively little is known about how Big Box stores choose locations. Because Big Box stores offer highly standardized products and compete primarily on price, it is likely that they will seek to establish spatial monopolies, far from competitor stores. In this paper, I examine where new Big Box stores locate with respect to three types of existing establishments: own-firm stores, other retailers in the same product space (competitors), and retailers in other product spaces (complements). Results indicate that new Big Box stores tend to avoid existing own-firm stores and locate near complementary Big Box stores. However, there is little evidence that new Big Boxes avoid competitors. Firms in the same product space may not be perfect substitutes, or firms may prefer to share consumers in a desirable location rather than cede the entire market to competitor firms. KW - Retail and Wholesale Trade; e-Commerce L81 KW - Size and Spatial Distributions of Regional Economic Activity R12 KW - Other Spatial Production and Pricing Analysis R32 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201481pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480185&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201481pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covas, Francisco AU - Driscoll, John C. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bank Liquidity and Capital Regulation in General Equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-85 Y1 - 2014/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480202; Keywords: Bank regulation; liquidity requirements; capital requirements; incomplete markets; idiosyncratic risk; macroprudential policy; Publication Type: Working Paper; Update Code: 201502 N2 - We develop a nonlinear dynamic general equilibrium model with a banking sector and use it to study the macroeconomic impact of introducing a minimum liquidity standard for banks on top of existing capital adequacy requirements. The model generates a distribution of bank sizes arising from differences in banks' ability to generate revenue from loans and from occasionally binding capital and liquidity constraints. Under our baseline calibration, imposing a liquidity requirement would lead to a steady-state decrease of about 3 percent in the amount of loans made, an increase in banks' holdings of securities of at least 6 percent, a fall in the interest rate on securities of a few basis points, and a decline in output of about 0.3 percent. Our results are sensitive to the supply of safe assets: the larger the supply of such securities, the smaller the macroeconomic impact of introducing a minimum liquidity standard for banks, all else being equal. Finally, we show that relaxing the liquidity requirement under a situation of financial stress dampens the response of output to aggregate shocks. KW - Incomplete Markets D52 KW - General Aggregative Models: Neoclassical E13 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201485pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201485pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Badev, Anton AU - Chen, Matthew AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bitcoin: Technical Background and Data Analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-104 Y1 - 2014/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480182; Keywords: Bitcoin; Payment systems; virtual currency; Publication Type: Working Paper; Update Code: 201502 N2 - This paper provides the necessary technical background to understand basic Bitcoin operations and documents a set of empirical regularities related to Bitcoin usage. We present the micro-structure of the Bitcoin transaction process and highlight the use of cryptography for the purposes of transaction security and distributed maintenance of a ledger. Using publicly available transaction-level data, we examine patterns of general usage together with usage by Satoshi Dice, the largest online gambling service using Bitcoin as the method of payment. Our analysis suggests that less than 50 percent of all bitcoins in circulation are used in transactions. About half of these transactions involve less than U.S.$100 equivalent, and for the period for which we have data for Satoshi Dice, most of these small-value transactions were related to the online gambling service. Relatively less frequent large value transactions drive the average transaction value to levels above U.S.$40,00 0 equivalent value, and are not likely to involve payments for goods and services. Bitcoin exchange rates exhibit somewhat complicated dynamics. In the past 24 months, the USD-BTC exchange rate increased more than 50-fold. The daily variance of the USD-BTC exchange rate remained remarkably stable for this same period, once the variance calculations account for the changing exchange rate level. We also document that the exchange rates between bitcoin and other major currencies are not well aligned. We interpret this as lack of depth of the exchange markets and as costly exchange rather than as unexploited arbitrage opportunities. Finally, we examine the economic incentives for the participants in the distributed implementation of the Bitcoin scheme. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014104pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480182&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014104pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lin, Li AU - Tsomocos, Dimitrios P. AU - Vardoulakis, Alexandros AD - International Monetary Fund AD - University of Oxford AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Debt Deflation Effects of Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-37 Y1 - 2014/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456982; Keywords: Default; collateral; debt deflation; Publication Type: Working Paper; Update Code: 201409 N2 - This paper assesses the role that monetary policy plays in the decision to default using a General Equilibrium model with collateralized loans, trade in fiat money and production. Long-term nominal loans are backed by collateral, the value of which depends on monetary policy. The decision to default is endogenous and depends on the relative value of the collateral to face value of the loan. Default results in foreclosure, higher borrowing costs, inefficient investment and a decrease in total output. We show that pre-crisis contractionary monetary policy interacts with Fisherian debt-deflation dynamics and can increase the probability that a crisis occurs. L3 - http://www.federalreserve.gov/pubs/feds/2014/201437/201437pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456982&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201437/201437pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Gramlich, Jacob P. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Where Are All the New Banks? The Role of Regulatory Burden in New Charter Creation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-113 Y1 - 2014/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480177; Keywords: Bank entry; financial regulation; Publication Type: Working Paper; Update Code: 201502 N2 - The number of new bank charters in the United States has declined dramatically in recent years. From 1990 to 2008, over 2,000 new banks were formed, more than 100 per year. From 2009 to 2013 only 7 new banks were formed, fewer than 2 per year. Many industry observers have suggested that the decline is primarily due to regulatory burden, including new FDIC regulations and the 2010 Dodd-Frank Act. But other influences could have played a role, in particular, the current weak economy. Low interest rates and depressed demand for banking services--both of which depress profit for banks, and particularly new banks--may also have discouraged entry. This paper assesses the causes of the decline in new charter creation. We model firms' new charter decisions at the county level with an ordered probit using U.S. data from 1976 to 2013. Our results suggest that even without any regulatory changes following the financial crisis, the weak economy and low interest rate environment would have caused 75-80% of the current decline in new charters. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014113pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480177&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014113pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AU - Queralto, Albert AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Banks, Capital Flows and Financial Crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1121 Y1 - 2014/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480214; Keywords: Financial intermediation; sudden stops; leverage constraints; occasionally binding constraints.; Publication Type: Working Paper; Update Code: 201502 N2 - This paper proposes a macroeconomic model with financial intermediaries (banks), in which banks face occasionally binding leverage constraints and may endogenously affect the strength of their balance sheets by issuing new equity. The model can account for occasional financial crises as a result of the nonlinearity induced by the constraint. Banks' precautionary equity issuance makes financial crises infrequent events occurring along with "regular" business cycle fluctuations. We show that an episode of capital inflows and rapid credit expansion, triggered by low country interest rates, leads banks to endogenously decrease the rate of equity issuance, contributing to an increase in the likelihood of a crisis. Macroprudential policies directed at strengthening banks' balance sheets, such as capital requirements, are shown to lower the probability of financial crises and to enhance welfare. KW - Business Fluctuations; Cycles E32 KW - Open Economy Macroeconomics F41 KW - International Business Cycles F44 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1121.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480214&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1121.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gustafson, Matthew AU - Ivanov, Ivan T. AU - Ritter, John AD - Smeal College of Business, Penn State University AD - Board of Governors of the Federal Reserve System (U.S.) AD - William Simon Graduate School of Business Administration, University of Rochester T1 - Financial Condition and Product Market Cooperation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-63 Y1 - 2014/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456999; Keywords: Financial distress; product market cooperation; liquidity; Publication Type: Working Paper; Update Code: 201409 N2 - We provide evidence that existing studies relating financial condition to product market cooperation produce mixed results because of unique features of the industries examined. In particular, all evidence suggesting that poor financial condition decreases cooperation comes from the airline industry during periods of high idle capacity. Using a unique data set of aggregate airfare hikes and a more recent low-idle-capacity period, we find that poor financial condition is positively associated with product market cooperation. Although financially weak airlines appear to value the immediate cash flows of increased cooperation, only liquidity-constrained firms seem willing to incur the cost of cooperative attempts. L3 - http://www.federalreserve.gov/pubs/feds/2014/201463/201463pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456999&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201463/201463pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shy, Oz AU - Stenbacka, Rune AU - Yankov, Vladimir AD - Federal Reserve Bank of Boston AD - Hanken School of Economics AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Limited Deposit Insurance Coverage and Bank Competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-53 Y1 - 2014/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456985; Keywords: Limited deposit insurance coverage; deposit rates; bank competition; Publication Type: Working Paper; Update Code: 201409 N2 - Deposit insurance schemes in many countries place a limit on the coverage of deposits in each bank. However, no limits are placed on the number of accounts held with different banks. Therefore, under limited deposit insurance, some consumers open accounts with different banks to achieve higher or full deposit insurance coverage. We compare three regimes of deposit insurance: No deposit insurance, unlimited deposit insurance, and limited deposit insurance. We show that limited deposit insurance weakens competition among banks and reduces total welfare relative to no or unlimited deposit insurance. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/pubs/feds/2014/201453/201453pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456985&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201453/201453pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven S. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Long-Term Vacancy in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-73 Y1 - 2014/// SP - 40 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466016; Keywords: Vacancy; excess housing supply; Publication Type: Working Paper; Update Code: 201411 N2 - Because housing is durable, the housing supply is slow to adapt to declines in demand. This paper uses long-term vacancy--defined as nonseasonal housing units that have been vacant for an unusually long period of time--to quantify the extent of excess supply in the housing market. I find that long-term vacancy is less than 2 percent of all nonseasonal housing units and accounts for only one quarter of the aggregate increase in nonseasonal vacancy from 2001 to 2011. Thus, at the national level, excess supply is considerably less extensive than indicated by traditional measures of vacancy. However, the stock of long-term vacant housing is concentrated in a small number of neighborhoods that do have appreciably high long-term vacancy rates. Some of these neighborhoods have characteristics suggesting that excess supply is related to overbuilding during the housing boom, while others have characteristics that are symptomatic of persistently weak housing demand. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201473pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466016&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201473pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kandrac, John AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bank Failure, Relationship Lending, and Local Economic Performance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-41 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457006; Keywords: Bank failure; relationship lending; bank regulation; financial crisis; Publication Type: Working Paper; Update Code: 201409 N2 - Whether bank failures have adverse effects on local economies is an important question for which there is conflicting and relatively scarce evidence. In this study, I use county-level data to examine the effect of bank failures and resolutions on local economies. Using quasi-experimental techniques as well as cross-sectional variation in bank failures, I show that recent bank failures lead to lower income and compensation growth, higher poverty rates, and lower employment. Additionally, I find that the structure of bank resolution appears to be important. Resolutions that include loss-sharing agreements tend to be less deleterious to local economies, supporting the notion that the importance of bank failure to local economies stems from banking and credit relationships. Finally, I show that markets with more inter-bank competition are more strongly affected by bank failure. L3 - http://www.federalreserve.gov/pubs/feds/2014/201441/201441pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457006&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201441/201441pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Williamson, Stephen D. AU - Carapella, Francesca AD - Washington University in St. Louis AD - Board of Governors of the Federal Reserve System T1 - Credit markets, limited commitment, and government debt PB - Federal Reserve Bank of St. Louis, Working Papers: 2014-10 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439655; Publication Type: Working Paper; Update Code: 201405 N2 - A dynamic model with credit under limited commitment is constructed, in which limited memory can weaken the effects of punishment for default. This creates an endogenous role for government debt in credit markets, and the economy can be non-Ricardian. Default can occur in equilibrium, and government debt essentially plays a role as collateral and thus improves borrowers' incentives. The provision of government debt acts to discourage default, whether default occurs in equilibrium or not. KW - Money and Interest Rates: General E40 KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General E50 KW - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General E60 L3 - http://research.stlouisfed.org/wp/2014/2014-010.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439655&site=ehost-live&scope=site UR - http://research.stlouisfed.org/wp/2014/2014-010.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aladangady, Aditya AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Homeowner Balance Sheets and Monetary Policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-98 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480172; Keywords: Consumption; housing; wealth effects; collateral; home equity; monetary policy; Publication Type: Working Paper; Update Code: 201502 N2 - This paper empirically identifies an important channel through which monetary policy affects consumer spending: homeowner balance sheets. A monetary loosening increases home values, thereby strengthening homeowner balance sheets and stimulating household spending due to a combination of collateral and wealth effects. The magnitude of these effects on a given household depends on local housing market characteristics such as local geography and regulation. Cities with the largest geographic and regulatory barriers to new construction see 3-4 percent responses in real house prices compared with unconstrained, elastic-supply cities where construction holds prices in check. Using non-public geocoded microdata from the Consumer Expenditures Survey, house price and consumption responses are compared across areas differing in local land availability and zoning laws to identify a marginal propensity to consume out of housing of 0.07. Homeowners with debt service ratios in the highest quartile have MPCs as high as 0.14 compared with negligible responses for those with low debt service ratios. This indicates a strong role for collateral effects, as opposed to pure wealth effects, in driving the relationship between home values and spending. I discuss the implications of these results for the aggregate effects and regional heterogeneity in responses to monetary shocks. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201498pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480172&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201498pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lewis, Logan T. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Menu Costs, Trade Flows, and Exchange Rate Volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1102 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439640; Keywords: Trade prices; pass-through; trade elasticities; Publication Type: Working Paper; Update Code: 201405 N2 - U.S. imports and exports respond little to exchange rate changes in the short run. Pricing behavior has long been thought central to explaining this response: if local prices do not respond to exchange rates, neither will trade flows. Sticky prices and strategic complementarities in price setting generate sluggish responses, and they are necessary to match newly available international micro price data. Using trade flow data, I test models capable of replicating these trade price data. Even with significant pricing frictions, the models still imply a trade response to exchange rates stronger than found in the data. Moreover, using significant cross-sector heterogeneity, comparative statics implied by the model find little to no support in the data. These results suggest that while complementarity in price setting and sticky prices can explain pricing patterns, some other short-run friction is needed to match actual trade flows. Furthermore, the muted response found for sectors with high long-run substitutability implies that simply assuming low elasticities may be inappropriate. Finally, there is evidence of an asymmetric response to exchange rate changes. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439640&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Policy Paradoxes in the New Keynesian Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-29 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439603; Keywords: Forward guidance; fiscal multiplier; sticky prices; sticky information; Publication Type: Working Paper; Update Code: 201405 N2 - The most common New-Keynesian model--with sticky-prices--has potentially implausible implications in a zero-lower bound environment. Fiscal and forward guidance multipliers can be implausibly large. Moreover, the sticky-price model implies that positive supply shocks, such as an increase in productivity, will lower production, and that increased price flexibility can exacerbate such a decline in output (as well as amplifying the effects of other shocks). These results are fragile and disappear under a plausible alternative to sticky prices--sticky information: Fiscal and monetary multipliers are smaller, positive supply shocks raise output, and greater price flexibility, in the sense of more frequent updating of information, moves the economy's response toward the neoclassical benchmark. These results suggest caution in drawing policy lessons from a single, sticky-price framework. Finally, we highlight how strategies akin to nominal-income targeting can enhance the ability of policymakers to affect demand in sticky-price and sticky-information models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439603&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Valenzuela, Marcela AU - Zer, Ilknur AU - Fryzlewicz, Piotr AU - Rheinlander, Thorsten AD - University of Chile AD - Board of Governors of the Federal Reserve System (U.S.) AD - London School of Economics AD - Vienna University of Technology T1 - Relative Liquidity and Future Volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-45 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456983; Keywords: Order-driven markets; limit order book distribution; volatility predictability; liquidity; Publication Type: Working Paper; Update Code: 201409 N2 - The main contribution of this paper is to identify the strong predictive power of the relative concentration of depth provision, rather than volume of orders, over volatility. To this end, we propose a new measure, relative liquidity (RLIQ), which extracts information from a limit order book distribution and captures the level of consensus on a security's trading price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative measures. KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/pubs/feds/2014/201445/201445pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456983&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201445/201445pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Epstein, Brendan AU - Mukherjee, Rahul AU - Ramnath, Shanthi AD - Board of Governors of the Federal Reserve System (U.S.) AD - IHEID AD - U.S. Treasury Department T1 - Taxes and International Risk Sharing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1110 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457016; Keywords: International risk sharing; business cycle accounting; taxes; Publication Type: Working Paper; Update Code: 201409 N2 - We examine the extent to which differences in international tax rates may account for the small correlations of per capita consumption fluctuations across countries. Theory implies a close relationship between relative consumption growth, and consumption and capital income tax rate differentials. We find strong empirical evidence for this relationship. Idiosyncratic output fluctuations account for the majority of cross country consumption growth variability, but trends in tax differentials are informative about the dynamic evolution of international risk sharing. In particular, adjusting for capital taxes reveals an intuitive positive relationship between financial connectedness and risk sharing that is absent in baseline measures. KW - Open Economy Macroeconomics F41 KW - International Business Cycles F44 KW - Taxation and Subsidies: Other H29 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1110/ifdp1110.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457016&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1110/ifdp1110.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AU - Barnichon, Regis AD - Board of Governors of the Federal Reserve System (U.S.) AD - CEPR T1 - The Effects of Unemployment Benefits on Unemployment and Labor Force Participation: Evidence from 35 Years of Benefits Extensions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-65 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456984; Keywords: Unemployment benefits extensions; unemployment rate; labor force participation rate; Publication Type: Working Paper; Update Code: 201409 N2 - This paper presents estimates of the effect of emergency and extended unemployment benefits (EEB) on the unemployment rate and the labor force participation rate using a data set containing information on individuals likely eligible and ineligible for EEB back to the late 1970s. To identify these estimates, we examine how exit rates from unemployment change across different points of the distribution of unemployment duration when EEB is and is not available, controlling for changes in labor demand and demographic characteristics. We find that EEB increased the unemployment rate by about one-third percentage point in the most recent recession but did not affect the participation rate. In previous recessions, the effect of EEB on the unemployment rate was even smaller. L3 - http://www.federalreserve.gov/pubs/feds/2014/201465/201465pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456984&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201465/201465pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kilian, Lutz AU - Vigfusson, Robert J. AD - University of Michigan CEPR AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Role of Oil Price Shocks in Causing U.S. Recessions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1114 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457014; Keywords: Real GDP; nonlinearity; asymmetry; time variation; conditional response; prediction.; Publication Type: Working Paper; Update Code: 201409 N2 - Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role of net oil price increases in amplifying the transmission of oil price shocks. We quantify the conditional recessionary effect of oil price shocks in the net oil price increase model for all episodes of net oil price increases since the mid-1970s. Compared to the linear model, the cumulative effect of oil price shocks over the course of the next two years is much larger in the net oil price increase model. For example, oil price shocks explain a 3 percent cumulative reduction in U.S. real GDP in the late 1970s and early 1980s and a 5 percent cumulative reduction during the financial crisis. An obvious concern is that some of these estimates are an artifact of net oil price increases being correlated with other variables that explain recessions. We show that the explanatory power of oil price shocks largely persists even after augmenting the nonlinear model with a measure of credit supply conditions, of the monetary policy stance and of consumer confidence. There is evidence, however, that the conditional fit of the net oil price increase model is worse on average than the fit of the corresponding linear model, suggesting much smaller cumulative effects of oil price shocks for these episodes of at most 1 percent. KW - Business Fluctuations; Cycles E32 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Money Supply; Credit; Money Multipliers E51 KW - Energy and the Macroeconomy Q43 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1114/ifdp1114.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457014&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1114/ifdp1114.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Epstein, Brendan AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Welfare Costs of Skill-Mismatch Employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-42 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457011; Keywords: Job-to-job transitions; labor market frictions; skill premium; Publication Type: Working Paper; Update Code: 201409 N2 - Skill-mismatch employment occurs when high-skilled individuals accept employment in jobs for which they are over-qualified. These employment relationships can be beneficial because they allow high-skilled individuals to more rapidly transition out of unemployment. They come at the cost, however, in the form of lower wage compensation. Moreover, an externality arises as high-skilled individuals do not take into account the effect that their search activity in the market for low-tech jobs has on low-skilled individuals. This paper presents a tractable general equilibrium model featuring mismatch employment and on-the-job search to articulate these tradeoffs. We derive a set of efficiency conditions that describe the labor market distortions associated with these two model features and illustrate how they alter the standard notion of the labor wedges inherent in general equilibrium search models. Finally, we calibrate the model to U.S. data and show that the distortions associated with mismatch employment are largely distributional and can be quantitatively large. L3 - http://www.federalreserve.gov/pubs/feds/2014/201442/201442pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457011&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201442/201442pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AU - Wongswan, Jon AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Virginia AD - Phatra Securities Public Company Limited T1 - Uncovered Equity Parity and Rebalancing in International Portfolios PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1103 Y1 - 2014/// SP - 41 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457025; Keywords: Exchange rate determination; international returns; equity portfolios; Publication Type: Working Paper; Update Code: 201409 N2 - Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors may be exploiting mean reversion in underlying equity markets, rebalancing away from equity markets that recently performed well and moving into equity markets market just prior to relatively strong performance. Such behavior suggests tactical reallocations to increase returns rather than reduce risk. L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1103/ifdp1103.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457025&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1103/ifdp1103.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AU - Pence, Karen M. AU - Vine, Daniel J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Auto Sales and Credit Supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-82 Y1 - 2014/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480205; Keywords: Auto loans; auto sales; credit constraints; Michigan Survey of Consumers; Publication Type: Working Paper; Update Code: 201502 N2 - Vehicle purchases fell by more than 20 percent during the 2007-09 recession, and auto loan originations fell by a third. We show that vehicle purchases typically account for an outsized share of the contraction in economic activity during a recession, in part because a concurrent tightening in auto lending conditions makes car purchases less affordable for many households. We explore the link between lending conditions and vehicle purchases with a novel gauge of credit supply conditions--household perceptions of vehicle financing conditions as measured on the Reuters/University of Michigan Survey of Consumers. In both a vector auto-regression estimated on aggregate data and a logit regression estimated on household-level data, this measure indicates that credit conditions are a significant influence on auto sales, as large as factors such as unemployment and income. Estimates from the household-level model show that the new car purchases of households that are more likely to depend on credit are particularly sensitive to assessments of financing conditions, and that households are a bit more likely to purchase vehicles when they expect interest rates to rise in the next year. The results contribute to the literature validating the usefulness of survey measures of household perceptions for forecasting macroeconomic activity. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201482pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201482pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shy, Oz AU - Stenbacka, Rune AU - Yankov, Vladimir AD - Federal Reserve Bank of Boston AD - Hanken School of Economics AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Limited Deposit Insurance Coverage and Bank Competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-99 Y1 - 2014/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480198; Keywords: Limited deposit insurance coverage; deposit rates; bank competition; Publication Type: Working Paper; Update Code: 201502 N2 - Deposit insurance designs in many countries place a limit on the coverage of deposits in each bank. However, no limits are placed on the number of accounts held with different banks. Therefore, under limited deposit insurance, some consumers open accounts with different banks to achieve higher or full deposit insurance coverage. We compare three regimes of deposit insurance: No deposit insurance, unlimited deposit insurance, and limited deposit insurance. We show that limited deposit insurance weakens competition among banks and reduces total welfare relative to no or unlimited deposit insurance. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201499pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201499pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Alexandra AU - Collins, J. Michael AU - Schmeiser, Maximilian D. AU - Urban, Carly AD - Board of Governors of the Federal Reserve System (U.S.) AD - School of Public Affairs, University of Wisconsin-Madison AD - Board of Governors of the Federal Reserve System (U.S.) AD - Montana State University T1 - State Mandated Financial Education and the Credit Behavior of Young Adults PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-68 Y1 - 2014/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457001; Keywords: Financial literacy; financial education; credit score; delinquency; Publication Type: Working Paper; Update Code: 201409 N2 - In the U.S., a number of states have mandated personal finance classes in public school curricula to address perceived deficiencies in financial decision-making competency. Despite the growth of financial and economic education provided in public schools, little is known about the effect of these programs on the credit behaviors of young adults. Using a panel of credit report data, we examine young adults in three states where personal financial education mandates were implemented in 2007: Georgia, Idaho, and Texas. We compare the credit scores and delinquency rates of young adults in each of these states pre- and post-implementation of the education to those of students in a synthetic control state and then bordering states without financial education. We find that young people who are in school after the implementation of a financial education requirement have higher relative credit scores and lower relative delinquency rates than those in control states. L3 - http://www.federalreserve.gov/pubs/feds/2014/201468/201468pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457001&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201468/201468pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Epstein, Brendan AU - Kimball, Miles S. AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Michigan T1 - The Decline of Drudgery and the Paradox of Hard Work PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1106 Y1 - 2014/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457018; Keywords: Labor supply; work hours; drudgery; income effect; substitution effect; job utility; Publication Type: Working Paper; Update Code: 201409 N2 - We develop a theory that focuses on the general equilibrium and long-run macroeconomic consequences of trends in job utility. Given secular increases in job utility, work hours per capita can remain approximately constant over time even if the income effect of higher wages on labor supply exceeds the substitution effect. In addition, secular improvements in job utility can be substantial relative to welfare gains from ordinary technological progress. These two implications are connected by an equation flowing from optimal hours choices: improvements in job utility that have a significant effect on labor supply tend to have large welfare effects. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital E24 KW - Time Allocation and Labor Supply J22 KW - Economic Growth and Aggregate Productivity: General O40 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1106/ifdp1106.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457018&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1106/ifdp1106.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cacciatore, Matteo AU - Ghironi, Fabio AU - Stebunovs, Viktors AD - Institute of Applied Economics AD - University of Washington AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Domestic and International Effects of Interstate U.S. Banking PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1111 Y1 - 2014/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457017; Keywords: Business cycle volatility; current account; deregulation; interstate banking; producer entry; real exchange rate; Publication Type: Working Paper; Update Code: 201409 N2 - This paper studies the domestic and international effects of national bank market integration in a two-country, dynamic, stochastic, general equilibrium model with endogenous producer entry. Integration of banking across localities reduces the degree of local monopoly power of financial intermediaries. The economy that implements this form of deregulation experiences increased producer entry, real exchange rate appreciation, and a current account deficit. The foreign economy experiences a long-run increase in GDP and consumption. Less monopoly power in financial intermediation results in less volatile business creation, reduced markup countercyclicality, and weaker substitution effects in labor supply in response to productivity shocks. Bank market integration thus contributes to moderation of firm-level and aggregate output volatility. In turn, trade and financial ties allow also the foreign economy to enjoy lower GDP volatility in most scenarios we consider. These results are consistent with features of U.S. and international fluctuations after the United States began its transition to interstate banking in the late 1970s. KW - Business Fluctuations; Cycles E32 KW - Current Account Adjustment; Short-term Capital Movements F32 KW - Open Economy Macroeconomics F41 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1111/ifdp1111.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457017&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1111/ifdp1111.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AU - Schlusche, Bernd AU - Wong, Vivian AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Demand for M2 at the Zero Lower Bound: The Recent U.S. Experience PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-22 Y1 - 2014/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439620; Keywords: Money demand; M2; zero lower bound; opportunity cost; Publication Type: Working Paper; Update Code: 201405 N2 - In this paper, we re-examine the relationship between money and interest rates with a focus on the past few years, when the opportunity cost of M2 has dropped below zero. Until the late 1980s, a stable relationship between monetary aggregates and the opportunity cost of holding money--measured as the spread between the three-month Treasury bill yield and the deposit-weighted average return on M2 assets--existed, and played an integral role in the conduct of monetary policy (e.g., Moore et al.(1990)). This relationship broke down in the early 1990s, when M2 velocity increased beyond the range that could be explained by movements in M2 opportunity cost. As of the mid-2000s, a new relationship was emerging, but was still statistically unstable. In late 2008, the opportunity cost of holding money dropped precipitously and has remained at its zero lower bound. Standard money-demand theory indicates that in such cases the interest elasticity of money demand should rise sharply. Reviewing the evidence to date, we fail to find support for such a rise through 2011, but we observe a notable change in the relationship over the most recent quarters. We conjecture that the more recent shifts, however, could be due to the effects of regulatory and monetary policy changes rather than a fundamental shift in the relationship between money and opportunity cost. Further work is needed to determine the contribution of these regulatory and monetary policy factors. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439620&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghamami, Samim AU - Zhang, Bo AD - Board of Governors of the Federal Reserve System (U.S.) AD - IBM Thomas J. Watson Research Center T1 - Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-114 Y1 - 2014/// SP - 43 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480175; Keywords: Basel II; Basel III; OTC derivatives market; risk management; counterparty credit ris; credit value adjustment; efficient Monte Carlo simulatio; Publication Type: Working Paper; Update Code: 201502 N2 - Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR estimation frameworks by focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure (EPE), credit value adjustment (CVA), and effective expected positive exposure (EEPE). Our numerical examples illustrate that our proposed efficient Monte Carlo estimators outperform the existing crude estimators of these CCR measures substantially in terms of mean square error (MSE). We also demonstrate that the two widely used sampling methods, the so-called Path Dependent Simulation (PDS) and Direct Jump to Simulation date (DJS), are not equivalent in that they lead to Monte Carlo CCR estimators which are drastically different in terms of their MSE. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014114pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480175&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014114pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Song, Zhaogang AU - Xiu, Dacheng AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Chicago T1 - A Tale of Two Option Markets: Pricing Kernels and Volatility Risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-58 Y1 - 2014/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456989; Keywords: Pricing kernel; volatility risk; VIX option; state-price density; Publication Type: Working Paper; Update Code: 201409 N2 - Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel of market return exhibits a decreasing pattern given either a high or low VIX level, whereas the unconditional estimates present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the literature. Finally, our estimates of the volatility pricing kernel feature a U-shape, implying that investors have high marginal utility in both high and low volatility states. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.federalreserve.gov/pubs/feds/2014/201458/201458pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456989&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201458/201458pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hills, Timothy S. AU - Nakata, Taisuke AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Fiscal Multipliers at the Zero Lower Bound: The Role of Policy Inertia PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-107 Y1 - 2014/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480186; Keywords: Fiscal policy; government spending multipliers; interest rate smoothing; liquidity trap; zero lower bound; Publication Type: Working Paper; Update Code: 201502 N2 - The presence of the lagged shadow policy rate in the interest rate feedback rule reduces the government spending multiplier nontrivially when the policy rate is constrained at the zero lower bound (ZLB). In the economy with policy inertia, increased inflation and output due to higher government spending during a recession speed up the return of the policy rate to the steady state after the recession ends. This in turn dampens the expansionary effects of the government spending during the recession via expectations. In our baseline calibration, the output multiplier at the ZLB is 2.5 when the weight on the lagged shadow rate is zero, and 1.1 when the weight is 0.9. KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 KW - Fiscal Policy E62 KW - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy E63 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014107pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480186&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014107pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chen, Andrew Y. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Habit, Production, and the Cross-Section of Stock Returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-103 Y1 - 2014/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480191; Keywords: Equity premium puzzle; value premium; production; time-varying consumption volatility; Publication Type: Working Paper; Update Code: 201502 N2 - Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with consumption volatility. The cross-section of expected returns is log-linear in B/M, and the slope matches the data. The explanation for the value premium lies in the interaction between the cross-section of cash flows and the time-varying risk premium. Value firms are temporarily low productivity firms, which will eventually experience high cash flows. The present value of these temporally distant cash flows is sensitive to risk premium movements. The value premium is the reward for bearing this sensitivity. Empirical evidence verifies that value firms have higher cash-flow growth. The data also show that value stock returns are more sensitive to risk premium movements, as measured by consumption volatility shocks. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014103pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480191&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014103pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Passmore, Wayne AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-12 Y1 - 2014/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439606; Keywords: Monetary policy; QE1; QE2; QE3; LSAP; MBS; mortgages; Publication Type: Working Paper; Update Code: 201405 N2 - We conduct an empirical analysis of the Federal Reserve's large-scale asset purchases (LSAPs) on MBS yields and mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more than what would have been suggested by changes in market expectations alone, suggesting that portfolio rebalancing effects of LSAPs are an important consideration for monetary policy transmission. Our estimates also suggest that the Federal Reserve must hold a substantial market share of agency MBS or of Treasury securities to significantly lower MBS yields and in turn significantly lower mortgage rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439606&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Londono, Juan M. AU - Sapriza, Horacio AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1109 Y1 - 2014/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457020; Keywords: Unconventional monetary policy; emerging markets; large-scale asset purchase program; quantitative easing; Federal Reserve; Publication Type: Working Paper; Update Code: 201409 N2 - We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's time-varying vulnerability to U.S. interest rates affected by monetary policy shocks. KW - Central Banks and Their Policies E58 KW - International Policy Coordination and Transmission F42 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1109/ifdp1109.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457020&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1109/ifdp1109.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chen, Han AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-38 Y1 - 2014/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457003; Keywords: Regime switching; zero interest rate policy; unconventional monetary policy; Publication Type: Working Paper; Update Code: 201409 N2 - Standard dynamic stochastic general equilibrium (DSGE) models assume a Taylor rule and forecast an increase in interest rates immediately after the 2007-2009 economic recession given the predicted output and inflation, contradictory to the extended period of near-zero interest rate policy (ZIRP) conducted by the Federal Reserve. In this paper, I study two methods of modeling the ZIRP in DSGE models: the perfect foresight rational expectations model and the Markov regime-switching model, which I develop in this paper. In this regime-switching model, I assume that, in one regime, the policy follows a Taylor rule, while, in the other regime, it involves a zero interest rate. I also construct the optimal filter to estimate this regime-switching DSGE model with Bayesian methods. I fit those modified DSGE models to the U.S. data from the third quarter of 1987 to the third quarter of 2010, and then, starting from the fourth quarter of 2010, I simulate the U.S. economy forward with and without the ZIRP intervention. I compare the predicted paths of the macro variables, and I find that the ZIRP intervention has a significant effect. The estimated regime-switching model I develop implies a substantial stimulative effect (on average a 0.12% increase in output growth rate and a 0.9% increase in inflation accumulatively over 20 quarters if ZIRP is kept for 6 quarters). The actual path from the fourth quarter of 2010 onward is closer to the predicted path derived from the regime-switching model than that generated by the perfect foresight model. The perfect foresight model generates an explosive and spurious rise in inflation. Therefore, the regime-switching model I propose is more appropriate to assess the effectiveness of the ZIRP, which is effective in stimulating the economy. L3 - http://www.federalreserve.gov/pubs/feds/2014/201438/201438pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457003&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201438/201438pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sommer, Kamila AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-32 Y1 - 2014/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439616; Keywords: Fertility choice; life cycle; heterogenous agents; uninsurable idiosyncratic income risk; Publication Type: Working Paper; Update Code: 201405 N2 - This paper studies the link between rising income uncertainty and household fertility patterns in an Aiyagari-Bewley-Huggett framework augmented to include fertility decisions and infertility risk. Building on Becker and Tomes (1976), I model fertility decisions as sequential, irreversible choices over the number of children, accompanied by parental choices of time and money invested toward improving children's quality. The calibrated model is used to quantify the contribution of earnings uncertainty to the changes in the key fertility indicators between steady states. I show that realistic increases in uninsurable earnings risk lead to a postponement in births by young households, and are associated with a decline in the total number of births. The linkage between earnings risk and fertility patterns highlights the important role that labor market conditions can play in determining both short-term cyclical fluctuations in fertility (such as those in the recent U.S. data) and longer-term demographic trends (such as persistently depressed fertility rates in Southern Europe where youth unemployment rates are high and unemployment spell are very persistent). UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439616&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iacoviello, Matteo AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Financial Business Cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1116 Y1 - 2014/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457024; Keywords: Banks; DSGE models; collateral constraints; housing; Bayesian estimation; Publication Type: Working Paper; Update Code: 201409 N2 - Using Bayesian methods, I estimate a DSGE model where a recession is initiated by losses suffered by banks and exacerbated by their inability to extend credit to the real sector. The event triggering the recession has the workings of a redistribution shock: a small sector of the economy--borrowers who use their home as collateral--defaults on their loans. When banks hold little equity in excess of regulatory requirements, the losses require them to react immediately, either by recapitalizing or by deleveraging. By deleveraging, banks transform the initial shock into a credit crunch, and, to the extent that some firms depend on bank credit, amplify and propagate the shock to the real economy. I find that redistribution and other financial shocks that affect leveraged sectors accounts for two-thirds of output collapse during the Great Recession. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Money and Interest Rates: Forecasting and Simulation: Models and Applications E47 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1116/ifdp1116.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457024&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1116/ifdp1116.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AU - Lopez-Salido, J. David AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Small Price Responses to Large Demand Shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-18 Y1 - 2014/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439631; Keywords: Demand shocks; inflation; sales; labor conflicts; mass population displacement; severe weather events; Publication Type: Working Paper; Update Code: 201405 N2 - We study the pricing response of U.S. supermarkets to large demand shocks triggered by labor conflicts, mass population relocation, and shopping sprees around major snowstorms and hurricanes. Our focus on demand shocks is novel in the empirical literature that uses large datasets of individual data to bridge micro price behavior and aggregate price dynamics. We find that large swings in demand have, at best, modest effects on the level of retail prices, consistent with flat short-to medium-term supply curves. This finding holds even when shocks are highly persistent and even though stores adjust prices frequently. We also uncover evidence of tit-for-tat behavior by which retailers with radically different demand shocks nonetheless seek to match their local competitors' pricing movements and recourse to sales and promotions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439631&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Abruzzo, Nicole AU - Park, Yang-Ho AD - Independent AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-86 Y1 - 2014/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480197; Keywords: Margin; futures; volatility; central counterparties; procyclicality; race to the bottom; and Dodd-Frank Act; Publication Type: Working Paper; Update Code: 201502 N2 - Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality, leading to a build-up of excess leverage in good times and a forced deleverage in bad times. Second, competition among central counterparties (CCPs) can result in lower margin levels in order to attract more trading volume, which is referred to as a "race to the bottom." Motivated by these issues, we empirically analyze the determinants of margin changes by using a data set of various futures margins from Chicago Mercantile Exchange (CME) Group. We first find that CME Group raises margins quickly following volatility spikes but does not immediately lower margins following volatility declines, implying that margin-induced procyclicality is more of a concern in recessions than in expansions. In addition, we find some evidence that the margin difference between CME Group and its competitor, Intercontinental Exchange (ICE), is an important driver of margin changes after changes in other margin determinants are controlled for, implying that competition may be factored into margin setting. KW - Financial Crises G01 KW - General Financial Markets: Government Policy and Regulation G18 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201486pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480197&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201486pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AU - Schmidt, Sebastian AD - Board of Governors of the Federal Reserve System (U.S.) AD - European Central Bank T1 - Conservatism and Liquidity Traps PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-105 Y1 - 2014/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480207; Keywords: Discretion; inflation conservatism; inflation targeting; liquidity traps; zero lower bound; Publication Type: Working Paper; Update Code: 201502 N2 - Appointing Rogoff's (1985) conservative central banker improves welfare if the economy is subject to large contractionary shocks and the policy rate occasionally falls to the zero lower bound (ZLB). In an economy with occasionally binding ZLB constraints, the anticipation of future ZLB episodes creates a trade-off between inflation and output stabilization. As a consequence, inflation systematically falls below target even when the policy rate is above zero. A conservative central banker mitigates this deflationary bias away from the ZLB, improving allocations both at and away from the ZLB through expectations. KW - Monetary Policy E52 KW - Fiscal Policy E62 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014105pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014105pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calomiris, Charles W. AU - Carlson, Mark A. AD - Columbia Business School, NBER and IMF AD - Board of Governors of the Federal Reserve System (U.S.) T1 - National Bank Examinations and Operations in the Early 1890s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-19 Y1 - 2014/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439622; Keywords: National Banking Era; bank examinations; bank operations; corporate goverance; regional variation; Publication Type: Working Paper; Update Code: 201405 N2 - We use information from examination reports to enrich our understanding of both the examination process and bank operations for National Banks in the early 1890s, the height of the National Banking Era. We describe the examination process and its frequency, as well as the information contained in the examinations relating to bank ownership and corporate governance, the composition and quality of the loan book, dividend payments made by the banks, and the use of different types of liabilities. Our sample of banks is from the larger cities, including several reserve cities, which allows us to compare similar banks in different regions of the country. There are clear regional differences in banks' examination experiences, structure, and behavior. On average, banks further West tended to be examined less frequently, displayed higher percentages of manager ownership, employed less formal corporate governance arrangements, made riskier loans, paid higher rates on certificates of deposit, and paid higher dividends less often. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439622&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kay, Benjamin S. AU - Manuszak, Mark D. AU - Vojtech, Cindy M. AD - United States Department of Treasury AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bank Profitability and Debit Card Interchange Regulation: Bank Responses to the Durbin Amendment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-77 Y1 - 2014/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466013; Keywords: Banks; debit cards; Dodd-Frank Act; Durbin Amendment; interchange fees; payments; Publication Type: Working Paper; Update Code: 201411 N2 - The Durbin Amendment to the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 alters the competitive structure of the debit card payment processing industry and caps debit card interchange fees for banks with over $10 billion in assets. Market participants predicted that debit card issuers would offset the reduction in debit interchange revenue by increases in customer account fees. Some participants also predicted that banks would cut costs in response to the law by reducing staff and shutting down branches. Using a difference-in-differences testing strategy, we show that debit interchange fee income fell for treated banks, leading to a fall in noninterest income. We also find that banks only partially offset this loss with deposit fees. We document that treated banks neither reduced costs nor strategically avoided the $10 billion threshold. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201477pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466013&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201477pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ionescu, Felicia AU - Simpson, Nicole B. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Colgate University T1 - Credit Status and College Investment: Implications for Student Loan Policies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-66 Y1 - 2014/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456991; Keywords: College investment; credit status; student loans; default; Publication Type: Working Paper; Update Code: 201409 N2 - The private market for student loans has become an important source of college financing in the United States. Unlike government student loans, the terms on student loans in the private market are based on credit status. We quantify the importance of the private market for student loans and of credit status for college investment in a general equilibrium heterogeneous life-cycle economy. We find that students with good credit status invest in more college education (compared to those with bad credit status) and that this effect is more pronounced for low-income students. Furthermore, results suggest that the relationship between credit status and college investment has important policy implications. Specifically, when borrowing limits in the government student loan program are relaxed (as implemented in 2008), college investment increases, but so does the riskiness of the pool of borrowers, leading to higher default rates in the private market for student loans. When general equilibrium effects are accounted for, the welfare gains experienced from a more generous government student loan program are negated. This compares to budget-neutral tuition subsidies that increase college investment and welfare. KW - General Equilibrium and Disequilibrium: Financial Markets D53 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Time Allocation and Labor Supply J22 KW - Safety; Job Satisfaction; Related Public Policy J28 L3 - http://www.federalreserve.gov/pubs/feds/2014/201466/201466pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456991&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201466/201466pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Dan AU - Li, Geng AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-35 Y1 - 2014/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439629; Keywords: Belief dispersion; trading volume; household investors; surveys of consumers; Publication Type: Working Paper; Update Code: 201405 N2 - We document a robust positive relationship between the belief dispersion about macroeconomic conditions among household investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to measuring belief dispersions. Notably, such a relationship prevails even after various series of professional analysts' belief dispersions are controlled for. Consistent with a causal effect, such a relationship is most pronounced for belief dispersion among individuals who are most likely to own stocks and for trading volume of stocks that are most visible to household investors. Finally, we present suggestive evidence that the dispersion of changes in belief is also positively associated with the stock trading volume. Our analysis implies that household investors, traditionally viewed as tending to trader randomly, likely possess and trade on information that is not available to professional investors. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439629&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brousseau, Vincent AU - Nikolaou, Kleopatra AU - Pill, Huw AD - European Central Bank AD - Board of Governors of the Federal Reserve System (U.S.) AD - Goldman Sachs T1 - Modeling Money Market Spreads: What Do We Learn about Refinancing Risk? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-112 Y1 - 2014/// SP - 48 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480194; Keywords: Financial crisis; liquidity risk; money market spread; money markets; refinancing risk; Publication Type: Working Paper; Update Code: 201502 N2 - We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result, borrowers preferred to obtain funding for longer tenors and lenders were willing to provide funding for shorter tenors. This discrepancy resulted in a need to refinance more frequently in order to borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of the spread to the refinancing frequency. In order to do so we introduce a model to price EURIBOR-based money market spreads vis-a-vis the overnight index swap. We adopt a methodology akin to a factor model in which the parameters determining the spreads are the intensity of the crisis, its expected half-life, and the sensitivity of spreads to the refinancing frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying manner. Central bank interventions have reduced the spreads as well as the effect of refinancing risk on them. KW - Central Banks and Their Policies E58 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014112pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480194&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014112pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Pooter, Michiel AU - Robitaille, Patrice AU - Walker, Ian AU - Zdinak, Michael AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1098 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439641; Keywords: Inflation targeting; survey expectations; inflation compensation; Nelson-Siegel model; macro news suprises; Brazil; Chile; Mexico; Publication Type: Working Paper; Update Code: 201405 N2 - In this paper, we consider whether long-term inflation expectations have become better anchored in Brazil, Chile, and Mexico. We do so using survey-based measures as well as financial market-based measures of long-term inflation expectations, where we construct the market-based measures from daily prices on nominal and inflation-linked bonds. This paper is the first to examine the evidence from Brazil and Mexico, making use of the fact that markets for longterm government debt have become better developed over the past decade. We find that inflation expectations have become much better anchored over the past decade in all three countries, as a testament to the improved credibility of the central banks in these countries when it comes to keeping inflation low. That said, one-year inflation compensation in the far future displays some sensitivity to at least one macroeconomic data release per country. However, the impact of these releases is small and it does not appear that investors systematically alter their expectations for inflation as a result of surprises in monetary policy, consumer prices, or real activity variables. Finally, long-run inflation expectations in Brazil appear to have been less well anchored than in Chile and Mexico. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439641&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hanson, Samuel AU - Shleifer, Andrei AU - Stein, Jeremy C. AU - Vishny, Robert W. AD - Harvard University AD - Harvard University AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Chicago T1 - Banks as Patient Fixed Income Investors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-15 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439634; Keywords: Banks; shadow banks; money creation; Publication Type: Working Paper; Update Code: 201405 N2 - We examine the business model of traditional commercial banks in the context of their co-existence with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in very different ways. Traditional banks create safe claims with a combination of costly equity capital and fixed income assets that allows their depositors to remain "sleepy": they do not have to pay attention to transient fluctuations in the mark-to-market value of bank assets. In contrast, shadow banks create safe claims by giving their investors an early exit option that allows them to seize collateral and liquidate it at the first sign of trouble. Thus traditional banks have a stable source of cheap funding, while shadow banks are subject to runs and fire-sale losses. These different funding models in turn influence the kinds of assets that traditional banks and shadow banks hold in equilibrium: traditional banks have a comparative advantage at holding fixed-income assets that have only modest fundamental risk, but are relatively illiquid and have substantial transitory price volatility. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439634&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-27 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439635; Keywords: Measurement error; attenuation bias; Publication Type: Working Paper; Update Code: 201405 N2 - This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory variables, causing attenuation bias under some conditions. The paper provides evidence of LoSE in US GDP growth during the period known as the Great Moderation (roughly the mid-1980s to the mid-2000s), illustrating attenuation bias in regressions of GDP growth on asset prices. These biases may have contributed to conventional macroeconomic analysis missing the severity of the adverse shocks hitting the economy in the Great Recession. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439635&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Trezzi, Riccardo AU - Porcelli, Francesco AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of Exeter T1 - Reconstruction multipliers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-79 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480195; Keywords: Natural disasters; fiscal multipliers; Mercalli scale; Publication Type: Working Paper; Update Code: 201502 N2 - A law issued to allocate reconstruction grants following the 2009 "Aquilano" earthquake has resulted in a large and unanticipated discontinuity across municipalities with comparable damages. Using diff-in-diff analysis we estimate the "local spending" and the "local tax" multipliers--according to the composition of the stimulus--controlling for the negative supply shock generated by the event. The stimulus prevented a fall in economic activity and the multiplicative effects of tax cuts are estimated much higher than those of spending. Our results underline the importance of countercyclical fiscal interventions and suggest the most effective composition of such a stimulus. KW - Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation C36 KW - Fiscal Policy E62 KW - State and Local Government; Intergovernmental Relations: General H70 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201479pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480195&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201479pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Tabova, Alexandra M. AU - Wong, Vivian AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Replacement of Safe Assets: Evidence from the U.S. Bond Portfolio PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1123 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480213; Keywords: safe assets; international portfolio choice; financial sector debt; home bias; Publication Type: Working Paper; Update Code: 201502 N2 - The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of foreign securities, we show that since the crisis, it is mostly the foreign financial sector that appears to have met U.S. demand for safe and liquid investment assets by expanding its supply of debt securities. We also find a strong negative correlation between the foreign share of the U.S. financial bond portfolio and measures of U.S. safe assets availability: providing evidence on the importance of foreign-issued financial sector debt as a substitute when U.S. issued "safe" assets are scarce. Furthermore, although U.S. investors continue to tap foreign financial markets for "safe" assets, we show that the type of foreign financial debt that fills this portfolio niche post-crisis is quite different than pre-crisis. Post-crisis, we find that U.S. investors have replaced offshore-issued structured securities with high-grade U.S. dollar-denominated financial debt issued from a small group of OECD countries (most notably Australia and Canada). Lastly, these developments have led to a decline in home bias in the U.S. financial bond portfolio that we are able to document for the first time. KW - International Investment; Long-term Capital Movements F21 KW - International Lending and Debt Problems F34 KW - Portfolio Choice; Investment Decisions G11 KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1123.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480213&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1123.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coroneo, Laura AU - Giannone, Domenico AU - Modugno, Michele AD - University of York AD - LUISS University of Rome AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Unspanned macroeconomic factors in the yield curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-57 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457007; Keywords: Yield curve; government bonds; factor models; forecasting; Publication Type: Working Paper; Update Code: 201409 N2 - In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates. KW - Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models C33 KW - Forecasting Models; Simulation Methods C53 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/pubs/feds/2014/201457/201457pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457007&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201457/201457pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johannsen, Benjamin K. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - When are the Effects of Fiscal Policy Uncertainty Large? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-40 Y1 - 2014/// SP - 49 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456980; Keywords: Fiscal policy; zero lower bound; uncertainty; Publication Type: Working Paper; Update Code: 201409 N2 - Using a new-Keynesian model with endogenous capital accumulation, I show that uncertainty about fiscal policy can cause large declines in consumption, investment, and output when the zero lower bound (ZLB) binds, but has modest effects when the monetary authority is not constrained by the ZLB. I study uncertainty about the level of government spending and uncertainty about tax rates on consumption, wages, capital income, and investment. In my model, uncertainty about government spending and the wage tax rate has particularly large effects. I show that the effects of fiscal policy uncertainty are largest when the nominal interest rate is on the cusp of the ZLB and also that delaying fiscal policy uncertainty diminishes its effects only if the resolution of uncertainty occurs after ZLB no longer binds. L3 - http://www.federalreserve.gov/pubs/feds/2014/201440/201440pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456980&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201440/201440pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Datta, Deepa Dhume AU - Londono, Juan M. AU - Ross, Landon J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Generating Options-Implied Probability Densities to Understand Oil Market Events PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1122 Y1 - 2014/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480215; Keywords: Options-implied PDFs; futures; options; oil; Publication Type: Working Paper; Update Code: 201502 N2 - We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF estimation methods, and develop a set of robust summary statistics. Using PDFs estimated around episodes of high geopolitical tensions, oil supply disruptions, and macroeconomic data releases, we explore the extent to which oil price movements are expected or unexpected, and whether agents believe these movements to be persistent or temporary. KW - Estimation: General C13 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1122.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480215&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1122.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Iacoviello, Matteo AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - OccBin: A Toolkit for Solving Dynamic Models With Occasionally Binding Constraints Easily PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-47 Y1 - 2014/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456993; Keywords: Occasionally binding constraints; DSGE models; regime shifts; first-order perturbation; Publication Type: Working Paper; Update Code: 201409 N2 - We describe how to adapt a first-order perturbation approach and apply it in a piecewise fashion to handle occasionally binding constraints in dynamic models. Our examples include a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates. We compare the piecewise linear perturbation solution with a high-quality numerical solution that can be taken to be virtually exact. The piecewise linear perturbation method can adequately capture key properties of the models we consider. A key advantage of this method is its applicability to models with a large number of state variables. L3 - http://www.federalreserve.gov/pubs/feds/2014/201447/201447pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456993&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201447/201447pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AU - Ramcharan, Rodney AU - Krimmel, Jacob AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Signaling Status: The Impact of Relative Income on Household Consumption and Financial Decisions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-76 Y1 - 2014/// SP - 50 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466012; Publication Type: Working Paper; Update Code: 201411 N2 - This paper investigates the importance of status in household consumption and financial decisions using household data from the Survey of Consumer Finances (SCF) linked to neighborhood data in the American Community Survey (ACS). We find evidence that a household's income rank--its position in the income distribution relative to its close neighbors--is positively associated with its expenditures on high status cars, its level of indebtedness, as well as the riskiness of the household's portfolio. More aggregate county-level evidence based on a dataset of every new car sold in each county in the United States since 2002 also suggests that the signaling motive might be important. These results indicate that greater income heterogeneity might have large consequences for household consumption and portfolio decisions. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201476pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466012&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201476pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuentes-Albero, Cristina AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Financial Frictions, Financial Shocks, and Aggregate Volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-84 Y1 - 2014/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480187; Keywords: Great Inflation; Great Moderation; immoderation; financial frictions; financial shocks; structural breaks; Bayesian methods; Publication Type: Working Paper; Update Code: 201502 N2 - I revisit the Great Inflation and the Great Moderation. I document an immoderation in corporate balance sheet variables so that the Great Moderation is best described as a period of divergent patterns in volatilities for real, nominal and financial variables. A model with time-varying financial frictions and financial shocks allowing for structural breaks in the size of shocks and the institutional framework is estimated. The paper shows that (i) while the Great Inflation was driven by bad luck, the Great Moderation is mostly due to better institutions; (ii) the slowdown in credit spreads is driven by an easier access to credit, while a higher exposure to financial risk determines the immoderation of balance sheet variables; and (iii) financial shocks arise as relevant drivers of U.S. business cycle fluctuations. KW - Bayesian Analysis: General C11 KW - Estimation: General C13 KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201484pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480187&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201484pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yankov, Vladimir AD - Board of Governors of the Federal Reserve System (U.S.) T1 - In Search of a Risk-free Asset PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-108 Y1 - 2014/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480190; Keywords: Consumer search; deposit rates; interest rate pass-through; price rigidity; Publication Type: Working Paper; Update Code: 201502 N2 - To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997-2011. Banks adjusted their yields rigidly and asymmetrically with median duration of 7 weeks in response to increasing or constant Fed Funds rate target regimes and 3 weeks during regimes of decreasing Fed Fund rate target. I investigate to what extent information (search) costs on the part of the investors in this market can explain the observed pricing behavior. I build and estimate an asset pricing model with heterogeneous search cost investors. A large fraction of high information cost uninformed investors and the exit of low information cost informed investors rationalizes the observed price dispersion. I further qualitatively match the asymmetric yield rigidity within the framework of costly consumer search without the need to impose menu costs or other restrictions on the banks' repricing behavior. KW - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness D83 KW - Intertemporal Household Choice; Life Cycle Models and Saving D91 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014108pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480190&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014108pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The ins and outs of mortgage debt during the housing boom and bust PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-91 Y1 - 2014/// SP - 51 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480173; Keywords: Mortgage debt; mortgage default; first-time homebuyer; credit supply; Publication Type: Working Paper; Update Code: 201502 N2 - From 1999 to 2013, U.S. mortgage debt doubled and then contracted sharply. Our understanding of the factors driving this volatility in the stock of debt is hampered by a lack of data on mortgage flows. Using comprehensive, individual-level panel data on consumer liabilities, I estimate detailed mortgage inflows and outflows. During the boom, inflows from real estate investors tripled, far outpacing growth from other segments such as first-time homebuyers. During the bust, although defaults and deleveraging are popular explanations for the debt decline, a collapse in inflows has been the major driver. Inflow declines across counties have been associated not just with house price declines, but also with rising unemployment and higher minority population shares. Finally, inflow declines reflect, in part, a dramatic decline in first-time homebuying. First-time homebuying fell among both high and low credit score individuals, but much more precipitously for low score individuals. Further analysis suggests that the differential decline by credit score likely reflects markedly tightened credit supply. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201491pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480173&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201491pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Financial Frictions and Macroeconomic Fluctuations in Emerging Economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1120 Y1 - 2014/// SP - 52 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480209; Keywords: Financial frictions; country risk premium; international business cycles; Bayesian estimation; Publication Type: Working Paper; Update Code: 201502 N2 - Estimated dynamic models of business cycles in emerging markets deliver counterfactual predictions for the country risk premium. In particular, the country interest rate predicted by these models is acyclical or procyclical, whereas it is countercyclical in the data. This paper proposes and estimates a small open economy model of the emerging-market business cycle in which a time-varying country risk premium emerges endogenously. In the proposed model, a firm's borrowing rate adjusts countercyclically as the default threshold of the firm depends on the state of the macroeconomy. I econometrically estimate the proposed model and find that it can account for the volatility and the countercyclicality of country risk premium as well as for other key emerging market business cycle moments. Time varying uncertainty in firm specific productivity contributes to delivering a countercyclical default rate and explains 70 percent of the variances in the trade balance and in the country risk premium. Finally, I find the predicted contribution of nonstationary productivity shocks in explaining output variations falls between the extremely high and extremely low values reported in the literature. KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - International Business Cycles F44 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1120.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480209&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1120.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, James M. AU - Szerszen, Pawel J. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-21 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439619; Keywords: Market risk; value at risk; backtesting; profit and loss; financial crisis; Publication Type: Working Paper; Update Code: 201405 N2 - We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are also estimated directly from the banks' trading revenues and help to explain the bank VaR performance results. While highly conservative in the pre-crisis period, bank VaR exceedances were excessive and clustered in the crisis period. All benchmark VaRs were more accurate in the pre-crisis period with GARCH VaR measures the most accurate in the crisis period having lower exceedance rates with no exceedance clustering. Variance decompositions indicate a limited ability of the banks' VaR methodologies to adjust to the crisis-period market conditions. Despite their weaker performance, the bank VaRs exhibited greater predictive power for a measure of realized PnL volatility than benchmark VaR measures. Benchmark Expected Shortfall measures are also considered. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439619&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Javed I. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Competition in lending and credit ratings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-23 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439614; Keywords: Issuer pays; credit rating; segmented markets; unsolicited rating; Publication Type: Working Paper; Update Code: 201405 N2 - This article relates corporate credit rating quality to competition in lending between the public bond market and banks. In the model, the monopolistic rating agency's choice of price and quality leads to an endogenous threshold separating low-quality bank-dependent issuers from higher-quality issuers with access to public debt. In a baseline equilibrium with expensive bank lending, this separation across debt market segments provides information, but equilibrium ratings are uninformative. A positive shock to private (bank) relative to public lending supply allows banks to compete with public lenders for high-quality issuers, which threatens rating agency profits, and informative ratings result to prevent defection of high-quality borrowers to banks. This prediction is tested by analyzing two events that increased the relative supply of private vs. public lending sharply: legislation in 1994 that reduced barriers to interstate bank lending and the temporary shutdown of the high-yield bond market in 1989. After each event, the quality of ratings (based on their impact on bond yield spreads) increased for affected issuers. The analysis suggests that strategic behavior by the rating agency in an issuer-pays setting dampens the influence of macroeconomic shocks, and explains the use of informative unsolicited credit ratings to prevent unrated bond issues, particularly during good times. Additionally, the controversial issuer-pays model of ratings leads to more efficient outcomes than investor-pays alternatives. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439614&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Judson, Ruth AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Estimating U.S. Cross-Border Securities Positions: New Data and New Methods PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1113 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457022; Keywords: Capital flows; portfolio investment; treasury international capital; U.S. treasuries; emerging market economies; Publication Type: Working Paper; Update Code: 201409 N2 - The role of capital flows in the buildup to the global financial crisis and the potential vulnerabilities posed by capital flows to emerging market economies highlight the importance of reliable and timely measures of cross-border investment activity to better monitor developments as they unfold. We present new monthly estimates of U.S. cross-border securities investment, combining information from detailed annual Treasury International Capital (TIC) surveys with new information from the TIC form SLT. We also show how changes in the new monthly data can be decomposed into flows, estimated valuation changes, and a residual "gap". These decompositions can provide a richer and timelier view of developments in both foreign portfolio investment in the U.S. and U.S. portfolio investment abroad than available from transactions data or survey data alone. Data on cross-border holdings through December 2013, by country, are available for download; we also provide advice on how to construct estimates going forward. These data can be combined with the existing Bertaut-Tryon monthly estimates of securities holdings (now updated through 2011) to generate consistent monthly time series of positions. KW - Data Collection and Data Estimation Methodology; Computer Programs: General C80 KW - International Finance: General F30 KW - General Financial Markets: General (includes Measurement and Data) G10 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1113/ifdp1113.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457022&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1113/ifdp1113.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Oliver AU - Warusawitharana, Missaka AD - University of Wisconsin AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Finance and Productivity Growth: Firm-level Evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-17 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439604; Keywords: Finance-growth nexus; financial crisis; total factor productivity (TFP); Publication Type: Working Paper; Update Code: 201405 N2 - Using data on a broad set of European firms, we find a strong positive relationship between the use of external financing and future productivity (TFP) growth within firms. This relationship is robust to various measures of financing and productivity, and strengthens as financing costs increase. We provide evidence against a reverse-causality explanation by showing that this relationship arises from the component of TFP that is outside the information set of the firm. These findings indicate that financial development supports productivity growth within firms, and helps explain why economic activity remains persistently depressed following financial crisis. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439604&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dettling, Lisa J. AU - Hsu, Joanne W. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Returning to the Nest: Debt and Parental Co-residence Among Young Adults PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-80 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480203; Keywords: Consumer debt; household formation; delinquency; boomerang generation; Publication Type: Working Paper; Update Code: 201502 N2 - This paper examines the relationship between a young adults' debt burden and the decision to co-reside with a parent. Using a quarterly panel of young adults' credit histories, and controlling for age, county, and quarter fixed effects, and local demographic characteristics, unemployment rates, and house prices, we estimate the relationship between current period debt and subsequent decisions to co-reside with a parent. Our results indicate that indebtedness--as measured by average loan balances, declining credit scores and delinquency on accounts--increases flows into parental co-residence. Moreover, after moving in, delinquency and low credit scores increase time spent in co-residence. We find that the changing debt portfolios of young adults over this period--characterized by rising student loan debt and small declines in credit card, auto and mortgage debt--can predict 30 percent of the observed increase in flows into co-residence, and 26 percent of the observed increase in time spent in co-residence. KW - Household Production and Intrahousehold Allocation D13 KW - Intertemporal Household Choice; Life Cycle Models and Saving D91 KW - Demographic Trends, Macroeconomic Effects, and Forecasts J11 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201480pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201480pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - Fan, Roger AU - Kitsul, Yuriy AD - Federal Reserve Bank of Chicago AD - Federal Reserve Bank of Chicago AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-60 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456995; Keywords: Treasury bonds; repo contracts; supply-demand factors; liquidity; Large Scale Asset Purchase programs; Treasury auctions; Publication Type: Working Paper; Update Code: 201409 N2 - In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S. Treasury securities. We find an economically and statistically significant scarcity premium. This scarcity effect is quite persistent, passes through to Treasury market prices, and explains a significant portion of the flow-effects of LSAP programs, providing additional evidence for the scarcity channel of QE. Through the same mechanism, the Fed's reverse repo operations could alleviate potential shortages of high-quality collateral. KW - Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models C23 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - General Financial Markets: Other G19 L3 - http://www.federalreserve.gov/pubs/feds/2014/201460/201460pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456995&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201460/201460pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anenberg, Elliot AU - Laufer, Steven AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Using Data on Seller Behavior to Forecast Short-run House Price Changes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-16 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439630; Keywords: House price indices; house price forecasting; housing market microstructure; Publication Type: Working Paper; Update Code: 201405 N2 - We construct a new "list-price index" that accurately reveals trends in house prices several months before existing sales price indices like Case-Shiller. Our index is based on the repeat-sales approach but for recent months uses listings data, which are available essentially in real time, instead of transactions data, which become available with significant lags. Our index methodology is motivated by a simple model of the home-selling problem that shows how listings variables such as the list price and marketing time help predict the final sales price. In a sample of three large MSAs over the years 2008-2012, our index (i) accurately forecasts the Case-Shiller index several months in advance, (ii) outperforms forecasting models that do not use listings data, and (iii) outperforms the market's expectation as inferred from prices on Case-Shiller future contracts. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439630&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Sim, Jae W. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Why Do Innovative Firms Hold So Much Cash? Evidence from Changes in State R&D Tax Credits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-72 Y1 - 2014/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466014; Keywords: Determinants of corporate cash holdings; financial economics of innovation; Publication Type: Working Paper; Update Code: 201411 N2 - This paper uses the staggered changes of R&D tax credits across U.S. states and over time as a quasi-natural experiment to examine the impact of innovation on corporate liquidity. By generating plausibly independent variation in firms' incentive to invest in R&D, we are able to assess the empirical importance of specific theories of the link between innovation and corporate liquidity. Firms increase (decrease) their cash to asset ratios by about one and a half percentage point when their home state increases (cuts) R&D tax credits. These baseline difference-in-differences estimates hold up to a battery of validation, falsification, and robustness checks, which corroborate their internal and external validity. The treatment effect of R&D tax credits increases monotonically with several specific proxies for debt and equity financing frictions. Increases (cuts) in tax credits also lead to increases (decreases) in the ratios of cash to bank lines of credit and to book equity, and to decreases (increases) in bank debt, secured debt, and overall net indebtness, supporting debt and equity financing channels through which innovation impacts the demand for cash. We also find support for a product market competition channel, and assess repatriation and agency explanations. Overall, our analysis offers endogeneity-free evidence that innovation is a first-order driver of corporate liquidity management decisions. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201472pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466014&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201472pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bassett, William F. AU - Marsh, Blake AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Assessing Targeted Macroprudential Financial Regulation: The Case of the 2006 Commercial Real Estate Guidance for Banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-49 Y1 - 2014/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456979; Keywords: Credit channel; government regulation; bank lending; real estate; Publication Type: Working Paper; Update Code: 201409 N2 - In the mid-2000s, federal bank regulatory agencies became alarmed by steadily increasing concentrations of commercial real estate (CRE) loans at many banks, particularly loans used to finance construction and land development (CLD). In January 2006, they issued guidance that required banks with specific high concentrations in those asset classes to tighten managerial controls. This paper shows that banks with concentrations in excess of the thresholds set in the guidance subsequently experienced slower growth in their CRE and CLD portfolios than can be explained by changes in the health of their balance sheets and economic conditions. Moreover, banks that were above the CRE thresholds also tended to have slower growth in C&I loans but faster growth in loans to households after the guidance was issued. The results highlight the potential for this type of macroprudential regulation to have a significant and broad influence on bank behavior. KW - Financial Markets and the Macroeconomy E44 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federalreserve.gov/pubs/feds/2014/201449/201449pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456979&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201449/201449pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caliendo, Lorenzo AU - Parro, Fernando AU - Rossi-Hansberg, Esteban AU - Sarte, Pierre-Daniel G. AD - Yale University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Princeton University AD - Federal Reserve Bank of Richmond T1 - The Impact of Regional and Sectoral Productivity Changes on the U.S. Economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1119 Y1 - 2014/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466020; Keywords: Interregional trade; intersectoral linkages; total factor productivity; gross domestic product; factor mobility; Publication Type: Working Paper; Update Code: 201411 N2 - We study the impact of regional and sectoral productivity changes on the U.S. economy. To that end, we consider an environment that captures the effects of interregional and intersectoral trade in propagating disaggregated productivity changes at the level of a sector in a given U.S. state to the rest of the economy. The quantitative model we develop features pairwise interregional trade across all 50 U.S. states, 26 traded and non-traded industries, labor as a mobile factor, and structures and land as an immobile factor. We allow for sectoral linkages in the form of an intermediate input structure that matches the U.S. input-output matrix. Using data on trade flows by industry between states, as well as other regional and industry data, we obtain the aggregate, regional and sectoral elasticities of measured TFP, GDP, and employment to regional and sectoral productivity changes. We find that such elasticities can vary significantly depending on the sectors and regions affected and are importantly determined by the spatial structure of the US economy. We highlight the role of these elasticities by tracing out the effects of productivity gains in California in the Computers and Electronics industry between 2002 and 2007 on all other U.S. sectors and regions. KW - Trade: General F10 KW - Neoclassical Models of Trade F11 KW - Economic Growth and Aggregate Productivity: General O40 KW - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence O47 KW - Size and Spatial Distributions of Regional Economic Activity R12 KW - General Equilibrium and Welfare Economic Analysis of Regional Economies R13 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1119.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466020&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1119.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Nicholas AU - Feler, Leo AD - Board of Governors of the Federal Reserve System (U.S.) AD - Johns Hopkins University SAIS T1 - Bank Ownership, Lending, and Local Economic Performance During the 2008-2010 Financial Crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1099 Y1 - 2014/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439638; Keywords: Credit; financial crises; state-owned banks; local economic activity; Publication Type: Working Paper; Update Code: 201405 N2 - While the finance literature often equates government banks with political capture and capital misallocation, these banks can help mitigate financial shocks. This paper examines the role of Brazil's government banks in preventing a recession during the 2008-2010 financial crisis. Government banks in Brazil provided more credit, which offset declines in lending by private banks. Areas in Brazil with a high share of government banks experienced increases in lending, production, and employment during the crisis compared to areas with a low share of these banks. We find no evidence that lending was politically targeted or that it caused productivity to decline in the short-run. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439638&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duygan-Bump, Burcu AU - Leykov, Alexey AU - Montoriol-Garriga, Judit AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of Boston AD - Universitat Autonoma de Barcelona T1 - Financing Constraints and Unemployment: Evidence from the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-92 Y1 - 2014/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480208; Keywords: Great Recession; firm size; financial dependence; unemployment; Publication Type: Working Paper; Update Code: 201502 N2 - Exploiting the differential financing needs across industrial sectors, this paper shows that financing constraints of small businesses in the United States are one of the drivers explaining the unemployment dynamics during the Great Recession. We show that workers in small firms are more likely to become unemployed during the 2007-09 financial crisis if they work in industries with high external financing needs. We find very similar results for the 1990-91 recession, but not for the 2001 recession, where only the former was associated with a reduction in loan supply. These findings further support the credit constraints hypothesis. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity E24 KW - Financial Markets and the Macroeconomy E44 KW - Financial Institutions and Services: General G20 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201492pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480208&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201492pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Song, Zhaogang AU - Zhu, Haoxiang AD - Board of Governors of the Federal Reserve System (U.S.) AD - MIT Sloan School of Management T1 - QE Auctions of Treasury Bonds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-48 Y1 - 2014/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456990; Keywords: Auction; quantitative easing; Federal Reserve; treasury bond; specialness; Publication Type: Working Paper; Update Code: 201409 N2 - The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its quantitative easing (QE) policy. In this paper, we study the outcomes of QE auctions and participating dealers' bidding behaviors from November 2010 to September 2011, during which the Fed purchased $780 billion Treasury securities. Our data include the transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE auctions the Fed tends to exclude bonds that are liquid and on special, but among included bonds, purchase volumes gravitate toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above the secondary market ask price on auction dates; (3) The heterogeneity of Fed's costs across bonds relates to their liquidity and specialness, suggesting that dealers respond to both valuation and information uncertainties; (4) Dealers exhibit strong heterogeneity in their participation, trading volumes, and profits in QE auctions; (5) Auction bidding variables forecast bond returns only one day after the auction, suggesting that dealers have price-relevant information but the information decays quickly. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.federalreserve.gov/pubs/feds/2014/201448/201448pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456990&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201448/201448pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ivanov, Ivan T. AU - Santos, Joao A. C. AU - Vo, Thu AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of New York AD - Amherst Securities Group T1 - Tying loan interest rates to borrowers' CDS spreads PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-70 Y1 - 2014/// SP - 56 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466010; Keywords: Market-based pricing; loan spreads; loan covenants; CDS spreads; Publication Type: Working Paper; Update Code: 201411 N2 - We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected borrowing costs. We find that CDS-based loans are associated with lower interest rates, both at origination and during the life of the loan. Our results also indicate that banks simplify the covenant structure of market-based pricing loans, suggesting that the decline in the cost of bank debt is explained, at least in part, by a reduction in monitoring costs. Market-based pricing, therefore, besides reducing the cost of bank debt, may also have adverse consequences resulting from the decline in bank monitoring. KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Corporate Finance and Governance: General G30 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201470pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466010&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201470pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Siemer, Michael AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Firm Entry and Employment Dynamics in the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-56 Y1 - 2014/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456998; Keywords: Employment; firm entry; financial crisis; small business; financial friction; slow recovery; start-ups; Publication Type: Working Paper; Update Code: 201409 N2 - The 2007-2009 recession is characterized by: a large drop in employment, an unprecedented decline in firm entry, and a slow recovery. Using confidential firm-level data, I show that financial constraints reduced employment growth in small relative to large firms by 4.8 to 10.5 percentage points. The effect of financial constraints is robust to controlling for aggregate demand and is particularly strong in small young firms. I show in a heterogeneous firms model with endogenous firm entry and financial constraints that a large financial shock results in a long-lasting recession caused by a "missing generation" of entrants. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital E24 KW - Business Fluctuations; Cycles E32 KW - Financial Markets and the Macroeconomy E44 KW - Financial Crises G01 KW - Demand and Supply of Labor: General J20 KW - Firm Performance: Size, Diversification, and Scope L25 L3 - http://www.federalreserve.gov/pubs/feds/2014/201456/201456pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456998&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201456/201456pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huh, Yesol AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Machines vs. Machines: High Frequency Trading and Hard Information PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-33 Y1 - 2014/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439621; Keywords: High frequency trading; liquidity; market microstructure; information asymmetry; Publication Type: Working Paper; Update Code: 201405 N2 - In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that information asymmetry induced by liquidity-taking HFTs' use of machine-readable information is important. This particular type of information asymmetry arises because some machines may access the information before other machines or because of randomness in relative speed. Applying a novel statistical approach to measure HFT activity through limit order book data and using a natural experiment of index inclusion, I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more from this information asymmetry problem. Moreover, when markets are volatile, this information asymmetry problem becomes more severe, and HFTs supply less liquidity. I discuss implications for market-making activity in times of market stress and for HFT regulations. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439621&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramcharan, Rodney AU - Rajan, Raghuram G. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Reserve Bank of India T1 - Financial Fire Sales: Evidence from Bank Failures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-67 Y1 - 2014/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456988; Keywords: Bank failures; liquidity; fire sales; Publication Type: Working Paper; Update Code: 201409 N2 - Theory suggests the reduction in financing capacity after the failure of a financial intermediary can reduce the value of financial assets. Forced sales of the intermediary's assets could consume liquidity, depressing the liquidation value of the assets of healthy intermediaries and causing contagious runs. These financial fire sales can both cause, and exacerbate, real fire sales, the focus of previous studies. This paper investigates the relevance of financial fire sales using new datasets covering bank failures during the farm depression in the United States just before the Great Depression, as well as bank failures during the Great Depression. Using differences in regulation as a means of identification, we find that the reduction in local financing capacity as a result of bank failures reduces the recovery rates on failed assets of nearby banks, depresses local land prices, renders land markets illiquid, and is associated with subsequent distress in nearby banks. All this indicates a rationale for why bank failures are contagious. L3 - http://www.federalreserve.gov/pubs/feds/2014/201467/201467pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456988&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201467/201467pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AU - Sommer, Kamila AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How Well Did Social Security Mitigate the Effects of the Great Recession? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-13 Y1 - 2014/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439611; Keywords: Social Security; recessions; overlapping generations; Publication Type: Working Paper; Update Code: 201405 N2 - This paper quantifies the welfare implications of the U.S. Social Security program during the Great Recession. We find that the average welfare losses due to the Great Recession for agents alive at the time of the shock are notably smaller in an economy with Social Security relative to an economy without a Social Security program. Moreover, Social Security is particularly effective at mitigating the welfare losses for agents who are poorer, less productive, or older at the time of the shock. Importantly, in addition to mitigating the welfare losses for these potentially more vulnerable agents, we do not find any specific age, income, wealth or ability group for which Social Security substantially exacerbates the welfare consequences of the Great Recession. Taken as a whole, our results indicate that the U.S. Social Security program is particularly effective at providing insurance against business cycle episodes like the Great Recession. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439611&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Guerrieri, Luca AU - LaBriola, Joe AD - National University of Singapore AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of California, Berkeley T1 - Macroeconomic Policy Games PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-87 Y1 - 2014/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480199; Keywords: Optimal policy; strategic interaction; welfare analysis; monetary policy cooperation; marcroprudential regulation; Publication Type: Working Paper; Update Code: 201502 N2 - Strategic interactions between policymakers arise whenever each policymaker has distinct objectives. Deviating from full cooperation can result in large welfare losses. To facilitate the study of strategic interactions, we develop a toolbox that characterizes the welfare-maximizing cooperative Ramsey policies under full commitment and open-loop Nash games. Two examples for the use of our toolbox offer some novel results. The first example revisits the case of monetary policy coordination in a two-country model to confirm that our approach replicates well-known results in the literature and extends these results by highlighting their sensitivity to the choice of policy instrument. For the second example, a central bank and a macroprudential regulator are assigned distinct objectives in a model with financial frictions. Lack of coordination leads to large welfare losses even if technology shocks are the only source of fluctuations. KW - Financial Markets and the Macroeconomy E44 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 KW - International Policy Coordination and Transmission F42 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201487pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201487pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Andrew C. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Tax Policy Endogeneity: Evidence from R&D Tax Credits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-101 Y1 - 2014/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480174; Keywords: Corporate tax; fiscal policy; R&D price elasticity; tax credits; policy endogeneity; Publication Type: Working Paper; Update Code: 201502 N2 - Because policymakers may consider the state of the economy when setting taxes, endogeneity bias can arise in regression models that estimate relationships between economic variables and taxes. This paper quantifies the policy endogeneity bias and estimates the impact of R&D tax incentives on R&D expenditures at the U.S. state level. Identifying tax variation comes from changes in federal corporate tax laws that heterogeneously impact state-level R&D tax incentives due to the simultaneity of state and federal corporate taxes. With this exogenous variation, my preferred estimates indicate a 1 percent increase in R&D tax incentives leads to a 2.8-3.8 percent increase in R&D. Alternatively, estimates that ignore endogenously determined policies indicate that a 1 percent increase in R&D tax incentives leads to a 0.4-0.7 percent increase in R&D. These results are consistent with tax policies that are implemented before an economic downturn. KW - Taxation, Subsidies, and Revenue: General H20 KW - Business Taxes and Subsidies including sales and value-added (VAT) H25 KW - Fiscal Policies and Behavior of Economic Agents: Firm H32 KW - State and Local Taxation, Subsidies, and Revenue H71 KW - Tax Law K34 KW - Technological Change: Government Policy O38 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/2014101pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480174&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/2014101pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baele, Lieven AU - Bekaert, Geert AU - Inghelbrecht, Koen AU - Wei, Min AD - Tilburg University AD - Columbia University AD - Ghent University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Flights to Safety PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-46 Y1 - 2014/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456986; Keywords: Flight-to-safety; flight-to-quality; stock-bond return correlation; liquidity; hedge funds; Publication Type: Working Paper; Update Code: 201409 N2 - Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and the Ted spread, decreases in consumer sentiment indicators and appreciations of the Yen, Swiss franc, and US dollar. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Money market instruments, corporate bonds, and commodity prices (with the exception of metals, including gold) face abnormal negative returns in FTS episodes. Hedge funds, especially those belonging to the "event-driven" styles, display negative FTS betas, after controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic growth and inflation decline right after and up to a year following a FTS spell. KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Portfolio Choice; Investment Decisions G11 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/pubs/feds/2014/201446/201446pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456986&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201446/201446pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Sim, Jae W. AU - Zakrajsek, Egon AD - Boston University AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Uncertainty, Financial Frictions, and Investment Dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-69 Y1 - 2014/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466009; Keywords: Time-varying volatility; asset specificity; capital liquidity shocks; costly external finance; firm heterogeneity; general equilibrium; Publication Type: Working Paper; Update Code: 201411 N2 - Micro- and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have a large effect on investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question regarding the economic significance of the traditional "wait-and-see" effect of uncertainty shocks and point to financial distortions as the main mechanism through which fluctuations in uncertainty affect macroeconomic outcomes. The relative importance of these two mechanisms is analyzed within a quantitative general equilibrium model, featuring heterogeneous firms that face time-varying idiosyncratic uncertainty, irreversibility, nonconvex capital adjustment costs, and financial frictions. The model successfully replicates the stylized facts concerning the macroeconomic implications of uncertainty and financial shocks. By influencing the effective supply of credit, both types of shocks exert a powerful effect on investment and generate countercyclical credit spreads and procyclical leverage, dynamics consistent with the data and counter to those implied by the technology-driven real business cycle models. KW - Investment; Capital; Intangible Capital; Capacity E22 KW - Business Fluctuations; Cycles E32 KW - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity G31 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201469pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466009&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201469pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shin, Chae Hee AD - Board of Governors of the Federal Reserve System (U.S.) T1 - An Industrial Organization Approach to International Portfolio Diversification: Evidence from the U.S. Mutual Fund Families PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-78 Y1 - 2014/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1466017; Keywords: Diversification; mutual funds; Publication Type: Working Paper; Update Code: 201411 N2 - Although the lack of international portfolio diversification has long interested the financial economics literature, the role of financial intermediaries in the market for diversified portfolios has rarely been studied. In this paper, I introduce a microeconomic aspect of under-diversification by examining a new data on U.S.-based mutual fund families' global diversification. I document the fund families' investments in global equity markets and explore features of supply and demand in the mutual fund market to explain their limited global diversification. Demand estimation confirms that consumers are not only sensitive to the fund families' portfolio characteristics such as global diversification, but also to the non-portfolio characteristics such as fund family age and size. On the supply side, the model of fund families' global investment decisions uses a revealed preference approach and shows small cross-border investment frictions can justify the fund families' observed limited global diversification. Other factors such as destination country's investor protection level and fund family's investment experience significantly affect the degree of diversification as well. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201478pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1466017&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201478pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cao, Charles AU - Liang, Bing AU - Lo, Andrew W. AU - Petrasek, Lubomir AD - Smeal College of Business, Penn State University AD - Isenberg School of Management, University of Massachusetts AD - MIT Sloan School of Management AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Hedge fund holdings and stock market efficiency PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-36 Y1 - 2014/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456987; Keywords: Hedge funds; institutional investors; market efficiency; Publication Type: Working Paper; Update Code: 201409 N2 - We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity prices. The contribution of hedge funds to price efficiency is greater than the contributions of other types of institutional investors, such as mutual funds or banks. However, stocks held by hedge funds experienced extreme declines in price efficiency during liquidity crises, most notably in the last quarter of 2008, and the declines were most severe in stocks held by hedge funds connected to Lehman Brothers and hedge funds using leverage. L3 - http://www.federalreserve.gov/pubs/feds/2014/201436/201436pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456987&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201436/201436pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Trabandt, Mathias AD - Northwestern University AD - Northwestern University AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Understanding the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1107 Y1 - 2014/// SP - 61 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457012; Keywords: Inflation; unemployment; labor force; zero lower bound; Publication Type: Working Paper; Update Code: 201409 N2 - We argue that the vast bulk of movements in aggregate real economic activity during the Great Recession were due to financial frictions interacting with the zero lower bound. We reach this conclusion looking through the lens of a New Keynesian model in which firms face moderate degrees of price rigidities and no nominal rigidities in the wage setting process. Our model does a good job of accounting for the joint behavior of labor and goods markets, as well as inflation, during the Great Recession. According to the model the observed fall in total factor productivity and the rise in the cost of working capital played critical roles in accounting for the small size of the drop in inflation that occurred during the Great Recession. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital E24 KW - Business Fluctuations; Cycles E32 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1107/ifdp1107.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457012&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1107/ifdp1107.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calomiris, Charles W. AU - Carlson, Mark A. AD - Columbia Business School, NBER and IMF AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Corporate Governance and Risk Management at Unprotected Banks: National Banks in the 1890s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-8 Y1 - 2014/// SP - 62 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439605; Keywords: Manager ownership; corporate governance; rent seeking; risk preferences; bank failures; risk shifting; adverse selection; Publication Type: Working Paper; Update Code: 201405 N2 - Managers' incentives may conflict with those of shareholders or creditors, particularly at leveraged, opaque banks. Bankers may abuse their control rights to give themselves excessive salaries, favored access to credit, or to take excessive risks that benefit themselves at the expense of depositors. Banks must design contracting and governance structures that sufficiently resolve agency problems so that they can attract funding from outside shareholders and depositors. We examine banks from the 1890s, a period when there were no distortions from deposit insurance or government interventions to assist banks. We use national banks' Examination Reports to link differences in managerial ownership to different corporate governance policies, risk, and methods of risk management. Formal corporate governance is lower when manager ownership shares are higher. Managerial rent seeking via salaries and insider lending is greater when managerial ownership is higher, and lower when formal governance controls are employed. Banks with higher managerial ownership target lower default risk. Higher managerial ownership and less-formal governance are associated with a greater reliance on cash rather than capital as a means of limiting risk, which we show is consistent both with higher adverse-selection costs of raising outside equity and with greater moral-hazard with respect to risk shifting. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439605&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - DeFusco, Anthony AU - Paciorek, Andrew D. AD - The Wharton School, University of Pennsylvania AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Interest Rate Elasticity of Mortgage Demand: Evidence From Bunching at the Conforming Loan Limit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-11 Y1 - 2014/// SP - 62 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439618; Keywords: Mortgage demand; interest rate elasticity; conforming loan limit; bunching; Publication Type: Working Paper; Update Code: 201405 N2 - The relationship between the mortgage interest rate and a household's demand for mortgage debt has important implications for a host of public policy questions. In this paper, we use detailed data on over 2.7 million mortgages to provide novel estimates of the interest rate elasticity of mortgage demand. Our empirical strategy exploits a discrete jump in interest rates generated by the conforming loan limit--the maximum loan size eligible for securitization by Fannie Mae and Freddie Mac. This discontinuity creates a large "notch" in the intertemporal budget constraint of prospective mortgage borrowers, allowing us to identify the causal link between interest rates and mortgage demand by measuring the extent to which loan amounts bunch at the conforming limit. Under our preferred specifications, we estimate that a 1 percentage point increase in the rate on a 30-year fixed-rate mortgage reduces first mortgage demand by between 2 and 3 percent. We also present evidence that about one third of the response is driven by borrowers who take out second mortgages while leaving their total mortgage balance unchanged. Accounting for these borrowers suggests a reduction in total mortgage debt of between 1.5 and 2 percent per percentage point increase in the interest rate. Using these estimates, we predict the changes in mortgage demand implied by past and proposed future increases to the guarantee fees charged by Fannie and Freddie. We conclude that these increases would directly reduce the dollar volume of new mortgage originations by well under 1 percent. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439618&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Monarch, Ryan AU - Park, Jooyoun AU - Sivadasan, Jagadeesh AD - Board of Governors of the Federal Reserve System (U.S.) AD - Kent State University AD - University of Michigan T1 - Gains from Offshoring? Evidence from U.S. Microdata PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1124 Y1 - 2014/// SP - 63 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480210; Keywords: Outsourcing; manufacturing; employment; trade; productivity; firm performance; Publication Type: Working Paper; Update Code: 201502 N2 - We construct a new linked data set with over one thousand offshoring events by matching Trade Adjustment Assistance program petition data to confidential data on U.S. firm operations. We exploit these data to assess how offshoring affects domestic firm-level aggregate employment, output, wages and productivity. Consistent with heterogenous firm models where offshoring involves a fixed cost, we find that the average offshoring firm is larger and more productive than the average non-offshorer. After initiating offshoring, firms experience large declines in employment (46.2 per cent), output (38.5 per cent) and capital (28.8 per cent) relative to their industry peers. We find no significant change in average wages or in total factor productivity measures for offshoring firms. These results are consistent across two separate difference-in-differences (DID) approaches, an instrumental variables approach, and a number of robustness checks. Thus, we find offshoring to be a strong substitute for domestic activity in this large sample of offshoring events. KW - Empirical Studies of Trade F14 KW - Trade and Labor Market Interactions F16 KW - Multinational Firms; International Business F23 KW - Economic Impacts of Globalization: Microeconomic Impacts F61 KW - Economic Impacts of Globalization: Labor F66 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1124.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480210&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1124.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chen, Andrew Y. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Precautionary Volatility and Asset Prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-59 Y1 - 2014/// SP - 63 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457002; Keywords: Time-varying risk premia; the equity premium puzzle; time-varying volatility; habit; precautionary savings; Publication Type: Working Paper; Update Code: 201409 N2 - Many theories of asset prices assume time-varying uncertainty in order to generate time-varying risk premia. This paper generates time-varying uncertainty endogenously, through precautionary saving dynamics. Precautionary motives prescribe that, in bad times, next period's consumption should be very sensitive to news. This time-varying sensitivity results in time-varying consumption volatility. Production makes this channel visible, and external habit preferences amplify it. An estimated model featuring this channel quantitatively accounts for excess return and dividend predictability regressions. It also matches the first two moments of excess equity returns, the risk-free rate, and the second moments of consumption, output, and investment. L3 - http://www.federalreserve.gov/pubs/feds/2014/201459/201459pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457002&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201459/201459pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Reputation and Liquidity Traps PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-50 Y1 - 2014/// SP - 63 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456997; Keywords: Credible policy; forward guidance; reputation; sustainable plan; time consistency; trigger strategy; zero lower bound; Publication Type: Working Paper; Update Code: 201409 N2 - Can the central bank credibly commit to keeping the nominal interest rate low for an extended period of time in the aftermath of a deep recession? By analyzing credible plans in a sticky-price economy with occasionally binding zero lower bound constraints, I find that the answer is yes if contractionary shocks hit the economy with sufficient frequency. In the best credible plan, if the central bank reneges on the promise of low policy rates, it will lose reputation and the private sector will not believe such promises in future recessions. When the shock hits the economy sufficiently frequently, the incentive to maintain reputation outweighs the short-run incentive to close consumption and inflation gaps, keeping the central bank on the originally announced path of low nominal interest rates. KW - Business Fluctuations; Cycles E32 KW - Monetary Policy E52 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 KW - Fiscal Policy E62 KW - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy E63 L3 - http://www.federalreserve.gov/pubs/feds/2014/201450/201450pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456997&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201450/201450pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rua, Gisela AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Diffusion of Containerization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-88 Y1 - 2014/// SP - 64 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480192; Keywords: Globalization; transportation; trade; technology diffusion; Publication Type: Working Paper; Update Code: 201502 N2 - This paper uses a newly constructed, comprehensive dataset to investigate the diffusion of containerization. The data show that country adoption is exceptionally fast while firm usage increases more slowly. To guide my empirical investigation, I build a multi-country trade model with endogenous adoption of a new transportation technology that is consistent with these facts. I then test empirically the predictions of the model and find that: (1) usage of containerization increases with firms' fixed costs and the size and average income of the container network; and (2) adoption depends on expected future usage, adoption costs, and trade with the United States, the first and largest user of containerization. KW - Economic Impacts of Globalization: Economic Development F63 KW - Transportation: General L91 KW - Economic History: Transport, International and Domestic Trade, Energy, Technology, and Other Services: General, International, or Comparative N70 KW - Technological Change: Choices and Consequences; Diffusion Processes O33 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201488pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480192&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201488pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rezende, Marcelo AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The Effects of Bank Charter Switching on Supervisory Ratings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-20 Y1 - 2014/// SP - 64 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439632; Keywords: Bank charter; bank regulator; banking supervision; ratings; Publication Type: Working Paper; Update Code: 201405 N2 - I study whether commercial banks can improve their supervisory ratings by switching charters. I use the fees charged by chartering authorities to establish a causal effect from switching on ratings. Banks receive more favorable ratings after they change charters, an effect that is large for both national and state charters. In addition, controlling for bank ratings, banks that switch charters fail more often than others. These results suggest that banks can arbitrage ratings by switching charters and are consistent with regulators competing for banks by rating incoming banks better than similar banks that they already supervise. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439632&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ionescu, Felicia AU - Ionescu, Marius AD - Board of Governors of the Federal Reserve System (U.S.) AD - Colgate University T1 - The Interplay Between Student Loans and Credit Card Debt: Implications for Default in the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-14 Y1 - 2014/// SP - 65 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439609; Keywords: Default; student loans; credit cards; Great Recession; Publication Type: Working Paper; Update Code: 201405 N2 - We analyze the interactions between two different forms of unsecured credit and their implications for default behavior of young U.S. households. One type of credit mimics credit cards in the United States and the default option resembles a bankruptcy filing under Chapter 7; the other type of credit mimics student loans in the United States and the default option resembles Chapter 13. In the credit card market a financial intermediary offers a menu of interest rates based on individual default risk, which account for borrowing and repayment behavior in both markets. In the student loan market, the government sets the interest rate and chooses a wage garnishment to pay for the cost associated with default. We prove the existence of a steady-state equilibrium and characterize the circumstances under which a household defaults on each of these loans. We demonstrate that the institutional differences between the two markets make borrowers prefer to default on student loans rather than on credit card debt. We find that the increase in student loan debt together with the expansion of the credit card market fully explains the increase in the default rate for student loans in recent normal years (2004-2007). Worse labor outcomes for young borrowers during the Great Recession (2008-2009) significantly amplified student loan default, whereas credit card market contraction during this period helped reduce this effect. At the same time, the accumulation of student loan debt did not affect much the default risk in the credit card market during normal times, but significantly increased it during the Great Recession. An income contingent repayment plan for student loans completely eliminates the default risk in the credit card market and induces important redistribution effects. This policy is beneficial (in a welfare improving sense) during the Great Recession but not during normal times. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439609&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nozawa, Yoshio AD - Board of Governors of the Federal Reserve System (U.S.) T1 - What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-62 Y1 - 2014/// SP - 65 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457009; Keywords: Credit risk; fixed income; variance decomposition; credit spread; Publication Type: Working Paper; Update Code: 201409 N2 - I decompose the cross-sectional variation of the credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector autoregression applied to micro-level data from 1973 to 2011, I find that the expected credit loss component and the excess return component each explains about half of the variance of the credit spreads. Unlike the market-level findings in Gilchrist and Zakrajsek (2012), at the firm level, the expected credit loss is volatile and affects the firms' investment decision more than the expected excess returns. L3 - http://www.federalreserve.gov/pubs/feds/2014/201462/201462pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457009&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201462/201462pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Epstein, Brendan AU - Shapiro, Alan Finkelstein AD - Board of Governors of the Federal Reserve System (U.S.) AD - University of the Andes T1 - Employment and Firm Heterogeneity, Capital Allocation, and Countercyclical Labor Market Policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1115 Y1 - 2014/// SP - 66 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457019; Keywords: Business cycles; search frictions; fiscal policy; self employment; small firms; input credit; Publication Type: Working Paper; Update Code: 201409 N2 - Many countries have large employment shares in micro and small firms that have limited access to formal financing and therefore rely on input credit. Such countries are mainly emerging and developing economies, whose business cycle dynamics are increasingly important for the global economy in light of the dramatic rise in international linkages and spillovers that have occurred over the last several decades. Emerging and developing economies implemented a host of countercyclical labor market policies amid the global financial crisis, but data limitations on high-frequency labor and job flows prevent a detailed empirical assessment of the effectiveness of these policies. To address this problem, we develop a business cycle model with frictional labor markets that is novel in light of its consistency with the employment and firm structure of emerging and developing economies. We use the model to assess the aggregate impact of key countercyclical labor market policies. We find that hiring subsidies and job intermediation services for large firms are particularly effective in aiding recoveries. Policies targeting smaller firms yield limited aggregate benefits and may even be detrimental to the recovery process. The labor market structure shapes sectoral allocation and explains the economy's differential response to policy. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital E24 KW - Business Fluctuations; Cycles E32 KW - Unemployment: Models, Duration, Incidence, and Job Search J64 L3 - http://www.federalreserve.gov/pubs/ifdp/2014/1115/ifdp1115.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457019&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2014/1115/ifdp1115.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AU - Scotti, Chiara AU - Wright, Jonathan H. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Johns Hopkins University T1 - Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1101 Y1 - 2014/// SP - 67 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439639; Keywords: Large scale asset purchases; quantitative easing; zero bound; term premium; Publication Type: Working Paper; Update Code: 201405 N2 - This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We use common methodologies for the four central banks, with daily and intradaily asset price data. We emphasize the use of intradaily data to identify the causal effect of monetary policy surprises. We find that these policies are effective in easing financial conditions when policy rates are stuck at the zero lower bound, apparently largely by reducing term premia. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439639&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ratner, David AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Unemployment Insurance Experience Rating and Labor Market Dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-86 Y1 - 2014/// SP - 67 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425965; Keywords: Unemployment insurance; experience rating; Publication Type: Working Paper; Update Code: 201403 N2 - Unemployment insurance experience rating imposes higher payroll tax rates on firms that have laid off more workers in the past. To analyze the effects of UI tax policy on labor market dynamics, this paper develops a search model of unemployment with heterogeneous firms and realistic UI financing. The model predicts that higher experience rating reduces both job creation and job destruction. Using firm-level data from the Quarterly Census of Employment and Wages, the model is tested by comparing job creation and job destruction across states and industries with different UI tax schedules. The empirical analysis shows a strong negative relationship between job flows and experience rating. Consistent with the empirical results, comparative steady state tax experiments show that a 5% increase in experience rating reduces job flows by an average of 1.4%. While the unemployment rate falls on average by .21 percentage points, the effect on tax revenues is ambiguous. The model has implications for UI financing reform currently being considered at the state and national level. Two alternative reforms that close half of the UI financing gap are considered: the reform that increases experience rating is shown to improve labor market outcomes. In a version of the model with aggregate shocks, higher experience rating dampens the response of layoffs and unemployment over the business cycle. Experience rating also induces nonlinear responses of unemployment to proportionally larger shocks as well as asymmetry in response to booms and busts. L3 - http://www.federalreserve.gov/pubs/feds/2013/201386/201386pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425965&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201386/201386pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Dan AU - Schurhoff, Norman AD - Board of Governors of the Federal Reserve System (U.S.) AD - Swiss Finance Institute T1 - Dealer Networks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-95 Y1 - 2014/// SP - 68 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480176; Keywords: Municipal bonds; over-the-counter financial market; network analysis; trading cost; liquidity; immediacy; transparency; Publication Type: Working Paper; Update Code: 201502 N2 - Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation chains and speeds up trading. Investors face a tradeoff between execution speed and cost. Central dealers provide immediacy by pre-arranging fewer trades and holding larger inventory. However, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies G24 L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201495pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480176&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201495pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irani, Rustom M. AU - Meisenzahl, Ralf R. AD - University of Illinois at Urbana-Champaign AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-115 Y1 - 2014/// SP - 68 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480178; Keywords: Bank risk management; financial crisis; loan sales; wholesale funding; Publication Type: Working Paper; Update Code: 201502 N2 - We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan share ownership in the secondary market using data from the Shared National Credit Program, a credit register of syndicated bank loans administered by U.S. regulators. We analyze the 2007-2009 financial crisis as a market-wide liquidity shock and control for loan demand using a loan-year fixed effects approach. We find that banks with greater reliance on wholesale funding at the onset of the crisis were more likely to exit loan syndicates during the crisis. Our analysis identifies the importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive emphasized in prior literature. KW - Financial Crises G01 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.federalreserve.gov/econresdata/feds/2015/files/2015001pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480178&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2015/files/2015001pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pool, Veronika K. AU - Sialm, Clemens AU - Stefanescu, Irina AD - Indiana University AD - University of Texas at Austin AD - Board of Governors of the Federal Reserve System (U.S.) T1 - It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) plans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-96 Y1 - 2014/// SP - 71 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480184; Keywords: 401(k) pension plans; mutual funds; favoritism; Publication Type: Working Paper; Update Code: 201502 N2 - This paper investigates whether mutual fund families acting as service providers in 401(k) plans display favoritism toward their own funds. Using a hand-collected dataset on retirement investment options, we show that poorly-performing funds are less likely to be removed from and more likely to be added to a 401(k) menu if they are affiliated with the plan trustee. We find no evidence that plan participants undo this affiliation bias through their investment choices. Finally, the subsequent performance of poorly-performing affiliated funds indicates that these trustee decisions are not information driven. L3 - http://www.federalreserve.gov/econresdata/feds/2014/files/201496pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480184&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/feds/2014/files/201496pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Choudhary, M. Ali AU - jain, Anil K. AD - State Bank of Pakistan AD - Board of Governors of the Federal Reserve System (U.S.) T1 - How Public Information Affects Asymmetrically Informed Lenders: Evidence from a Credit Registry Reform PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1125 Y1 - 2014/// SP - 72 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480212; Keywords: Information; Credit registries; Financial Intermediation; Publication Type: Working Paper; Update Code: 201502 N2 - We exploit exogenous variation in the amount of public information available to banks about a firm to empirically evaluate the importance of adverse selection in the credit market. A 2006 reform introduced by the State Bank of Pakistan (SBP) reduced the amount of public information available to Pakistani banks about a firm's creditworthiness. Prior to 2006, the SBP published credit information not only about the firm in question but also (aggregate) credit information about the firm's group (where the group was defined as the set of all firms that shared one or more director with the firm in question). After the reform, the SBP stopped providing the aggregate group-level information. We propose a model with differentially informed banks and adverse selection, which generates predictions on how this reform is expected to affect a bank's willingness to lend. The model predicts that adverse selection leads less informed banks to reduce lending compared to more informed banks. We construct a measure for the amount of information each lender has about a firm's group using the set of firm-bank lending pairs prior to the reform. We empirically show those banks with private information about a firm lent relatively more to that firm than other, less-informed banks following the reform. Remarkably, this reduction in lending by less informed banks is true even for banks that had a pre-existing relationship with the firm, suggesting that the strength of prior relationships does not eliminate the problem of imperfect information. KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 L3 - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1125.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480212&site=ehost-live&scope=site UR - http://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1125.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arias, Jonas E. AU - Rubio-Ramirez, Juan F. AU - Waggoner, Daniel F. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Duke University AD - Federal Reserve Bank of Atlanta T1 - Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1100 Y1 - 2014/// SP - 72 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439642; Keywords: SVAR; sign and zero restrictions; optimism and fiscal shocks; Publication Type: Working Paper; Update Code: 201405 N2 - Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive and definite in both cases. While the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439642&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - Kim, Don H. AU - Wei, Min AD - Federal Reserve Bank of Chicago AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-24 Y1 - 2014/// SP - 79 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439633; Keywords: TIPS; liquidity premium; no-arbitrage term structure model; TIPS breakeven inflation; expected inflation; inflation risk premium; survey forecasts; Publication Type: Working Paper; Update Code: 201405 N2 - TIPS are notes and bonds issued by the U.S. Treasury with coupons and principal payments indexed to inflation. Using no-arbitrage term structure models, we show that TIPS yields contained liquidity premiums as large as 100 basis points when TIPS were first issued, reflecting the newness of the instrument, and up to 350 basis points during the recent financial crisis, reflecting common funding constraints affecting a variety of financial markets. Applying our models to the U.K. data also reveals liquidity premiums in index-linked gilt yields that spiked to nearly 250 basis points at the height of the crisis. Ignoring TIPS liquidity premiums is shown to significantly distort the information content of TIPS yields and TIPS breakeven inflation rate, two widely-used empirical proxies for real rates and expected inflation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439633&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aaronson, Stephanie AU - Cajner, Tomaz AU - Fallick, Bruce C. AU - Galbis-Reig, Felix AU - Smith, Christopher AU - Wascher, William L. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Federal Reserve Bank of Cleveland AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Labor Force Participation: Recent Developments and Future Prospects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-64 Y1 - 2014/// SP - 90 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1456981; Keywords: Labor force participation; retirement behavior; disability insurance; implications of an aging population; youth employment; labor market slack; labor market fluctuations and the business cycle; Publication Type: Working Paper; Update Code: 201409 N2 - Since 2007, the labor force participation rate has fallen from about 66 percent to about 63 percent. The sources of this decline have been widely debated among academics and policymakers, with some arguing that the participation rate is depressed due to weak labor demand while others argue that the decline was inevitable due to structural forces such as the aging of the population. In this paper, we use a variety of approaches to assess reasons for the decline in participation. Although these approaches yield somewhat different estimates of the extent to which the recent decline in participation reflects cyclical weakness rather than structural factors, our overall assessment is that much--but not all--of the decline in the labor force participation rate since 2007 is structural in nature. As a result, while we see some of the current low level of the participation rate as indicative of labor market slack, we do not expect the participation rate to show a substantial increase from current levels as labor market conditions continue to improve. L3 - http://www.federalreserve.gov/pubs/feds/2014/201464/201464pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1456981&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201464/201464pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AU - Chahrour, Ryan AD - Board of Governors of the Federal Reserve System AD - Boston College T1 - Good News is Bad News: Leverage Cycles and Sudden Stops PB - Boston College Department of Economics, Boston College Working Papers in Economics: 866 Y1 - 2014/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1479577; Keywords: News Shocks, Sudden Stops, Leverage, Boom-Bust Cycle; Publication Type: Working Paper; Update Code: 201502 N2 - We show that a model with imperfectly forecastable changes in future productivity and an occasionally-binding collateral constraint can match a set of stylized facts about Sudden Stop events. "Good" news about future productivity raises leverage during times of expansions, increasing the probability that the constraint binds, and a Sudden Stop occurs, in future periods. During the Sudden Stop, the nonlinear effects of the constraint induce output, consumption and investment to fall substantially below trend, as they do in the data. Also consistent with data, the economy exhibits a boom period prior to the Sudden Stop, with output, consumption, and investment all above trend. KW - Business Fluctuations; Cycles E32 KW - Open Economy Macroeconomics F41 KW - International Business Cycles F44 KW - International Financial Markets G15 L3 - http://fmwww.bc.edu/EC-P/wp866.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1479577&site=ehost-live&scope=site UR - http://fmwww.bc.edu/EC-P/wp866.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Marquez, Jaime AU - Morse, Ari AU - Schlusche, Bernd T1 - The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2013/12// VL - 37 IS - 12 M3 - Article SP - 5300 EP - 5315 SN - 03784266 AB - Abstract: This paper provides a comprehensive study of the interplay between the Federal Reserve’s balance sheet and overnight interest rates. We model both the supply of and the demand for excess reserves. Treating outright securities holdings of the Federal Reserve as a policy tool, we estimate the effects of unconventional monetary policy on overnight funding rates. Further, we offer the first empirical assessment of the FOMC’s principles of the exit strategy. Assuming a path for removing monetary policy accommodation that is consistent with the FOMC’s exit principles, we project that the federal funds rate increases to 70 basis points by 2016, settling in a corridor bracketed by the discount rate and the interest rate on excess reserves, as excess reserves of depository institutions decline to near zero. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL statements KW - INTEREST rates KW - EMPIRICAL research KW - STRATEGIC planning KW - SUPPLY & demand KW - MONETARY policy KW - Balance sheet KW - Exit strategy KW - Federal funds rate KW - FIML KW - Reserve balances N1 - Accession Number: 91267171; Marquez, Jaime 1; Morse, Ari 2; Schlusche, Bernd 1; Email Address: bernd.schlusche@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Mailstop 85, Washington, DC 20551, United States; 2: Carnegie Mellon University, Tepper School of Business, United States; Issue Info: Dec2013, Vol. 37 Issue 12, p5300; Thesaurus Term: FINANCIAL statements; Thesaurus Term: INTEREST rates; Thesaurus Term: EMPIRICAL research; Thesaurus Term: STRATEGIC planning; Thesaurus Term: SUPPLY & demand; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: Balance sheet; Author-Supplied Keyword: Exit strategy; Author-Supplied Keyword: Federal funds rate; Author-Supplied Keyword: FIML; Author-Supplied Keyword: Reserve balances; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jbankfin.2013.01.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=91267171&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Tabova, Alexandra T1 - Portfolio Diversification and the Cross-Sectional Distribution of Foreign Investment. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/11/08/ IS - 1091 M3 - Article SP - 1 EP - 29 AB - In this paper I explore the role of portfolio diversification in explaining the distribution of foreign investment across countries. I capture the portfolio diversification motive by a measure of country-specific riskiness, "covariance risk", which I construct as how countries' growth rates covary with the stochastic discount factor of a representative international investor. My key new empirical finding is a strong and significant correlation between this new measure of country riskiness and foreign investment allocations. Less risky countries, i.e. countries whose growth rates are more highly correlated with the investor's stochastic discount factor, receive larger investment shares than more risky countries. I interpret this result as evidence that investors do take into account diversification opportunities, not only for portfolio investment decisions, but also for foreign direct investment decisions. My empirical results confirm the theoretical predictions of standard portfolio allocation models. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PORTFOLIO management (Investments) KW - FOREIGN investments KW - DIVERSIFICATION (Finance) KW - CORRELATION (Statistics) KW - STOCHASTIC analysis KW - ANALYSIS of covariance KW - foreign direct investment KW - global risk KW - international portfolio choice KW - portfolio diversification N1 - Accession Number: 94899445; Tabova, Alexandra 1; Email Address: alexandra.m.tabova@frb.gov; Affiliations: 1: Staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 USA; Issue Info: Nov2013, Issue 1091, preceding p1; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: FOREIGN investments; Thesaurus Term: DIVERSIFICATION (Finance); Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: ANALYSIS of covariance; Author-Supplied Keyword: foreign direct investment; Author-Supplied Keyword: global risk; Author-Supplied Keyword: international portfolio choice; Author-Supplied Keyword: portfolio diversification; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94899445&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kandrac, John AU - Schlusche, Bernd T1 - Flow effects of large-scale asset purchases. JO - Economics Letters JF - Economics Letters Y1 - 2013/11// VL - 121 IS - 2 M3 - Article SP - 330 EP - 335 SN - 01651765 AB - Abstract: How large-scale asset purchase (LSAP) programs affect financial markets is an important question for policy makers that face the zero lower bound. While so-called “stock effects”–that is, persistent shifts in asset prices observed as the result of an LSAP program–are relatively well documented in the literature, there has been little study of “flow effects” that may occur at the time of LSAP transactions. Using security-level transaction data related to four distinct programs over a period of roughly four years, we test for the presence of flow effects in both price and liquidity of Treasury securities. We show that flow effects in security prices were present during early LSAPs by the Federal Reserve, but they were of little economic significance. Alternatively, we find no evidence for systematic liquidity flow effects in any of the LSAP programs. [Copyright &y& Elsevier] AB - Copyright of Economics Letters is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSETS (Accounting) KW - PURCHASING KW - SECURITIES markets KW - ECONOMIC policy KW - STOCKS (Finance) -- Prices KW - LIQUIDITY (Economics) KW - Liquidity KW - LSAP KW - Monetary policy KW - Open market operations KW - Quantitative easing N1 - Accession Number: 90628270; Kandrac, John 1; Email Address: john.p.kandrac@frb.gov; Schlusche, Bernd 1; Email Address: bernd.schlusche@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, 20th and Constitution Ave. NW, Washington, DC 20551, USA; Issue Info: Nov2013, Vol. 121 Issue 2, p330; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: PURCHASING; Thesaurus Term: SECURITIES markets; Thesaurus Term: ECONOMIC policy; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: LIQUIDITY (Economics); Author-Supplied Keyword: Liquidity; Author-Supplied Keyword: LSAP; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Open market operations; Author-Supplied Keyword: Quantitative easing; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 6p; Document Type: Article L3 - 10.1016/j.econlet.2013.09.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90628270&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Akıncı, Özge T1 - Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2013/11// VL - 91 IS - 2 M3 - Article SP - 358 EP - 371 SN - 00221996 AB - Abstract: This paper uses a panel structural vector autoregressive (VAR) model to investigate the extent to which global financial conditions, i.e., a global risk-free interest rate and global financial risk, and country spreads contribute to macroeconomic fluctuations in emerging countries. The main findings are: (1) global financial risk shocks explain about 20% of movements both in the country spread and in the aggregate activity in emerging economies. (2) The contribution of global risk-free interest rate shocks to macroeconomic fluctuations in emerging economies is negligible. Its role, which was emphasized in the literature, is taken up by global financial risk shocks. (3) Country spread shocks explain about 15 percent of the business cycles in emerging economies. (4) Interdependence between economic activity and the country spread is a key mechanism through which global financial shocks are transmitted to emerging economies. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - EMERGING markets KW - INTEREST rate risk KW - SHOCK (Economics) KW - BUSINESS cycles KW - AUTOREGRESSIVE processes KW - Country risk premium KW - Global financial risk KW - International business cycles KW - Small open economy N1 - Accession Number: 92644260; Akıncı, Özge 1; Email Address: ozge.akinci@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, 20th St and Constitution Ave NW, Washington, DC 20551, USA; Issue Info: Nov2013, Vol. 91 Issue 2, p358; Thesaurus Term: MACROECONOMICS; Thesaurus Term: EMERGING markets; Thesaurus Term: INTEREST rate risk; Thesaurus Term: SHOCK (Economics); Thesaurus Term: BUSINESS cycles; Subject Term: AUTOREGRESSIVE processes; Author-Supplied Keyword: Country risk premium; Author-Supplied Keyword: Global financial risk; Author-Supplied Keyword: International business cycles; Author-Supplied Keyword: Small open economy; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jinteco.2013.07.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=92644260&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lindsey, David E. AU - Orphanides, Athanasios AU - Rasche, Robert H. T1 - The Reform of October 1979: How It Happened and Why. JO - Review (00149187) JF - Review (00149187) Y1 - 2013/11//Nov/Dec2013 VL - 95 IS - 6 M3 - Article SP - 487 EP - 542 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively on contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism; new, neo, or old-fashioned Keynesianism; nominal income targeting; and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates yet be politically acceptable, and convince financial market participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMIC reform KW - ADOPTION of ideas KW - KEYNESIAN economics KW - INFLATION (Finance) -- United States KW - FINANCIAL market reaction KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 93980189; Lindsey, David E. 1 Orphanides, Athanasios 2 Rasche, Robert H. 3; Affiliation: 1: Deputy director of the Division of Monetary Affairs, Board of Governors of the Federal Reserve System 2: Adviser, Division of Monetary Affairs at the Board of Governors of the Federal Reserve System 3: Director of research, Federal Reserve Bank of St. Louis; Source Info: Nov/Dec2013, Vol. 95 Issue 6, p487; Subject Term: MONETARY policy; Subject Term: ECONOMIC reform; Subject Term: ADOPTION of ideas; Subject Term: KEYNESIAN economics; Subject Term: INFLATION (Finance) -- United States; Subject Term: FINANCIAL market reaction; Company/Entity: UNITED States. Federal Open Market Committee; Number of Pages: 56p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=93980189&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Brunetti, Celso AU - Büyükşahin, Bahattin AU - Robe, Michel A. AU - Soneson, Kirsten R. T1 - OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil. JO - Energy Journal JF - Energy Journal Y1 - 2013/10// VL - 34 IS - 4 M3 - Article SP - 79 EP - 108 PB - International Association for Energy Economics, Inc. SN - 01956574 AB - OPEC producers, individually or collectively, often make statements regarding the "fair price " of crude oil. In some cases, the officials commenting are merely affirming the market price prevailing at the time. In many cases, however, we document that they explicitly disagree with contemporaneous oil futures prices. A natural question is whether these "fair price" pronouncements contain information not already reflected in the market price of crude oil. To find the answer, we collect "fair price" statements made from 2000 through 2010 by officials from OPEC or OPEC member countries. Visually, the "fair price" series looks like a sampling discretely drawn (with a lag)from the daily futures market price series. Formally, we use two primary methodologies to establish that "fair price" pronouncements have little influence on the market price of crude oil and provide little or no new news to oil futures market participants. [ABSTRACT FROM AUTHOR] AB - Copyright of Energy Journal is the property of International Association for Energy Economics, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PETROLEUM products -- Sales & prices KW - ENERGY futures -- Sales & prices KW - FUTURES -- Sales & prices KW - PRICES KW - Autoregressive Distributed Lag (ADL) KW - Crude oil KW - Event study KW - Fair price KW - Market price KW - OPEC KW - ORGANIZATION of Petroleum Exporting Countries N1 - Accession Number: 90358061; Brunetti, Celso 1 Büyükşahin, Bahattin 2 Robe, Michel A. 3; Email Address: mrobe@american.edu Soneson, Kirsten R. 4; Affiliation: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA 2: Bank of Canada, 234 Wellington Street, Ottawa K1A 0G9, Ontario, Canada 3: Kogod School of Business at American University, 4400 Massachusetts Avenue NW, Washington, DC 20016, USA 4: McDonough School of Business, Georgetown University, 37th and O Streets, NW, Washington, D.C. 20057; Source Info: 2013, Vol. 34 Issue 4, p79; Subject Term: PETROLEUM products -- Sales & prices; Subject Term: ENERGY futures -- Sales & prices; Subject Term: FUTURES -- Sales & prices; Subject Term: PRICES; Author-Supplied Keyword: Autoregressive Distributed Lag (ADL); Author-Supplied Keyword: Crude oil; Author-Supplied Keyword: Event study; Author-Supplied Keyword: Fair price; Author-Supplied Keyword: Market price; Author-Supplied Keyword: OPEC; Company/Entity: ORGANIZATION of Petroleum Exporting Countries; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; Number of Pages: 30p; Document Type: Article L3 - 10.5547/01956574.34.4.5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=90358061&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Carlson, Mark AU - Hui Shan AU - Warusawitharana, Missaka T1 - Capital ratios and bank lending: A matched bank approach. JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2013/10// VL - 22 IS - 4 M3 - Article SP - 663 EP - 687 SN - 10429573 AB - This paper examines the impact of bank capital ratios on bank lending by comparing differences in loan growth to differences in capital ratios at sets of banks that are matched based on geographic area as well as size and various business characteristics. We argue that such comparisons are most effective at controlling for local loan demand and other environmental factors. For comparison we also control for local factors using MSA fixed effects. We find, based on data from 2001 to 2011, that the relationship between capital ratios and bank lending was significant during and shortly following the recent financial crisis but not at other times. We find that the relationship between capital ratios and loan growth is stronger for banks where loans are contracting than where loans are expanding. We also show that the elasticity of bank lending with respect to capital ratios is higher when capital ratios are relatively low, suggesting that the effect of capital ratio on bank lending is nonlinear. In addition, we present findings on the relationship between bank capital and lending by bank size and loan type. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - ECONOMIC impact KW - BANK capital KW - BUSINESS enterprises -- Size KW - DEMAND (Economic theory) KW - ELASTICITY (Economics) KW - Bank capital KW - Bank lending KW - Regulatory capital N1 - Accession Number: 92892392; Carlson, Mark 1; Email Address: mark.a.carlson@frb.gov; Hui Shan 2; Email Address: huishan79@gmail.com; Warusawitharana, Missaka 1; Email Address: missaka.n.warusawitharana@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, United States; 2: Goldman Sachs, New York, NY, United States; Issue Info: Oct2013, Vol. 22 Issue 4, p663; Thesaurus Term: BANK loans; Thesaurus Term: ECONOMIC impact; Thesaurus Term: BANK capital; Thesaurus Term: BUSINESS enterprises -- Size; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: ELASTICITY (Economics); Author-Supplied Keyword: Bank capital; Author-Supplied Keyword: Bank lending; Author-Supplied Keyword: Regulatory capital; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.jfi.2013.06.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=92892392&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Desai, Chintal AU - Elliehausen, Gregory AU - Steinbuks, Jevgenijs T1 - Effects of Bankruptcy Exemptions and Foreclosure Laws on Mortgage Default and Foreclosure Rates. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 2013/10// VL - 47 IS - 3 M3 - Article SP - 391 EP - 415 SN - 08955638 AB - This study analyzes the effects of state bankruptcy asset exemptions and foreclosure laws on mortgage default and foreclosure rates across different segments of the mortgage market. We found that the effects of these legal provisions are larger for subprime than for prime mortgages and larger for adjustable rate mortgages than for fixed rate mortgages. These results demonstrate that the effect of variation in bankruptcy exemptions and foreclosure laws is most pronounced in the most risky segments of the mortgage market, which are those that have been most affected by the continuing housing slump in the United States. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loan default KW - BANKRUPTCY exemptions KW - FORECLOSURE KW - SECONDARY mortgage market KW - SUBPRIME mortgages KW - ADJUSTABLE rate mortgages KW - REAL property -- Finance KW - Bankruptcy exemptions KW - Foreclosure laws KW - Foreclosures KW - Mortgage defaults N1 - Accession Number: 90309486; Desai, Chintal 1; Elliehausen, Gregory 2; Steinbuks, Jevgenijs 3; Email Address: jsteinbu@purdue.edu; Affiliations: 1: University of Texas-Pan American, Edinburg USA; 2: Board of Governors of the Federal Reserve System, Washington USA; 3: Purdue University, West Lafayette USA; Issue Info: Oct2013, Vol. 47 Issue 3, p391; Thesaurus Term: MORTGAGE loan default; Thesaurus Term: BANKRUPTCY exemptions; Thesaurus Term: FORECLOSURE; Thesaurus Term: SECONDARY mortgage market; Thesaurus Term: SUBPRIME mortgages; Thesaurus Term: ADJUSTABLE rate mortgages; Thesaurus Term: REAL property -- Finance; Author-Supplied Keyword: Bankruptcy exemptions; Author-Supplied Keyword: Foreclosure laws; Author-Supplied Keyword: Foreclosures; Author-Supplied Keyword: Mortgage defaults; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 25p; Illustrations: 10 Charts, 1 Graph; Document Type: Article L3 - 10.1007/s11146-012-9366-z UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90309486&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warusawitharana, Missaka T1 - The expected real return to equity. JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2013/09// VL - 37 IS - 9 M3 - Article SP - 1929 EP - 1946 SN - 01651889 AB - Abstract: The expected return to equity – typically measured as a historical average – is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much lower than historical averages. This study extends the present-value approach to a dynamic optimizing framework. Given a model that captures this relationship, one can use data on dividends, earnings and valuations to infer the model-implied expected return. Using this method, the estimated expected real return to equity ranges from 4.9% to 5.6% . Furthermore, the analysis indicates that expected returns have declined by about 3 percentage points over the past 40 years. These results indicate that future returns to equity may be lower than past realized returns. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - STOCKS (Finance) KW - DECISION making KW - FINANCE literature KW - EXPECTED returns KW - CAPITALISTS & financiers KW - ECONOMIC indicators KW - Aggregate earnings KW - Production-based asset pricing KW - Simulated method of moments KW - Time-varying expected returns N1 - Accession Number: 89133383; Warusawitharana, Missaka 1; Email Address: m1mnw00@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW Washington DC 20551, USA; Issue Info: Sep2013, Vol. 37 Issue 9, p1929; Thesaurus Term: RATE of return; Thesaurus Term: STOCKS (Finance); Thesaurus Term: DECISION making; Thesaurus Term: FINANCE literature; Thesaurus Term: EXPECTED returns; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: ECONOMIC indicators; Author-Supplied Keyword: Aggregate earnings; Author-Supplied Keyword: Production-based asset pricing; Author-Supplied Keyword: Simulated method of moments; Author-Supplied Keyword: Time-varying expected returns; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jedc.2013.04.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=89133383&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. T1 - On returns differentials. JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2013/09// VL - 36 M3 - Article SP - 1 EP - 25 SN - 02615606 AB - Abstract: Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class decomposition into yields and capital gains, the Gourinchas and Rey (2007a) composition and return effects, and further decompositions of capital gains that focus on exchange rate effects. While each decomposition informs thinking about returns differentials, one constant is evident throughout: to date the existing differential favoring the U.S. has owed primarily to one factor, a differential in direct investment yields. We discuss how our analysis informs the income puzzle (of positive net income flows to the U.S. even as its net international investment position is negative and substantial) and the position puzzle (of a sizeable gap between the reported U.S. net international position and cumulated current account deficits), provide an initial assessment of the literature on the dynamics of returns differentials, and present a framework to guide a forward-looking view of how returns differentials might evolve in the future. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - VOLATILITY (Finance) KW - FOREIGN exchange rates KW - CAPITAL investments KW - CAPITAL gains KW - BALANCE of payments deficit KW - ASSETS (Accounting) KW - UNITED States KW - Exorbitant privilege KW - Income puzzle KW - Returns differentials N1 - Accession Number: 89274911; Curcuru, Stephanie E. 1; Thomas, Charles P. 1; Warnock, Francis E. 2,3,4,5; Email Address: few9t@virginia.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Darden Graduate School of Business, University of Virginia, Charlottesville, VA, USA; 3: Institute for International Integration Studies, Trinity College Dublin, Ireland; 4: Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, USA; 5: National Bureau of Economic Research, USA; Issue Info: Sep2013, Vol. 36, p1; Thesaurus Term: RATE of return; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: CAPITAL investments; Thesaurus Term: CAPITAL gains; Thesaurus Term: BALANCE of payments deficit; Thesaurus Term: ASSETS (Accounting); Subject: UNITED States; Author-Supplied Keyword: Exorbitant privilege; Author-Supplied Keyword: Income puzzle; Author-Supplied Keyword: Returns differentials; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.jimonfin.2013.02.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=89274911&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bubb, Ryan AU - Kaufman, Alex T1 - Consumer biases and mutual ownership. JO - Journal of Public Economics JF - Journal of Public Economics Y1 - 2013/09// VL - 105 M3 - Article SP - 39 EP - 57 SN - 00472727 AB - Abstract: We show how ownership of the firm by its customers, as well as nonprofit status, can prevent firms from using contractual terms that take advantage of consumer biases. By eliminating an outside residual claimant with control over the firm, these alternatives to investor ownership reduce the incentive of the firm to offer such terms. However, customers who are unaware of their behavioral biases may fail to recognize this advantage of non-investor-owned firms. We present evidence from the consumer financial services market that supports our theory. Comparing contract terms, we find that mutually owned firms offer lower penalties, such as default interest rates, and higher up-front prices, such as introductory interest rates, than do investor-owned firms. However, consumers most vulnerable to these penalties are no more likely to use mutually owned firms. [Copyright &y& Elsevier] AB - Copyright of Journal of Public Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CUSTOMER relations KW - SECURITIES markets KW - NONPROFIT organizations KW - FINANCIAL services industry KW - COMPARATIVE studies KW - Consumer biases KW - Credit unions KW - K22 KW - Mutual ownership KW - Nonprofits N1 - Accession Number: 89739285; Bubb, Ryan 1; Email Address: ryan.bubb@nyu.edu; Kaufman, Alex 2; Email Address: alex.kaufman@frb.gov; Affiliations: 1: New York University School of Law, United States; 2: Board of Governors of the Federal Reserve System, United States; Issue Info: Sep2013, Vol. 105, p39; Thesaurus Term: CUSTOMER relations; Thesaurus Term: SECURITIES markets; Thesaurus Term: NONPROFIT organizations; Thesaurus Term: FINANCIAL services industry; Subject Term: COMPARATIVE studies; Author-Supplied Keyword: Consumer biases; Author-Supplied Keyword: Credit unions; Author-Supplied Keyword: K22; Author-Supplied Keyword: Mutual ownership; Author-Supplied Keyword: Nonprofits; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 813319 Other Social Advocacy Organizations; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jpubeco.2013.06.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=89739285&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Paciorek, Andrew T1 - Supply constraints and housing market dynamics. JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2013/09// VL - 77 M3 - Article SP - 11 EP - 26 SN - 00941190 AB - Abstract: Although the volatility of house prices is often ascribed to demand-side factors, constraints on housing supply have important and little-studied implications for housing dynamics. I illustrate the strong relationship between the volatility of house prices and the regulation of new housing supply. I then employ a dynamic structural model of housing investment to investigate the mechanisms underlying this relationship. I find that supply constraints increase volatility through two channels: First, regulation lowers the elasticity of new housing supply by increasing lags in the permit process and adding to the cost of supplying new houses on the margin. Second, geographic limitations on the area available for building houses, such as steep slopes and water bodies, lead to less investment on average relative to the size of the existing housing stock, leaving less scope for the supply response to attenuate the effects of a demand shock. My estimates and simulations confirm that regulation and geographic constraints play critical and complementary roles in decreasing the responsiveness of investment to demand shocks, which in turn amplifies house price volatility. [Copyright &y& Elsevier] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUPPLY & demand KW - HOUSING market KW - DEMAND (Economic theory) KW - VOLATILITY (Finance) KW - ECONOMIC policy KW - INVESTMENTS KW - HOME prices KW - House prices KW - Housing supply KW - Regulation KW - Supply lags KW - Volatility N1 - Accession Number: 89033884; Paciorek, Andrew 1; Email Address: andrew.d.paciorek@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, United States; Issue Info: Sep2013, Vol. 77, p11; Thesaurus Term: SUPPLY & demand; Thesaurus Term: HOUSING market; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMIC policy; Thesaurus Term: INVESTMENTS; Thesaurus Term: HOME prices; Author-Supplied Keyword: House prices; Author-Supplied Keyword: Housing supply; Author-Supplied Keyword: Regulation; Author-Supplied Keyword: Supply lags; Author-Supplied Keyword: Volatility; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jue.2013.04.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=89033884&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Krimmel, Jacob AU - Moore, Kevin B. AU - Sabelhaus, John AU - Smith, Paul T1 - The Current State of U.S. Household Balance Sheets. JO - Review (00149187) JF - Review (00149187) Y1 - 2013/09//Sep/Oct2013 VL - 95 IS - 5 M3 - Article SP - 337 EP - 359 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The Board of Governors of the Federal Reserve System is responsible for two of the most widely used datasets containing information about U.S. household balance sheets: the quarterly macro-level Financial Accounts of the United States (FA, formerly known as the Flow of Funds Accounts) and the triennial micro-level Survey of Consumer Finances (SCF). The FA is very timely, but the data can be used only to describe the household sector as a whole. The SCF provides the micro-level detail needed to capture heterogeneity in household finances, but the data are available only with a long lag. The authors' key contribution in this article is their use of the FA dataset and other macro data sources to "age" the microlevel SCF data forward through time to generate a representative sample for current-quarter policy analysis. They use this aging approach to compare and contrast pre- and post-recession trends in key indicators, such as net worth, debt-to-income ratios, debt service-to-income ratios, and housing loanto- value ratios across families grouped by characteristics including income, age, and geography. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL statements KW - FLOW of funds KW - HOUSEHOLDS KW - PERSONAL finance KW - RECESSIONS KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 92993761; Krimmel, Jacob 1 Moore, Kevin B. 2 Sabelhaus, John 3 Smith, Paul 4; Affiliation: 1: Senior research assistant in the Research and Statistics Division 2: Senior economist 3: Chief of the Microeconomic Surveys Section, Research and Statistics Division 4: Chief of the Flow of Funds Section, Research and Statistics Division, of the Board of Governors of the Federal Reserve System; Source Info: Sep/Oct2013, Vol. 95 Issue 5, p337; Subject Term: FINANCIAL statements; Subject Term: FLOW of funds; Subject Term: HOUSEHOLDS; Subject Term: PERSONAL finance; Subject Term: RECESSIONS; Subject Term: UNITED States; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 23p; Illustrations: 3 Charts, 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=92993761&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Christiano, Lawrence J. AU - Eichenbaum, Martin S. AU - Trabandt, Mathias T1 - Unemployment and Business Cycles. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/09// IS - 1089 M3 - Article SP - 1 EP - 49 AB - We develop and estimate a general equilibrium model that accounts for key business cycle properties of macroeconomic aggregates, including labor market variables. In sharp contrast to leading New Keynesian models, wages are not subject to exogenous nominal rigidities. Instead we derive wage inertia from our specification of how firms and workers interact when negotiating wages. Our model outperforms the standard Diamond-Mortensen-Pissarides model both statistically and in terms of the plausibility of the estimated structural parameter values. Our model also outperforms an estimated sticky wage model. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UNEMPLOYMENT KW - BUSINESS cycles KW - EQUILIBRIUM (Economics) KW - MACROECONOMICS KW - KEYNESIAN economics KW - Bayesian estimation KW - business cycles KW - unemployment KW - wage inertia N1 - Accession Number: 94899426; Christiano, Lawrence J. 1; Email Address: l-christiano@northwestern.edu; Eichenbaum, Martin S. 1; Email Address: eich@northwestern.edu; Trabandt, Mathias 2; Email Address: mathias.trabandt@gmail.com; Affiliations: 1: Northwestern University, Department of Economics, 2001 Sheridan Road, Evanston, Illinois 60208, USA; 2: Board of Governors of the Federal Reserve System, Division of International Finance, Trade and Financial Studies Section, 20th Street and Constitution Avenue N.W, Washington, DC 20551, USA; Issue Info: Sep2013, Issue 1089, p1; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: BUSINESS cycles; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: MACROECONOMICS; Thesaurus Term: KEYNESIAN economics; Author-Supplied Keyword: Bayesian estimation; Author-Supplied Keyword: business cycles; Author-Supplied Keyword: unemployment; Author-Supplied Keyword: wage inertia; Number of Pages: 62p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94899426&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2013-40934-007 AN - 2013-40934-007 AU - Brevoort, Kenneth P. AU - Avery, Robert B. AU - Canner, Glenn B. T1 - Credit where none is due? Authorized‐user account status and piggybacking credit. JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2013///Fal 2013 VL - 47 IS - 3 SP - 518 EP - 547 CY - United Kingdom PB - Wiley-Blackwell Publishing Ltd. SN - 0022-0078 SN - 1745-6606 AD - Brevoort, Kenneth P. N1 - Accession Number: 2013-40934-007. Partial author list: First Author & Affiliation: Brevoort, Kenneth P.; Consumer Financial Protection Bureau, DC, US. Other Publishers: Blackwell Publishing. Release Date: 20140331. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Consumer Attitudes; Consumer Behavior. Minor Descriptor: Authoritarianism; Policy Making. Classification: Consumer Attitudes & Behavior (3920). Population: Human (10); Male (30); Female (40). Age Group: Adulthood (18 yrs & older) (300); Thirties (30-39 yrs) (340); Middle Age (40-64 yrs) (360). Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 30. Issue Publication Date: Fal 2013. Copyright Statement: The American Council on Consumer Interests. 2013. AB - 'Piggybacking credit' is a new practice that helps consumers improve their credit scores by paying to become 'authorized users' on established accounts. Authorized users are not liable for paying an account, but because of Regulation B (which implements the 1974 Equal Credit Opportunity Act), the account's history factors into their credit scores. As a result piggybacking can be used to manipulate the signal of creditworthiness that scores provide and may help borrowers obtain credit for which they would not have otherwise qualified. This article investigates the policy questions raised by piggybacking. First, we evaluate whether the credit history disparities that motivated these provisions of Regulation B have persisted since they were written. Then, we assess the potential for score improvement through piggybacking. Finally, we evaluate the likely score effects of allowing credit scoring models to exclude authorized‐user accounts, the most widely proposed policy response to the emergence of piggybacking. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - consumer behavior KW - authorized account users KW - policy making KW - piggybacking KW - 2013 KW - Consumer Attitudes KW - Consumer Behavior KW - Authoritarianism KW - Policy Making KW - 2013 DO - 10.1111/joca.12020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2013-40934-007&site=ehost-live&scope=site UR - gcanner@frb.gov UR - robert.avery@fhfa.gov UR - kenneth.brevoort@cfpb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Neuhierl, Andreas AU - Scherbina, Anna AU - Schlusche, Bernd T1 - Market Reaction to Corporate Press Releases. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 2013/08// VL - 48 IS - 4 M3 - Article SP - 1207 EP - 1240 PB - Cambridge University Press SN - 00221090 AB - We classify a unique and comprehensive dataset of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate strategy, customers and partners, products and services, management changes, and legal developments. Consistent with regulators' expectations, the level of informational asymmetry in the market declines following most types of press releases. At the same time, return volatility frequently increases in the post-announcement period, which we show can be attributed to higher levels of valuation uncertainty. [ABSTRACT FROM PUBLISHER] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRESS releases KW - FINANCIAL market reaction KW - RESEARCH KW - PUBLIC relations KW - INFORMATION asymmetry KW - VOLATILITY (Securities) KW - STOCKS (Finance) -- Prices KW - MATHEMATICAL models KW - SECURITIES trading volume KW - ECONOMIC aspects KW - UNITED States. Sarbanes-Oxley Act of 2002 N1 - Accession Number: 93384136; Neuhierl, Andreas 1; Scherbina, Anna 2; Schlusche, Bernd 3; Affiliations: 1: a1 Kellogg Graduate School of Management, Northwestern University, 2001 Sheridan Rd, Evanston, IL 60208. E-mail: a-neuhierl@kellogg.northwestern.edu.; 2: Graduate School of Management, University of California at Davis, 1 Shields Ave, Davis, CA 95616. E-mail: ascherbina@ucdavis.edu. Phone: (530) 754-8076. Fax: (530) 725-2924.; 3: Board of Governors of the Federal Reserve System, Washington, DC 20551. E-mail: bernd.schlusche@frb.gov.; Issue Info: 2013, Vol. 48 Issue 4, p1207; Thesaurus Term: PRESS releases; Thesaurus Term: FINANCIAL market reaction; Thesaurus Term: RESEARCH; Thesaurus Term: PUBLIC relations; Thesaurus Term: INFORMATION asymmetry; Thesaurus Term: VOLATILITY (Securities); Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: SECURITIES trading volume; Subject Term: ECONOMIC aspects; Reviews & Products: UNITED States. Sarbanes-Oxley Act of 2002; NAICS/Industry Codes: 541820 Public Relations Agencies; Number of Pages: 34p; Document Type: Article L3 - 10.1017/S002210901300046X UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=93384136&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Zarutskie, Rebecca T1 - Competition, financial innovation and commercial bank loan portfolios. JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2013/07/01/ M3 - Article SP - 373 EP - 396 SN - 10429573 AB - Abstract: I examine how US commercial bank loan portfolios change in response to the rise of securitization markets and banking market deregulations over 1976–2003. Banks increasingly tilt their portfolios toward real-estate-backed loans. However, there are significant differences across banks. Larger banks and younger banks disproportionately shift their lending toward real-estate-backed loans, particularly commercial real-estate-backed loans, whereas smaller banks and older banks maintain greater shares of their loan portfolios in commercial and personal loans. When larger banks make more real-estate-backed loans, they charge lower interest rates, consistent with these banks lowering the costs of lending and expanding credit for borrowers. In contrast, smaller banks charge higher interest rates, consistent with these banks restricting lending to a select group of borrowers. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) N1 - Accession Number: 89330905; Zarutskie, Rebecca 1; Email Address: rebecca.zarutskie@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Mailstop 97, 20th and C Streets NW, Washington, DC 20551, USA; Issue Info: p373; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.jfi.2013.02.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=89330905&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2014-02740-003 AN - 2014-02740-003 AU - Schmeiser, Maximilian D. AU - Seligman, Jason S. T1 - Using the right yardstick: Assessing financial literacy measures by way of financial well‐being. JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2013/07// VL - 47 IS - 2 SP - 243 EP - 262 CY - United Kingdom PB - Wiley-Blackwell Publishing Ltd. SN - 0022-0078 SN - 1745-6606 AD - Schmeiser, Maximilian D. N1 - Accession Number: 2014-02740-003. Partial author list: First Author & Affiliation: Schmeiser, Maximilian D.; Federal Reserve Board, US. Other Publishers: Blackwell Publishing. Release Date: 20140421. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Socioeconomic Status; Well Being; Financial Literacy. Classification: Social Processes & Social Issues (2900). Population: Human (10); Male (30); Female (40). Location: US. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Longitudinal Study; Interview; Mathematical Model; Quantitative Study. References Available: Y. Page Count: 20. Issue Publication Date: Jul, 2013. Copyright Statement: The American Council on Consumer Interests. 2013. AB - Despite the proliferation of academic studies examining financial literacy and financial outcomes, no consistent definition or empirically validated measures of financial literacy exist. While a handful of questions have become the standard measures of financial literacy in previous research, little work has been done examining whether responses to these questions accurately capture underlying financial capability, or whether they causally relate to subsequent financial well‐being. Taking advantage of longitudinal data from the Health and Retirement Study we examine whether some of the questions previously used as measures of financial literacy are consistent measures of financial knowledge and effective predictors of future changes in wealth. We find that respondents frequently do not consistently answer questions across survey waves and that the context in which a question is asked affects the likelihood of correctly responding. Moreover, our regression analyses suggest that correctly answering these questions, consistently or not, has little significant relationship to changes in wealth over time, and is often related to a decrease in future wealth. Our findings should give pause to researchers using the financial literacy questions examined here, particularly from cross‐sectional data. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - financial literacy measures KW - financial well being KW - financial knowledge KW - wealth KW - 2013 KW - Socioeconomic Status KW - Well Being KW - Financial Literacy KW - 2013 U1 - Sponsor: Social Security Administration (SSA), US. Other Details: Financial Literacy Research Consortium. Recipients: No recipient indicated DO - 10.1111/joca.12010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-02740-003&site=ehost-live&scope=site UR - seligman.10@osu.edu UR - max.schmeiser@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR ID - 2014-02740-005 AN - 2014-02740-005 AU - Collins, J. Michael AU - Schmeiser, Maximilian D. AU - Urban, Carly T1 - Protecting minority homeowners: Race, foreclosure counseling and mortgage modifications. JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2013/07// VL - 47 IS - 2 SP - 289 EP - 310 CY - United Kingdom PB - Wiley-Blackwell Publishing Ltd. SN - 0022-0078 SN - 1745-6606 AD - Collins, J. Michael N1 - Accession Number: 2014-02740-005. Partial author list: First Author & Affiliation: Collins, J. Michael; Department of Consumer Science, University of Wisconsin-Madison, Madison, WI, US. Other Publishers: Blackwell Publishing. Release Date: 20140421. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Counseling; Housing; Minority Groups; Racial and Ethnic Differences; Well Being. Classification: Social Processes & Social Issues (2900). Population: Human (10); Male (30); Female (40). Location: US. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Mathematical Model; Quantitative Study. References Available: Y. Page Count: 22. Issue Publication Date: Jul, 2013. Copyright Statement: The American Council on Consumer Interests. 2013. AB - Millions of minority homeowners are at risk of losing their homes as a result of the housing crisis due to mortgage foreclosure and home repossession. One consumer‐oriented policy response to this crisis is mortgage default counseling for borrowers. This study examines the rate at which minority borrowers seek default counseling and the resulting correlation between counseling and the probability that a borrower obtains a modification of his/her original mortgage contract terms. The results suggest that African Americans are more likely to be counseled, relative to Whites. However, Latinos or other non‐White groups are no more or less likely to be counseled. The probability of loan modifications among counseled African Americans is also higher than other counseled borrowers. These results suggest that counseling policies and the public subsidy of default counseling may be one approach for promoting consumer financial well‐being of these households, but also suggest counseling efforts might be better designed for other minority groups. These results also have implications for the application of counseling to other mortgage decisions, such as refinance. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - minority homeowners KW - foreclosure counseling KW - mortgage modifications KW - risk factors KW - financial well‐being KW - racial differences KW - 2013 KW - Counseling KW - Housing KW - Minority Groups KW - Racial and Ethnic Differences KW - Well Being KW - 2013 DO - 10.1111/joca.12006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2014-02740-005&site=ehost-live&scope=site UR - carly.urban@montana.edu UR - max.schmeiser@frb.gov UR - jmcollins@wisc.edu DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Elliehausen, Gregory AD - Board of Governors of the Federal Reserve System T1 - No Slack: The Financial Lives of Low-Income Americans JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 2013/06// VL - 51 IS - 2 SP - 544 EP - 548 SN - 00220515 N1 - Accession Number: 1371669. Author of Reviewed Book: Barr, Michael S.; Publisher Information: Washington, D.C.: Brookings Institution Press, 2012, Reviewed Book ISBN: 978-0-8157-2233-5; Keywords: Bankruptcy; Consumer; Need; Needs; Publication Type: Book Review; Update Code: 201306 KW - Household Saving; Personal Finance D14 KW - General Welfare; Well-Being I31 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Regional Migration; Regional Labor Markets; Population; Neighborhood Characteristics R23 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1371669&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Pierce, Justin T1 - Antidumping Duties and Plant-Level Restructuring. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2013/06// VL - 42 IS - 4 M3 - Article SP - 435 EP - 447 SN - 0889938X AB - This paper examines the effect of antidumping duties on the restructuring activities of protected plants. Using a dataset that contains the full population of U.S. manufacturers, I find that protected plants increase their capital intensities modestly relative to unprotected plants, but only when antidumping duties have been in place for a sufficient duration. I find little effect of antidumping duties on a proxy for the skilled labor intensity of protected plants. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ANTIDUMPING duties KW - CORPORATE reorganizations KW - DATA analysis KW - MANUFACTURES KW - CAPITAL intensity KW - SKILLED labor KW - UNITED States KW - Antidumping KW - F10 KW - F13 KW - L25 KW - Restructuring KW - Temporary protection N1 - Accession Number: 87785562; Pierce, Justin 1; Email Address: justin.r.pierce@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and C Streets NW Washington 20551 USA; Issue Info: Jun2013, Vol. 42 Issue 4, p435; Thesaurus Term: ANTIDUMPING duties; Thesaurus Term: CORPORATE reorganizations; Thesaurus Term: DATA analysis; Thesaurus Term: MANUFACTURES; Thesaurus Term: CAPITAL intensity; Thesaurus Term: SKILLED labor; Subject: UNITED States; Author-Supplied Keyword: Antidumping; Author-Supplied Keyword: F10; Author-Supplied Keyword: F13; Author-Supplied Keyword: L25; Author-Supplied Keyword: Restructuring; Author-Supplied Keyword: Temporary protection; Number of Pages: 13p; Illustrations: 4 Charts; Document Type: Article L3 - 10.1007/s11151-013-9386-8 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=87785562&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lindsey, David E. AU - Orphanides, Athanasios AU - Rasche, Robert H. T1 - The Reform of October 1979: How It Happened and Why. JO - Richmond Fed Economic Briefs JF - Richmond Fed Economic Briefs Y1 - 2013/05// VL - 13 IS - 5 M3 - Article SP - 187 EP - 235 AB - This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively on contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism; new, neo, or old-fashioned Keynesianism; nominal income targeting; and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates yet be politically acceptable, and convince financial market participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. [ABSTRACT FROM AUTHOR] AB - Copyright of Richmond Fed Economic Briefs is the property of Federal Reserve Bank of Richmond and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMIC policy KW - ECONOMIC indicators KW - CHICAGO school of economics KW - KEYNESIAN economics KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 108445869; Lindsey, David E.; Orphanides, Athanasios 1,2,3; Rasche, Robert H. 4; Affiliations: 1: Adviser, Division of Monetary Affairs, Board of Governors of the Federal Reserve System; 2: Research fellow , Centre for Economic Policy Research; 3: Fellow of the Center for Financial Studies; 4: Senior vice president and director of research, Federal Reserve Bank of St. Louis; Issue Info: May2013, Vol. 13 Issue 5, p187; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: CHICAGO school of economics; Thesaurus Term: KEYNESIAN economics ; Company/Entity: UNITED States. Federal Open Market Committee; Number of Pages: 49p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=108445869&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nunes, Ricardo T1 - Do central banks' forecasts take into account public opinion and views? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/05// IS - 1080 M3 - Article SP - 2 EP - 28 AB - The Federal Reserve through the Federal Open Market Committee (FOMC) regularly releases macroeconomic forecasts to the general public and the US congress with the purpose of explaining the likely evolution of the economy and the appropriate stance of monetary policy. Immediately before doing so, the FOMC receives a forecast produced by the Federal Reserve staff which remains private for five years. The literature has pointed out that, despite the informational advantage of the FOMC, its forecast differs from and is not always more accurate than the staff forecast. This finding has raised concerns regarding the loss of relevant information and the usefulness of the FOMC forecasts. This paper brings evidence that the FOMC forecast also incorporates other publicly available forecasts and views, and that the weight attributed to public forecasts is larger than what is optimal given a mean squared error objective. These findings are consistent with i) the institutional role of the FOMC in being representative of a variety of public views, ii) the academic literature recommendation to use equal weights and not to overfit specific forecasts based on past performance. The statistical model can also account for Several empirical regularities of the forecasts. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - PUBLIC opinion KW - ECONOMIC forecasting KW - MONETARY policy KW - central banks' forecasts KW - monetary policy design KW - UNITED States. Federal Reserve Board KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 90424433; Nunes, Ricardo 1; Email Address: ricardo.p.nunes@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May2013, Issue 1080, p2; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: PUBLIC opinion; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: central banks' forecasts; Author-Supplied Keyword: monetary policy design ; Company/Entity: UNITED States. Federal Reserve Board ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 27p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90424433&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nelson, Edward T1 - Key aspects of longer-term asset purchase programs in UK and US monetary policy. JO - Oxford Economic Papers JF - Oxford Economic Papers Y1 - 2013/04/02/ VL - 65 IS - suppl_1 M3 - Article SP - i92 EP - i114 SN - 14643812 AB - This paper considers several key aspects of recent central bank purchase programs involving longer-term government securities in the United States (where the programs are termed ‘large-scale asset purchases’) and the United Kingdom (where the programs are labeled ‘asset purchases financed by the issuance of central bank reserves’, or ‘quantitative easing’). Aspects of the purchase programs discussed include the scale of the programs, the historical and institutional background behind the programs, their effects on long-term interest rates and the equivalent effect expressed in terms of policy rates, and the reaction of aggregate demand to the programs. An analysis of the early stages of the economic recovery suggests that, by bolstering nominal spending and purchasing power, the asset purchases helped to secure positive real growth in the United Kingdom in 2010 in the face of adverse price-level shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Oxford Economic Papers is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - GOVERNMENT securities KW - AGGREGATE demand (Economics) KW - ECONOMIC development KW - GREAT Britain KW - UNITED States N1 - Accession Number: 86226247; Nelson, Edward 1; Affiliations: 1: Federal Reserve Board, Washington, DC 20551, USA; e-mail: Edward.Nelson@frb.gov; Issue Info: Apr2013, Vol. 65 Issue suppl_1, pi92; Thesaurus Term: MONETARY policy; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: AGGREGATE demand (Economics); Thesaurus Term: ECONOMIC development; Subject Term: GREAT Britain; Subject Term: UNITED States; Number of Pages: 1p; Illustrations: 1 Chart, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=86226247&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bricker, Jesse AU - Hanson, Andrew T1 - The Impact of Early Commitment on Games Played: Evidence from College Football Recruiting. JO - Southern Economic Journal JF - Southern Economic Journal Y1 - 2013/04// VL - 79 IS - 4 M3 - Article SP - 971 EP - 983 PB - John Wiley & Sons, Inc. SN - 00384038 AB - We use data on athletic scholarship acceptance decisions to show that high school football players signal their ability level by delaying commitment. Although colleges can obtain information about student athletes, National Collegiate Athletic Association regulations limit information flow, making private information an important component of the scholarship market. Using ordinary least squares, censored regression, and negative binomial estimation, we show that for a given observed ability level, committing to a scholarship offer early is associated with less playing time after acceptance. In one season and at a typical average early signing date, early-committing athletes played in 0.21 fewer games per season, or about 4% of the average number of games played. [ABSTRACT FROM AUTHOR] AB - Copyright of Southern Economic Journal is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ORGANIZATIONAL commitment KW - REGRESSION analysis KW - SCOUTING (Athletics) KW - ATHLETIC scholarships KW - HIGH school football players KW - LEAST squares KW - NEGATIVE binomial distribution KW - NATIONAL Collegiate Athletic Association N1 - Accession Number: 87317203; Bricker, Jesse 1; Email Address: jesse.brickei@frb.gov; Hanson, Andrew 2; Email Address: hanson@marquette.edu; Affiliations: 1: Board of Governors of the Federal Reserve System. Division of Research & Statistics, 20th and C Street NW, MS-153, Washington, DC 20551, USA; 2: Department of Economics, Marquette University, P.O. Box 1881, Milwaukee, WI 53201; Issue Info: Apr2013, Vol. 79 Issue 4, p971; Thesaurus Term: ORGANIZATIONAL commitment; Thesaurus Term: REGRESSION analysis; Thesaurus Term: SCOUTING (Athletics); Subject Term: ATHLETIC scholarships; Subject Term: HIGH school football players; Subject Term: LEAST squares; Subject Term: NEGATIVE binomial distribution ; Company/Entity: NATIONAL Collegiate Athletic Association; Number of Pages: 13p; Document Type: Article; Full Text Word Count: 6185 L3 - 10.4284/0038-4038-2010.119 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=87317203&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. T1 - On Returns Differentials. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/04// IS - 1076-1079 M3 - Article SP - 1 EP - 53 AB - Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class decomposition into yields and capital gains, the Gourinchas and Rey (2007a) composition and return effects, and further decompositions of capital gains that focus on exchange rate effects. While each decomposition informs thinking about returns differentials, one constant is evident throughout: to date the existing differential favoring the U.S. has owed primarily to one factor, a differential in direct investment yields. We discuss how our analysis informs the income puzzle (of positive net income flows to the U.S. even as its net international investment position is negative and substantial) and the position puzzle (of a sizeable gap between the reported U.S. net international position and cumulated current account deficits), provide an initial assessment of the literature on the dynamics of returns differentials, and present a framework to guide a forward-looking view of how returns differentials might evolve in the future. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WAGE differentials KW - CAPITAL gains KW - INVESTMENT income KW - MONETARY policy KW - DIFFERENTIAL diagnosis KW - UNITED States KW - current account KW - direct investment KW - international investment position N1 - Accession Number: 90424179; Curcuru, Stephanie E. 1; Thomas, Charles P. 1; Warnock, Francis E. 2,3,4,5; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Darden Graduate School of Business, University of Virginia; 3: Institute for International Integration Studies, Trinity College Dublin; 4: Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas; 5: National Bureau of Economic Research; Issue Info: Apr2013, Issue 1076-1079, p1; Thesaurus Term: WAGE differentials; Thesaurus Term: CAPITAL gains; Thesaurus Term: INVESTMENT income; Thesaurus Term: MONETARY policy; Subject Term: DIFFERENTIAL diagnosis; Subject: UNITED States; Author-Supplied Keyword: current account; Author-Supplied Keyword: direct investment; Author-Supplied Keyword: international investment position; Number of Pages: 53p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90424179&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Epstein, Brendan AU - Nunn, Ryan T1 - Taxation, Match Quality and Social Welfare. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/04// IS - 1076-1079 M3 - Article SP - 1 EP - 29 AB - A large public finance literature argues that taxable income elasticities are a suffcient statistic for the social welfare consequences of taxation. We develop calibrations that show such deadweight loss calculations are overestimates proportional to the quantitative significance of heterogeneity in amenities across job matches. In particular, the endogenous supply of amenities can substantially exacerbate this overestimation in both static and dynamic environments. Given the possibility of gradual migration of workers into more amenity-focused job matches in response to tax increases, welfare calculations based on long-run taxable income elasticities can be more misleading than those based on short-run elasticities. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAXATION KW - PUBLIC finance KW - SOCIAL services KW - INCOME tax KW - SOCIAL problems KW - HETEROGENEITY KW - deadweight loss. KW - endogenous amenities KW - match quality KW - taxable income elasticity N1 - Accession Number: 90424181; Epstein, Brendan 1; Email Address: brendan.epstein@frb.gov; Nunn, Ryan 2; Email Address: ryan.nunn@treasury.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; 20th and C Streets, NW; Washington, D.C. 20551; 2: U.S. Department of the Treasury; 1500 Pennsylvania Avenue, NW; Washington, D.C. 20220; Issue Info: Apr2013, Issue 1076-1079, p1; Thesaurus Term: TAXATION; Thesaurus Term: PUBLIC finance; Thesaurus Term: SOCIAL services; Thesaurus Term: INCOME tax; Subject Term: SOCIAL problems; Subject Term: HETEROGENEITY; Author-Supplied Keyword: deadweight loss.; Author-Supplied Keyword: endogenous amenities; Author-Supplied Keyword: match quality; Author-Supplied Keyword: taxable income elasticity; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 624190 Other Individual and Family Services; Number of Pages: 29p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90424181&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - DEBACKER, JASON AU - HElM, BRADLEY AU - PANOUSI, VASIA AU - RAMNATH, SHANTHI AU - VIDANGOS, IVAN T1 - Rising Inequality: Transitory or Persistent? New Evidence from a Panel of U.S. Tax Returns. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2013///Spring2013 M3 - Article SP - 67 EP - 122 PB - Brookings Institution Press SN - 00072303 AB - We use a new, large, and confidential panel of tax returns to study the persistent-versus-transitory nature of rising inequality in male labor earnings and in total household income, both before and after taxes, in the United States over the period 1987-2009. We apply various statistical decomposition methods that allow for different ways of characterizing persistent and transitory income components. For male labor earnings, we find that the entire increase in cross-sectional inequality over our sample period was driven by an increase in the dispersion of the persistent component of earnings. For total household income, we find that most of the increase in inequality reflects an increase in the dispersion of the persistent income component, but the transitory component also appears to have played some role. We also show that the tax system partly mitigated the increase in income inequality, but not sufficiently to alter its broadly increasing trend over the period. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCOME KW - TAX returns KW - INCOME distribution KW - EQUALITY KW - DECOMPOSITION method (Mathematics) KW - UNITED States N1 - Accession Number: 91718942; DEBACKER, JASON 1; HElM, BRADLEY 2; PANOUSI, VASIA 3; RAMNATH, SHANTHI 4; VIDANGOS, IVAN 3; Affiliations: 1: Middle Tennessee State University; 2: Indiana University; 3: Board of Governors of the Federal Reserve System; 4: U.S. Department of the Treasury; Issue Info: Spring2013, p67; Thesaurus Term: INCOME; Thesaurus Term: TAX returns; Thesaurus Term: INCOME distribution; Subject Term: EQUALITY; Subject Term: DECOMPOSITION method (Mathematics); Subject: UNITED States; Number of Pages: 56p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=91718942&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCABE, PATRICK E. AU - CIPRIANI, MARCO AU - HOLSCHER, MICHAEL AU - MARTIN, ANTOINE T1 - The Minimum Balance at Risk: A Proposal to Mitigate the Systemic Risks Posed by Money Market Funds. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2013///Spring2013 M3 - Article SP - 211 EP - 256 PB - Brookings Institution Press SN - 00072303 AB - This paper introduces a proposal for money market fund (MMF) reform to mitigate the systemic risk and externalities that arise from the funds' vulnerability to runs and to protect shareholders who do not redeem quickly when runs occur. Our proposal would require that a small fraction of each MMF shareholder's recent balances, called the "minimum balance at risk" (MBR), be available for redemption only with a delay of 30 days. Most regular transactions in the fund would be unaffected; the requirement would only affect redemptions of the shareholder's MBR. In addition, in the rare event that a fund suffers losses, the MBRs of investors who have recently made large redemptions would absorb losses before those of nonredeeming investors. This subordination of redeeming investors' MBRs would create a disincentive to redeem if the fund is likely to have losses, but would have little effect on incentives when the risk of loss is remote. We use empirical evidence, including a novel data set from the U.S. Treasury and the U.S. Securities and Exchange Commission on MMF losses in 2008, to calibrate an MBR rule that would reduce the vulnerability of MMFs to runs. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SYSTEMIC risk (Finance) KW - MONEY market funds KW - MUTUAL funds KW - STOCKHOLDERS KW - CAPITALISTS & financiers KW - UNITED States. Dept. of the Treasury KW - UNITED States. Securities & Exchange Commission N1 - Accession Number: 91718946; McCABE, PATRICK E. 1; CIPRIANI, MARCO 2; HOLSCHER, MICHAEL 2; MARTIN, ANTOINE 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of New York; Issue Info: Spring2013, p211; Thesaurus Term: SYSTEMIC risk (Finance); Thesaurus Term: MONEY market funds; Thesaurus Term: MUTUAL funds; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: CAPITALISTS & financiers ; Company/Entity: UNITED States. Dept. of the Treasury ; Company/Entity: UNITED States. Securities & Exchange Commission; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 526914 Money market funds; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 46p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=91718946&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chen, Bin AU - Song, Zhaogang T1 - Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2013/03// VL - 173 IS - 1 M3 - Article SP - 83 EP - 107 SN - 03044076 AB - Abstract: We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a testing procedure is feasible and convenient because the infinitesimal operator of the diffusion process has a closed-form expression. The proposed test is applicable to both univariate and multivariate processes and has an limit distribution under the diffusion hypothesis. Simulation and empirical studies show that the proposed test has reasonable performance in small samples. [Copyright &y& Elsevier] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NONPARAMETRIC statistics KW - CONTINUOUS distributions KW - INFINITESIMAL transformations KW - DIFFUSION processes KW - STOCHASTIC differential equations KW - BROWNIAN motion KW - MARTINGALES (Mathematics) KW - UNIVARIATE analysis KW - Diffusion KW - Infinitesimal operator KW - Martingale KW - Nonparametric N1 - Accession Number: 85155007; Chen, Bin 1; Email Address: bchen8@mail.rochester.edu; Song, Zhaogang 2; Email Address: Zhaogang.Song@frb.gov; Affiliations: 1: Department of Economics, University of Rochester, Rochester, NY, 14627, United States; 2: Monetary and Financial Market Analysis Section, Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Mail Stop 165, 20th Street and Constitution Avenue, Washington, DC 20551, United States; Issue Info: Mar2013, Vol. 173 Issue 1, p83; Thesaurus Term: NONPARAMETRIC statistics; Subject Term: CONTINUOUS distributions; Subject Term: INFINITESIMAL transformations; Subject Term: DIFFUSION processes; Subject Term: STOCHASTIC differential equations; Subject Term: BROWNIAN motion; Subject Term: MARTINGALES (Mathematics); Subject Term: UNIVARIATE analysis; Author-Supplied Keyword: Diffusion; Author-Supplied Keyword: Infinitesimal operator; Author-Supplied Keyword: Martingale; Author-Supplied Keyword: Nonparametric; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.jeconom.2012.10.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=85155007&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GRISHCHENKO, OLESYA V. AU - JING-ZHI HUANG T1 - The Inflation Risk Premium: Evidence from the TIPS Market. JO - Journal of Fixed Income JF - Journal of Fixed Income Y1 - 2013///Spring2013 VL - 22 IS - 4 M3 - Article SP - 5 EP - 30 PB - Euromoney Institutional Investor PLC SN - 10598596 AB - This article estimates inflation risk premia using data on prices of Treasury Inflation-Protected Securities (TIPS) from 2000 to 2008. The estimation approach is arbitrage-free, largely model-free, and easy to implement. It also distinguishes between TIPS yields and real yields by explicitly taking into account the three-month indexation lag of TIPS in the analysis. In addition, we consider three measures of TIPS liquidity, including one new measure based on TIPS prices only. We estimate the liquidity premium to be around 13 basis points over the full sample but substantially higher in the first subperiod. We find that the inflation risk premium is time-varying and, on average, considerably lower than suggested by various structural models. Depending on the proxy used for expected inflation, the unconditional 10-year inflation risk premium ranges from -9 basis points to 4 basis points over the full sample, and between 1 basis point and 6 basis points over the 2004-2008 subperiod. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Fixed Income is the property of Euromoney Institutional Investor PLC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT securities KW - INFLATION (Finance) KW - SECURITIES -- Prices KW - INFLATION risk KW - RISK premiums KW - LIQUIDITY (Economics) KW - RATE of return KW - UNITED States N1 - Accession Number: 86703839; GRISHCHENKO, OLESYA V. 1; Email Address: olesya.v.grishchenko@frb.gov; JING-ZHI HUANG 2; Email Address: jxh56@psu.edu; Affiliations: 1: Economist, Division of Monetary Affairs, Board of Governors of the Federal Reserve System in Washington, DC; 2: McKinley Professor of Business and associate professor of finance, Smeal College of Business, The Pennsylvania State University, University Park, PA; Issue Info: Spring2013, Vol. 22 Issue 4, p5; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: INFLATION (Finance); Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: INFLATION risk; Thesaurus Term: RISK premiums; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: RATE of return; Subject: UNITED States; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 26p; Document Type: Article; Full Text Word Count: 16101 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=86703839&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Blonigen, Bruce A. AU - Liebman, Benjamin H. AU - Pierce, Justin R. AU - Wilson, Wesley W. T1 - Are all trade protection policies created equal? Empirical evidence for nonequivalent market power effects of tariffs and quotas JO - Journal of International Economics JF - Journal of International Economics Y1 - 2013/03// VL - 89 IS - 2 M3 - Article SP - 369 EP - 378 SN - 00221996 AB - Abstract: Over the past 50years, the steel industry has been protected by a wide variety of trade policies, both tariff- and quota-based. We exploit this extensive heterogeneity in trade protection to examine the well-established theoretical literature predicting nonequivalent effects of tariffs and quotas on domestic firms'' market power. Using plant-level Census Bureau data for steel plants from 1967 to 2002, we find evidence for significant market power effects for binding quota-based protection, but not tariff-based protection, particularly with respect to integrated and minimill steel producers. Our results are robust to calculation with two standard measures of market power and controlling for potential endogeneity of trade policies. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC policy KW - MARKET power KW - TARIFF KW - IMPORT quotas KW - SALES quotas KW - STEEL industry KW - COMMERCIAL policy KW - EMPIRICAL research KW - Antidumping KW - Market structure KW - Mini-mills KW - Nonequivalence of tariffs and quotas KW - VRAs N1 - Accession Number: 85585357; Blonigen, Bruce A. 1,2; Email Address: bruceb@uoregon.edu; Liebman, Benjamin H. 3; Email Address: bliebman@sju.edu; Pierce, Justin R. 4; Email Address: justin.r.pierce@frb.gov; Wilson, Wesley W. 1; Email Address: wwilson@uoregon.edu; Affiliations: 1: Department of Economics, 1285 University of Oregon, Eugene, OR 97401, United States; 2: NBER, United States; 3: Department of Economics, St. Joseph's University, 5600 City Avenue, Philadelphia, PA 19131‐1395, United States; 4: Board of Governors of the Federal Reserve System, 20th & C Streets NW, Washington, DC 20551, United States; Issue Info: Mar2013, Vol. 89 Issue 2, p369; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MARKET power; Thesaurus Term: TARIFF; Thesaurus Term: IMPORT quotas; Thesaurus Term: SALES quotas; Thesaurus Term: STEEL industry; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: EMPIRICAL research; Author-Supplied Keyword: Antidumping; Author-Supplied Keyword: Market structure; Author-Supplied Keyword: Mini-mills; Author-Supplied Keyword: Nonequivalence of tariffs and quotas; Author-Supplied Keyword: VRAs; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 331221 Rolled Steel Shape Manufacturing; NAICS/Industry Codes: 331110 Iron and Steel Mills and Ferroalloy Manufacturing; NAICS/Industry Codes: 416210 Metal service centres; NAICS/Industry Codes: 911910 Other federal government public administration; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.jinteco.2012.08.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=85585357&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coenen, Günter AU - Straub, Roland AU - Trabandt, Mathias T1 - Gauging the effects of fiscal stimulus packages in the euro area JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2013/02// VL - 37 IS - 2 M3 - Article SP - 367 EP - 386 SN - 01651889 AB - Abstract: We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008–2009. To do so, we estimate an extended version of the ECB''s New Area-Wide Model with a richly specified fiscal sector. The estimation results point to the existence of important complementarities between private and government consumption and, to a lesser extent, between private and public capital. We first examine the implied present-value multipliers for seven distinct fiscal instruments and show that the estimated complementarities result in fiscal multipliers larger than one for government consumption and investment. We highlight the importance of monetary accommodation for these findings. We then show that the EERP, if implemented as initially enacted, had a sizeable, although short-lived impact on euro area GDP. Since the EERP comprised both revenue and expenditure-based fiscal stimulus measures, the total multiplier is below unity. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - FINANCIAL crises KW - ESTIMATION theory KW - CONSUMPTION (Economics) KW - EUROZONE KW - GOVERNMENT revenue KW - FISCAL policy KW - MULTIPLIERS (Mathematical analysis) KW - Bayesian inference KW - C11 KW - DSGE modelling KW - Euro area KW - European Economic Recovery Plan KW - Fiscal multiplier KW - Fiscal policy N1 - Accession Number: 84154362; Coenen, Günter 1; Email Address: gunter.coenen@ecb.int; Straub, Roland 2; Email Address: roland.straub@ecb.int; Trabandt, Mathias 3; Email Address: mathias.trabandt@gmail.com; Affiliations: 1: Directorate General Research, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany; 2: Directorate General International and European Relations, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany; 3: Division of International Finance, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, DC, 20551, USA; Issue Info: Feb2013, Vol. 37 Issue 2, p367; Thesaurus Term: GROSS domestic product; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ESTIMATION theory; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: EUROZONE; Thesaurus Term: GOVERNMENT revenue; Thesaurus Term: FISCAL policy; Subject Term: MULTIPLIERS (Mathematical analysis); Author-Supplied Keyword: Bayesian inference; Author-Supplied Keyword: C11; Author-Supplied Keyword: DSGE modelling; Author-Supplied Keyword: Euro area; Author-Supplied Keyword: European Economic Recovery Plan; Author-Supplied Keyword: Fiscal multiplier; Author-Supplied Keyword: Fiscal policy; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 20p; Document Type: Article L3 - 10.1016/j.jedc.2012.09.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=84154362&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nadauld, Taylor D. AU - Sherlund, Shane M. T1 - The impact of securitization on the expansion of subprime credit JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2013/02// VL - 107 IS - 2 M3 - Article SP - 454 EP - 476 SN - 0304405X AB - Abstract: This paper investigates the relationship between securitization activity and the extension of subprime credit. The analysis is motivated by two sets of compelling empirical facts. First, the origination of subprime mortgages exploded between the years 2003 and 2005. Second, the securitization of subprime loans increased substantially over the same time period, driven primarily by the five largest independent broker/dealer investment banks. We argue that the relative shift in the securitization activity of investment banks was driven by forces exogenous to factors impacting lending decisions in the primary mortgage market and resulted in lower ZIP code denial rates, higher subprime origination rates, and higher subsequent default rates. Consistent with recent findings in the literature, we provide evidence that the increased securitization activity of investment banks reduced lenders'' incentives to carefully screen borrowers. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUBPRIME mortgages KW - ASSET-backed financing KW - RESEARCH KW - INVESTMENT banking KW - DEFAULT (Finance) KW - DEBTOR & creditor KW - SUBPRIME loans KW - ECONOMIC aspects KW - Financial intermediation KW - G24 KW - Securitization KW - Subprime mortgages N1 - Accession Number: 85253602; Nadauld, Taylor D. 1; Email Address: Taylor.Nadauld@byu.edu; Sherlund, Shane M. 2; Email Address: Shane.M.Sherlund@frb.gov; Affiliations: 1: Marriott School of Management, Department of Finance, Brigham Young University, United States; 2: Household and Real Estate Finance, Board of Governors of the Federal Reserve System, United States; Issue Info: Feb2013, Vol. 107 Issue 2, p454; Thesaurus Term: SUBPRIME mortgages; Thesaurus Term: ASSET-backed financing; Thesaurus Term: RESEARCH; Thesaurus Term: INVESTMENT banking; Thesaurus Term: DEFAULT (Finance); Thesaurus Term: DEBTOR & creditor; Thesaurus Term: SUBPRIME loans; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Financial intermediation; Author-Supplied Keyword: G24; Author-Supplied Keyword: Securitization; Author-Supplied Keyword: Subprime mortgages; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jfineco.2012.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=85253602&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kilian, Lutz AU - Vigfusson, Robert J. T1 - Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2013/01// VL - 31 IS - 1 M3 - Article SP - 78 EP - 93 SN - 07350015 AB - There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter-ahead U.S. real GDP is nonlinear in that (a) oil price increases matter only to the extent that they exceed the maximum oil price in recent years, and that (b) oil price decreases do not matter at all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class of nonlinear models to alternative economically plausible nonlinear specifications and examine which aspect of the model is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the price of oil is not helpful for out-of-sample forecasting; more robust and often more accurate real GDP forecasts are obtained from symmetric nonlinear models based on the 3-year net oil price change. Finally, we quantify the extent to which the 2008 recession could have been forecast using the latter class of time-varying threshold models. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - ECONOMIC forecasting KW - ECONOMIC models KW - PETROLEUM products -- Sales & prices -- United States KW - NONLINEAR theories KW - PREDICTION theory KW - UNITED States KW - Asymmetry KW - Nonlinearity KW - Out-of-sample forecast N1 - Accession Number: 85198699; Kilian, Lutz 1; Email Address: lkilian@umich.edu; Vigfusson, Robert J. 2; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Department of Economics, University of Michigan, Ann Arbor, MI, 48109-1220; 2: Board of Governors of the Federal Reserve System, Federal Reserve Board, Washington, DC, 20551; Issue Info: Jan2013, Vol. 31 Issue 1, p78; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMIC models; Subject Term: PETROLEUM products -- Sales & prices -- United States; Subject Term: NONLINEAR theories; Subject Term: PREDICTION theory; Subject: UNITED States; Author-Supplied Keyword: Asymmetry; Author-Supplied Keyword: Nonlinearity; Author-Supplied Keyword: Out-of-sample forecast; Number of Pages: 16p; Document Type: Article L3 - 10.1080/07350015.2012.740436 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=85198699&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Peterman, William B. T1 - Determining the motives for a positive optimal tax on capital JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2013/01// VL - 37 IS - 1 M3 - Article SP - 265 EP - 295 SN - 01651889 AB - Abstract: Previous literature demonstrates that in a standard life cycle model the optimal tax on capital is large. This paper highlights that after changing two assumptions in the standard model the optimal tax drops by almost half. First, the utility function is altered such that it implies that an agent''s Frisch labor supply elasticity is constant over his lifetime. Second, the government is allowed to tax accidental bequests and ordinary capital income at separate rates. Quantifying the effect of these assumptions is important because the first has limited empirical evidence and the second confounds a motive for taxing capital and accidental bequests. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC models KW - ELASTICITY (Economics) KW - LABOR supply KW - EMPIRICAL research KW - INCOME KW - TAXATION KW - Capital taxation KW - Optimal taxation N1 - Accession Number: 83160378; Peterman, William B. 1; Email Address: william.peterman@gmail.com; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Street NW, Washington, DC 20551, United States; Issue Info: Jan2013, Vol. 37 Issue 1, p265; Thesaurus Term: ECONOMIC models; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: LABOR supply; Thesaurus Term: EMPIRICAL research; Thesaurus Term: INCOME; Thesaurus Term: TAXATION; Author-Supplied Keyword: Capital taxation; Author-Supplied Keyword: Optimal taxation; NAICS/Industry Codes: 561320 Temporary Help Services; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 31p; Document Type: Article L3 - 10.1016/j.jedc.2012.08.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83160378&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Carpenter, Seth AU - Ihrig, Jane AU - Klee, Elizabeth AU - Quinn, Daniel AU - Boote, Alexander T1 - The Federal Reserve's Balance Sheet and Earnings A primer and projections. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2013/01// M3 - Article SP - 1 EP - 48 AB - Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The asset purchases are intended to put downward pressure on longer-term interest rates, but also affect the Federal Reserve's balance sheet and income. We begin with a primer on the Federal Reserve's balance sheet and income statement. Then, we present a framework for projecting Federal Reserve assets and liabilities and income through time. The projections are based on public economic forecasts and announced Federal Open Market Committee policy principles. The projections imply that for the next several years, the Federal Reserve's balance sheet remains large by historical standards, and earnings remain high. Using the FOMC's stated exit strategy principles and the Blue Chip financial forecasts of the federal funds rate, the projections have the Federal Reserve's portfolio beginning to contract in 2015. The portfolio returns to a more normal size in early 2018 or 2019, and returns to a more normal composition a year thereafter. The projections imply that Federal Reserve remittances to the Treasury will likely decline for a time, and in some cases fall to zero. Once the portfolio is normalized, however, earnings are projected to return to their long-run trend. On net over the entire period of unconventional monetary policy actions, cumulative earnings are higher than what they likely would have been without the Federal Reserve asset purchase programs. To illustrate the interest rate sensitivity of the portfolio and earnings, we consider scenarios where interest rates are 100 basis points higher or 100 basis points lower than in the baseline projections. With higher interest rates, earnings tend to fall a bit more and remittances to the Treasury stop for a longer period than in our baseline projections, while with lower interest rates earnings are a bit larger and remittances continue throughout the projection period. With either interest rate path, earnings follow the same general contour as in the baseline analysis. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INTEREST rates KW - GOVERNMENT policy KW - BUSINESS forecasting KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 86679105; Carpenter, Seth 1; Ihrig, Jane 1; Klee, Elizabeth 1; Quinn, Daniel 1; Boote, Alexander 1; Affiliations: 1: Economists and research assistants in the Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2013, preceding p1; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rates; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: BUSINESS forecasting; Subject Term: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.) ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 63p; Illustrations: 8 Charts, 17 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=86679105&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haltmaier, Jane T1 - Challenges for the Future of Chinese Economic Growth. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2013/01// IS - 1072 M3 - Article SP - 1 EP - 30 AB - The Chinese economy has been growing at a rapid pace for over thirty years. Most of this growth has come from higher labor productivity, while growth of employment has diminished along with a slower rate of increase in the working-age population. This paper looks at the challenges that China will face over the next two decades in maintaining its rapid pace of economic growth, especially as working-age population growth slows further and then begins to decline. Key questions include whether China will be able to continue to devote nearly half of its GDP to investment, whether such investment will become less productive as the capital-labor ratio continues to rise, whether labor participation and employment rates will fall as the population becomes less rural, and whether future shifts out of rural employment will go more toward the services rather than the manufacturing sector, where productivity is higher. In the baseline scenario economic growth falls gradually from its current pace of about 10 percent to near 6½ percent by 2030. However, a combination of less optimistic, but still reasonable assumptions, results in a reduction in the growth rate to about 1½ percent by 2030. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - LABOR productivity KW - EMPLOYMENT (Economic theory) KW - GROSS domestic product KW - MANUFACTURING industries KW - ECONOMIC aspects KW - CHINA KW - China KW - growth KW - potential N1 - Accession Number: 90424047; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Senior Adviser, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; Issue Info: Jan2013, Issue 1072, p1; Thesaurus Term: ECONOMIC development; Thesaurus Term: LABOR productivity; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: GROSS domestic product; Thesaurus Term: MANUFACTURING industries; Subject Term: ECONOMIC aspects; Subject: CHINA; Author-Supplied Keyword: China; Author-Supplied Keyword: growth; Author-Supplied Keyword: potential; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90424047&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Ruffino, Doriana AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A Robust Capital Asset Pricing Model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-1 Y1 - 2013/// SP - 15 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439612; Keywords: Model uncertainty; Mean-variance portfolio-selection theory; Two-fund separation theorem; Capital asset pricing model; Publication Type: Working Paper; Update Code: 201405 N2 - We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance decisionmaking model of Maccheroni, Marinacci, and Ruffino (2013a), we derive explicit demands for assets and formulate a robust version of the two-fund separation theorem. Upon market clearing, all investors hold ambiguous assets in the same relative proportions as the assets' market values. The resulting uncertainty-return tradeoff is a robust security market line in which the ambiguous return on an asset is measured by its beta (systematic ambiguity). A simple example on portfolio performance measurement illustrates the importance of writing ambitious, robust asset-pricing models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439612&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Goulding, William AU - Rice, Tara AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Do Small Businesses Still Prefer Community Banks? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1096 Y1 - 2013/// SP - 27 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425969; Keywords: Banks; relationships; small business; government policy; Publication Type: Working Paper; Update Code: 201403 N2 - We formulate and test hypotheses about the role of bank type--small versus large, single-market versus multimarket, and local versus nonlocal banks--in banking relationships. The conventional paradigm suggests that "community banks"--small, single market, local institutions--are better able to form strong relationships with informationally opaque small businesses, while "megabanks"--large, multimarket, nonlocal institutions--tend to serve more transparent firms. Using the 2003 Survey of Small Business Finance (SSBF), we conduct two sets of tests. First, we test for the type of bank serving as the "main" relationship bank for small businesses with different firm and owner characteristics. Second, we test for the strength of these main relationships by examining the probability of multiple relationships and relationship length as functions of main bank type and financial fragility, as well as firm and owner characteristics. The results are often not consistent with the conventional paradigm, perhaps because of changes in lending technologies and deregulation of the banking industry. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1096/ifdp1096.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425969&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1096/ifdp1096.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lu, Yang AU - Siemer, Michael AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Learning, Rare Disasters, and Asset Prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-85 Y1 - 2013/// SP - 33 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425964; Keywords: Rare disasters; Bayesian learning; equity premium puzzle; time-varying risk premia; return predictability; Publication Type: Working Paper; Update Code: 201403 N2 - In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the disaster takes time to unfold and is not directly observable. The model generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates predictability in returns. KW - Search; Learning; Information and Knowledge; Communication; Belief D83 KW - Macroeconomics: Consumption; Saving; Wealth E21 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.federalreserve.gov/pubs/feds/2013/201385/201385pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425964&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201385/201385pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Firestone, Simon AU - Rezende, Marcelo AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-84 Y1 - 2013/// SP - 35 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425966; Keywords: Probability of default; loss given default; bank capital; Publication Type: Working Paper; Update Code: 201403 N2 - This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in PDs, but only a few set PDs systematically higher or lower than the median bank. However, many banks differ from the median bank systematically in LGDs, and these differences affect their Basel II minimum regulatory capital significantly. The differences in LGDs imply that, for an identical loan portfolio, the bank that sets the highest LGDs would have Basel II minimum regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters across banks can be at least partially explained by bank behavior that complies with the Basel rules. We also find a negative relation between banks' LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have implications beyond bank capital. L3 - http://www.federalreserve.gov/pubs/feds/2013/201384/201384pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425966&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201384/201384pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orlik, Anna AU - Presno, Ignacio AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of Boston T1 - Optimal monetary policy under model uncertainty without commitment PB - Federal Reserve Bank of Boston, Working Papers: 13-20 Y1 - 2013/// SP - 36 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439577; Keywords: monetary policy; government credibility; time consistency; recursive methods; model uncertainty; robust control; Publication Type: Working Paper; Update Code: 201405 N2 - This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments, unlike in the original studies of time-consistent monetary policy, managing households' expectations becomes an active channel of optimal policymaking per se, a feature that the paternalistic government seeks to exploit. We adapt recursive methods in the spirit of Abreu, Pearce, and Stacchetti (1990) as well as computational algorithms based on Judd, Yeltekin, and Conklin to fully characterize the equilibrium outcomes for a class of policy games between the government and a representative household that distrusts the model used by the government. KW - Optimization Techniques; Programming Models; Dynamic Analysis C61 KW - Criteria for Decision-Making under Risk and Uncertainty D81 KW - Monetary Policy E52 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 L3 - http://www.bostonfed.org/economic/wp/wp2013/wp1320.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439577&site=ehost-live&scope=site UR - http://www.bostonfed.org/economic/wp/wp2013/wp1320.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AU - Figura, Andrew AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Declining Labor Force Attachment and Downward Trends in Unemployment and Participation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-88 Y1 - 2013/// SP - 37 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425967; Keywords: Unemployment rate; labor force participation rate; individuals marginally attached to the labor force; Publication Type: Working Paper; Update Code: 201403 N2 - The U.S. labor market witnessed two apparently unrelated secular movements in the last 30 years: a decline in unemployment between the early 1980s and the early 2000s, and a decline in participation since the early 2000s. Using CPS micro data and a stock-flow accounting framework, we show that a substantial, and hitherto unnoticed, factor behind both trends is a decline in the share of nonparticipants who are at the margin of participation. A lower share of marginal nonparticipants implies a lower unemployment rate, because marginal nonparticipants enter the labor force mostly through unemployment, while other nonparticipants enter the labor force mostly through employment. KW - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital E24 L3 - http://www.federalreserve.gov/pubs/feds/2013/201388/201388pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425967&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201388/201388pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Lopez-Salido, J. David AU - Zakrajsek, Egon AD - Department of Economics, Boston University and NBER AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Monetary Policy and Real Borrowing Costs at the Zero Lower Bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-3 Y1 - 2013/// SP - 38 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439613; Keywords: Unconventional monetary policy; LSAPs; forward guidance; term premia; corporate bond yields; mortgage interest rates; Publication Type: Working Paper; Update Code: 201405 N2 - This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the 2-year Treasury yield around policy announcements and changes in the 10-year Treasury yield that are orthogonal to those in the 2-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439613&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AU - Suarez, Gustavo A. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - The insensitivity of investment to interest rates: Evidence from a survey of CFOs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-2 Y1 - 2013/// SP - 42 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439624; Keywords: Investment; interest rates; hurdle rates; Publication Type: Working Paper; Update Code: 201405 N2 - A fundamental tenet of investment theory and the traditional theory of monetary policy transmission is that investment expenditures by businesses are negatively affected by interest rates. Yet, a large body of empirical research offer mixed evidence, at best, for a substantial interest-rate effect on investment. In this paper, we examine the sensitivity of investment plans to interest rates using a set of special questions asked of CFOs in the Global Business Outlook Survey conducted in the third quarter of 2012. Among the more than 500 responses to the special questions, we find that most firms claim to be quite insensitive to decreases in interest rates, and only mildly more responsive to interest rate increases. Most CFOs cited ample cash or the low level of interest rates, as explanations for their own insensitivity. We also find that sensitivity to interest rate changes tends to be lower among firms that do not report being concerned about working capital management as well as those that do not expect to borrow over the coming year. Perhaps more surprisingly, we find that investment is also less interest sensitive among firms expecting greater revenue growth. These findings seem to be corroborated by a cursory meta-analysis of average hurdle rates drawn from firm-level surveys at different times over the past 30 years, which exhibit no apparent relation to market interest rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439624&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltenhof, Samuel AU - Lee, Seung Jung AU - Stebunovs, Viktors AD - University of Michigan AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Bank Lending Channels during the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-6 Y1 - 2013/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439617; Keywords: Bank credit channels; bank lending standards; home equity extraction; credit crunch; employment; job losses; Great Recession; Publication Type: Working Paper; Update Code: 201405 N2 - We study the existence and economic significance of bank lending channels that affect employment in U.S. manufacturing industries. In particular, we address the question of how a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession, translates into job losses in these industries. To identify these channels, we rely on differences in the degree of external finance dependence and of asset tangibility across manufacturing industries and in the sensitivity of these industries' output to changes in the supply of consumer credit. We show that household access to bank loans matters more for employment than firm access to local bank loans. Our results suggest that, over the recent financial crisis, tightening access to commercial and industrial loans and consumer installment loans explains jointly about a quarter of the drop in employment in the manufacturing sector. In addition, a decrease in the availability of home equity loans explains an extra one-tenth of the drop. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439617&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Queralto, Albert AD - Board of Governors of the Federal Reserve System (U.S.) T1 - A Model of Slow Recoveries from Financial Crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1097 Y1 - 2013/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439643; Keywords: Business cycles; financial crises; total factor productivity; Publication Type: Working Paper; Update Code: 201405 N2 - This paper documents highly persistent effects of financial crises on output, labor productivity and employment in a sample of emerging economies. To address these facts, it introduces a quantitative macroeconomic model that includes endogenous TFP growth through firm creation. Firm creators obtain funding from a financial intermediation sector which is subject to frictions. These frictions become especially severe in a financial crisis, increasing the cost of credit for firm creators and thereby lowering the growth rate of aggregate TFP. As a consequence, the model produces medium-run dynamics following crises that are in line with the data. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439643&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, J. Nellie AU - Falato, Antonio AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Do Creditor Rights Increase Employment Risk? Evidence from Loan Covenants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-61 Y1 - 2013/// SP - 46 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1457008; Keywords: Covenant violations; employment; Publication Type: Working Paper; Update Code: 201409 N2 - Using a regression discontinuity design, we provide evidence that incentive conflicts between firms and their creditors have a large impact on employees. There are sharp and substantial employment cuts following loan covenant violations, when creditors exercise their ex post control rights. The negative impact of violations on employment is stronger for firms that face more severe agency and financing frictions and those whose employees have weaker bargaining power. Employment cuts following violations are much larger during industry and macroeconomic downturns, when employees have fewer alternative job opportunities and reduced bargaining power. Union elections that create new labor bargaining units lead to higher loan spreads, consistent with creditors requiring compensation for their reduced control rights when labor is stronger. Overall, these findings enrich our understanding of the consequences of the state contingent transfer of control rights by identifying a risk-shifting channel from creditors to employees. Our analysis establishes an endogeneity-free link between financing frictions and employment and offers direct evidence that binding financial covenants are an important amplification mechanism of economic downturns. L3 - http://www.federalreserve.gov/pubs/feds/2014/201461/201461pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1457008&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2014/201461/201461pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kondo, Illenin O. AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Trade Reforms, Foreign Competition, and Labor Market Adjustments in the U.S. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1095 Y1 - 2013/// SP - 54 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425968; Keywords: Foreign competition; nonemployment; job flows; spatial heterogeneity; Publication Type: Working Paper; Update Code: 201403 N2 - Using data on trade-induced displacements, this paper documents that locations facing more foreign competition in the U.S. have: higher job destruction rates, lower job creation rates, and thereby lower employment rates. In contrast to standard trade theory, a model with variable markups and heterogeneous segmented labor markets is consistent with these facts. Foreign competition has a correlated effect on job destruction and job creation precisely because the most vulnerable locations also have lower productivity. Following an unexpected trade liberalization with limited mobility, employment sharply falls in the worse hit locations while welfare and employment increase in the aggregate. KW - Trade and Labor Market Interactions F16 L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1095/ifdp1095.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425968&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1095/ifdp1095.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AU - Schott, Peter K. AD - Board of Governors of the Federal Reserve System (U.S.) AD - Yale School of Management & NBER T1 - The Surprisingly Swift Decline of U.S. Manufacturing Employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-4 Y1 - 2013/// SP - 55 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439610; Keywords: Manufacturing; trade policy; uncertainty; offshoring; China; World Trade Organization; supply chains; Publication Type: Working Paper; Update Code: 201405 N2 - This paper finds a link between the sharp drop in U.S. manufacturing employment beginning in 2001 and a change in U.S. trade policy that eliminated potential tariff increases on Chinese imports. Industries where the threat of tariff hikes declines the most experience more severe employment losses along with larger increases in the value of imports from China and the number of firms engaged in China-U.S. trade. These results are robust to other potential explanations of the employment loss, and we show that the U.S. employment trends differ from those in the E.U., where there was no change in policy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439610&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kara, Gazi AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Systemic Risk, International Regulation, and the Limits of Coordination PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-87 Y1 - 2013/// SP - 59 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425963; Keywords: Systemic risk; macroprudential regulation; international policy coordination; Publication Type: Working Paper; Update Code: 201403 N2 - This paper examines the incentives of national regulators to coordinate regulatory policies in the presence of systemic risk in global financial markets. In a two-country and three-period model, correlated asset fire sales by banks generate systemic risk across national financial markets. Relaxing regulatory standards in one country increases both the cost and the severity of crises for both countries in this framework. In the absence of coordination, independent regulators choose inefficiently low levels of macro-prudential regulation. A central regulator internalizes the systemic risk and thereby can improve the welfare of coordinating countries. Symmetric countries always benefit from coordination. Asymmetric countries choose different levels of macro-prudential regulation when they act independently. Common central regulation will voluntarily emerge only between sufficiently similar countries. L3 - http://www.federalreserve.gov/pubs/feds/2013/201387/201387pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425963&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201387/201387pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cairo, Isabel AU - Cajner, Tomaz AD - Universitat Pompeu Fabra AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Human Capital and Unemployment Dynamics: Why More Educated Workers Enjoy Greater Employment Stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2014-9 Y1 - 2013/// SP - 60 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1439626; Keywords: Unemployment; education; on-the-job training; specific human capital; Publication Type: Working Paper; Update Code: 201405 N2 - Why do more educated workers experience lower unemployment rates and lower employment volatility? A closer look at the data reveals that these workers have similar job finding rates, but much lower and less volatile separation rates than their less educated peers. We argue that on-the-job training, being complementary to formal education, is the reason for this pattern. Using a search and matching model with endogenous separations, we show that investments in match-specific human capital reduce the outside option of workers, implying less incentives to separate. The model generates unemployment dynamics that are quantitatively consistent with the cross-sectional empirical patterns. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1439626&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Du, Wenxin AU - Schreger, Jesse AD - Board of Governors of the Federal Reserve System (U.S.) AD - Board of Governors of the Federal Reserve System (U.S.) T1 - Local Currency Sovereign Risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1094 Y1 - 2013/// SP - 69 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1425970; Keywords: Local currency; sovereign debt; currency swaps; Publication Type: Working Paper; Update Code: 201403 N2 - Do governments default on debt denominated in their own currency? We introduce a new measure of sovereign credit risk, the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross currency swaps. We find that local currency credit spreads are positive and sizable. Compared with credit spreads on foreign currency denominated debt, local currency credit spreads have lower means, lower cross-country correlations, and are less sensitive to global risk factors. Global risk aversion and liquidity factors can explain more time variation in these credit spread differentials than macroeconomic fundamentals. KW - Foreign Exchange F31 KW - International Lending and Debt Problems F34 KW - International Financial Markets G15 L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1094/ifdp1094.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1425970&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1094/ifdp1094.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Cai, Fang AU - Kim, Nyssa AD - Unlisted AD - Unlisted AD - Unlisted T1 - 'Fool Me Once . . . ' Did U.S. investors play it safer in the European debt crisis? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1088 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409807; Publication Type: Working Paper; Update Code: 201312 N2 - This paper examines U.S. investors' portfolio investment patterns since the global financial crisis, particularly since the European debt crisis that began in late 2009. The global financial crisis during 2007-2009 was accompanied by an increase in U.S. investors' home bias. U.S. investors experienced significant valuation losses and pulled back notably from their foreign investment, especially from foreign debt. In contrast, while they have also incurred sizable losses on cross-border investment during the European debt crisis, U.S. investors so far have not shown any increase in home bias, and they have not even pulled back from their long-term investments in Europe. Holdings data show that U.S. investors have continued to invest in European securities, particularly in government debt, but have made little new investment in the financial sector. This continued interest in European securities could owe to the fact that most of U.S. holdings of European debt have been concentrated in dollar-denominated debt issued by core euro area countries and the United Kingdom, which are deemed relatively safe. Changes in the composition of holdings over the past couple years suggest that U.S. investors have behaved in a way that reflects their diversity and differing objectives: while investors reached for higher yields in government debt, there also appears to be some shift toward safer investment in the financial sector. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1088/ifdp1088.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409807&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1088/ifdp1088.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Jonathan D. AD - Unlisted T1 - A primer on farm mortgage debt relief programs during the 1930s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-33 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377817; Publication Type: Working Paper; Update Code: 201307 N2 - This paper describes New Deal farm mortgage debt relief programs, implemented through the Federal Land Banks and the Land Bank Commissioner. Along with the Home Owners' Loan Corporation, the analogous program for nonfarm residential mortgage borrowers, these were the first large-scale mortgage debt relief programs in US history. L3 - http://www.federalreserve.gov/pubs/feds/2013/201333/201333pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377817&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201333/201333pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Andersen, Torben G. AU - Dobrev, Dobrislav AU - Schaumburg, Ernst AD - Unlisted AD - Unlisted AD - Unlisted T1 - A robust neighborhood truncation approach to estimation of integrated quarticity PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1078 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365847; Publication Type: Working Paper; Update Code: 201305 N2 - We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the significant empirical challenges for IQ estimation posed by commonly encountered data imperfections and set forth three complementary approaches for improving IQ based inference. First, we show that many common deviations from the jump diffusive null can be dealt with by a novel filtering scheme that generalizes truncation of individual returns to truncation of arbitrary functionals on return blocks. Second, we propose a new family of efficient robust neighborhood truncation (RNT) estimators for integrated power variation based on order statistics of a set of unbiased local power variation estimators on a block of returns. Third, we find that ratio-based inference, originally proposed in this context by Barndorff-Nielsen and Shephard (2002), has desirable robustness properties in the face of regularly occurring data imperfections and thus is well suited for empirical applications. We confirm that the proposed filtering scheme and the RNT estimators perform well in our extensive simulation designs and in an application to the individual Dow Jones 30 stocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1078/ifdp1078.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365847&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1078/ifdp1078.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AU - Engelhardt, Gary V. AD - Unlisted AD - Unlisted T1 - A test for selection in matched administrative earnings data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-07 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357099; Publication Type: Working Paper; Update Code: 201303 N2 - We test whether individuals in the Health and Retirement Study who consented to have administrative earnings data matched to survey responses represent a non-random sample. For both men and women, there is a general pattern of negative selection across three measures of pre-entry labor-market behavior: labor-force participation, self-employment, and earnings. However, for some outcomes the estimates are not precise enough to draw firm conclusions. The strongest results are that men who consented were 4.7 percentage points less likely to be self-employed than those who did not, and women who consented earned 13 percent less than those who did not. L3 - http://www.federalreserve.gov/pubs/feds/2013/201307/201307pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357099&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201307/201307pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hur, Sewon AU - Kondo, Illenin O. AD - Unlisted AD - Unlisted T1 - A theory of rollover risk, sudden stops, and foreign reserves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1073 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365842; Publication Type: Working Paper; Update Code: 201305 N2 - Emerging economies, unlike advanced economies, have accumulated large foreign reserve holdings. We argue that this policy is an optimal response to an increase in foreign debt rollover risk. In our model, reserves play a key role in reducing debt rollover crises ("sudden stops"), akin to the role of bank reserves in preventing bank runs. We find that a small, unexpected, and permanent increase in rollover risk accounts for the outburst of sudden stops in the late 1990s, the subsequent increase in foreign reserves holdings, and the salient resilience of emerging economies to sudden stops ever since. Finally, we show that a policy of pooling reserves can substantially reduce the reserves needed by emerging economies. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1073/ifdp1073.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365842&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1073/ifdp1073.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reifschneider, Dave AU - Wascher, William AU - Wilcox, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Aggregate supply in the United States: recent developments and implications for the conduct of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-77 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409799; Publication Type: Working Paper; Update Code: 201312 N2 - The recent financial crisis and ensuing recession appear to have put the productive capacity of the economy on a lower and shallower trajectory than the one that seemed to be in place prior to 2007. Using a version of an unobserved components model introduced by Fleischman and Roberts (2011), we estimate that potential GDP is currently about 7 percent below the trajectory it appeared to be on prior to 2007. We also examine the recent performance of the labor market. While the available indicators are still inconclusive, some indicators suggest that hysteresis should be a more present concern now than it has been during previous periods of economic recovery in the United States. We go on to argue that a significant portion of the recent damage to the supply side of the economy plausibly was endogenous to the weakness in aggregate demand--contrary to the conventional view that policymakers must simply accommodate themselves to aggregate supply conditions. Endogeneity of supply with respect to demand provides a strong motivation for a vigorous policy response to a weakening in aggregate demand, and we present optimal-control simulations showing how monetary policy might respond to such endogeneity in the absence of other considerations. We then discuss how other considerations--such as increased risks of financial instability or inflation instability--could cause policymakers to exercise restraint in their response to cyclical weakness. L3 - http://www.federalreserve.gov/pubs/feds/2013/201377/201377pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409799&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201377/201377pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henriques, Alice M. AU - Hsu, Joanne W. AD - Unlisted AD - Unlisted T1 - Analysis of wealth using micro and macro data: a comparison of the Survey of Consumer Finances and Flow of Funds Accounts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-46 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395617; Publication Type: Working Paper; Update Code: 201309 N2 - Researchers use different types of household balance sheet data to study different aspects of lifecycle saving and wealth accumulation behavior. Macro data from the Flow of Funds Accounts (FFA) are produced at a quarterly frequency and are available in a timely manner, but they can only be used to study the behavior of the household sector as a whole. Micro data from the Survey of Consumer Finances (SCF) are available every three years and only with a lag, but they can be used to address questions that involve differences in behavior over time and across various types of households. Despite the very different approaches to estimating household net worth, the two data sets show the same general patterns wealth changes over the past twenty-five years. Areas where the FFA and SCF diverge in aggregate levels--in categories such as owner-occupied housing, noncorporate equity, and credit cards--may be explained by methodological decisions applied in the production of the data. Those differences do not fundamentally alter one's perception of household wealth dynamics in the period leading up to and following the Great Recession. L3 - http://www.federalreserve.gov/pubs/feds/2013/201346/201346pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395617&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201346/201346pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth AU - Demiralp, Selva AU - Ihrig, Jane AU - Klee, Elizabeth AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Analyzing Federal Reserve asset purchases: from whom does the Fed buy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-32 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377816; Publication Type: Working Paper; Update Code: 201307 N2 - Asset purchases have become an important monetary policy tool of the Federal Reserve in recent years. To date, most studies of the Federal Reserve's asset purchases have tried to measure the interest rate effects of the policies. Several papers provide evidence that these programs do have important effects on longer-term market interest rates. The theory of how asset purchases work, however, is less well developed. Some of the empirical studies point to "preferred habitat" models in which investors do not have the same objectives, and therefore prefer to hold different types and maturities of securities. We exploit Flow of Funds data to assess the types of investors that are selling to the Federal Reserve and their portfolio adjustment after these sales, which could provide a view to the plausibility of preferred habitat models and the transmission of unconventional monetary policy across asset markets. We find that the Federal Reserve is ultimately buying from only a handful of investor types, primarily households, with a different reaction to changes in Federal Reserve holdings of longer-term versus shorter-term assets. Although not evident for all investors, the key participants are shown to rebalance their portfolios toward more risky assets during this period. These results can be interpreted as supporting, at least in part, the preferred habit theory and the view that the monetary policy transmission is working across asset markets. L3 - http://www.federalreserve.gov/pubs/feds/2013/201332/201332pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377816&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201332/201332pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AD - Unlisted T1 - Antidumping duties and plant-level restructuring PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-38 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377822; Publication Type: Working Paper; Update Code: 201307 N2 - This paper examines the effect of antidumping duties on the restructuring activities of protected plants. Using a dataset that contains the full population of U.S. manufacturers, I find that protected plants increase their capital intensities modestly relative to unprotected plants, but only when antidumping duties have been in place for a sufficient duration. I find little effect of antidumping duties on a proxy for the skilled labor intensity of protected plants. L3 - http://www.federalreserve.gov/pubs/feds/2013/201338/201338pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377822&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201338/201338pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henriques, Alice M. AD - Unlisted T1 - Are homeowners in denial about their house values? comparing owner perceptions with transaction-based indexes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-79 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409801; Publication Type: Working Paper; Update Code: 201312 N2 - The boom and bust of the housing market has been a prominent feature of the household financial landscape in recent years. The exact magnitude of the house price swings depends on whether you ask homeowners how much their houses are worth at two points in time or use the change in a transaction-based house price index (HPI). During the boom, owner-reported values rose much more rapidly than the HPI, and after the bust, owner-reported values fell slightly less than the HPI. Individual homeowner "errors" are estimated to explain about one-third of the different in aggregate changes in the housing stock as measured by the Survey of Consumer Finances and CoreLogic national HPI. In a panel of homeowners surveyed during the housing downturn, owner-reported changes in value do not systematically diverge from local house price index changes. L3 - http://www.federalreserve.gov/pubs/feds/2013/201379/201379pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409801&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201379/201379pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tuzun, Tugkan AD - Unlisted T1 - Are leveraged and inverse ETFs the new portfolio insurers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-48 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395618; Publication Type: Working Paper; Update Code: 201309 N2 - This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) from a financial stability perspective. Mechanical positive-feedback rebalancing of LETFs resembles the portfolio insurance strategies, which contributed to the stock market crash of October 19, 1987 (Brady Report, 1988). I show that a 1% increase in broad stock-market indexes induces LETFs to originate rebalancing flows equivalent to $1.04 billion worth of stock. Price-insensitive and concentrated trading of LETFs results in price reaction and extra volatility in underlying stocks. Implied price impact calculations and empirical results suggest that they contributed to the stock market volatility in the 2008-2009 financial crisis and in the second half of 2011 when the European sovereign debt crisis came to the forefront. Although LETFs are not as large as portfolio insurers of the 1980s and have not been proven to disrupt stock market activity, their large and concentrated trading could be destabilizing during periods of high volatility. L3 - http://www.federalreserve.gov/pubs/feds/2013/201348/201348pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395618&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201348/201348pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aramonte, Sirio AU - Rosen, Samuel AU - Schindler, John W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Assessing and combining financial conditions indexes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-39 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377824; Publication Type: Working Paper; Update Code: 201307 N2 - We evaluate the short horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this result is driven by tailoring the indexes to the crisis and by non-synchronous trading. Financial conditions indexes are based on a variety of constituent variables and aggregation methods, and we discuss a simple procedure for consolidating the growing number of different indexes into a single proxy for financial conditions. L3 - http://www.federalreserve.gov/pubs/feds/2013/201339/201339pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377824&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201339/201339pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Cordell, Larry AU - Thomas, Charles P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Asymmetric information and the death of ABS CDOs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1075 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365844; Publication Type: Working Paper; Update Code: 201305 N2 - A key feature of the 2007 financial crisis is that for some classes of securities trade has practically ceased. And where trade has occurred, it appears that market prices are well below their intrinsic values. This seems especially true for those securities where the payoff streams are particularly complex, for example, structured finance ABS CDOs. One explanation for this is that information about these securities' intrinsic values since the crisis has been asymmetric, with current holders having better information than potential buyers. We first characterize the information asymmetries that were present in the structured finance ABS CDO market. Because many of the CDO dealers had partially or fully integrated the pipeline from mortgage originations through CDO issuance, they had informational advantages over potential buyers that could well have disrupted trading in CDOs as the crisis took hold in August of 2007. Using a "workhorse" model for pricing securities under asymmetric information and a novel dataset for the intrinsic values of ABS CDOs, we show how the resulting adverse selection problem could explain why the bulk of these securities either trade at significant discounts to their intrinsic values or do not trade at all. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1075/ifdp1075.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365844&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1075/ifdp1075.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose AD - Unlisted T1 - Bank liquidity hoarding and the financial crisis: an empirical evaluation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-03 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348036; Publication Type: Working Paper; Update Code: 201301 N2 - I test and find supporting evidence for the precautionary motive hypothesis of liquidity hoarding for U.S. commercial banks during the recent financial crisis. I find that banks held more liquid assets in anticipation of future losses from securities write-downs. Exposure to securities losses in their investment portfolios and expected loan losses (measured by loan loss reserves) represent key measures of banks' on-balance sheet risks, in addition to off-balance sheet liquidity risk stemming from unused loan commitments. Furthermore, unrealized securities losses and loan loss reserves seem to better capture the risks stemming from banks' asset management and provide supporting evidence for the precautionary nature of liquidity hoarding. Moreover, I find that more than one-fourth of the reduction in bank lending during the crisis is due to the precautionary motive. L3 - http://www.federalreserve.gov/pubs/feds/2013/201303/201303pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348036&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201303/201303pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dettling, Lisa J. AD - Unlisted T1 - Broadband in the labor market: The impact of residential high speed internet on married women's labor force participation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-65 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409787; Publication Type: Working Paper; Update Code: 201312 N2 - This paper investigates how high-speed home Internet has impacted married women's labor force participation. I estimate the net effect of individual Internet usage on labor supply using an instrumental variables strategy which exploits cross-state variation in supply-side constraints to residential broadband Internet access. Results indicate that married women who use the Internet are more likely to participate in the labor force. The average effects mask substantial heterogeneity and increases in participation are concentrated on women with higher levels of education and children. The results suggest home Internet facilitates work-family balance for highly educated women. L3 - http://www.federalreserve.gov/pubs/feds/2013/201365/201365pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409787&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201365/201365pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eggertsson, Gauti AU - Ferrero, Andrea AU - Raffo, Andrea AD - Unlisted AD - Unlisted AD - Unlisted T1 - Can structural reforms help Europe? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1092 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409810; Publication Type: Working Paper; Update Code: 201312 N2 - Structural reforms that increase competition in product and labor markets are often indicated as the main policy option available for peripheral Europe to regain competitiveness and boost output. We show that, in a crisis that pushes the nominal interest rate to its lower bound, these reforms do not support economic activity in the short run, and may well be contractionary. Absent the appropriate monetary stimulus, reforms fuel expectations of prolonged deation, increase the real interest rate, and depress aggregate demand. Our findings carry important implications for the current debate on the timing and the design of structural reforms in Europe. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1092/ifdp1092.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409810&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1092/ifdp1092.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Zlate, Andrei AD - Unlisted AD - Unlisted T1 - Capital flows to emerging market economies: a brave new world? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1081 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377828; Publication Type: Working Paper; Update Code: 201307 N2 - We examine the determinants of net private capital inflows to emerging market economies. These inflows are computed from quarterly balance-of-payments data from 2002:Q1 to 2012:Q2. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials and risk aversion. Third, capital control measures introduced in recent years do appear to have discouraged both total and portfolio inflows. Fourth, in the pre-crisis period, there is some evidence that greater foreign exchange intervention to curb currency appreciation pressures brought more capital inflows down the line, but we cannot identify such an effect in the post-crisis period. Finally, we do not find statistically significant positive effects of unconventional U.S. monetary expansion on total net EME inflows, although there does seem to be a change in composition toward portfolio flows. Even for portfolio flows, U.S. unconventional policy is only one among several important factors. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1081/ifdp1081.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377828&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1081/ifdp1081.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - Challenges for the future of Chinese economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1072 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365841; Publication Type: Working Paper; Update Code: 201305 N2 - The Chinese economy has been growing at a rapid pace for over thirty years. Most of this growth has come from higher labor productivity, while growth of employment has diminished along with a slower rate of increase in the working-age population. This paper looks at the challenges that China will face over the next two decades in maintaining its rapid pace of economic growth, especially as working-age population growth slows further and then begins to decline. Key questions include whether China will be able to continue to devote nearly half of its GDP to investment, whether such investment will become less productive as the capital-labor ratio continues to rise, whether labor participation and employment rates will fall as the population becomes less rural, and whether future shifts out of rural employment will go more toward the services rather than the manufacturing sector, where productivity is higher. In the baseline scenario economic growth falls gradually from its current pace of about 10 percent to near 6 1/2 percent by 2030. However, a combination of less optimistic, but still reasonable assumptions, results in a reduction in the growth rate to about 1 1/2 percent by 2030. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1072/ifdp1072.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365841&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1072/ifdp1072.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Iacoviello, Matteo AD - Unlisted AD - Unlisted T1 - Collateral constraints and macroeconomic asymmetries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1082 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395626; Publication Type: Working Paper; Update Code: 201309 N2 - A model with collateral constraints displays asymmetric responses to house price changes. When housing wealth is high, collateral constraints become slack, and the response of consumption and hours to shocks that move house prices is positive yet small. When housing wealth is low, collateral constraints become tight, and the response of consumption and hours to house price changes is negative and large. This finding is corroborated using evidence from national, state-level, and MSA-level data. Wealth effects computed in normal times may underestimate the response to large house price declines. Debt-relief policies may be far more effective during protracted housing slumps. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1082/ifdp1082.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395626&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1082/ifdp1082.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Priebsch, Marcel A. AD - Unlisted T1 - Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-63 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409785; Publication Type: Working Paper; Update Code: 201312 N2 - This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a "shadow-rate model" as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be positive, but it also introduces non-linearity that renders standard bond pricing formulas inapplicable. In particular, yields are not linear functions of the underlying state vector as they are in affine term structure models (see Piazzesi, 2010). Existing approaches towards computing yields in shadow-rate models suffer from high computational burden or low accuracy. In contrast, I show that the technique proposed in this paper is sufficiently fast for single-step estimation of a three-factor shadow-rate term structure model, and sufficiently accurate to evaluate yields to within approximately half a basis point. L3 - http://www.federalreserve.gov/pubs/feds/2013/201363/201363pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409785&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201363/201363pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - de Groot, Oliver AU - Holm-Hadulla, Federic AU - Leiner-Killinger, Nadine AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cost of borrowing shocks and fiscal adjustment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-59 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409781; Publication Type: Working Paper; Update Code: 201312 N2 - Do capital markets impose fiscal discipline on governments? We investigate the responses of fiscal variables to a change in the interest rate paid by governments on their debt in a panel of 14 European countries over four decades. To this end, we estimate a panel vector autoregressive (PVAR) model, using sign restrictions via the penalty function method of Mountford and Uhlig (2009) to identify structural cost of borrowing shocks. Our baseline estimation shows that a 1 percentage point rise in the cost of borrowing leads to a cumulative improvement of the primary balance-to-GDP ratio of approximately 2 percentage points over 10 years, with the fiscal response becoming significantly evident only two years after the shock. We also find that the bulk of fiscal adjustment takes place via a rise in government revenue rather than a cut in primary expenditure. The size of the total fiscal adjustment, however, is insufficient to avoid the gross government debt-to-GDP ratio from rising as a consequence of the shock. Sub-dividing our sample, we also find that for countries participating in Economic and Monetary Union (EMU) the primary balance response to a cost of borrowing shock was stronger in the period after 1992 (the year in which the Maastricht Treaty was signed) than prior to 1992. L3 - http://www.federalreserve.gov/pubs/feds/2013/201359/201359pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409781&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201359/201359pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rauh, Joshua AU - Stefanescu, Irina AU - Zeldes, Stephen AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cost shifting and the freezing of corporate pension plans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-82 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409804; Publication Type: Working Paper; Update Code: 201312 N2 - Many U.S. corporations have frozen defined benefit (DB) pension plans, replacing new DB promises with contributions to defined contribution (DC) plans. We estimate expected DB accruals from the age-service and salary distributions of a large sample of U.S. corporate pension plans with more than 1,000 employees. Comparing the counterfactual DB accruals to the actual increase in 401(k) and other DC contributions for firms that freeze, we find only partial compensation to employees for the lost DB accruals. Net of the increase in total DC contributions, firms save 2.7-3.6% of payroll per year, and over a 10-year horizon they save 3.1% of total firm assets. Workers would have to value the structure, choice, flexibility, or portability of DC plans by at least this much more to experience welfare gains from freezes. The forgone accruals and net cost effects are initially largest for older employees but over time become largest for middle-aged employees who plan to stay with the firms until retirement. Furthermore, the probability that a firm freezes a pension plan is positively related to the value of new accruals as a share of firm assets. While there are differences in the age-service distributions of firms that freeze versus those that do not, we find that the differential accrual effect is largely driven by differences in benefit factors and the relative importance of labor in the freeze firm's production function. The results overall support the hypothesis that pension freezes affect overall compensation and therefore that they change compensation costs relative to a worker's marginal product. L3 - http://www.federalreserve.gov/pubs/feds/2013/201382/201382pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409804&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201382/201382pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goldberg, Jonathan E. AD - Unlisted T1 - Credit-crunch dynamics with uninsured investment risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-31 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377815; Publication Type: Working Paper; Update Code: 201307 N2 - I study the effects of credit tightening in an economy with uninsured idiosyncratic investment risk. In the model, entrepreneurs require an equity premium because collateral constraints limit insurance. After collateral constraints tighten, the equity premium and the riskiness of consumption rise and the risk-free interest rate falls. I show that, both immediately after the shock and in the long run, the equity premium and the riskiness of consumption increase more than they would if the risk-free rate were constant. Indeed, the long-run increase in the riskiness of consumption growth is purely a general-equilibrium effect: if the risk-free rate were constant (as in a small open economy), an endogenous decrease in risk-taking by entrepreneurs would, in the long run, completely offset the decrease in their ability to diversify. I also show that the credit shock leads to a decrease in aggregate capital if the elasticity of intertemporal substitution is sufficiently high. Finally, I show that, due to a general-equilibrium effect, there is no "overshooting" in the equity premium: in response to a permanent decrease in firms' ability to pledge their future income, the equity premium immediately jumps to its new steady-state level and remains constant thereafter, even as aggregate capital adjusts over time. However, if idiosyncratic uncertainty is sufficiently low, credit tightening has no short-or long-run effects on aggregate capital, the equity premium, or the riskiness of consumption. Thus my paper highlights how investment risk affects the economy's response to a credit crunch. L3 - http://www.federalreserve.gov/pubs/feds/2013/201331/201331pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377815&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201331/201331pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goldberg, Jonathan E. AD - Unlisted T1 - Credit-crunch dynamics with uninsured investment risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-47 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395625; Publication Type: Working Paper; Update Code: 201309 N2 - I study the effects of credit tightening in an economy with uninsured idiosyncratic investment risk. In the model, entrepreneurs require an equity premium because collateral constraints limit insurance. After collateral constraints tighten, the equity premium and the riskiness of consumption rise and the risk-free interest rate falls. I show that, both immediately after the shock and in the long run, the equity premium and the riskiness of consumption increase more than they would if the risk-free rate were constant. Indeed, the long-run increase in the riskiness of consumption growth is purely a general-equilibrium effect: if the risk-free rate were constant (as in a small open economy), an endogenous decrease in risk-taking by entrepreneurs would, in the long run, completely offset the decrease in their ability to diversify. I also show that the credit shock leads to a decrease in aggregate capital if the elasticity of intertemporal substitution is sufficiently high. Finally, I show that, due to a general-equilibrium effect, there is no "overshooting" in the equity premium: in response to a permanent decrease in firms' ability to pledge their future income, the equity premium immediately jumps to its new steady-state level and remains constant thereafter, even as aggregate capital adjusts over time. However, if idiosyncratic uncertainty is sufficiently low, credit tightening has no short-or long-run effects on aggregate capital, the equity premium, or the riskiness of consumption. Thus my paper highlights how investment risk affects the economy's response to a credit crunch. L3 - http://www.federalreserve.gov/pubs/feds/2013/201347/201347pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395625&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201347/201347pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven AU - Smith, Christopher L. AU - Wozniak, Abigail AD - Unlisted AD - Unlisted AD - Unlisted T1 - Declining migration within the US: the role of the labor market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-27 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377811; Publication Type: Working Paper; Update Code: 201307 N2 - We examine explanations for the secular decline in interstate migration since the 1980s. After showing that demographic and socioeconomic factors can account for little of this decrease, we present evidence suggesting that it is related to a downward trend in labor market transitions--i.e. a decline in the fraction of workers moving from job to job, changing industry, and changing occupation--that occurred over the same period. We explore a number of reasons why these flows have diminished over time, including changes in the distribution of job opportunities across space, polarization in the labor market, concerns of dual-career households, and a strengthening of internal labor markets. We find little empirical support for all but the last of these hypotheses. Specifically, using data from three cohorts of the National Longitudinal Surveys spanning the 1970s to the 2000s, we find that wage gains associated with employer transitions have fallen, possibly signaling a growing role for internal labor markets in determining wages. L3 - http://www.federalreserve.gov/pubs/feds/2013/201327/201327pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377811&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201327/201327pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hsu, Joanne W. AU - Willis, Robert J. AD - Unlisted AD - Unlisted T1 - Dementia risk and financial decision making by older households: the impact of information PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-45 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395616; Publication Type: Working Paper; Update Code: 201309 N2 - The knowledge and reasoning ability needed to manage one's finances is a form of human capital. Alzheimer's disease and other dementias cause progressive declines in cognition that lead to a complete loss of functional capacities. In this paper we analyze the impact of information about cognitive decline on the choice of household financial decision-maker. Using longitudinal data on older married couples, we find that as the financial decision maker's cognition declines, the management of finances is eventually turned over to his cognitively intact spouse, often well after difficulties handling money have already emerged. However, a memory disease diagnosis increases the hazard of switching the financial respondent by over 200% for couples who control their retirement accounts (like 401ks) relative to those who passively receive retirement income. This is consistent with a model of the value of information: households with the most to gain financially from preparation are most responsive to information about cognitive decline. L3 - http://www.federalreserve.gov/pubs/feds/2013/201345/201345pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395616&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201345/201345pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chen, Lisa AU - Johnson, Kathleen W. AU - Kennickell, Arthur B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Discovering the universe: measuring the role of finance companies in the U.S. economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-13 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357105; Publication Type: Working Paper; Update Code: 201303 N2 - Credit to consumers and business is critical to the efficient functioning of the U.S. economy, and finance companies are a key source of such credit. Every five years, the Federal Reserve conducts a two-part survey: the Census of Finance Companies (CFC) to identify the universe of such firms and the Survey of Finance Companies (SFC) to obtain balance-sheet data from firms identified in the CFC. In 2010, this survey underwent a major revision that addressed both the absence of a comprehensive list frame and low response rates. A follow-up study of nonrespondents to the CFC was conducted to obtain information on the operating status of the unobserved firms, and their status as a finance company under the definitions of the CFC. An important complication was the presence of complicated tangles of firms within a corporate hierarchy, whereas the CFC intended to include the consolidated assets of the highest-level parent finance company in such a hierarchy; the follow-up was designed to provide information to estimate the extent of such relationships in the initial sample data. This paper describes the way the CFC and the follow-up were used to construct an estimate of the universe of finance companies. L3 - http://www.federalreserve.gov/pubs/feds/2013/201313/201313pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357105&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201313/201313pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nunes, Ricardo AD - Unlisted T1 - Do central banks' forecasts take into account public opinion and views? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1080 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377827; Publication Type: Working Paper; Update Code: 201307 N2 - The Federal Reserve through the Federal Open Market Committee (FOMC) regularly releases macroeconomic forecasts to the general public and the US congress with the purpose of explaining the likely evolution of the economy and the appropriate stance of monetary policy. Immediately before doing so, the FOMC receives a forecast produced by the Federal Reserve staff which remains private for five years. The literature has pointed out that, despite the informational advantage of the FOMC, its forecast differs from and is not always more accurate than the staff forecast. This finding has raised concerns regarding the loss of relevant information and the usefulness of the FOMC forecasts. This paper brings evidence that the FOMC forecast also incorporates other publicly available forecasts and views, and that the weight attributed to public forecasts is larger than what is optimal given a mean squared error objective. These findings are consistent with i) the institutional role of the FOMC in being representative of a variety of public views, ii) the academic literature recommendation to use equal weights and not to overfit specific forecasts based on past performance. The statistical model can also account for several empirical regularities of the forecasts. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1080/ifdp1080.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377827&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1080/ifdp1080.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cahill, Michael E. AU - D'Amico, Stefania AU - Li, Canlin AU - Sears, John S. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-35 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377819; Publication Type: Working Paper; Update Code: 201307 N2 - The FOMC's announcements of Treasury purchase programs and the subsequent or contemporaneous statements by the New York Fed about the programs' operational details provide a sequence of natural experiments with the potential to shed light on the relative importance of the duration risk channel versus the local supply channel for the transmission of supply effects to the term structure of interest rates. Using intraday security-level data on Treasury securities, we conduct five event studies to document the presence of local supply effects and duration risk effects. Further, using our new measures of local supply surprise and duration risk surprise we quantify the average impact of these two supply channels on nominal Treasury yields for each of the five events. Finally, we also try to determine how the importance of these factors has changed over time and relative to the first Large Scale Asset Purchase program in 2008-09. We find that: first, once the pre-announcement market expectations are carefully controlled for, the duration risk and local supply channels together are responsible for a decline in yields averaging about 9 basis points per $100 billion over the course of these announcements; second, these two channels are almost equally important for the transmission mechanism of purchases, as on average each of these channels accounts for about half of the yields decline; third, the efficacy of these two channels does not seem to have declined over time; and fourth, the purchase and sale price reactions to the announcements are quite similar, a result potentially relevant for the unwinding of these programs. L3 - http://www.federalreserve.gov/pubs/feds/2013/201335/201335pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377819&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201335/201335pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Argento, Robert AU - Bryant, Victoria L. AU - Sabelhaus, John AD - Unlisted AD - Unlisted AD - Unlisted T1 - Early withdrawals from retirement accounts during the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-22 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365837; Publication Type: Working Paper; Update Code: 201305 N2 - Early withdrawals from retirement accounts are a double-edged sword, because withdrawals reduce retirement resources, but they also allow individuals to smooth consumption when they experience demographic and economic shocks. Using tax data, we show that pre-retirement withdrawals increased between 2004 and 2010, especially after 2007, but early withdrawal rates are substantial (relative to new contributions) in all of those years. Early withdrawal events are strongly correlated with shocks to income and marital status, and lower-income taxpayers are more likely to experience the types of shocks associated with early withdrawals and more likely to have a taxable withdrawal when they experience a given shock. L3 - http://www.federalreserve.gov/pubs/feds/2013/201322/201322pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365837&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201322/201322pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Antinolfi, Gaetano AU - Brunetti, Celso AD - Unlisted AD - Unlisted T1 - Economic volatility and financial markets: the case of mortgage-backed securities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-42 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377826; Publication Type: Working Paper; Update Code: 201307 N2 - The volatility of aggregate economic activity in the United States decreased markedly in the mid eighties. The decrease involved several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks and more effective policy, and a diverse set of innovations related to inventory management as well as financial markets. We document a negative relation between the volatility of GDP and some of its components and one such financial development: the emergence of mortgage-backed securities. We also document that this relationship changed sign, from negative to positive, in the early 2000's. L3 - http://www.federalreserve.gov/pubs/feds/2013/201342/201342pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377826&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201342/201342pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peneva, Ekaterina V. AD - Unlisted T1 - Effects of monetary policy shocks across time and across sectors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-70 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409792; Publication Type: Working Paper; Update Code: 201312 N2 - Recent empirical research by Olivei and Tenreyro (2007) demonstrates that the effect of monetary policy shocks on output and prices depends on the shock's timing: In the United States, a monetary policy shock that takes place in the first half of the year has a larger effect on output than on prices, while the opposite is true in the second half of the year. Olivei and Tenreyro argue that this finding reflects the fact that a greater fraction of wage rates are re-contracted in the second half of the year, implying that wages (and prices) are less flexible in the first half. In this paper, I assess this explanation in light of several additional empirical results. Most importantly, I demonstrate that within-year differences in the responses of output and prices following a monetary policy shock are not more pronounced in the service-producing sector, where labor costs represent a larger fraction of total production costs. I also find that movements in prices following a monetary shock tend to lead wage changes. These and other empirical results suggest that something other than uneven wage adjustment might be responsible for the differential within-year effect of monetary policy shocks that Olivei and Tenreyro document. L3 - http://www.federalreserve.gov/pubs/feds/2013/201370/201370pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409792&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201370/201370pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anenberg, Elliot AU - Bayer, Patrick AD - Unlisted AD - Unlisted T1 - Endogenous sources of volatility in housing markets: the joint buyer-seller problem PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-60 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409783; Publication Type: Working Paper; Update Code: 201312 N2 - This paper presents new empirical evidence that internal movement--selling one home and buying another--by existing homeowners within a metropolitan housing market is especially volatile and the main driver of fluctuations in transaction volume over the housing market cycle. We develop a dynamic search equilibrium model that shows that the strong pro-cyclicality of internal movement is driven by the cost of simultaneously holding two homes, which varies endogenously over the cycle. We estimate the model using data on prices, volume, time-on-market, and internal moves drawn from Los Angeles from 1988-2008 and use the fitted model to show that frictions related to the joint buyer-seller problem: (i) substantially amplify booms and busts in the housing market, (ii) create counter-cyclical build-ups of mismatch of existing owners with their homes, and (iii) generate externalities that induce significant welfare loss and excess price volatility. L3 - http://www.federalreserve.gov/pubs/feds/2013/201360/201360pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409783&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201360/201360pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laufer, Steven AD - Unlisted T1 - Equity extraction and mortgage default PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-30 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377814; Publication Type: Working Paper; Update Code: 201307 N2 - Using a property-level data set of houses in Los Angeles County, I estimate that 30% of the recent surge in mortgage defaults is attributable to early home-buyers who would not have defaulted had they not borrowed against the rising value of their homes during the boom. I develop and estimate a structural model capable of explaining the patterns of both equity extraction and default observed among this group of homeowners. In the model, most of these defaults are attributable to the high loan-to-value ratios generated by this additional borrowing combined with the expectation that house prices would continue to decline. Only 30% are the result of income shocks and liquidity constraints. I use this model to analyze a policy that limits the maximum size of cash-out refinances to 80% of the current house value. I find that this restriction would reduce house prices by 14% and defaults by 28%. Despite the reduced borrowing opportunities, the welfare gain from this policy for new homeowners is equivalent to 3.2% of consumption because of their ability to purchase houses at lower prices. L3 - http://www.federalreserve.gov/pubs/feds/2013/201330/201330pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377814&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201330/201330pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AU - Whited, Toni M. AD - Unlisted AD - Unlisted T1 - Equity market misvaluation, financing, and investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-78 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409800; Publication Type: Working Paper; Update Code: 201312 N2 - We quantify how much nonfundamental movements in stock prices affect firm decisions. We estimate a dynamic investment model in which firms can finance with equity or cash (net of debt). Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds owing to and from these activities come from either investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Firms respond to misvaluation by adjusting financing more than by adjusting investment. Managers' rational responses to misvaluation increase shareholder value by up to 8%. L3 - http://www.federalreserve.gov/pubs/feds/2013/201378/201378pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409800&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201378/201378pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Grodzicki, Daniel AU - Moore, Kevin B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estate vs. capital gains taxation: an evaluation of prospective policies for taxing wealth at the time of death PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-28 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377812; Publication Type: Working Paper; Update Code: 201307 N2 - Debate over the U.S. federal estate tax has intensified recently as a result of the sunset provisions in the Economic Growth and Tax Relief Reconciliation Act (EGTRRA) of 2001 and changes in law passed in conjunction with the "fiscal cliff" at the end of 2012. Despite recent changes in the law, there remains an open debate regarding the extent to which prospective estates comprise assets that have been taxed previously. Using wealth data on U.S. households, we forecast changes in household wealth in the coming decade and calculate the importance of untaxed wealth in bequeathed estates. Connecting further to the debate, we investigate the impact of various policies on U.S. households. In particular, we compare policies in which the entire estate is taxed at death (estate tax) to those in which only the unrealized capital gains portion is subject to tax (capital gains tax). We estimate that the average unrealized capital gains in estates monotonically increases with the size of the estate, ranging from 13% for estates under $2 million to 55% for estates over $100 million. We also find that policies aimed at taxing the entire estate raise more revenue than those aimed at taxing unrealized gains. However, policies that tax only gains concentrate a larger portion of the tax burden on high wealth households. L3 - http://www.federalreserve.gov/pubs/feds/2013/201328/201328pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377812&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201328/201328pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Exchange rates, monetary policy statements, and uncovered interest parity: before and after the zero lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-17 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365832; Publication Type: Working Paper; Update Code: 201305 N2 - While uncovered interest parity (UIP) fails unconditionally, UIP conditional on monetary policy actions remains a cornerstone of macroeconomic models used for monetary policy analysis. We posit that monetary policy actions are partially revealed by FOMC statements and propose a new identification strategy to uncover the degree to which such policy actions induce comovement in exchange rates and long-term interest rates consistent with uncovered interest parity. We reach three conclusions. First, there is evidence in favor of UIP at long horizons, conditional on monetary policy actions, for Dollar/Euro and Dollar/Yen exchange rates. Second, short-run movements in exchange rates following monetary policy surprises are consistent with the overshooting prediction of Dornbusch (1976), although our approach cannot test UIP at short horizons. Finally, we examine the degree to which monetary policy statements since the onset of the zero-lower bound (ZLB) on the short-term interest rate in the United States have engendered different comovement between long-term interest rates and exchange rates and find little evidence for a change in relationships. L3 - http://www.federalreserve.gov/pubs/feds/2013/201317/201317pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365832&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201317/201317pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Costin, Ovidiu AU - Gordy, Michael B. AU - Huang, Min AU - Szerszen, Pawel J. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Expectations of functions of stochastic time with application to credit risk modeling PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-14 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365829; Publication Type: Working Paper; Update Code: 201305 N2 - We develop two novel approaches to solving for the Laplace transform of a time-changed stochastic process. We discard the standard assumption that the background process (X[subscript t]) is Levy. Maintaining the assumption that the business clock (T[subscript t]) and the background process are independent, we develop two different series solutions for the Laplace transform of the time-changed process X-bar = X(T[subscript t]). In fact, our methods apply not only to Laplace transforms, but more generically to expectations of smooth functions of random time. We apply the methods to introduce stochastic time change to the standard class of default intensity models of credit risk, and show that stochastic time-change has a very large effect on the pricing of deep out-of-the-money options on credit default swaps. L3 - http://www.federalreserve.gov/pubs/feds/2013/201314/201314pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365829&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201314/201314pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Alessandria, George AU - Pratap, Sangeeta AU - Yue, Vivian AD - Unlisted AD - Unlisted AD - Unlisted T1 - Export dynamics in large devaluations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1087 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409806; Publication Type: Working Paper; Update Code: 201312 N2 - We study the source and consequences of sluggish export dynamics in emerging markets following large devaluations. We document two main features of exports that are puzzling for standard trade models. First, given the change in relative prices, exports tend to grow gradually following a devaluation. Second, high interest rates tend to suppress exports. To address these features of export dynamics, we embed a model of endogenous export participation due to sunk and per period export costs into an otherwise standard small open economy. In response to shocks to productivity, the interest rate, and the discount factor, we find the model can capture the salient features of export dynamics documented. At the aggregate level, the features giving rise to sluggish exports lead to more gradual net export reversals, sharper contractions and recoveries in output, and endogenous stagnation in labor productivity. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1087/ifdp1087.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409806&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1087/ifdp1087.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adrian, Tobias AU - Covitz, Daniel AU - Liang, Nellie AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial stability monitoring PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-21 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365836; Publication Type: Working Paper; Update Code: 201305 N2 - While the Dodd Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by financial authorities to address systemic events when they occur. As a result, a broad and forward-looking monitoring program, which seeks to identify financial vulnerabilities and guide the development of pre-emptive policies to help mitigate them, is essential. Systemic vulnerabilities arise from market failures that can lead to excessive leverage, maturity transformation, interconnectedness, and complexity. These vulnerabilities, when hit by adverse shocks, can lead to fire sale dynamics, negative feedback loops, and inefficient contractions in the supply of credit. We present a framework that centers on the vulnerabilities that propagate adverse shocks, rather than shocks themselves, which are difficult to predict. Vulnerabilities can emerge in four areas: (1) systemically important financial institutions (SIFIs), (2) shadow banking, (3) asset markets, and (4) the nonfinancial sector. This framework also highlights how policies that reduce the likelihood of systemic crises may do so only by raising the cost of financial intermediation in non-crisis periods. L3 - http://www.federalreserve.gov/pubs/feds/2013/201321/201321pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365836&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201321/201321pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Verani, Stephane AU - Gross, Till AD - Unlisted AD - Unlisted T1 - Financing constraints, firm dynamics, and international trade PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-02 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348035; Publication Type: Working Paper; Update Code: 201301 N2 - There is growing empirical support for the conjecture that access to credit is an important determinant of firms' export decisions. We study a multi-country general equilibrium economy in which entrepreneurs and lenders engage in long-term credit relationships. Financial constraints arise as a consequence of financial contracts that are optimal under private information. Consistent with empirical regularities, the model implies that older and larger firms have lower average and more stable growth rates, and are more likely to survive. Exporters are larger, their survival in international markets increases with the time spent exporting, and the sales of older exporters are larger and more stable. L3 - http://www.federalreserve.gov/pubs/feds/2013/201302/201302pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348035&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201302/201302pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramcharan, Rodney AU - den Heuvel, Skander Van AU - Verani, Stephane AD - Unlisted AD - Unlisted AD - Unlisted T1 - From Wall Street to main street: the impact of the financial crisis on consumer credit supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-10 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357102; Publication Type: Working Paper; Update Code: 201303 N2 - This paper studies how the collapse of the asset backed securities (ABS) market during the financial crisis of 2007-2009 affected the supply of credit to the broader economy using a new dataset that describes unique interbank relationships within the credit union industry. This industry is important for consumer finance, and we find that ABS related losses at correspondent credit unions are associated with a large contraction in the supply of consumer credit and a hoarding of cash among downstream credit unions. We also find that this contraction in credit supply was concentrated among downstream credit unions that began the crisis with lower capital asset ratios, and that it may have amplified the initial decline in house prices. These results suggest that capital regulation might shape the ability of financial institutions to transmit securities price volatility onto the real economy. L3 - http://www.federalreserve.gov/pubs/feds/2013/201310/201310pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357102&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201310/201310pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akinci, Ozge AD - Unlisted T1 - Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1085 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395629; Publication Type: Working Paper; Update Code: 201309 N2 - This paper uses a panel structural vector autoregressive (VAR) model to investigate the extent to which global financial conditions, i.e., a global risk-free interest rate and global financial risk, and country spreads contribute to macroeconomic fluctuations in emerging countries. The main findings are: (1) Global financial risk shocks explain about 20 percent of movements both in the country spread and in the aggregate activity in emerging economies. (2) The contribution of global risk-free interest rate shocks to macroeconomic fluctuations in emerging economies is negligible. Its role, which was emphasized in the literature, is taken up by global financial risk shocks. (3) Country spread shocks explain about 15 percent of the business cycles in emerging economies. (4) Interdependence between economic activity and the country spread is a key mechanism through which global financial shocks are transmitted to emerging economies. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1085/ifdp1085.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395629&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1085/ifdp1085.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caglio, Cecilia AU - Hanley, Kathleen Weiss AU - Marietta-Westberg, Jennifer AD - Unlisted AD - Unlisted AD - Unlisted T1 - Going public abroad PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-68 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409790; Publication Type: Working Paper; Update Code: 201312 N2 - This paper examines the decision to go public abroad using a sample of 17,808 IPOs. Although only 6% of initial public offerings are offered abroad, these represent approximately 25% of total IPO proceeds. We find that alleviating informational frictions in order to obtain greater offering proceeds is an important determinant of the decision to go public abroad. Foreign and global IPOs originate from countries with significantly fewer recent IPOs in the same industry, less developed capital markets, and lower disclosure standards. Contrary to assumptions in prior research, we also show that the determinants of whether to go public abroad or to go public at home and cross-list later are not similar. In addition, we find that the preferences for going public in certain foreign markets have changed over time and the factors that impact the choice of listing market are not consistent across all countries. L3 - http://www.federalreserve.gov/pubs/feds/2013/201368/201368pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409790&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201368/201368pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baglan, Deniz AU - Yoldas, Emre AD - Unlisted AD - Unlisted T1 - Government debt and macroeconomic activity: a predictive analysis for advanced economies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-05 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357097; Publication Type: Working Paper; Update Code: 201303 N2 - This paper explores the empirical relationship between government debt and future macroeconomic activity using data on twenty advanced economies throughout the post-war era. We use robust inference techniques to deal with the bias arising from the persistent nature of debt to GDP ratio as an endogenous predictor of GDP growth. Our results show that statistical significance of the coefficient on the debt ratio in predictive regressions changes considerably with the use of robust inference techniques. For countries with relatively low average debt ratios we find a negative threshold effect as their debt ratios increase toward moderate levels. For countries with chronically high debt ratios, GDP growth slows as relative government debt increases, but we find no significant threshold effect. L3 - http://www.federalreserve.gov/pubs/feds/2013/201305/201305pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357097&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201305/201305pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bucks, Brian K. AU - Bricker, Jesse AD - Unlisted AD - Unlisted T1 - Household mobility over the Great Recession: evidence from the U.S. 2007-09 Survey of Consumer Finances panel PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-53 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395623; Publication Type: Working Paper; Update Code: 201309 N2 - This paper uses data from the 2007-09 Survey of Consumer Finances panel to examine U.S. households' decisions to move and the role of negative home equity and economic shocks, such as job loss, in these decisions. Even over this period of steep house price declines and sharp recession, we find that most moves were prompted by standard reasons. The recession's effects are nonetheless apparent in the notable fraction of homeowners who moved involuntarily due to, for example, foreclosure. Many involuntary moves appear to stem a combination of negative home equity and adverse economic shocks rather than negative equity alone. Homeowners with both negative equity and economic shocks were substantially more likely to have moved between 2007 and 2009 and to have moved involuntarily. The findings suggest that, analogous to the double-trigger theory of default, the relationship between negative equity and household mobility varies with households' exposure to adverse shocks. L3 - http://www.federalreserve.gov/pubs/feds/2013/201353/201353pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395623&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201353/201353pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kurz, Christopher AU - Senses, Mine Z. AD - Unlisted AD - Unlisted T1 - Importing, exporting and firm-level employment volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-44 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395615; Publication Type: Working Paper; Update Code: 201309 N2 - In this paper, we use detailed trade and transactions data for the U.S. manufacturing sector to empirically analyze the direction and magnitude of the association between firm-level exposure to trade and the volatility of employment growth. We find that, relative to purely domestic firms, firms that only export and firms that both export and import are less volatile, whereas firms that only import are more volatile. The positive relationship between importing and volatility is driven mainly by firms that switch in and out of importing. We also document a significant degree of heterogeneity across trading firms in terms of the duration of time and intensity with which firms trade, the number and type of products they trade and the number and characteristics of their trading partners. We find these factors to play an important role in explaining the differential impact of trading on employment volatility experienced by these firms. L3 - http://www.federalreserve.gov/pubs/feds/2013/201344/201344pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395615&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201344/201344pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AU - Smeeding, Timothy M. AD - Unlisted AD - Unlisted T1 - Inequality and poverty in the United States: the aftermath of the Great Recession PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-51 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395621; Publication Type: Working Paper; Update Code: 201309 N2 - This paper explores trends in inequality and poverty using both market and after-tax and transfer income in the period during and after the Great Recession (through 2011). Using market income (or wages), inequality and poverty rose sharply between 2008 and 2010. The primary exception is measures for the top of the distribution; annual wage and income shares of the top one percent dipped in 2008 and 2009. Including taxes and transfers, broad-based inequality measures also fell, and the poverty increase was muted. Tax and transfer policies lowered inequality and poverty, but those policies were not equal across the population. Poverty declined among the elderly, changed little among children, and rose sharply among the working-age. Inequality fell across the total population, but was unchanged among working-age households. Since 2009, as the economy has grown slowly, inequality has risen for all groups, and poverty remains high for the working-age. L3 - http://www.federalreserve.gov/pubs/feds/2013/201351/201351pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395621&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201351/201351pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jermann, Urban J. AU - Yue, Vivian Z. AD - Unlisted AD - Unlisted T1 - Interest rate swaps and corporate default PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1090 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409809; Publication Type: Working Paper; Update Code: 201312 N2 - This paper studies firms' usage of interest rate swaps to manage risk in a model economy driven by aggregate productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence, firms in the model are fixed-rate payers, and swap positions are negatively correlated with the term spread. In the model, swaps affect firms' investment decisions and debt pricing very moderately, and the availability of swaps generates only small economic gains for the typical firm. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1090/ifdp1090.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409809&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1090/ifdp1090.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brandao-Marques, Luis AU - Correa, Ricardo AU - Sapriza, Horacio AD - Unlisted AD - Unlisted AD - Unlisted T1 - International evidence on government support and risk taking in the banking sector PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1086 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395630; Publication Type: Working Paper; Update Code: 201309 N2 - Government support to banks through the provision of explicit or implicit guarantees affects the willingness of banks to take on risk by reducing market discipline or by increasing charter value. We use an international sample of rated banks and find that government support is associated with more risk taking by banks, especially prior and during the 2008-2009 financial crisis. We also find that restricting banks' range of activities ameliorates the link between government support and bank risk taking. We conclude that strengthening market discipline by reducing bank complexity is needed to address this moral hazard problem. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1086/ifdp1086.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395630&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1086/ifdp1086.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Byrne, David M. AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Is the information technology revolution over? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-36 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377820; Publication Type: Working Paper; Update Code: 201307 N2 - Given the slowdown in labor productivity growth in the mid-2000s, some have argued that the boost to labor productivity from IT may have run its course. This paper contributes three types of evidence to this debate. First, we show that since 2004, IT has continued to make a significant contribution to labor productivity growth in the United States, though it is no longer providing the boost it did during the productivity resurgence from 1995 to 2004. Second, we present evidence that semiconductor technology, a key ingredient of the IT revolution, has continued to advance at a rapid pace and that the BLS price index for microprocessors may have substantially understated the rate of decline in prices in recent years. Finally, we develop projections of growth in trend labor productivity in the nonfarm business sector. The baseline projection of about 1 3/4 percent a year is better than recent history but is still below the long-run average of 2 1/4 percent. However, we see a reasonable prospect--particularly given the ongoing advance in semiconductors--that the pace of labor productivity growth could rise back up to or exceed the long-run average. While the evidence is far from conclusive, we judge that "No, the IT revolution is not over." L3 - http://www.federalreserve.gov/pubs/feds/2013/201336/201336pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377820&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201336/201336pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goodman, Sarena F. AD - Unlisted T1 - Learning from the test: raising selective college enrollment by providing information PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-69 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409791; Publication Type: Working Paper; Update Code: 201312 N2 - In the last decade, five U.S. states adopted mandates requiring high school juniors to take a college entrance exam. In the two earliest-adopting states, nearly half of all students were induced into testing, and 40-45% of them earned scores high enough to qualify for selective schools. Selective college enrollment rose by 20% following implementation of the mandates, with no effect on overall attendance. I conclude that a large number of high-ability students appear to dramatically underestimate their candidacy for selective colleges. Policies aimed at reducing this information shortage are likely to increase human capital investment for a substantial number of students. L3 - http://www.federalreserve.gov/pubs/feds/2013/201369/201369pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409791&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201369/201369pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AD - Unlisted T1 - Lessons from the historical use of reserve requirements in the United States to promote bank liquidity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-11 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357103; Publication Type: Working Paper; Update Code: 201303 N2 - Efforts in the United States to promote bank liquidity through reserve requirements, a minimum ratio of liquid assets relative to liabilities, extend at least as far back as the aftermath of the Panic of 1837. These requirements were quite important during the National Banking Era. Nevertheless, suspensions of deposit convertibility and liquidity shortfalls continued to occur during banking panics. Eventually, efforts to ensure that banks remained liquid resulted in a shift away from reserve requirements in favor of a central bank able to add liquidity to the financial system. This paper reviews the issues raised in the historical debates about reserve requirements along with some empirical evidence on banks' holdings of reserves, to provide some insights and lessons that are relevant today. A key lesson is that individual bank liquidity during stress periods is inherently and intricately tied to the liquidity policies of the central bank. L3 - http://www.federalreserve.gov/pubs/feds/2013/201311/201311pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357103&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201311/201311pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Javed I. AU - Barber, Brad M. AU - Odean, Terrance AD - Unlisted AD - Unlisted AD - Unlisted T1 - Made poorer by choice: worker outcomes in Social Security v. private retirement accounts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-23 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365838; Publication Type: Working Paper; Update Code: 201305 N2 - Early withdrawals from retirement accounts are a double-edged sword, because withdrawals reduce retirement resources, but they also allow individuals to smooth consumption when they experience demographic and economic shocks. Using tax data, we show that pre-retirement withdrawals increased between 2004 and 2010, especially after 2007, but early withdrawal rates are substantial (relative to new contributions) in all of those years. Early withdrawal events are strongly correlated with shocks to income and marital status, and lower-income taxpayers are more likely to experience the types of shocks associated with early withdrawals and more likely to have a taxable withdrawal when they experience a given shock. L3 - http://www.federalreserve.gov/pubs/feds/2013/201323/201323pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365838&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201323/201323pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, James A. AD - Unlisted T1 - Monetary policy and financial stability risks: an example PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-41 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377825; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 201307 N2 - The financial crisis and its aftermath have raised numerous questions about the appropriate role of financial stability considerations in the conduct of monetary policy. This paper develops a simple example of the possible connections between financial stability and monetary policy. We find that even without an explicit financial stability goal for monetary policy, financial stability considerations arise naturally in the context of standard models of optimal monetary policy if the potential magnitude of financial stability shocks is affected by the stance of policy. In this case, similar to the classic analysis of Brainard (1967), policymakers may seek to reduce the variance of output by scaling back the level of policy accommodation provided today in response to an aggregate demand shock relative to the level that would otherwise be provided. However, the policy implications of this possible connection between monetary policy and financial stability are complex even in the simple example considered here. In particular, financial stability considerations may also increase the relative benefits of following a commitment policy relative to a discretionary strategy. L3 - http://www.federalreserve.gov/pubs/feds/2013/201341/201341pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377825&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201341/201341pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Monetary policy statements, Treasury yields, and private yields: before and after the zero lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-16 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365831; Publication Type: Working Paper; Update Code: 201305 N2 - Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing--both "unconventional" strategies. We examine whether the effect of such actions on Treasury yields have passed through to private yields to a degree comparable to experience before 2008. In order to perform this examination, we propose a strategy to identify the comovement between Treasury yields and private yields induced by monetary policy when an observable representing policy changes, such as changes in the interbank rate, is not available, or when other systematic factors may be important. Our strategy implies that least squares regressions, even within an event window, can be misleading, and our empirical results find evidence for such misleading effects. Implementation of our instrumental variables strategy suggests that the movements in Treasury yields induced by monetary policy statements have passed through to private yields, but to a smaller degree than typical prior to the end of 2008. This may suggest that the effectiveness of unconventional policy actions in stimulating activity are attenuated relative to conventional policy actions. L3 - http://www.federalreserve.gov/pubs/feds/2013/201316/201316pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365831&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201316/201316pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gonzalez-Astudillo, Manuel AD - Unlisted T1 - Monetary-fiscal policy interactions: interdependent policy rule coefficients PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-58 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409780; Publication Type: Working Paper; Update Code: 201312 N2 - In this paper, we formulate and solve a New Keynesian model with monetary and fiscal policy rules whose coefficients are time-varying and interdependent. We implement time variation in the policy rules by specifying coefficients that are logistic functions of correlated latent factors and propose a solution method that allows for these characteristics. The paper uses Bayesian methods to estimate the policy rules with time-varying coefficients, endogeneity, and stochastic volatility in a limited-information framework. Results show that monetary policy switches regime more frequently than fiscal policy, and that there is a non-negligible degree of interdependence between policies. Policy experiments reveal that contractionary monetary policy lowers inflation in the short run and increases it in the long run. Also, lump-sum taxes affect output and inflation, as the literature on the fiscal theory of the price level suggests, but the effects are attenuated with respect to a pure fiscal regime. L3 - http://www.federalreserve.gov/pubs/feds/2013/201358/201358pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409780&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201358/201358pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - On returns differentials PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1077 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365846; Publication Type: Working Paper; Update Code: 201305 N2 - Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class decomposition into yields and capital gains, the Gourinchas and Rey (2007a) composition and return effects, and further decompositions of capital gains that focus on exchange rate effects. While each decomposition informs thinking about returns differentials, one constant is evident throughout: to date the existing differential favoring the U.S. has owed primarily to one factor, a differential in direct investment yields. We discuss how our analysis informs the income puzzle (of positive net income flows to the U.S. even as its net international investment position is negative and substantial) and the position puzzle (of a sizeable gap between the reported U.S. net international position and cumulated current account deficits), provide an initial assessment of the literature on the dynamics of returns differentials, and present a framework to guide a forward-looking view of how returns differentials might evolve in the future. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1077/ifdp1077.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365846&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1077/ifdp1077.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AD - Unlisted T1 - Optimal fiscal and monetary policy with occasionally binding zero bound constraints PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-40 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377823; Publication Type: Working Paper; Update Code: 201307 N2 - This paper studies optimal government spending and monetary policy when the nominal interest rate is subject to the zero lower bound constraint in a stochastic New Keynesian economy. I find that the government chooses to increase its spending when at the zero lower bound by a substantially larger amount in the stochastic environment than it would in the deterministic environment. The presence of uncertainty creates a unique time-consistency problem if the steady-state is inefficient. Although access to government spending policy increases welfare in the face of a large deflationary shock, it decreases welfare during normal times as the government reduces the nominal interest rate less aggressively before reaching the zero lower bound L3 - http://www.federalreserve.gov/pubs/feds/2013/201340/201340pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377823&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201340/201340pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaufman, Alex AD - Unlisted T1 - Payday lending regulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-62 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409784; Publication Type: Working Paper; Update Code: 201312 N2 - To date the debate over payday lending has focused on whether access to such lending is on net beneficial or harmful to consumer welfare. However, payday loans are not one product but many, and different forms of lending may have different welfare implications. The current diversity in payday lending stems from the diverse ways in which states have regulated the industry. This paper attempts to quantify the effects that various regulatory approaches have had on lending terms and usage. Using a novel institutional dataset of over 56 million payday loans, covering 26 states for nearly 6 years, I find that price caps tend to be strictly binding, size caps tend to be less binding, and prohibitions on simultaneous borrowing appear to have little effect on the total amount borrowed. Minimum loan terms affect loan length while maximum loan terms do not. Repeat borrowing appears to be negatively related to rollover prohibitions and cooling-off periods, as well as to higher price caps. Several states have used law changes to sharply cut their rate of repeat borrowing. However, this process has been disruptive, leading to lower lending volumes and, in at least one case, higher delinquency. L3 - http://www.federalreserve.gov/pubs/feds/2013/201362/201362pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409784&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201362/201362pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AD - Unlisted T1 - Payday loans and consumer financial health PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-81 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409803; Publication Type: Working Paper; Update Code: 201312 N2 - The annualized interest rate for a payday loan often exceeds 10 times that of a typical credit card, yet this market grew immensely in the 1990s and 2000s, elevating concerns about the risk payday loans pose to consumers and whether payday lenders target minority neighborhoods. This paper employs individual credit record data, and Census data on payday lender store locations, to assess these concerns. Taking advantage of several state law changes since 2006 and, following previous work, within-state-year differences in access arising from proximity to states that allow payday loans, I find little to no effect of payday loans on credit scores, new delinquencies, or the likelihood of overdrawing credit lines. The analysis also indicates that neighborhood racial composition has little influence on payday lender store locations conditional on income, wealth and demographic characteristics. L3 - http://www.federalreserve.gov/pubs/feds/2013/201381/201381pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409803&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201381/201381pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Julio, Brandon AU - Yook, Youngsuk AD - Unlisted AD - Unlisted T1 - Policy uncertainty, irreversibility, and cross-border flows of capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-64 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409786; Publication Type: Working Paper; Update Code: 201312 N2 - We examine the effects of government policy uncertainty on cross-border capital flows. FDI flows from US companies to foreign affiliates drop significantly during the period just before an election. The election effect for FDI is larger than election cycles in domestic investment. The electoral patterns in FDI flows are more pronounced in countries with higher propensities for policy reversals and when election outcomes are more uncertain. Our identification strategy compares variation in different types of capital flows into the same country around the timing of national elections. The electoral cycles are present in relatively irreversible FDI flows but not in foreign portfolio investment flows, suggesting a likely causal link from political uncertainty to and capital flows. L3 - http://www.federalreserve.gov/pubs/feds/2013/201364/201364pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409786&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201364/201364pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tabova, Alexandra AD - Unlisted T1 - Portfolio diversification and the cross-sectional distribution of foreign investment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1091 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409812; Publication Type: Working Paper; Update Code: 201312 N2 - In this paper I explore the role of portfolio diversification in explaining the distribution of foreign investment across countries. I capture the portfolio diversification motive by a measure of country-specific riskiness, "covariance risk", which I construct as how countries' growth rates covary with the stochastic discount factor of a representative international investor. My key new empirical finding is a strong and significant correlation between this new measure of country riskiness and foreign investment allocations. Less risky countries, i.e. countries whose growth rates are more highly correlated with the investor's stochastic discount factor, receive larger investment shares than more risky countries. I interpret this result as evidence that investors do take into account diversification opportunities, not only for portfolio investment decisions, but also for foreign direct investment decisions. My empirical results confirm the theoretical predictions of standard portfolio allocation models. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1091/ifdp1091.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409812&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1091/ifdp1091.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Byrne, David M. AU - Kovak, Brian K. AU - Michaels, Ryan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Price and quality dispersion in an offshoring market: evidence from semiconductor production services PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-06 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357098; Publication Type: Working Paper; Update Code: 201303 N2 - We study cross-country differences in price and quality in the market for semiconductor wafer manufacturing services. Using a proprietary transaction-level data set, we document i) substantial constant-quality price differences across suppliers, and ii) shifts toward lower priced suppliers. Chinese producers on average charged 17% less than leading Taiwanese producers for otherwise identical products and increased their market share by 14.7 percentage points. The extent of cross-country price dispersion is also diminishing over a product's life. A model with costs of switching suppliers is consistent with these pricing dynamics and can sustain realistic quality-adjusted price dispersion. L3 - http://www.federalreserve.gov/pubs/feds/2013/201306/201306pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357098&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201306/201306pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Infante, Sebastian AD - Unlisted T1 - Repo collateral fire sales: the effects of exemption from automatic stay PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-83 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409805; Publication Type: Working Paper; Update Code: 201312 N2 - What are the consequences of a potential fire sale stemming from the exemption of repurchase agreements (repos) from automatic stay? This paper shows that repo's exemption from stay alters firms' financing and investment decisions ex ante. Specifically, a stay exemption changes firms' investment opportunity set, enabling them to purchase assets of defaulted firms at fire sale prices. Fire sales arise endogenously because of limited capital available to purchase collateral posted by insolvent firms, i.e., cash-in-the-market pricing. A fire sale effectively creates a premium for holding on to dry powder and concentrates asset ownership with firms that have preferences to hold highly leveraged positions and risk default. The premium reduces the initial asset price, potentially inducing more firms to take on risky positions, increasing the fraction of defaulting firms in the economy. In contrast, when repo is subject to automatic stay secured lenders do not receive their collateral immediately, reducing the severity of a fire sale and ex ante price distortions. L3 - http://www.federalreserve.gov/pubs/feds/2013/201383/201383pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409805&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201383/201383pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arteta, Carlos AU - Carey, Mark AU - Correa, Ricardo AU - Kotter, Jason AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Revenge of the steamroller: ABCP as a window on risk choices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1076 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365845; Publication Type: Working Paper; Update Code: 201305 N2 - We empirically examine financial institutions' motivations to take systematic bad-tail risk in the form of sponsorship of credit-arbitrage asset-backed commercial paper vehicles. A run on debt issued by such vehicles played a key role in causing and propagating the liquidity crisis that began in the summer of 2007. We find evidence consistent with important roles for both owner-manager agency problems and government-induced distortions, especially government control or ownership of banks. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1076/ifdp1076.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365845&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1076/ifdp1076.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Kadyrzhanova, Dalida AU - Sim, Jae W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Rising intangible capital, shrinking debt capacity, and the US corporate savings glut PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-67 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409789; Publication Type: Working Paper; Update Code: 201312 N2 - This paper explores the hypothesis that the rise in intangible capital is a fundamental driver of the secular trend in US corporate cash holdings over the last decades. Using a new measure, we show that intangible capital is the most important firm-level determinant of corporate cash holdings. Our measure accounts for almost as much of the secular increase in cash since the 1980s as all other determinants together. We then develop a new dynamic model of corporate cash holdings with two types of productive assets, tangible and intangible capital. Since only tangible capital can be pledged as collateral, a shift toward greater reliance on intangible capital shrinks the debt capacity of firms and leads them to optimally hold more cash in order to preserve financial flexibility. In the model, firms with growth options tend to hold more cash in anticipation of (S,s)-type adjustments in physical capital because they want to avoid raising costly external finance. We show that this mechanism is quantitatively important, as our model generates cash holdings that are up to an order of magnitude higher than the standard benchmark and in line with their empirical averages for the last two decades. Overall, our results suggest that technological change has contributed significantly to recent changes in corporate liquidity management. L3 - http://www.federalreserve.gov/pubs/feds/2013/201367/201367pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409789&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201367/201367pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Lel, Ugur AD - Unlisted AD - Unlisted T1 - Say on pay laws, executive compensation, CEO pay slice, and firm value around the world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1084 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395628; Publication Type: Working Paper; Update Code: 201309 N2 - This paper examines the effects of say on pay (SoP) laws on CEO compensation, the portion of top management pay captured by CEOs, and firm valuation. Using a large cross-country sample of about 103,000 firm-year observations from 39 countries, we document that compared to our control group of firms, SoP laws are associated with 1) a lower level of CEO compensation, which partly results from lower CEO compensation growth rates and is related to CEO power, 2) a higher pay for performance sensitivity suggesting that SoP laws have the greatest effects on firms with poor performance, 3) a lower portion of total top management pay awarded to CEOs indicating lower pay inequality among top managers and 4) a higher firm value, which is related to whether the CEO's share of total top management pay was relatively high before the laws are passed. Further, while both mandatory and advisory SoP laws are associated with lower CEO pay levels, only advisory SoP laws tighten the sensitivity of executive pay to firm performance. Collectively, our results document significant changes in executive compensation policies and firm valuation following the passage of SoP laws around the world. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1084/ifdp1084.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395628&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1084/ifdp1084.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tase, Manjola AD - Unlisted T1 - Sectoral allocation, risk efficiency and the Great Moderation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-73 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409795; Publication Type: Working Paper; Update Code: 201312 N2 - This paper argues that the decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified sectoral allocations. Using a portfolio approach, I distinguish between the two determinants of GDP growth volatility: sectoral covariances and sectoral allocations. I use the sectoral growth and covariances to compute the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral allocation as the distance of the economy from the frontier, measured in the (volatility, growth) space. There are three main findings. 1) The frontier has shifted due to a lower sectoral growth rate and a higher sectoral variance. 2) The distance of the economy from the frontier has decreased. The efficiency over the period increased by 1.4 percentage points. This increase occurred along the volatility dimension and it is interpreted as the decline in the growth volatility in the economy, if there were no changes in the sectoral covariances. This efficiency improvement is comparable to the 1.5 percentage points decline in GDP growth volatility in the data after the mid 1980s. 3) The U.S. economy became more diversified across sectors after the early 1980s, shifting away from manufacturing and agriculture towards services. The increase in the share of Finance and Insurance coupled with the doubling of the growth volatility in this sector, might have contributed to the recent increase in GDP growth volatility. L3 - http://www.federalreserve.gov/pubs/feds/2013/201373/201373pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409795&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201373/201373pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Herbst, Edward P. AU - Schorfheide, Frank AD - Unlisted AD - Unlisted T1 - Sequential Monte Carlo sampling for DSGE models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-43 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395614; Publication Type: Working Paper; Update Code: 201309 N2 - We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models, wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using three examples--an artificial state-space model, the Smets and Wouters (2007) model, and Schmitt-Grohe and Uribe's (2012) news shock model--we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely-used random-walk Metropolis-Hastings algorithm. We find that a more diffuse prior for the Smets and Wouters (2007) model improves its marginal data density and that a slight modification of the prior for the news shock model leads to important changes in the posterior inference about the importance of news shocks for fluctuations in hours worked. Unlike standard Markov chain Monte Carlo (MCMC) techniques, the SMC algorithm is well suited for parallel computing. L3 - http://www.federalreserve.gov/pubs/feds/2013/201343/201343pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395614&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201343/201343pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gallin, Joshua AD - Unlisted T1 - Shadow banking and the funding of the nonfinancial sector PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-50 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395620; Publication Type: Working Paper; Update Code: 201309 N2 - I show how to use data from the Flow of Funds Accounts of the United States to estimate how much funding of nonfinancial businesses, households, and governments is provided by the domestic shadow banking system. I define the shadow banking system as the set of entities and activities that provide short-term funding outside of the traditional commercial banking system, but I do not equate all nonbank funding with shadow banking. My results suggest that at the end of 2008, domestic shadow-bank funding of the nonfinancial sector was an important, but fairly modest source of funding relative to that provided by more traditional funding sources such as commercial banks, insurance companies, and pension funds. However, my results suggest that domestic shadow banking played a large role in the increase of nonfinancial-sector debt in the two years before 2008:Q4 and was, at least in an arithmetic sense, the entire reason for the slowdown in nonfinancial-sector debt growth after 2008. Domestic shadow-bank funding of the nonfinancial sector has increased since 2010, but remains well below the level seen right in late 2008. L3 - http://www.federalreserve.gov/pubs/feds/2013/201350/201350pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395620&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201350/201350pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AU - Judson, Ruth A. AD - Unlisted AD - Unlisted T1 - Sticky deposit rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-80 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409802; Publication Type: Working Paper; Update Code: 201312 N2 - We examine the dynamics of eleven different deposit rates for a panel of over 2,500 branches of about 900 depository institutions observed weekly over ten years. We replicate previous work showing that rates are downwards-flexible and upwards-sticky, and show that a simple menu cost model can generate this behavior. The degree of asymmetric rigidity varies substantially by deposit type, bank size, and across branches of the same bank. In the absence of such stickiness, depositors would have received as much as $100 billion more in interest per year during periods when market rates were rising. These results also suggest that deposit rates are likely to lag increases in policy and market rates in future tightening cycles. L3 - http://www.federalreserve.gov/pubs/feds/2013/201380/201380pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409802&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201380/201380pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kurmann, Andre AU - Mertens, Elmar AD - Unlisted AD - Unlisted T1 - Stock prices, news, and economic fluctuations: comment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-08 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357100; Publication Type: Working Paper; Update Code: 201303 N2 - Beaudry and Portier (American Economic Review, 2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed by Beaudry and Portier (2006). L3 - http://www.federalreserve.gov/pubs/feds/2013/201308/201308pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357100&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201308/201308pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covas, Francisco B. AU - Rump, Ben AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-55 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409777; Publication Type: Working Paper; Update Code: 201312 N2 - We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we use a fixed effects quantile autoregressive (FE-QAR) model with exogenous macroeconomic covariates, an approach that delivers a superior out-of-sample forecasting performance compared with the standard linear framework. According to the out-of-sample forecasts, the realized net charge-offs during the 2007-09 crisis are within the multi-step-ahead density forecasts implied by the FE-QAR model, but they are frequently outside the density forecasts generated using the corresponding linear model. This difference reflects the fact that the linear specification substantially underestimates loan losses, especially for real estate loan portfolios. Employing the macroeconomic stress scenario used in CCAR 2012, we use the density forecasts generated by the FE-QAR model to simulate capital shortfalls for a panel of large BHCs. For almost all institutions in the sample, the FE-QAR model generates capital shortfalls that are considerably higher than those implied by its linear counterpart, which suggests that our approach has the potential for detecting emerging vulnerabilities in the financial system. L3 - http://www.federalreserve.gov/pubs/feds/2013/201355/201355pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409777&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201355/201355pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Scotti, Chiara AD - Unlisted T1 - Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1093 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409811; Publication Type: Working Paper; Update Code: 201312 N2 - I construct two real-time, real activity indexes: (i) a surprise index that summarizes recent economic data surprises and measures optimism/pessimism about the state of the economy, and (ii) an uncertainty index that measures uncertainty related to the state of the economy. The indexes, on a given day, are weighted averages of the surprises or squared surprises from a set of macro releases, where the weights depend on the contribution of the associated real activity indicator to a business condition index a la Aruoba, Diebold, and Scotti (2009). I construct indexes for the United States, Euro Area, the United Kingdom, Canada, Japan. I show that the surprise index preserves the properties of the underlying series in affecting asset prices, with the advantage of being a parsimonious summary measure of real-activity surprises. For the United States, I present the real-activity uncertainty index in relation to other proxies commonly used to measure uncertainty and compare their macroeconomic impact. I find evidence that when uncertainty is strictly related to real activity it has a potentially milder impact on economic activity than when it also relates to the financial sector. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1093/ifdp1093.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409811&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1093/ifdp1093.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guvenen, Fatih AU - Kuruscu, Burhanettin AU - Ozkan, Serdar AD - Unlisted AD - Unlisted AD - Unlisted T1 - Taxation of human capital and wage inequality: a cross-country analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-20 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365835; Publication Type: Working Paper; Update Code: 201305 N2 - Wage inequality has been significantly higher in the United States than in continental European countries (CEU) since the 1970s. Moreover, this inequality gap has further widened during this period as the US has experienced a large increase in wage inequality, whereas the CEU has seen only modest changes. This paper studies the role of labor income tax policies for understanding these facts, focusing on male workers. We construct a life cycle model in which individuals decide each period whether to go to school, work, or stay non-employed. Individuals can accumulate skills either in school or while working. Wage inequality arises from differences across individuals in their ability to learn new skills as well as from idiosyncratic shocks. Progressive taxation compresses the (after-tax) wage structure, thereby distorting the incentives to accumulate human capital, in turn reducing the cross-sectional dispersion of (before-tax) wages. Consistent with the model, we empirically document that countries with more progressive labor income tax schedules have (i) significantly lower before-tax wage inequality at different points in time and (ii) experienced a smaller rise in wage inequality since the early 1980s. We then study the calibrated model and find that these policies can account for half of the difference between the US and the CEU in overall wage inequality and 84% of the difference in inequality at the upper end (log 90-50 differential). In a two-country comparison between the US and Germany, the combination of skill-biased technical change and changing progressivity of tax schedules explains all the difference between the evolution of inequality in these two countries since the early 1980s. L3 - http://www.federalreserve.gov/pubs/feds/2013/201320/201320pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365835&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201320/201320pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Epstein, Brendan AU - Nunn, Ryan AD - Unlisted AD - Unlisted T1 - Taxation, match quality and social welfare PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1079 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365848; Publication Type: Working Paper; Update Code: 201305 N2 - A large public finance literature argues that taxable income elasticities are a sufficient statistic for the social welfare consequences of taxation. We develop calibrations that show such deadweight loss calculations are overestimates proportional to the quantitative significance of heterogeneity in amenities across job matches. In particular, the endogenous supply of amenities can substantially exacerbate this overestimation in both static and dynamic environments. Given the possibility of gradual migration of workers into more amenity-focused job matches in response to tax increases, welfare calculations based on long-run taxable income elasticities can be more misleading than those based on short-run elasticities. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1079/ifdp1079.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365848&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1079/ifdp1079.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feldman, Naomi E. AU - Katuscak, Peter AU - Kawano, Laura AD - Unlisted AD - Unlisted AD - Unlisted T1 - Taxpayer confusion over predictable tax liability changes: evidence from the Child Tax Credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-66 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409788; Publication Type: Working Paper; Update Code: 201312 N2 - We develop a model of how taxpayers update beliefs over their tax rates when they encounter a non-salient tax liability change. We test the model's hypotheses using the loss of the Child Tax Credit when a child turns 17. Because this tax liability change is lump-sum and predictable, there should be no reaction in labor income if taxpayers are fully informed. Using this age discontinuity, we find, however, that losing the credit reduces household labor income. This finding suggests that taxpayers misperceive the source of tax liability changes, leading to under-or over-reactions to changes in marginal tax rates. L3 - http://www.federalreserve.gov/pubs/feds/2013/201366/201366pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409788&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201366/201366pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Black, Lamont K. AU - Keeton, William R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The cross-market spillover of economic shocks through multi-market banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-52 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395622; Publication Type: Working Paper; Update Code: 201309 N2 - This paper investigates the mortgage lending of banks operating in multiple U.S. metropolitan areas during the housing market collapse of 2007-2009. Some metro areas in the U.S. suffered much greater mortgage defaults than others. We use this regional variation to identify whether high mortgage delinquencies in some markets affected multi-market banks' mortgage lending in other markets. Our results show that multi-market banks reduced local mortgage lending in response to delinquencies in other markets, consistent with the view that local economic shocks can be transmitted to other regions through banks' internal capital markets. This spillover effect was greatest in peripheral markets where multi-market banks do a small share of their lending. We find that securitized lending may have mitigated the decline in portfolio lending, but the effect on total lending is economically significant. The mechanism of the transmission appears to be through changes in bank capital and new information about the mortgage market. L3 - http://www.federalreserve.gov/pubs/feds/2013/201352/201352pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395622&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201352/201352pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mukoyama, Toshihiko AD - Unlisted T1 - The cyclicality of job-to-job transitions and its implications for aggregate productivity PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1074 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365843; Publication Type: Working Paper; Update Code: 201305 N2 - This paper analyzes the job-to-job transitions of workers in the United States. I propose a new method of correcting the time-aggregation bias. The bias-corrected series from 1996 to 2011 reveals a procyclical pattern of job-to-job transition and a large decline since the beginning of the 2000s. I construct a model of on-the-job search and explore the implications of this phenomenon. The calibrated model shows that the decline in the reallocation of workers through job-to-job transitions has had a substantial effect on total factor productivity (TFP). From 2009 to 2011, the model accounts for about 0.5%-0.7% annual decline in TFP. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1074/ifdp1074.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365843&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1074/ifdp1074.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smith, Christopher L. AD - Unlisted T1 - The dynamics of labor market polarization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-57 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409779; Publication Type: Working Paper; Update Code: 201312 N2 - It has been well documented that the share of the working-age population employed in "middle-skill" occupations has been falling for some time, while the share in lower- and higher-skill jobs has been rising--i.e. "polarization" of the labor market (e.g. Autor 2010). However, the dynamics and related mechanism behind these employment trends are not fully understood; nor is it well understood what happens to workers who are displaced from middle-skill jobs. In this paper, I use data from the matched monthly CPS, the March CPS supplement, and the Displaced Worker Survey to answer two primary questions. First, into what employment states or occupations do unemployed persons who were formerly employed in low-, middle-, or high-skill occupations transition? Second, how have transitions between job types and employment states changed over time, and how have these changes contributed to trends in employment shares by job-type? I find that the decline in the share of workers in middle-skill jobs is due both to a decline in inflows into these jobs (particularly from non-employment and for younger workers) and because of a rise in outflows from these jobs (to non-employment and to other jobs); the increase in the share of workers in lower-skill jobs appears due to an increase in worker transitions from other job types (evident within all demographic groups); and the increase in the share of workers in higher-skill jobs appears due to an increase in worker transitions from other job types and is also somewhat compositional in nature (because there are more college-educated workers). L3 - http://www.federalreserve.gov/pubs/feds/2013/201357/201357pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409779&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201357/201357pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AU - Rohlin, Shawn M. AD - Unlisted AD - Unlisted T1 - The effect of state and local sales taxes on employment at state borders PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-49 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395619; Publication Type: Working Paper; Update Code: 201309 N2 - This paper estimates the effect of sales taxes on employment at state borders using county-level quarterly data and a newly developed data set of local tax rates. Sales tax increases, relative to cross-border neighbors, lead to losses of employment, as well as payroll and hiring, but these effects are only found in counties with large shares of residents working in another state. The effects also represent an upper-bound, largely driven by employment shifting across the state border. We also find that employment in food and beverage stores is negatively affected when cross-border neighbors adopt low sales tax rates on food. L3 - http://www.federalreserve.gov/pubs/feds/2013/201349/201349pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395619&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201349/201349pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Demiralp, Selva AU - Eisenschmidt, Jens AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effectiveness of the non-standard policy measures during the financial crises: the experiences of the Federal Reserve and the European Central Bank PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-34 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377818; Publication Type: Working Paper; Update Code: 201307 N2 - A growing number of studies have sought to measure the effects of non-standard policy on bank funding markets. The purpose of this paper is to carry those estimates a step further by looking at the effects of bank funding market stress on the volume of bank lending, using a simultaneous equation approach. By separately modeling loan supply and demand, we determine how non-standard central bank measures affected bank lending by reducing stress in bank funding markets. We focus on the Federal Reserve and the European Central Bank. Our results suggest that non-standard policy measures lowered bank funding volatility. Lower bank funding volatility in turn increased loan supply in both regions, contributing to sustain lending activity. We consider this as strong evidence for a "bank liquidity risk channel", operative in crisis environments, which complements the usual channels of transmission of monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2013/201334/201334pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377818&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201334/201334pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Raskin, Matthew D. AD - Unlisted T1 - The effects of the Federal Reserve's date-based forward guidance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-37 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377821; Publication Type: Working Paper; Update Code: 201307 N2 - Between August 2011 and December 2012 the Federal Open Market Committee (FOMC) used date-based forward guidance to help stimulate the U.S. economy and promote its objectives of maximum employment and price stability. Some have argued that the formulation of the guidance that the FOMC used may have reduced interest rates primarily by signaling a weak economic outlook rather than by signaling a more accommodative stance of monetary policy. I examine the impact of the date-based guidance, with the principal goal of discerning the extent to which it altered investors' views of the FOMC's policy reaction function. I show that one seemingly straightforward way to address this question--using estimates of the sensitivity of money market futures rates to macroeconomic data surprises--is confounded by the zero lower bound on nominal interest rates, a point that has more general implications for the analysis of the effects of monetary policy at the zero bound. I demonstrate that the problem can be overcome using distributions of investors' short-term interest rate expectations constructed from interest rate options. Using PDFs constructed from these options, along with survey measures of macroeconomic surprises, I find the date-based guidance led to a statistically significant and economically meaningful change in investors' perceptions of the FOMC's reaction function. This finding is robust to various regression specifications and the use of alternative options contracts and PDF fitting methodologies. L3 - http://www.federalreserve.gov/pubs/feds/2013/201337/201337pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377821&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201337/201337pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Ihrig, Jane E. AU - Klee, Elizabeth C. AU - Quinn, Daniel W. AU - Boote, Alexander H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Federal Reserve's balance sheet and earnings: a primer and projections PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-01 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348034; Publication Type: Working Paper; Update Code: 201301 N2 - Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The asset purchases are intended to put downward pressure on longer-term interest rates, but also affect the Federal Reserve's balance sheet and income. We present a framework for projecting Federal Reserve assets and liabilities and income through time. The projections are based on public economic forecasts and announced Federal Open Market Committee policy principles. The projections imply that for the next several years, the Federal Reserve's balance sheet remains large by historical standards, and earnings remain high. Using the FOMC's stated exit strategy principles and the Blue Chip financial forecasts of the federal funds rate, the projections have the Federal Reserve's portfolio beginning to contract in 2015, returning to a more normal size in 2018 or 2019, and returning to a more normal composition a year thereafter. The projections imply that Federal Reserve remittances to the Treasury may decline for a time, and in some cases fall to zero. Once the portfolio is normalized, earnings are projected to return to their long-run trend. On net over the entire period of unconventional monetary policy actions, cumulative earnings are higher than what they might have been without the Federal Reserve asset purchase programs. To illustrate the interest rate sensitivity of the portfolio, we consider scenarios where interest rates are 100 basis points higher or lower than in the baseline. With higher interest rates, earnings tend to fall a bit more and remittances to the Treasury stop for a longer period than in our baseline projections, while with lower interest rates earnings are a bit larger and remittances continue throughout the projection period. . L3 - http://www.federalreserve.gov/pubs/feds/2013/201301/201301pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348034&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201301/201301pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - English, William B. AU - Lopez-Salido, J. David AU - Tetlow, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Federal Reserve's framework for monetary policy--recent changes and new questions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-76 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409798; Publication Type: Working Paper; Update Code: 201312 N2 - In recent years, the Federal Reserve has made substantial changes to its framework for monetary policymaking by providing greater clarity regarding its objectives, its intentions regarding the use of monetary policy--including nontraditional policy tools such as forward guidance and asset purchases--in the pursuit of those objectives, and its broader policy strategy. These changes reflected both a response to changes in economists' understanding of the most effective way to implement monetary policy and a response to specific challenges posed by the financial crisis and its aftermath, particularly the effective lower bound on nominal interest rates. We trace the recent evolution of the Federal Reserve's framework, and use a small-scale macro model and a simple static model to help illuminate the approaches taken with nontraditional monetary policy tools. A number of foreign central banks have made similar innovations in response to similar developments. On balance, the Federal Reserve has moved closer to "flexible inflation targeting," but the Federal Reserve's approach includes a balanced focus on two objectives and the use of a flexible horizon over which policy aims to foster those objectives. Going forward, further changes in central banks' frameworks may be needed to address issues raised by the financial crisis. For example, some have suggested that the sustained period at the effective lower bound points to the need for central banks to establish a different policy objective, such as a higher inflation target or a nominal income target. We use our small-scale model of the U.S. economy to examine the potential benefits and costs of such changes. We also discuss the broad issue of how central banks should integrate financial stability policy and monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2013/201376/201376pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409798&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201376/201376pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elliott, Douglas J. AU - Feldberg, Greg AU - Lehnert, Andreas AD - Unlisted AD - Unlisted AD - Unlisted T1 - The history of cyclical macroprudential policy in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-29 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377813; Publication Type: Working Paper; Update Code: 201307 N2 - Since the financial crisis of 2007-2009, policymakers have debated the need for a new toolkit of cyclical "macroprudential" policies to constrain the build-up of risks in financial markets, for example, by dampening credit-fueled asset bubbles. These discussions tend to ignore America's long and varied history with many of the instruments under consideration to smooth the credit cycle, presumably because of their sparse usage in the last three decades. We provide the first comprehensive survey and historic narrative of these efforts. The tools whose background and use we describe include underwriting standards, reserve requirements, deposit rate ceilings, credit growth limits, supervisory pressure, and other financial regulatory policy actions. The contemporary debates over these tools highlighted a variety of concerns, including "speculation," undesirable rates of inflation, and high levels of consumer spending, among others. Ongoing statistical work suggests that macroprudential tightening lowers consumer debt but macroprudential easing does not increase it. L3 - http://www.federalreserve.gov/pubs/feds/2013/201329/201329pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377813&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201329/201329pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted T1 - The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-56 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409778; Publication Type: Working Paper; Update Code: 201312 N2 - Estimating the effect of Federal Reserve's announcements of Large-Scale Asset Purchase (LSAP) programs on corporate credit risk is complicated by the simultaneity of policy decisions and movements in prices of risky financial assets, as well as by the fact that both interest rates of assets targeted by the programs and indicators of credit risk reacted to other common shocks during the recent financial crisis. This paper employs a heteroskedasticity-based approach to estimate the structural coefficient measuring the sensitivity of market-based indicators of corporate credit risk to declines in the benchmark market interest rates prompted by the LSAP announcements. The results indicate that the LSAP announcements led to a significant reduction in the cost of insuring against default risk--as measured by the CDX indexes--for both investment- and speculative-grade corporate credits. While the unconventional policy measures employed by the Federal Reserve to stimulate the economy have substantially lowered the overall level of credit risk in the economy, the LSAP announcements appear to have had no measurable effect on credit risk in the financial intermediary sector. L3 - http://www.federalreserve.gov/pubs/feds/2013/201356/201356pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409778&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201356/201356pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grishchenko, Olesya V. AU - Vanden, Joel M. AU - Zhang, Jianing AD - Unlisted AD - Unlisted AD - Unlisted T1 - The informational content of the embedded deflation option in TIPS PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-24 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365839; Publication Type: Working Paper; Update Code: 201305 N2 - In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In almost all of our regressions, the embedded option return index is significant even in the presence of traditional inflation variables, such as lagged inflation, the return on gold, the return on crude oil, the VIX index return, and the yield spread between nominal Treasuries and TIPS.We conduct several robustness tests, including alternative weighting schemes, alternative variable specifications, and alternative control variables. We conclude that the embedded option in TIPS contains useful information for future inflation, both in-sample and out-of-sample. Our results should be valuable to anyone who is interested in assessing inflationary expectations. L3 - http://www.federalreserve.gov/pubs/feds/2013/201324/201324pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365839&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201324/201324pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AU - Nekarda, Christopher J. AD - Unlisted AD - Unlisted T1 - The ins and outs of forecasting unemployment: Using labor force flows to forecast the labor market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-19 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365834; Publication Type: Working Paper; Update Code: 201305 N2 - This paper presents a forecasting model of unemployment based on labor force flows data that, in real time, dramatically outperforms the Survey of Professional Forecasters, historical forecasts from the Federal Reserve Board's Greenbook, and basic time-series models. Our model's forecast has a root-mean-squared error about 30 percent below that of the next-best forecast in the near term and performs especially well surrounding large recessions and cyclical turning points. Further, because our model uses information on labor force flows that is likely not incorporated by other forecasts, a combined forecast including our model's forecast and the SPF forecast yields an improvement over the latter alone of about 35 percent for current-quarter forecasts, and 15 percent for next-quarter forecasts, as well as improvements at longer horizons. L3 - http://www.federalreserve.gov/pubs/feds/2013/201319/201319pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365834&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201319/201319pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Paciorek, Andrew D. AD - Unlisted T1 - The long and the short of household formation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-26 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1377810; Publication Type: Working Paper; Update Code: 201307 N2 - One of the drivers of housing demand is the rate of new household formation, which has been well below trend in recent years, leading to persistent weakness in the housing market. This paper studies the determinants of household formation in the United States, including demographic and behavioral changes, and how they evolve over the long and short runs. There are three main findings: First, because older adults tend to live in smaller households, the aging of the U.S. population over the past 30 years has reduced the average household size, or equivalently, pushed up the headship rate and household formation. Second, after stripping out the effects of the aging population, the residual behavioral component of the headship rate has declined over time, thanks largely to rising housing costs. This shift has reduced household formation, all else equal. Finally, the short-run dynamics of headship and household formation reflect the effects of the business cycle. In particular, I find that poor labor market outcomes have played an important role in depressing the headship rate in recent years. Consequently, household formation could increase substantially as the labor market recovers and the headship rate returns to trend. L3 - http://www.federalreserve.gov/pubs/feds/2013/201326/201326pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1377810&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201326/201326pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guvenen, Fatih AU - Ozkan, Serdar AU - Song, Jae AD - Unlisted AD - Unlisted AD - Unlisted T1 - The nature of countercyclical income risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-25 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365840; Publication Type: Working Paper; Update Code: 201305 N2 - This paper studies the nature of business cycle variation in individual earnings risk using a dataset from the U.S. Social Security Administration, which contains (uncapped) earnings histories for millions of anonymous individuals. The base sample is a nationally representative panel containing 10 percent of all U.S. males from 1978 to 2010. We use these data to decompose individual earnings growth during recessions into "between-group" and "within-group" components. We begin with the behavior of within-group shocks. Contrary to past research, we do not find the variance of idiosyncratic earnings shocks to be countercyclical. Instead, it is the left-skewness of shocks that is strongly countercyclical. That is, during recessions, the upper end of the shock distribution collapses--large upward earnings movements become less likely--whereas the bottom end expands--large drops in earnings become more likely. Thus, while the dispersion of shocks does not increase, shocks become more left skewed and, hence, riskier during recessions. Second, to study between-group differences, we group individuals based on several observable characteristics at the time a recession hits. One of these characteristics--the average earnings of an individual at the beginning of a business cycle episode--proves to be an especially good predictor of fortunes during a recession: prime-age workers that enter a recession with high average earnings suffer substantially less compared with those who enter with low average earnings (such "asymmetry" is not evident in expansions). Finally, we find that the cyclical nature of earnings risk is dramatically different for the top 1 percent compared with all other individuals--even relative to those in the top 2 to 5 percent. L3 - http://www.federalreserve.gov/pubs/feds/2013/201325/201325pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365840&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201325/201325pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - The response of equity prices to movements in long-term interest rates associated with monetary policy statements: before and after the zero lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-15 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365830; Publication Type: Working Paper; Update Code: 201305 N2 - Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. We propose a strategy to identify the comovement between interest rate and equity price movements induced by monetary policy when an observable representing policy changes, such as changes in the interbank rate, is not available. A decline in long-term interest rates induced by monetary policy statements prior to 2009 is accompanied by a 6 to 9 percent increase in equity prices. This association is substantially attenuated in the period since the zero-lower bound has been binding--with a policy-induced 100 basis-point decline in 10-year Treasury yields associated with a 1 1/2 to 3 percent increase in equity prices. Empirical analysis suggests this attenuation does not represent a change in responses to monetary-policy induced movements in interest rates, but reflects the importance of both short- and long-term interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2013/201315/201315pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365830&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201315/201315pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont AU - Correa, Ricardo AU - Huang, Xin AU - Zhou, Hao AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The systemic risk of European banks during the financial and sovereign debt crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1083 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395627; Publication Type: Working Paper; Update Code: 201309 N2 - We propose a hypothetical distress insurance premium (DIP) as a measure of the European banking systemic risk, which integrates the characteristics of bank size, default probability, and interconnectedness. Based on this measure, the systemic risk of European banks reached its height in late 2011 around 500 billion euro. We find that the sovereign default spread is the factor driving this heightened risk in the banking sector during the European debt crisis. The methodology can also be used to identify the individual contributions of over 50 major European banks to the systemic risk measure. This approach captures the large contribution of a number of systemically important European banks, but Italian and Spanish banks as a group have notably increased their systemic importance. We also find that bank-specific fundamentals predict the one-year-ahead systemic risk contribution of our sample of banks in an economically meaningful way. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1083/ifdp1083.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395627&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1083/ifdp1083.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Garnier, Christine AU - Mertens, Elmar AU - Nelson, Edward AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trend inflation in advanced economies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-74 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409796; Publication Type: Working Paper; Update Code: 201312 N2 - We derive estimates of trend inflation for fourteen advanced economies from a framework in which trend shocks exhibit stochastic volatility. The estimated specification allows for time-variation in the degree to which longer-term inflation expectations are well anchored in each economy. Our results bring out the effect of changes in monetary regime (such as the adoption of inflation targeting in several countries) on the behavior of trend inflation. Our estimates expand on the previous literature in several dimensions: For each country, we employ a multivariate approach that pools different inflation series in order to identify their common trend. In addition, our estimates of the inflation gap--defined as the difference between trend and observed inflation--are allowed to exhibit considerable persistence. Consequently, the fluctuations in estimates of trend inflation are much lower than those reported in studies that use stochastic volatility models in which inflation gaps are serially uncorrelated. This specification also makes our estimates less sensitive than trend estimates in the literature to the effect of distortions to inflation arising from non-market influences on prices, such as tax changes. A forecast evaluation based on pseudo-real-time estimates documents improvements in inflation forecasts, even though it remains hard to outperform simple random walk forecasts to a statistically significant degree. L3 - http://www.federalreserve.gov/pubs/feds/2013/201374/201374pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409796&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201374/201374pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AD - Unlisted T1 - Uncertainty at the zero lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-09 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357101; Publication Type: Working Paper; Update Code: 201303 N2 - This paper examines how the presence of uncertainty alters allocations and prices when the nominal interest rate is constrained by the zero lower bound. I conduct the analysis using a standard New Keynesian model in which the nominal interest rate is determined according to a truncated Taylor rule. I find that an increase in the variance of shocks to the discount factor process reduces consumption, inflation, and output by a substantially larger amount when the zero lower bound is binding than when it is not. Due to the zero lower bound constraint, policy functions for the real interest rates and the marginal costs of production are highly convex and concave, respectively. As a result, a mean-preserving spread in the shock distribution increases the expectation of future real interest rates and decreases the expectation of future real marginal costs, which lead forward-looking households and firms to reduce consumption and set lower prices today. The more flexible prices are, the larger the effects of uncertainty are at the zero lower bound. L3 - http://www.federalreserve.gov/pubs/feds/2013/201309/201309pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357101&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201309/201309pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - He, Zhiguo AU - Li, Si AU - Wei, Bin AU - Yu, Jianfeng AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Uncertainty, risk, and incentives: theory and evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-18 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1365833; Publication Type: Working Paper; Update Code: 201305 N2 - Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this "learning-by-doing" effect generates a positive relation between profitability uncertainty and incentives. We document empirical support for this prediction. L3 - http://www.federalreserve.gov/pubs/feds/2013/201318/201318pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1365833&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201318/201318pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin S. AU - Trabandt, Mathias AD - Unlisted AD - Unlisted AD - Unlisted T1 - Unemployment and business cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1089 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409808; Publication Type: Working Paper; Update Code: 201312 N2 - We develop and estimate a general equilibrium model that accounts for key business cycle properties of macroeconomic aggregates, including labor market variables. In sharp contrast to leading New Keynesian models, wages are not subject to exogenous nominal rigidities. Instead we derive wage inertia from our specification of how firms and workers interact when negotiating wages. Our model outperforms the standard Diamond-Mortensen-Pissarides model both statistically and in terms of the plausibility of the estimated structural parameter values. Our model also outperforms an estimated sticky wage model. L3 - http://www.federalreserve.gov/pubs/ifdp/2013/1089/ifdp1089.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409808&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2013/1089/ifdp1089.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Park, Yang-Ho AD - Unlisted T1 - Volatility of volatility and tail risk premiums PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-54 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1395624; Publication Type: Working Paper; Update Code: 201309 N2 - This paper reports on tail risk premiums in two tail risk hedging strategies: the S&P 500 puts and the VIX calls. As a new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a cross section of the VIX options, which we call the VVIX index. The tail risk measured by the VVIX index has forecasting power for future tail risk hedge returns. Specifically, consistent with the literature on rare disasters, an increase in the VVIX index raises the current prices of tail risk hedges and thus lowers their subsequent returns over the next three to four weeks. Furthermore, we find that volatility of volatility risk and its associated risk premium both significantly contribute to the forecasting power of the VVIX index, and that the predictability largely results from the integrated volatility of volatility rather than volatility jumps. L3 - http://www.federalreserve.gov/pubs/feds/2013/201354/201354pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1395624&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201354/201354pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ochoa, Marcelo AD - Unlisted T1 - Volatility, labor heterogeneity and asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-71 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409793; Publication Type: Working Paper; Update Code: 201312 N2 - This paper shows that a firm's reliance on skilled labor is an underlying determinant of its exposure to aggregate volatility risk. I present a model in which firms make hiring and firing decisions in an environment of time-varying aggregate volatility, and face linear adjustment costs that increase with the skill of a worker. In the model, an increase in aggregate volatility slows a firm's labor demand reaction to changes in economic conditions, reducing its ability to smooth cash flows. The rise in aggregate volatility has a more pronounced impact on firms with a high share of skilled labor because their labor is more costly to adjust. Therefore, the compensation for volatility risk and its contribution to risk compensation increases with a firm's reliance on skilled labor. I empirically test the implications of the model using occupational estimates to construct a measure of a firm's reliance on skilled labor, and find a positive and statistically significant cross-sectional relation between the reliance on skilled labor and expected returns. In times of high aggregate volatility, firms with a high share of skilled workers earn an annual return of 2.7% above those with a high share of unskilled workers. This spread reduces by one third in times when volatility is back to normal. L3 - http://www.federalreserve.gov/pubs/feds/2013/201371/201371pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409793&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201371/201371pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakata, Taisuke AD - Unlisted T1 - Welfare costs of shifting trend inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-12 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1357104; Publication Type: Working Paper; Update Code: 201303 N2 - This paper studies the welfare consequences of exogenous variations in trend inflation in a New Keynesian economy. Consumption and leisure respond asymmetrically to a rise and a decline in trend inflation. As a result, an increase in the variance of shocks to the trend inflation process decreases welfare not only by increasing the volatilities of consumption and leisure, but also by decreasing their average levels. I find that the welfare cost of drifting trend inflation is modest and that it comes mainly from reduced average levels of consumption and leisure, not from their increased volatilities. L3 - http://www.federalreserve.gov/pubs/feds/2013/201312/201312pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1357104&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201312/201312pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chauvet, Marcelle AU - Senyuz, Zeynep AU - Yoldas, Emre AD - Unlisted AD - Unlisted AD - Unlisted T1 - What does financial volatility tell us about macroeconomic fluctuations? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-61 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409782; Publication Type: Working Paper; Update Code: 201312 N2 - This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of stock and bond market volatility from daily returns and model volatility as composed of a long-run component that is common across all series, and a set of idiosyncratic short-run components. Based on powerful in-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly improve short-term forecasts of conventional financial indicators. A real-time out of sample assessment yields a similar conclusion under the assumption of noisy revisions in macroeconomic data. In a non-linear extension of the dynamic factor model for volatility series, we identify three regimes that describe the joint volatility dynamics: low, intermediate and high-volatility. We also find that the non-linear model performs remarkably well in tracking the Great Recession of 2007-2009 in real-time. L3 - http://www.federalreserve.gov/pubs/feds/2013/201361/201361pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409782&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201361/201361pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ouimet, Paige AU - Zarutskie, Rebecca AD - Unlisted AD - Unlisted T1 - Who works for startups? The relation between firm age, employee age, and growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-75 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409797; Publication Type: Working Paper; Update Code: 201312 N2 - Young firms disproportionately employ young workers, controlling for firm size, industry, geography and time. The same positive correlation between young firms and young employees holds when we look just at new hires. On average, young employees in young firms earn higher wages than young employees in older firms. Further, young employees disproportionately join young firms with greater innovation potential and that exhibit higher growth, conditional on survival. These facts are consistent with the argument that the skills, risk tolerance, and career dynamics of young workers are contributing factors to their disproportionate share of employment in young firms. Finally, we show that an increase in the regional supply of young workers is positively related to the rate of new firm creation, especially in high tech industries, suggesting a causal link between the supply of young workers and new firm creation. L3 - http://www.federalreserve.gov/pubs/feds/2013/201375/201375pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409797&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201375/201375pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheiner, Louise AD - Unlisted T1 - Why the geographic variation in health care spending can't tell us much about the efficiency or quality of our health care system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-04 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348037; Publication Type: Working Paper; Update Code: 201301 N2 - This paper examines the geographic variation in Medicare and non-Medicare health spending and finds little support for the view that most of the variation is attributable to differences in practice styles. Instead, I find that socioeconomic factors that affect the need for medical care, as well as interactions between the Medicare system, Medicaid, and private health spending, can account for most of the variation in Medicare spending. Furthermore, I find that the health spending of the non-Medicare population is not well correlated with Medicare spending, suggesting that Medicare spending is not a good proxy for average health spending by state. Finally, there is a negative correlation between the level and growth of Medicare spending: Low-spending states are not low-growth states and are thus unlikely to provide the key to curbing excess cost growth in Medicare.; The paper also explores the econometric differences between controlling for health attributes at the state level vs the individual level. I show that a state-level approach is better at controlling for health attributes and argue that this econometric difference likely explains most of the difference between my results and those of the Dartmouth group.; More broadly, the paper shows that the geographic variation in health spending does not provide a useful measure of the inefficiencies of our health system. States where Medicare spending is high are very different in multiple dimensions from states where Medicare spending is low, and thus it is difficult to isolate the effects of differences in health spending intensity from the effects of the differences in the underlying state characteristics. I show, for example, that the relationships between health spending, physician composition and quality are likely the result of omitted factors rather than the result of causal relationships. L3 - http://www.federalreserve.gov/pubs/feds/2013/201304/201304pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348037&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201304/201304pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huther, Jeff W. AU - Seligman, Jason S. AD - Unlisted AD - Unlisted T1 - Yield curve impacts of forward guidance and maturity extension programs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2013-72 Y1 - 2013/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1409794; Publication Type: Working Paper; Update Code: 201312 N2 - In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market participants with date-specific assurances that overnight interest rates would not rise. We investigate how these two policies, which had conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales on the volume and composition of inventories of the Federal Reserve's counterparties, and examine how announcements of accommodative monetary policy affected spreads and prices across maturities. Our results suggest that these two reserve-neutral policies affected interest rates both within and beyond the stated policy periods. The finding that Federal Reserve's sales, conducted during periods of date-based forward guidance, were associated with higher interest rates suggests that the policy effects were not limited to the anticipated path of federal funds rates. We also find that the accumulation of Treasury securities by Federal Reserve counterparties was consistent with the idea that those dealers responded opportunistically to the forward guidance on rates. L3 - http://www.federalreserve.gov/pubs/feds/2013/201372/201372pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1409794&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2013/201372/201372pap.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Avery, Robert B. AU - Brevoort, Kenneth P. AU - Canner, Glenn T1 - Does Credit Scoring Produce a Disparate Impact? JO - Real Estate Economics JF - Real Estate Economics Y1 - 2012/12/02/Winter2012 Supplement VL - 40 M3 - Article SP - S65 EP - S114 PB - Wiley-Blackwell SN - 10808620 AB - The widespread use of credit scoring in the underwriting and pricing of mortgage and consumer credit has raised concerns that the use of these scores may unfairly disadvantage minority populations. A specific concern has been that the independent variables that comprise these models may have a disparate impact on these demographic groups. By 'disparate impact' we mean that a variable's predictive power might arise not from its ability to predict future performance within any demographic group, but rather from acting as a surrogate for group membership. Using a unique source of data that combines a nationally representative sample of credit bureau records with demographic information from the Social Security Administration and a demographic information company, we examine the extent to which credit history scores may have such a disparate impact. Our examination yields no evidence of disparate impact by race (or ethnicity) or gender. However, we do find evidence of some limited disparate impact by age, in which the use of variables related to an individual's length of credit history appear to lower the credit scores of older individuals and increase them for the young. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT scoring systems KW - CREDIT ratings KW - SOCIAL security taxes KW - INSTALLMENT loans KW - PERSONAL finance KW - CONSUMER credit N1 - Accession Number: 84488376; Avery, Robert B. 1; Email Address: ravery@frb.gov; Brevoort, Kenneth P. 2; Email Address: brevoort@frb.gov; Canner, Glenn 1; Email Address: gcanner@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551 or .; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551 or kenneth.p..; Issue Info: Winter2012 Supplement, Vol. 40, pS65; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: CREDIT ratings; Thesaurus Term: SOCIAL security taxes; Thesaurus Term: INSTALLMENT loans; Thesaurus Term: PERSONAL finance; Thesaurus Term: CONSUMER credit; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 50p; Illustrations: 9 Charts, 2 Graphs; Document Type: Article L3 - 10.1111/j.1540-6229.2012.00348.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=84488376&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Covas, Francisco AU - Den Haan, Wouter J. T1 - The Role of Debt and Equity Finance Over the Business Cycle* The Role of Debt and Equity Finance Over the Business Cycle. JO - Economic Journal JF - Economic Journal Y1 - 2012/12// VL - 122 IS - 565 M3 - Article SP - 1262 EP - 1286 PB - Wiley-Blackwell SN - 00130133 AB - If equity issuance is introduced into the costly state verification framework and the friction firms face in raising equity is acyclical, then the model cannot simultaneously generate procyclical equity issuance and a countercyclical default rate. This requires a countercyclical equity issuance friction. With a countercyclical friction, the model can also overturn an undesirable feature of the standard debt-only model: dampening of shocks. To quantitatively match observed patterns, the friction in the cost of raising equity has to vary a lot more over the business cycle than can be justified by estimates of cyclical changes in direct equity issuance costs. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Journal is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - DEBT KW - BUSINESS enterprises -- Finance KW - BUSINESS conditions KW - BANKRUPTCY KW - FINANCE KW - ECONOMIC policy KW - EQUITY KW - ECONOMIC aspects KW - UNITED States N1 - Accession Number: 83350040; Covas, Francisco 1; Den Haan, Wouter J. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: London School of Economics and Political Science and CEPR; Issue Info: Dec2012, Vol. 122 Issue 565, p1262; Thesaurus Term: BUSINESS cycles; Thesaurus Term: DEBT; Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: BUSINESS conditions; Thesaurus Term: BANKRUPTCY; Thesaurus Term: FINANCE; Thesaurus Term: ECONOMIC policy; Subject Term: EQUITY; Subject Term: ECONOMIC aspects; Subject: UNITED States; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 25p; Illustrations: 2 Charts, 4 Graphs; Document Type: Article L3 - 10.1111/j.1468-0297.2012.02528.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83350040&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Herbst, Edward AU - Schorfheide, Frank T1 - Evaluating DSGE model forecasts of comovements JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2012/12// VL - 171 IS - 2 M3 - Article SP - 152 EP - 166 SN - 03044076 AB - Abstract: This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root-mean-squared errors and event probabilities associated with these forecasts. The checks are implemented on a three-equation DSGE model as well as the Smets and Wouters (2007) model using real-time data. We find that the additional features incorporated into the Smets–Wouters model do not lead to a uniform improvement in the quality of density forecasts and prediction of comovements of output, inflation, and interest rates. [Copyright &y& Elsevier] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MATHEMATICAL models KW - MULTIVARIATE analysis KW - DATA analysis KW - INFLATION (Finance) KW - INTEREST rates KW - PREDICTION (Logic) KW - VARIABLES (Mathematics) KW - Bayesian methods KW - C11 KW - DSGE models KW - E27 KW - Forecast evaluation KW - Macroeconomic forecasting N1 - Accession Number: 82599378; Herbst, Edward 1; Email Address: edward.p.herbst@frb.gov; Schorfheide, Frank 2; Email Address: schorf@ssc.upenn.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, DC 20551, United States; 2: Department of Economics, 3718 Locust Walk, University of Pennsylvania, Philadelphia, PA 19104-6297, United States; Issue Info: Dec2012, Vol. 171 Issue 2, p152; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: DATA analysis; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INTEREST rates; Subject Term: PREDICTION (Logic); Subject Term: VARIABLES (Mathematics); Author-Supplied Keyword: Bayesian methods; Author-Supplied Keyword: C11; Author-Supplied Keyword: DSGE models; Author-Supplied Keyword: E27; Author-Supplied Keyword: Forecast evaluation; Author-Supplied Keyword: Macroeconomic forecasting; Number of Pages: 15p; Document Type: Article L3 - 10.1016/j.jeconom.2012.06.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=82599378&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mertens, Elmar T1 - Are spectral estimators useful for long-run restrictions in SVARs? JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2012/12// VL - 36 IS - 12 M3 - Article SP - 1831 EP - 1844 SN - 01651889 AB - Abstract: No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer from small sample and misspecification biases just as VARs do. As a novelty, this paper uses a spectral factorization to ensure a correct representation of the data''s variance. But this cannot overcome the basic small sample issues, which arise when trying to estimate long-run properties from relatively short samples of time-series data. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PARAMETER estimation KW - TIME series analysis KW - VALUE-added resellers KW - ANALYSIS of variance KW - DATA analysis KW - FACTORIZATION (Mathematics) KW - Long-run identification KW - Non-parametric estimation KW - Spectral factorization KW - Structural VAR N1 - Accession Number: 79957186; Mertens, Elmar 1; Email Address: elmar.mertens@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; Issue Info: Dec2012, Vol. 36 Issue 12, p1831; Thesaurus Term: PARAMETER estimation; Thesaurus Term: TIME series analysis; Thesaurus Term: VALUE-added resellers; Thesaurus Term: ANALYSIS of variance; Thesaurus Term: DATA analysis; Subject Term: FACTORIZATION (Mathematics); Author-Supplied Keyword: Long-run identification; Author-Supplied Keyword: Non-parametric estimation; Author-Supplied Keyword: Spectral factorization; Author-Supplied Keyword: Structural VAR; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jedc.2012.06.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79957186&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GRUBER, JOSEPH W. AU - KAMIN, STEVEN B. T1 - Fiscal Positions and Government Bond Yields in OECD Countries. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2012/12// VL - 44 IS - 8 M3 - Article SP - 1563 EP - 1587 PB - Wiley-Blackwell SN - 00222879 AB - We examine the effect of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the Organisation for Economic Co-operation and Development (OECD). To control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal positions on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions adds about 60 basis points to U.S. bond yields by 2015, with effects on other G-7 bond yields generally being smaller. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT securities -- Rate of return KW - ENDOGENEITY (Econometrics) KW - BUSINESS cycles KW - FISCAL policy KW - PUBLIC debts KW - INTEREST rates KW - GOVERNMENT securities KW - GROUP of Seven countries KW - OECD countries KW - UNITED States KW - E43 KW - E62 KW - fiscal balances KW - fiscal policy KW - government debt KW - interest rates N1 - Accession Number: 83710660; GRUBER, JOSEPH W. 1; Email Address: joseph.w.gruber@frb.gov; KAMIN, STEVEN B. 1; Email Address: joseph.w.gruber@frb.gov; Affiliations: 1: JosephW. Gruber is Chief of the Trade & Quantitative Studies Section at the Board of Governors of the Federal Reserve System (E-mail: ). Steven B. Kamin is a Deputy Director of the International Finance Division at the Board of Governors of the Federal Reserve System (E-mail: ).; Issue Info: Dec2012, Vol. 44 Issue 8, p1563; Thesaurus Term: GOVERNMENT securities -- Rate of return; Thesaurus Term: ENDOGENEITY (Econometrics); Thesaurus Term: BUSINESS cycles; Thesaurus Term: FISCAL policy; Thesaurus Term: PUBLIC debts; Thesaurus Term: INTEREST rates; Thesaurus Term: GOVERNMENT securities; Subject Term: GROUP of Seven countries; Subject: OECD countries; Subject: UNITED States; Author-Supplied Keyword: E43; Author-Supplied Keyword: E62; Author-Supplied Keyword: fiscal balances; Author-Supplied Keyword: fiscal policy; Author-Supplied Keyword: government debt; Author-Supplied Keyword: interest rates; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 25p; Illustrations: 1 Color Photograph, 9 Charts, 7 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2012.00544.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83710660&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - De Veirman, Emmanuel AU - Levin, Andrew T. T1 - When did firms become more different? Time-varying firm-specific volatility in Japan JO - Journal of the Japanese & International Economies JF - Journal of the Japanese & International Economies Y1 - 2012/12// VL - 26 IS - 4 M3 - Article SP - 578 EP - 601 SN - 08891583 AB - Abstract: We document how firm-specific volatility in sales, earnings and employment growth evolved year by year in Japan. Our volatility measure also indicates the evolution of firm turnover. We find that patterns in firm-specific volatility have changed when macroeconomic circumstances have. Firm turnover declined during the economic stagnation of 1991–1997. The deep downturn of fiscal years 1998–2002 coincided with a substantial increase in turnover in market, profit and employment shares. Firm volatility tended to decline during the recovery after 2002. We assess whether the rise in firm turnover and deep downturn in 1998–2002 indicate that after a period of stagnation, weak firms were finally allowed to shrink or fail. Our evidence suggests that the widening in the firm growth distribution at that time did not reflect weak firms shrinking relative to healthy firms, indicating that the two recessions in 1998–2002 were not “cleansing”. [Copyright &y& Elsevier] AB - Copyright of Journal of the Japanese & International Economies is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises KW - VOLATILITY (Finance) KW - EMPLOYMENT (Economic theory) KW - MACROECONOMICS KW - STAGNATION (Economics) KW - RECESSIONS KW - TURNOVER (Business) KW - STOCKS (Finance) KW - JAPAN KW - Cleansing recessions KW - Firm health KW - Firm volatility KW - Zombie lending N1 - Accession Number: 83315002; De Veirman, Emmanuel 1; Email Address: Manu.Veirman@dnb.nl; Levin, Andrew T. 2,3; Email Address: Andrew.Levin@frb.gov; Affiliations: 1: De Nederlandsche Bank, P.O. Box 98, 1000 AB Amsterdam, The Netherlands; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington DC 20551, United States; 3: International Monetary Fund, 700 19th Street NW, Washington DC 20431, United States; Issue Info: Dec2012, Vol. 26 Issue 4, p578; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: MACROECONOMICS; Thesaurus Term: STAGNATION (Economics); Thesaurus Term: RECESSIONS; Thesaurus Term: TURNOVER (Business); Thesaurus Term: STOCKS (Finance); Subject: JAPAN; Author-Supplied Keyword: Cleansing recessions; Author-Supplied Keyword: Firm health; Author-Supplied Keyword: Firm volatility; Author-Supplied Keyword: Zombie lending; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.jjie.2012.09.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83315002&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Moore, Kevin B. T1 - EFFECTIVE TAX RATES AND MEASURES OF BUSINESS SIZE. JO - National Tax Journal JF - National Tax Journal Y1 - 2012/12// VL - 65 IS - 4 M3 - Article SP - 841 EP - 862 PB - National Tax Association SN - 00280283 AB - This paper uses data from the Survey of Consumer Finances (SCF) and the NBER TAXSIM model to estimate marginal and average tax rates for households that own businesses that are pass-thru entities. We examine how marginal and average tax rates vary by the size of business using four different measures of the size: net income, gross receipts, business value, and number of employees. The analysis also uses the long-time series of SCF cross-sections to examine how tax rates for business owners have evolved over the various changes in tax policy of the last two decades. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAX rates & tables KW - BUSINESS enterprises KW - TAXATION KW - CUSTOMER satisfaction KW - businesses KW - tax policy KW - tax rates KW - NATIONAL Bureau of Economic Research N1 - Accession Number: 83766395; Moore, Kevin B. 1; Email Address: kevin.b.moore@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA.; Issue Info: Dec2012, Vol. 65 Issue 4, p841; Thesaurus Term: TAX rates & tables; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: TAXATION; Thesaurus Term: CUSTOMER satisfaction; Author-Supplied Keyword: businesses; Author-Supplied Keyword: tax policy; Author-Supplied Keyword: tax rates ; Company/Entity: NATIONAL Bureau of Economic Research; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 22p; Illustrations: 11 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83766395&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haltmaier, Jane T1 - Do Recessions Affect Potential Output? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/12// IS - 1066/1071 M3 - Article SP - 1 EP - 30 AB - A number of previous studies have looked at the effect of financial crises on actual output several years beyond the crisis. The purpose of this paper is to examine whether the growth of potential output also is affected by recessions, whether or not they include financial crises. Trend per capita output growth is calculated using HP filters, and average growth is compared for the two years preceding a recession, the two years immediately following a recession peak, and the two years after that. Panel regressions are run to determine whether characteristics of recessions, including depth, length, extent to which they are synchronized across countries, and whether or not they include a financial crisis, can explain the cumulative four-year loss in the level of potential output following an output peak preceding a recession. The main result is that the depth of a recession has a significant effect on the loss of potential for advanced countries, while the length is important for emerging markets. These results imply that the Great Recession might have resulted in declines in trend output growth averaging about 3 percent for the advanced economies, but appear to have had little effect on emerging market trend growth. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS KW - FINANCIAL crises KW - PRODUCTION (Economic theory) KW - REGRESSION analysis KW - GROWTH KW - SYNCHRONIZATION KW - cycles KW - growth KW - potential N1 - Accession Number: 90403062; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Senior Adviser, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Dec2012, Issue 1066/1071, preceding p1; Thesaurus Term: RECESSIONS; Thesaurus Term: FINANCIAL crises; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: REGRESSION analysis; Subject Term: GROWTH; Subject Term: SYNCHRONIZATION; Author-Supplied Keyword: cycles; Author-Supplied Keyword: growth; Author-Supplied Keyword: potential; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90403062&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fang Cai AU - Song Han AU - Dan Li T1 - Institutional Herding in the Corporate Bond Market. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/12// IS - 1066/1071 M3 - Article SP - 2 EP - 42 AB - We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven by different factors. In particular, sell herding increases on negative news about bond ratings and corporate earnings. Interestingly, increases in ex-post transparency in corporate bond trading through Trade Reporting and Compliance Engine (TRACE) led to higher buy herding but not to higher sell herding. Finally, we find significant return reversals in the post-herding quarters, especially for sell herding and for junk bonds. Price reversal is most prominent when funds herd to sell illiquid bonds, which suggests that temporary price pressure is the reason behind price reversal. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE bonds KW - BONDS (Finance) KW - LIQUIDITY (Economics) KW - INSTITUTIONAL investors KW - CORPORATE profits KW - JUNK bonds KW - CREDIT ratings KW - SECURITIES trading KW - UNITED States KW - corporate bond KW - herding KW - institutional investors KW - liquidity N1 - Accession Number: 90403067; Fang Cai 1; Email Address: fang.cai@frb.gov; Song Han 1; Dan Li 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Dec2012, Issue 1066/1071, p2; Thesaurus Term: CORPORATE bonds; Thesaurus Term: BONDS (Finance); Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: INSTITUTIONAL investors; Thesaurus Term: CORPORATE profits; Thesaurus Term: JUNK bonds; Thesaurus Term: CREDIT ratings; Thesaurus Term: SECURITIES trading; Subject Term: UNITED States; Author-Supplied Keyword: corporate bond; Author-Supplied Keyword: herding; Author-Supplied Keyword: institutional investors; Author-Supplied Keyword: liquidity; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 41p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90403067&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Datta, Deepa Dhume AU - Wenxin Du T1 - Nonparametric HAC Estimation for Time Series Data with Missing Observations. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/11// IS - 1058/1065 M3 - Article SP - 1 EP - 48 AB - The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true spectrum of the underlying process using only the observed data leads to incorrect inference. Instead, we propose two simple consistent HAC estimators for time series with missing data. First, we develop the Amplitude Modulated estimator by applying the Newey-West estimator and treating the missing observations as non-serially correlated. Secondly, we develop the Equal Spacing estimator by applying the Newey-West estimator to the series formed by treating the data as equally spaced. We show asymptotic consistency of both estimators for inference purposes and discuss finite sample variance and bias tradeoff. In Monte Carlo simulations, we demonstrate that the Equal Spacing estimator is preferred in most cases due to its lower bias, while the Amplitude Modulated estimator is preferred for small sample size and low autocorrelation due to its lower variance. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONTE Carlo method KW - VARIANCES KW - CONJOINT analysis (Marketing) KW - AUTOCORRELATION (Statistics) KW - HETEROSCEDASTICITY KW - COVARIANCE matrices KW - heteroskedasticity KW - missing data KW - robust inference KW - serial correlation N1 - Accession Number: 90403056; Datta, Deepa Dhume 1; Email Address: deepa.d.datta@frb.gov; Wenxin Du 2; Email Address: wdu@fas.harvard.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Department of Economics, Harvard University, Cambridge, MA, USA; Issue Info: Nov2012, Issue 1058/1065, preceding p1; Thesaurus Term: MONTE Carlo method; Thesaurus Term: VARIANCES; Thesaurus Term: CONJOINT analysis (Marketing); Subject Term: AUTOCORRELATION (Statistics); Subject Term: HETEROSCEDASTICITY; Subject Term: COVARIANCE matrices; Author-Supplied Keyword: heteroskedasticity; Author-Supplied Keyword: missing data; Author-Supplied Keyword: robust inference; Author-Supplied Keyword: serial correlation; Number of Pages: 49p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90403056&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph W. AU - Vigfusson, Robert J. T1 - Interest Rates and the Volatility and Correlation of Commodity Prices. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/11// IS - 1058/1065 M3 - Article SP - 1 EP - 17 AB - We propose a novel explanation for the observed increase in the correlation of commodity prices over the past decade. In contrast to theories that rely on the increased influence of financial speculators, we show that price correlation can increase as a result of a decline in interest rates. More generally, we examine the effect of interest rates on the volatility and correlation of commodity prices, theoretically through the framework of Deaton and Laroque (1992) and empirically via a panel GARCH model. In theory, we show that lower interest rates decrease the volatility of prices, as lower inventory costs promote the smoothing of transient shocks, and can increase price correlation if common shocks are more persistent than idiosyncratic shocks. Empirically, as predicted by theory, we find that price volatility attributable to transitory shocks declines with interest rates, while, particularly for metals prices, price correlation increases as interest rates decline. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICES KW - CORRELATION (Statistics) KW - INTEREST rates KW - VOLATILITY (Finance) KW - IDIOSYNCRATIC risk (Securities) KW - INVENTORY costs KW - SHOCK (Economics) KW - GARCH model KW - Commodity Storage KW - Dynamic Factor Model KW - Panel GARCH N1 - Accession Number: 90403061; Gruber, Joseph W. 1; Email Address: joseph.w.gruber@frb.gov; Vigfusson, Robert J. 1; Email Address: robert.vigfusson@frb.gov; Affiliations: 1: Division of the International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551 U.S.A.; Issue Info: Nov2012, Issue 1058/1065, preceding p1; Thesaurus Term: PRICES; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: INTEREST rates; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: IDIOSYNCRATIC risk (Securities); Thesaurus Term: INVENTORY costs; Thesaurus Term: SHOCK (Economics); Subject Term: GARCH model; Author-Supplied Keyword: Commodity Storage; Author-Supplied Keyword: Dynamic Factor Model; Author-Supplied Keyword: Panel GARCH; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90403061&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Judson, Ruth T1 - Crisis and Calm: Demand for U.S. Currency at Home and Abroad from the Fall of the Berlin Wall to 2011. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/11// IS - 1058/1065 M3 - Article SP - 1 EP - 34 AB - U.S. currency has long been a desirable store of value and medium of exchange in times and places where local currency or bank deposits are inferior in one or more respects. Indeed, as noted in earlier work, a substantial share of U.S. currency circulates outside the United States. Although precise measurements of stocks and flows of U.S. currency outside the United States are not available, a variety of data sources and methods have been developed to provide estimates. This paper reviews the raw data available for measuring international banknote flows and presents updates on indirect methods of estimating the stock of currency held abroad: the seasonal method and the biometric method. These methods require some adjustments, but they continue to indicate that a large share of U.S. currency is held abroad, especially in the $100 denomination. In addition to these existing indirect methods, I develop a framework and basic variants of a new method to estimate the share of U.S. currency held abroad. Although the methods and estimates are disparate, they provide support for several hypotheses regarding cross-border dollar stocks and flows. First, once a country or region begins using dollars, subsequent crises result in additional inflows: the dominant sources of international demand over the past decade and a half are the countries and regions that were known to be heavy dollar users in the early to mid-1990s. Second, economic stabilization and modernization appear to result in reversal of these inflows. Specifically, demand for U.S. currency was extremely strong through the 1990s, a period of turmoil for the former Soviet Union and for Argentina, two of the largest overseas users of U.S. currency. Demand eased in the early 2000s as conditions gradually stabilized and as financial institutions developed. However, this trend reversed sharply with the onset of the financial crisis in late 2008 and has continued since then. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY KW - BANK notes KW - FINANCIAL crises KW - UNITED States KW - DOLLARIZATION KW - MODERNIZATION (Social science) KW - BIOMETRIC identification KW - banknotes KW - crisis KW - Currency KW - dollarization N1 - Accession Number: 90403054; Judson, Ruth 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551 U.S. A.; Issue Info: Nov2012, Issue 1058/1065, preceding p1; Thesaurus Term: MONEY; Thesaurus Term: BANK notes; Thesaurus Term: FINANCIAL crises; Subject Term: UNITED States; Subject Term: DOLLARIZATION; Subject Term: MODERNIZATION (Social science); Subject Term: BIOMETRIC identification; Author-Supplied Keyword: banknotes; Author-Supplied Keyword: crisis; Author-Supplied Keyword: Currency; Author-Supplied Keyword: dollarization; NAICS/Industry Codes: 323119 Other printing; Number of Pages: 46p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90403054&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Vázquez, Jesús AU - María-Dolores, Ramón AU - Londoño, Juan M. T1 - The Effect of Data Revisions on the Basic New Keynesian Model JO - International Review of Economics & Finance JF - International Review of Economics & Finance Y1 - 2012/10// VL - 24 M3 - Article SP - 235 EP - 249 SN - 10590560 AB - Abstract: This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes. [Copyright &y& Elsevier] AB - Copyright of International Review of Economics & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - KEYNESIAN economics KW - ECONOMIC models KW - MONETARY policy KW - ECONOMIC structure KW - EMPIRICAL research KW - PARAMETER estimation KW - INFLATION (Finance) KW - ECONOMIC forecasting KW - (non-)rational forecast error KW - indirect inference KW - monetary policy rule KW - NKM model KW - real-time data N1 - Accession Number: 76917439; Vázquez, Jesús 1; Email Address: jesus.vazquez@ehu.es; María-Dolores, Ramón 2; Email Address: ramonmar@um.es; Londoño, Juan M. 3; Email Address: Juan-miguel.londono-yarce@frb.gov; Affiliations: 1: Universidad del País Vasco UPV/EHU; 2: Departamento de Fundamentos del Análisis Económico, Facultad de Economía y Empresa, Universidad de Murcia, Campus de Espinardo, 30100 Murcia (SPAIN); 3: Division of International Finance. Mailstop 43, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, D.C. 20551 (USA); Issue Info: Oct2012, Vol. 24, p235; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: ECONOMIC models; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC structure; Thesaurus Term: EMPIRICAL research; Thesaurus Term: PARAMETER estimation; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC forecasting; Author-Supplied Keyword: (non-)rational forecast error; Author-Supplied Keyword: indirect inference; Author-Supplied Keyword: monetary policy rule; Author-Supplied Keyword: NKM model; Author-Supplied Keyword: real-time data; Number of Pages: 15p; Document Type: Article L3 - 10.1016/j.iref.2012.03.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76917439&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Black, Lamont AU - Chu, Chenghuan AU - Cohen, Andrew AU - Nichols, Joseph T1 - Differences Across Originators in CMBS Loan Underwriting. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2012/10// VL - 42 IS - 1/2 M3 - Article SP - 115 EP - 134 SN - 09208550 AB - There is considerable heterogeneity in the organizational structures of CMBS loan originators that may influence originators' underwriting incentives. We examine data on over 30,000 commercial mortgages securitized into CMBS since 1999, and find significant differences in the propensity to become delinquent depending upon whether a loan was originated by a commercial bank, investment bank, insurance company, finance company, conduit lender, or foreign-owned entity. These differences hold both before and after controlling for key loan characteristics. We then explore possible explanations for these results. Reliance on external financing during a loan's warehousing period-the period between origination and securitization-could explain the relatively poor performance of loans originated by conduit lenders. Also, despite the potential for engaging in adverse selection, balance-sheet lenders-commercial banks, insurance companies and finance companies-actually underwrote higher-quality loans. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - ORGANIZATIONAL structure KW - INCENTIVES in industry KW - INVESTMENT banking KW - MORTGAGES KW - FINANCIAL security KW - Commercial mortgage backed securities KW - G20 KW - G32 KW - L15 KW - Organizational structure KW - Securitization N1 - Accession Number: 77837084; Black, Lamont 1; Email Address: lamont.black@frb.gov; Chu, Chenghuan 1; Email Address: sean.chu@frb.gov; Cohen, Andrew 1; Email Address: andrew.cohen@frb.gov; Nichols, Joseph 1; Email Address: joseph.b.nichols@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington 20551 USA; Issue Info: Oct2012, Vol. 42 Issue 1/2, p115; Thesaurus Term: BANK loans; Thesaurus Term: ORGANIZATIONAL structure; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: INVESTMENT banking; Thesaurus Term: MORTGAGES; Thesaurus Term: FINANCIAL security; Author-Supplied Keyword: Commercial mortgage backed securities; Author-Supplied Keyword: G20; Author-Supplied Keyword: G32; Author-Supplied Keyword: L15; Author-Supplied Keyword: Organizational structure; Author-Supplied Keyword: Securitization; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 20p; Illustrations: 4 Charts, 5 Graphs; Document Type: Article L3 - 10.1007/s10693-011-0120-0 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=77837084&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ericsson, Neil R. AU - Reisman, Erica L. T1 - Evaluating a Global Vector Autoregression for Forecasting. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/10// IS - 1056-1057 M3 - Article SP - 1 EP - 20 AB - Global vector autoregressions (GVARs) have several attractive features: multiple potential channels for the international transmission of macroeconomic and financial shocks, a standardized economically appealing choice of variables for each country or region examined, systematic treatment of long-run properties through cointegration analysis, and flexible dynamic specification through vector error correction modeling. Pesaran, Schuermann, and Smith (2009) generate and evaluate forecasts from a paradigm GVAR with 26 countries, based on Dées, di Mauro, Pesaran, and Smith (2007). The current paper empirically assesses the GVAR in Dées, di Mauro, Pesaran, and Smith (2007) with impulse indicator saturation (IIS)--a new generic procedure for evaluating parameter constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements. (Esperanto) [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - COINTEGRATION KW - VECTOR error-correction models KW - VECTOR autoregression model KW - AUTOREGRESSION (Statistics) KW - cointegration KW - error correction KW - forecasting KW - GVAR KW - impulse indicator saturation KW - model design KW - model evaluation KW - model selection KW - parameter constancy KW - VAR N1 - Accession Number: 84381068; Ericsson, Neil R. 1; Email Address: ericsson@frb.gov; Reisman, Erica L. 2; Email Address: erica.reisman@gmail.com; Affiliations: 1: Research Professor, Department of Economics, The George Washington University, Washington, D.C. 20052 U.S.A; 2: Research Assistant, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; Issue Info: Oct2012, Issue 1056-1057, preceding p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: COINTEGRATION; Thesaurus Term: VECTOR error-correction models; Subject Term: VECTOR autoregression model; Subject Term: AUTOREGRESSION (Statistics); Author-Supplied Keyword: cointegration; Author-Supplied Keyword: error correction; Author-Supplied Keyword: forecasting; Author-Supplied Keyword: GVAR; Author-Supplied Keyword: impulse indicator saturation; Author-Supplied Keyword: model design; Author-Supplied Keyword: model evaluation; Author-Supplied Keyword: model selection; Author-Supplied Keyword: parameter constancy; Author-Supplied Keyword: VAR; Number of Pages: 22p; Illustrations: 1 Chart, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=84381068&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - Exports, borders, distance, and plant size JO - Journal of International Economics JF - Journal of International Economics Y1 - 2012/09// VL - 88 IS - 1 M3 - Article SP - 91 EP - 103 SN - 00221996 AB - Abstract: The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. We examine this fact using Census microdata on plant shipments from the Commodity Flow Survey. We show that the fact is not entirely an international trade phenomenon; part of it can be accounted for by the effect of distance, distinct from any border effect. Export destinations tend to be farther than domestic destinations, and large plants tend to ship farther distances even to domestic locations compared with small plants. We develop an extension of the Melitz (2003) model and use it to set up an analysis with model interpretations of ratios between large plant and small plant shipments that can be calculated with the data. We obtain a decomposition of the overall ratio into a term that varies with distance, holding fixed the border, and a term that varies with the border, holding fixed the distance. The distance term accounts for more than half of the overall difference. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXPORTS KW - BORDER trade KW - FACTORIES KW - PHYSICAL distribution of goods KW - INTERNATIONAL trade KW - DISTANCES KW - Border effect KW - Commodity Flow Survey KW - F10 KW - International trade KW - L60 KW - Plant size N1 - Accession Number: 79562818; Holmes, Thomas J. 1,2,3; Email Address: holmes@econ.umn.edu; Stevens, John J. 4; Email Address: john.j.stevens@frb.gov; Affiliations: 1: Department of Economics, University of Minnesota, Minneapolis, MN 55455, USA; 2: Federal Reserve Bank of Minneapolis, Minneapolis, MN 55401, USA; 3: NBER, 1050 Massachusetts Avenue, Cambridge, MA 02138, USA; 4: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep2012, Vol. 88 Issue 1, p91; Thesaurus Term: EXPORTS; Thesaurus Term: BORDER trade; Thesaurus Term: FACTORIES; Thesaurus Term: PHYSICAL distribution of goods; Thesaurus Term: INTERNATIONAL trade; Subject Term: DISTANCES; Author-Supplied Keyword: Border effect; Author-Supplied Keyword: Commodity Flow Survey; Author-Supplied Keyword: F10; Author-Supplied Keyword: International trade; Author-Supplied Keyword: L60; Author-Supplied Keyword: Plant size; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jinteco.2012.02.012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79562818&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kandrac, John T1 - Monetary policy and bank lending to small firms JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2012/09// VL - 34 IS - 3 M3 - Article SP - 741 EP - 748 SN - 01640704 AB - Abstract: This paper presents an empirical test of the balance sheet channel of monetary policy. I take advantage of a panel data set containing nearly all domestic banks to search for an adjustment in lending patterns induced by changes in the stance of monetary policy. I find that in response to monetary policy tightening, banks decrease the proportion of credit extended to high-agency-cost “small” borrowers. Additionally, I provide evidence that this result is in fact driven by a balance sheet effect working on small borrowers rather than on small lenders. [Copyright &y& Elsevier] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - SMALL business KW - EMPIRICAL research KW - FINANCIAL statements KW - BANKING industry KW - MONEYLENDERS KW - ECONOMICS -- Research KW - PANEL analysis KW - Balance sheet channel KW - Banking industry KW - Credit channel KW - Monetary policy N1 - Accession Number: 79110188; Kandrac, John 1; Email Address: john.p.kandrac@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St., Constitution Ave., NW, Washington, DC 20551, United States; Issue Info: Sep2012, Vol. 34 Issue 3, p741; Thesaurus Term: MONETARY policy; Thesaurus Term: SMALL business; Thesaurus Term: EMPIRICAL research; Thesaurus Term: FINANCIAL statements; Thesaurus Term: BANKING industry; Thesaurus Term: MONEYLENDERS; Thesaurus Term: ECONOMICS -- Research; Subject Term: PANEL analysis; Author-Supplied Keyword: Balance sheet channel; Author-Supplied Keyword: Banking industry; Author-Supplied Keyword: Credit channel; Author-Supplied Keyword: Monetary policy; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 8p; Document Type: Article L3 - 10.1016/j.jmacro.2012.06.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79110188&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2012-25984-008 AN - 2012-25984-008 AU - Bricker, Jesse AU - Bucks, Brian AU - Kennickell, Arthur AU - Mach, Traci AU - Moore, Kevin T1 - The financial crisis from the family's perspective: Evidence from the 2007–2009 SCF panel. JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2012///Fal 2012 VL - 46 IS - 3 SP - 537 EP - 555 CY - United Kingdom PB - Wiley-Blackwell Publishing Ltd. SN - 0022-0078 SN - 1745-6606 AD - Bricker, Jesse N1 - Accession Number: 2012-25984-008. Partial author list: First Author & Affiliation: Bricker, Jesse; Division of Research and Statistics, Board of Governors, Federal Reserve System, DC, US. Other Publishers: Blackwell Publishing. Release Date: 20121231. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Family; Financial Strain; Socioeconomic Status. Classification: Consumer Attitudes & Behavior (3920). Population: Human (10). Methodology: Empirical Study; Interview; Quantitative Study. References Available: Y. Page Count: 19. Issue Publication Date: Fal 2012. Copyright Statement: The American Council on Consumer Interests. 2012. AB - This paper examines changes in families' finances as captured in the 2007–2009 Survey of Consumer Finances panel. The broad contours of changes in families' assets, debts, and wealth align with changes in the corresponding aggregate measures, but the microdata from the panel highlight substantial variation in families' experiences between 2007 and 2009. Although more than 60% of families saw their wealth decline over the two‐year period, a sizable fraction experienced gains in wealth, while some families' financial situations saw little change on net. The shifts in wealth do not appear to be correlated in a simple way with families' characteristics. Instead, the patterns of mixed losses, gains, and modest shifts in wealth generally hold within groups defined by demographic characteristics or by 2007 wealth or income. On the whole, changes in wealth appear to stem from changes in asset values rather than from changes in portfolio composition or debt levels. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - financial crisis KW - family finances KW - wealth decline KW - 2012 KW - Family KW - Financial Strain KW - Socioeconomic Status KW - 2012 DO - 10.1111/j.1745-6606.2012.01243.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-25984-008&site=ehost-live&scope=site UR - kevin.b.moore@frb.gov UR - traci.l.mach@frb.gov UR - arthur.kennickell@frb.gov UR - brian.bucks@cfpb.gov UR - jesse.bricker@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - BARNICHON, REGIS AU - NEKARDA, CHRISTOPHER J. T1 - The Ins and Outs of Forecasting Unemployment: Using Labor Force Flows to Forecast the Labor Market. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2012///Fall2012 IS - 2 M3 - Article SP - 83 EP - 131 PB - Brookings Institution Press SN - 00072303 AB - This paper presents a forecasting model of unemployment based on labor force flows data that, in real time, dramatically outperforms the Survey of Professional Forecasters, historical forecasts from the Federal Reserve Board's Greenbook, and basic time-series models. Our model's forecast has a root-mean-squared error about 30 percent below that of the next-best forecast in the near term and performs especially well surrounding large recessions and cyclical turning points. Further, because our model uses information on labor force flows that is likely not incorporated by other forecasts, a combined fore-cast including our model's forecast and the SPF forecast yields an improvement over the latter alone of about 35 percent for current-quarter forecasts, and 15 percent for next-quarter forecasts, as well as improvements at longer horizons. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT forecasting -- Mathematical models KW - UNEMPLOYMENT KW - STANDARD deviations KW - RECESSIONS KW - BUSINESS cycles N1 - Accession Number: 86859354; BARNICHON, REGIS 1; NEKARDA, CHRISTOPHER J. 2; Affiliations: 1: Centre de Recerca en Economia International, Barcelona; 2: Board of Governors of the Federal Reserve System; Issue Info: Fall2012, Issue 2, p83; Thesaurus Term: EMPLOYMENT forecasting -- Mathematical models; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: STANDARD deviations; Thesaurus Term: RECESSIONS; Thesaurus Term: BUSINESS cycles; Number of Pages: 49p; Illustrations: 8 Charts, 9 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=86859354&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Zheng Sun AU - Ashley Wang AU - Lu Zheng T1 - The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance. JO - CFA Digest JF - CFA Digest Y1 - 2012/08// VL - 42 IS - 3 M3 - Article SP - 5 EP - 7 SN - 00469777 AB - The article offers information on the distinguishing features of fund managers for different investment strategies. It states that funds of skilled managers have lower hedge ration as compared to that of unskilled managers. It further informs that generally hedge fund managers do not disclose their strategies regarding investments hence making it difficult to gather information. KW - INVESTMENTS KW - INVESTMENT advisors KW - INVESTMENT policy KW - SKILLED labor KW - HEDGE funds KW - FINANCE N1 - Accession Number: 83194493; Zheng Sun 1; Ashley Wang 2; Lu Zheng 1; Affiliations: 1: University of California, Irvine; 2: Board of Governors of the Federal Reserve System; Issue Info: Aug2012, Vol. 42 Issue 3, p5; Thesaurus Term: INVESTMENTS; Thesaurus Term: INVESTMENT advisors; Thesaurus Term: INVESTMENT policy; Thesaurus Term: SKILLED labor; Thesaurus Term: HEDGE funds; Thesaurus Term: FINANCE; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=83194493&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur B. T1 - The Other, Other Half: Changes in the Finances of the Least Wealthy 50 Percent, 2007-2009. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2012/08// M3 - Article SP - 2 EP - 23 AB - In discussions of household wealth, it is not surprising that discussion often tends to focus on the upper half of the wealth distribution: According to the 2007 Survey of Consumer Finances(SCF), that group held 97.5 percent of all directly owned household wealth. This paper investigates the wealth dynamics of the lower half of the distribution using data from the 2007-2009 SCF panel to examine the degree of distributional mobility among this group, the demographic characteristics associated with such change and the role of initial portfolio allocation. It also provides information from earlier SCFs and the 2010 SCF to put the results in perspective. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - INVESTMENTS KW - ASSETS (Accounting) KW - DEBT KW - HOUSEHOLDS KW - DEMOGRAPHIC characteristics KW - SURVEYS N1 - Accession Number: 82236968; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@frb.gov; Affiliations: 1: Assistant Director, Division of Research and Statistics Board of Governors of the Federal Reserve System Mail Stop 153 Washington, DC 20551; Issue Info: 2012, preceding p2; Thesaurus Term: WEALTH; Thesaurus Term: INVESTMENTS; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: DEBT; Subject Term: HOUSEHOLDS; Subject Term: DEMOGRAPHIC characteristics; Subject Term: SURVEYS; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 24p; Illustrations: 10 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=82236968&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2012-31255-016 AN - 2012-31255-016 AU - Wieland, Volker AU - Cwik, Tobias AU - Müller, Gernot J. AU - Schmidt, Sebastian AU - Wolters, Maik T1 - A new comparative approach to macroeconomic modeling and policy analysis. JF - Journal of Economic Behavior & Organization JO - Journal of Economic Behavior & Organization JA - J Econ Behav Organ Y1 - 2012/08// VL - 83 IS - 3 SP - 523 EP - 541 CY - Netherlands PB - Elsevier Science SN - 0167-2681 AD - Wieland, Volker, Goethe University of Frankfurt, Grueneburgplatz 1, House of Finance, 60323, Frankfurt am Main, Germany N1 - Accession Number: 2012-31255-016. Partial author list: First Author & Affiliation: Wieland, Volker; Goethe University of Frankfurt, Frankfurt am Main, Germany. Release Date: 20130121. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Criticism; Financial Strain; Government Policy Making. Minor Descriptor: Crises; Simulation. Classification: Social Processes & Social Issues (2900). Population: Human (10). Methodology: Empirical Study; Mathematical Model; Quantitative Study; Scientific Simulation. Supplemental Data: Appendixes Internet. References Available: Y. Page Count: 19. Issue Publication Date: Aug, 2012. Publication History: First Posted Date: Feb 6, 2012; Accepted Date: Jan 25, 2012; Revised Date: Jan 24, 2012; First Submitted Date: May 4, 2011. Copyright Statement: All rights reserved. Elsevier B.V. 2012. AB - In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models’ implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the database and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - macroeconomic modeling KW - policy analysis KW - global financial crisis KW - criticism KW - 2012 KW - Criticism KW - Financial Strain KW - Government Policy Making KW - Crises KW - Simulation KW - 2012 U1 - Sponsor: European Community. Grant: SSH-CT-2009-225149. Other Details: MONFISPOL. Recipients: No recipient indicated DO - 10.1016/j.jebo.2012.01.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-31255-016&site=ehost-live&scope=site UR - wolters@wiwi.uni-frankfurt.de UR - s.schmidt@wiwi.uni-frankfurt.de UR - gernot.mueller@uni-bonn.de UR - tobias.cwik@frb.gov UR - wieland@wiwi.uni-frankfurt.de DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Board of Governors of the Federal Reserve System AD - Unlisted T1 - Models to Project Net Income and Stressed Capital JO - Economic and Financial Modelling JF - Economic and Financial Modelling Y1 - 2012///Summer VL - 19 IS - 2 SP - 53 EP - 98 SN - 13507419 N1 - Accession Number: 1321242; Keywords: Credit; Credit Card; Federal Reserve System; Financial Market; Forecast; Lending; Macroeconomics; Modeling; Mortgage; Reserves; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201209 N2 - There are two general approaches taken to modelling losses on the accrual loan portfolio: (1) the models attempt to capture the historical behaviour of net charge-offs relative to changes in macroeconomic and financial market variables and loan portfolio characteristics; (2) the models estimate losses by projecting the probability of default, loss given default, and exposure at default for each quarter of the stress scenario horizon. The models applied by the Federal Reserve System to forecast income and stressed capital ratio which are presented here cover the models developed for the major categories of wholesale and retail loans. Wholesale loans include commercial and industrial loans and commercial real estate loans. Retail loans include various types of residential mortgages, credit cards, student loans, auto loans, small business loans, and other consumer lending. KW - Forecasting Models; Simulation Methods C53 KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.eefclondon.org/pubs/efm.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1321242&site=ehost-live&scope=site UR - http://www.eefclondon.org/pubs/efm.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Ajello, Andrea AU - Benzoni, Luca AU - Chyruk, Olena T1 - No-arbitrage restrictions and the U.S. Treasury market. JO - Economic Perspectives JF - Economic Perspectives Y1 - 2012/06// IS - 2 M3 - Article SP - 55 EP - 74 PB - Federal Reserve Bank of Chicago SN - 1048115X AB - The article focuses on the pricing of U.S. Treasury securities via no-arbitrage arguments. It describes what an arbitrage is and offers an intuitive example that depicts how to create an arbitrage investment strategy in a frictionless capital market. It discusses the limitations of the Vasicek model which obtains a bond pricing formula that expresses the price of bonds of several maturities as a function of the spot interest rate, the market price of risk, and other model parameters. KW - GOVERNMENT securities KW - TREASURY stock KW - COMMODITY exchanges KW - CAPITAL market KW - PROGRAM trading (Securities) KW - SWAPS (Finance) KW - BONDS (Finance) KW - UNITED States N1 - Accession Number: 77393272; Ajello, Andrea 1 Benzoni, Luca 2 Chyruk, Olena 3; Affiliation: 1: Economist, Division of Monetary Affairs, Board of Governors of the Federal Reserve System 2: Senior financial economist, Economic Research Department, Federal Reserve Bank of Chicago 3: Senior research analyst, Economic Research Department, Federal Reserve Bank of Chicago; Source Info: Jun2012, Issue 2, p55; Subject Term: GOVERNMENT securities; Subject Term: TREASURY stock; Subject Term: COMMODITY exchanges; Subject Term: CAPITAL market; Subject Term: PROGRAM trading (Securities); Subject Term: SWAPS (Finance); Subject Term: BONDS (Finance); Subject Term: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 20p; Illustrations: 4 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=77393272&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Scherbina, Anna AU - Schlusche, Bernd T1 - Asset Bubbles: an Application to Residential Real Estate. JO - European Financial Management JF - European Financial Management Y1 - 2012/06// VL - 18 IS - 3 M3 - Article SP - 464 EP - 491 PB - Wiley-Blackwell SN - 13547798 AB - Behavioural models offer new insights into why bubbles are ubiquitous in residential real estate markets. These markets are dominated by unsophisticated households who often develop optimistic views by extrapolating from past returns. Rational investors cannot easily trade against an overvaluation of housing assets because of high transaction costs and a binding short sale constraint. Circumventing the effect of the latter, the supply of housing frequently increases in response to rising prices. This helps to mitigate bubbles but often leads to overbuilding, which slows down the recovery after a bubble bursts. Models that incorporate the effects of perverse incentives and limits to arbitrage are especially helpful in explaining the bubble that developed in mortgage-backed securities and helped fuel the recent real estate bubble by relaxing home buyers' borrowing constraints. The literature is ambiguous about whether governments should intervene to burst bubbles, as a better response may lie in improving incentives of key market players. [ABSTRACT FROM AUTHOR] AB - Copyright of European Financial Management is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESIDENTIAL real estate KW - CAPITALISTS & financiers KW - ECONOMIC bubbles KW - HUMAN behavior models KW - HOUSEHOLDS KW - bubbles KW - financial crisis KW - G00 KW - G01 KW - G02 KW - G10 KW - limits to arbitrage KW - R31 KW - residential real estate N1 - Accession Number: 75275516; Scherbina, Anna 1; Email Address: ascherbina@ucdavis.edu; Schlusche, Bernd 2; Email Address: bernd.schlusche@frb.gov; Affiliations: 1: Graduate School of Management, University of California, Davis, One Shields Avenue, Davis, CA 95616, USA E-mail:; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA E-mail:; Issue Info: Jun2012, Vol. 18 Issue 3, p464; Thesaurus Term: RESIDENTIAL real estate; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: ECONOMIC bubbles; Subject Term: HUMAN behavior models; Subject Term: HOUSEHOLDS; Author-Supplied Keyword: bubbles; Author-Supplied Keyword: financial crisis; Author-Supplied Keyword: G00; Author-Supplied Keyword: G01; Author-Supplied Keyword: G02; Author-Supplied Keyword: G10; Author-Supplied Keyword: limits to arbitrage; Author-Supplied Keyword: R31; Author-Supplied Keyword: residential real estate; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531311 Residential Property Managers; Number of Pages: 28p; Document Type: Article L3 - 10.1111/j.1468-036X.2012.00647.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=75275516&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FRAME, W. SCOTT AU - HANCOCK, DIANA AU - PASSMORE, WAYNE T1 - Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2012/06// VL - 44 IS - 4 M3 - Article SP - 661 EP - 684 PB - Wiley-Blackwell SN - 00222879 AB - Federal Home Loan Bank (FHLB) advances are a source of government-sponsored liquidity intended to encourage housing finance, although 'community financial institutions' may use such funds more generally. Because money is fungible, it is an empirical question as to how advances are actually employed. Using panel-vector autoregression techniques, we estimate dynamic responses of U.S. commercial bank portfolios to: FHLB advance shocks, bank lending shocks, and macroeconomic shocks. We find that FHLB advances: (i) are used as a general source of liquidity by U.S. commercial banks of all sizes and (ii) dampen the sensitivity of mortgage lending to macroeconomic shocks at small banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - advances KW - Federal Home Loan Bank KW - G18 KW - G21 KW - G38 KW - government-sponsored enterprise KW - mortgage funding KW - panel-VAR KW - portfolio shocks N1 - Accession Number: 75409205; FRAME, W. SCOTT 1; Email Address: diana.hancock@frb.gov; HANCOCK, DIANA 1; Email Address: scott.frame@atl.frb.org; PASSMORE, WAYNE 1; Email Address: diana.hancock@frb.gov; Affiliations: 1: W. S cott F rame is a Financial Economist and Senior Policy Advisor, Federal Reserve Bank of Atlanta, Atlanta, GA ( E-mail: ). D iana H ancock is a Deputy Associate Director, Research & Statistics, Board of Governors of the Federal Reserve System, Washington, DC ( E-mail: ). W ayne P assmore is an Associate Director, Research & Statistics, Board of Governors of the Federal Reserve System, Washington, DC ( E-mail: ).; Issue Info: Jun2012, Vol. 44 Issue 4, p661; Author-Supplied Keyword: advances; Author-Supplied Keyword: Federal Home Loan Bank; Author-Supplied Keyword: G18; Author-Supplied Keyword: G21; Author-Supplied Keyword: G38; Author-Supplied Keyword: government-sponsored enterprise; Author-Supplied Keyword: mortgage funding; Author-Supplied Keyword: panel-VAR; Author-Supplied Keyword: portfolio shocks; Number of Pages: 24p; Document Type: Article L3 - 10.1111/j.1538-4616.2012.00505.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=75409205&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bhutta, Neil T1 - GSE Activity and Mortgage Supply in Lower-Income and Minority Neighborhoods: The Effect of the Affordable Housing Goals. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 2012/06// VL - 45 IS - 1 M3 - Article SP - 238 EP - 261 SN - 08955638 AB - I estimate the credit supply effect of the Underserved Areas Goal (UAG), which establishes GSE purchase goals for mortgages to lower-income and minority neighborhoods. Taking advantage of discontinuous census tract eligibility rules and abrupt changes in tract eligibility, I find some evidence of a small UAG effect on GSE purchases and mortgage originations, without crowding-out of FHA and subprime lending. The results also suggest that the GSEs exploit the law's lack of precision-targeting, yielding effects that might diverge from the law's intent. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - MORTGAGES KW - HOME prices KW - LOANS KW - PURCHASING KW - NEIGHBORHOODS KW - Affordable housing goals KW - GSE KW - Low and moderate income KW - Mortgage N1 - Accession Number: 76634115; Bhutta, Neil 1; Email Address: Neil.bhutta@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 149 Washington 20551 USA; Issue Info: Jun2012, Vol. 45 Issue 1, p238; Thesaurus Term: HOUSING market; Thesaurus Term: MORTGAGES; Thesaurus Term: HOME prices; Thesaurus Term: LOANS; Thesaurus Term: PURCHASING; Subject Term: NEIGHBORHOODS; Author-Supplied Keyword: Affordable housing goals; Author-Supplied Keyword: GSE; Author-Supplied Keyword: Low and moderate income; Author-Supplied Keyword: Mortgage; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 24p; Document Type: Article L3 - 10.1007/s11146-010-9258-z UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76634115&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Samir Jahjah AU - Bin Wei AU - Vivian Zhanwei Yue T1 - Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/06// IS - 1049/1050 M3 - Article SP - 1 EP - 36 AB - This paper empirically analyzes how exchange rate policy affects the issuance and pricing of international bonds for developing countries. We find that countries with less fiexible exchange rate regimes pay higher sovereign bond spreads and are less likely to issue bonds. Quantitatively, changing a free-fioating regime to a fixed regime decreases the likelihood of bond issuance by 4.6% and increases the bond spread by 1.3% on average. Furthermore, countries with real exchange rate overvaluation have higher bond spreads and higher bond issuance probabilities. Moreover, such positive effects of real exchange rate overvaluation tend to be magnified for countries with fixed exchange rate regimes. Our results suggest that choosing a less fiexible exchange rate regime in general leads to higher borrowing costs for developing countries, especially when their currencies are overvalued. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT securities KW - FOREIGN exchange rates KW - BONDS (Finance) KW - MONETARY policy KW - DEVELOPING countries KW - Debt Crisis KW - Exchange Rate Regime KW - Overvaluation KW - Sovereign Bond Spread N1 - Accession Number: 78392241; Samir Jahjah 1; Email Address: sjahjah@imf.org; Bin Wei 2; Email Address: bin.wei@frb.gov; Vivian Zhanwei Yue 2; Email Address: vivian.yue@frb.gov; Affiliations: 1: International Monetary Fund, 700 19th Street, N.W., Washington, D.C. 20431; 2: Board of Governors of the Federal Reserve System, 20 Constitution Avenue Northwest, Washington, D.C. 20551; Issue Info: Jun2012, Issue 1049/1050, p1; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: BONDS (Finance); Thesaurus Term: MONETARY policy; Subject Term: DEVELOPING countries; Author-Supplied Keyword: Debt Crisis; Author-Supplied Keyword: Exchange Rate Regime; Author-Supplied Keyword: Overvaluation; Author-Supplied Keyword: Sovereign Bond Spread; Number of Pages: 36p; Illustrations: 10 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=78392241&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2012-17931-003 AN - 2012-17931-003 AU - Garrison, Loretta AU - Hastak, Manoj AU - Hogarth, Jeanne M. AU - Kleimann, Susan AU - Levy, Alan S. T1 - Designing evidence-based disclosures: A case study of financial privacy notices. T3 - Special issue on product literacy JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2012///Sum 2012 VL - 46 IS - 2 SP - 204 EP - 234 CY - United Kingdom PB - Wiley-Blackwell Publishing Ltd. SN - 0022-0078 SN - 1745-6606 AD - Garrison, Loretta N1 - Accession Number: 2012-17931-003. Partial author list: First Author & Affiliation: Garrison, Loretta; Federal Trade Commission, DC, US. Other Publishers: Blackwell Publishing. Release Date: 20130114. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Consumer Protection; Evidence Based Practice; Finance; Information; Privacy. Minor Descriptor: Business Organizations; Consumer Behavior; Laws. Classification: Consumer Psychology (3900). Population: Human (10). Location: US. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Interview; Focus Group; Nonclinical Case Study; Qualitative Study. References Available: Y. Page Count: 31. Issue Publication Date: Sum 2012. Copyright Statement: The American Council on Consumer Interests. 2012. AB - Disclosure is a key component of consumer protection policy. By informing consumers about a product or service, disclosures can help consumers understand product features and shop among products and providers to find the combination of features and price that best meets their needs. For example, the Gramm-Leach-Bliley Act (GLBA, 15 U.S.C. 6801-6809) provides for disclosures of information-sharing practices of financial institutions and, in some cases, requires that these institutions offer consumers the opportunity to limit some of this sharing. Using these disclosures as a case study, this paper explores how research can help policymakers shift from a perspective of developing disclosures that are in technical compliance with the law to one of developing disclosures that consumers pay attention to, understand and use in their decision making. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - consumer protection KW - evidence based disclosures KW - financial privacy notices KW - information sharing practices KW - 2012 KW - Consumer Protection KW - Evidence Based Practice KW - Finance KW - Information KW - Privacy KW - Business Organizations KW - Consumer Behavior KW - Laws KW - 2012 DO - 10.1111/j.1745-6606.2012.01226.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-17931-003&site=ehost-live&scope=site UR - alan.levy@cfsan.fda.gov UR - skleimann@kleimann.com UR - jeanne.m.hogarth@frb.gov UR - mhastak@american.edu UR - lorettagarrison@mac.com DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Mendoza, Enrique G. AU - Yue, Vivian Z. T1 - A General Equilibrium Model of Sovereign Default and Business Cycles*. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 2012/05// VL - 127 IS - 2 M3 - Article SP - 889 EP - 946 PB - Oxford University Press / USA SN - 00335533 AB - Why are episodes of sovereign default accompanied by deep recessions? The existing literature cannot answer this question. On one hand, sovereign default models treat income fluctuations as an exogenous endowment process with ad hoc default costs. On the other hand, emerging markets business cycle models abstract from modeling default and treat default risk as part of an exogenous interest rate on working capital. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing, and default triggers an efficiency loss as these inputs are replaced by imperfect substitutes, because both firms and the government are excluded from credit markets. Default is an optimal decision of a benevolent planner for whom, even after internalizing the adverse effects of default on economic activity, financial autarky has a higher payoff than debt repayment. The model explains the main features of observed cyclical dynamics around defaults, countercyclical spreads, high debt ratios, and key long-run business cycle moments. [ABSTRACT FROM AUTHOR] AB - Copyright of Quarterly Journal of Economics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EQUILIBRIUM (Economics) KW - ECONOMIC development KW - BUSINESS cycles KW - INTEREST rates KW - CAPITAL financing KW - FINANCIAL market reaction KW - DEBT KW - ECONOMIC aspects N1 - Accession Number: 75055182; Mendoza, Enrique G. 1; Yue, Vivian Z. 2; Affiliations: 1: University of Maryland and National Bureau of Economic Research; 2: Board of Governors of The Federal Reserve System; Issue Info: May2012, Vol. 127 Issue 2, p889; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: ECONOMIC development; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INTEREST rates; Thesaurus Term: CAPITAL financing; Thesaurus Term: FINANCIAL market reaction; Thesaurus Term: DEBT; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 58p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=75055182&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hall, Stephen G. AU - Swamy, P. A. V. B. AU - Tavlas, George S. T1 - Milton Friedman, the Demand for Money, and the ECB's Monetary Policy Strategy. JO - Review (00149187) JF - Review (00149187) Y1 - 2012/05//May/Jun2012 VL - 94 IS - 3 M3 - Article SP - 153 EP - 187 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The European Central Bank (ECB) assigns greater weight to the role of money in its monetary policy strategy than most, if not all, other major central banks. Nevertheless, reflecting the view that the demand for money became unstable in the early 2000s, some commentators have reported that the ECB has "downgraded" the role of money demand functions in its strategy. This paper explains the ECB's monetary policy strategy and shows the considerable influence of Milton Friedman's contributions on the formulation of that strategy. The paper also provides new evidence on the stability of euro area money demand. Following a conjecture made by Friedman (1956), the authors assign a role to uncertainty in the money demand function. They find that although uncertainty is nonstationary and subject to wide swings, it is nonetheless mean reverting and has substantial effects on the demand for money. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEMAND for money KW - MONETARY policy KW - CENTRAL banking industry KW - EUROZONE KW - EUROPEAN Union countries KW - EUROPEAN Central Bank KW - FRIEDMAN, Milton, 1912-2006 N1 - Accession Number: 76287037; Hall, Stephen G. 1 Swamy, P. A. V. B. 2 Tavlas, George S. 3; Affiliation: 1: Professor of economics, Leicester University, visiting professor at Pretoria University, and a consultant to the Bank of Greece 2: Former senior economist at the Board of Governors of the Federal Reserve System 3: Director general of the Bank of Greece; Source Info: May/Jun2012, Vol. 94 Issue 3, p153; Subject Term: DEMAND for money; Subject Term: MONETARY policy; Subject Term: CENTRAL banking industry; Subject Term: EUROZONE; Subject Term: EUROPEAN Union countries; Company/Entity: EUROPEAN Central Bank; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; People: FRIEDMAN, Milton, 1912-2006; Number of Pages: 34p; Illustrations: 4 Charts, 13 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=76287037&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Trabandt, Mathias AU - Uhlig, Harald T1 - How Do Laffer Curves Differ Across Countries. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/05// IS - 1047/1048 M3 - Article SP - 1 EP - 48 AB - We seek to understand how Laffer curves differ across countries in the US and the EU-14, thereby providing insights into fiscal limits for government spending and the service of sovereign debt. As an application, we analyze the consequences for the permanent sustainability of current debt levels, when interest rates are permanently increased e.g. due to default fears. We build on the analysis in Trabandt and Uhlig (2011) and extend it in several ways. To obtain a better _t to the data, we allow for monopolistic competition as well as partial taxation of pure profit income. We update the sample to 2010, thereby including recent increases in government spending and their fiscal consequences. We provide new tax rate data. We conduct an analysis for the pessimistic case that the recent fiscal shifts are permanent. We include a cross-country analysis on consumption taxes as well as a more detailed investigation of the inclusion of human capital considerations for labor taxation. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LAFFER curve KW - PUBLIC spending KW - PUBLIC debts KW - MONOPOLISTIC competition KW - INCOME tax KW - UNITED States KW - cross country comparison KW - debt sustainability KW - fiscal limits KW - human capital and labor taxation KW - Laffer curve KW - quantitative endogenous growth KW - taxation KW - EUROPEAN Union N1 - Accession Number: 77566768; Trabandt, Mathias 1; Email Address: mathias.trabandt@gmail.com; Uhlig, Harald 2,3; Email Address: huhlig@uchicago.edu; Affiliations: 1: Mathias Trabandt, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, D.C. 20551, USA; 2: Harald Uhlig, Department of Economics, University of Chicago, 1126 East 59th Street, Chicago, IL 60637, USA; 3: NBER, CEPR, CentER, Deutsche Bundesbank; Issue Info: May2012, Issue 1047/1048, p1; Thesaurus Term: LAFFER curve; Thesaurus Term: PUBLIC spending; Thesaurus Term: PUBLIC debts; Thesaurus Term: MONOPOLISTIC competition; Thesaurus Term: INCOME tax; Subject: UNITED States; Author-Supplied Keyword: cross country comparison; Author-Supplied Keyword: debt sustainability; Author-Supplied Keyword: fiscal limits; Author-Supplied Keyword: human capital and labor taxation; Author-Supplied Keyword: Laffer curve; Author-Supplied Keyword: quantitative endogenous growth; Author-Supplied Keyword: taxation ; Company/Entity: EUROPEAN Union; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 48p; Illustrations: 16 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=77566768&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 104532856 T1 - The impact of long-term participation in the supplemental nutrition assistance program on child obesity. AU - Schmeiser MD Y1 - 2012/04// N1 - Accession Number: 104532856. Language: English. Entry Date: 20120720. Revision Date: 20150711. Publication Type: Journal Article; research. Journal Subset: Europe; Health Services Administration; Peer Reviewed; UK & Ireland. NLM UID: 9306780. KW - Food Supply KW - Pediatric Obesity -- Economics KW - Public Assistance KW - Adolescence KW - Body Mass Index KW - Child KW - Child, Preschool KW - Female KW - Human KW - Male KW - Prospective Studies KW - United States -- Epidemiology KW - Young Adult SP - 386 EP - 404 JO - Health Economics JF - Health Economics JA - HEALTH ECON VL - 21 IS - 4 CY - Hoboken, New Jersey PB - John Wiley & Sons, Inc. AB - Participation in the Supplemental Nutrition Assistance Program (SNAP) reached an all-time high of 40.2 million persons in March 2010, which means the program affects a substantial fraction of Americans. A significant body of research has emerged suggesting that participation in SNAP increases the probability of being obese for adult women and has little effect on the probability for adult men. However, studies addressing the effects of participation on children have produced mixed results. This paper examines the effect of long-term SNAP participation on the Body Mass Index (BMI) percentile and probability of being overweight or obese for children ages 5-18 using data from the National Longitudinal Survey of Youth 1979 Children and Young Adults data set. An instrumental variables identification strategy that exploits exogenous variation in state-level program parameters, as well as state and federal expansions of the Earned Income Tax Credit (EITC), is used to address the endogeneity between SNAP participation and obesity. SNAP participation is found to significantly reduce BMI percentile and the probability of being overweight or obese for boys and girls ages 5-11 and boys ages 12-18. For girls ages 12-18, SNAP participation appears to have no significant effect on these outcomes. Copyright © 2011 John Wiley & Sons, Ltd. SN - 1057-9230 AD - Federal Reserve Board of Governors, Washington, DC, USA. max.schmeiser@frb.gov. U2 - PMID: 21305645. DO - 10.1002/hec.1714 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=rzh&AN=104532856&site=ehost-live&scope=site DP - EBSCOhost DB - rzh ER - TY - JOUR AU - Grishchenko, Olesya V. AU - Rossi, Marco T1 - The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2012/04// VL - 30 IS - 2 M3 - Article SP - 297 EP - 311 SN - 07350015 AB - In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of substitution in the 1984–2002 period. The result is driven by the skewness of the cluster-based cross-sectional distribution of consumption growth, but cannot be explained by the cross-sectional variance and mean alone. We find that nine clusters are sufficient to explain the equity premium with relative risk aversion coefficient equal to six. The result is robust to various averaging schemes of cluster-based consumption growth used to construct the SDF. Lastly, the analysis reveals that standard approximation schemes of the SDF using individual household data produce unreliable results, implying a negative SDF. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RISK aversion KW - CONSUMPTION (Economics) KW - APPROXIMATION theory KW - STOCHASTIC analysis KW - UTILITY theory N1 - Accession Number: 75910519; Grishchenko, Olesya V. 1; Email Address: Olesya.V.Grishchenko@frb.gov; Rossi, Marco 2; Email Address: marco.rossi@nd.edu; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC, 20551; 2: Mendoza College of Business, University of Notre Dame, Notre Dame, IN, 46556; Issue Info: Apr2012, Vol. 30 Issue 2, p297; Thesaurus Term: RISK aversion; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: APPROXIMATION theory; Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: UTILITY theory; Number of Pages: 15p; Document Type: Article L3 - 10.1080/07350015.2012.670544 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=75910519&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2012-06012-003 AN - 2012-06012-003 AU - Schmeiser, Maximilian D. T1 - The impact of long‐term participation in the Supplemental Nutrition Assistance Program on child obesity. JF - Health Economics JO - Health Economics JA - Health Econ Y1 - 2012/04// VL - 21 IS - 4 SP - 386 EP - 404 CY - US PB - John Wiley & Sons SN - 1057-9230 SN - 1099-1050 AD - Schmeiser, Maximilian D., Board of Governors of the Federal Reserve System, Washington, DC, US, 20551 N1 - Accession Number: 2012-06012-003. PMID: 21305645 Partial author list: First Author & Affiliation: Schmeiser, Maximilian D.; Federal Reserve Board of Governors, Washington, DC, US. Release Date: 20120528. Correction Date: 20130114. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Government Programs; Nutrition; Obesity. Minor Descriptor: Body Mass Index; Pediatrics. Classification: Eating Disorders (3260); Health & Mental Health Services (3370). Population: Human (10); Male (30); Female (40). Location: US. Age Group: Childhood (birth-12 yrs) (100); Preschool Age (2-5 yrs) (160); School Age (6-12 yrs) (180); Adolescence (13-17 yrs) (200); Adulthood (18 yrs & older) (300); Young Adulthood (18-29 yrs) (320). Methodology: Empirical Study; Longitudinal Study; Quantitative Study. References Available: Y. Page Count: 19. Issue Publication Date: Apr, 2012. Publication History: First Posted Date: Feb 8, 2011; Accepted Date: Dec 16, 2010; Revised Date: Sep 28, 2010; First Submitted Date: Jan 5, 2010. Copyright Statement: John Wiley & Sons, Ltd. 2011. AB - Participation in the Supplemental Nutrition Assistance Program (SNAP) reached an all-time high of 40.2 million persons in March 2010, which means the program affects a substantial fraction of Americans. A significant body of research has emerged suggesting that participation in SNAP increases the probability of being obese for adult women and has little effect on the probability for adult men. However, studies addressing the effects of participation on children have produced mixed results. This paper examines the effect of long-term SNAP participation on the Body Mass Index (BMI) percentile and probability of being overweight or obese for children ages 5–18 using data from the National Longitudinal Survey of Youth 1979 Children and Young Adults data set. An instrumental variables identification strategy that exploits exogenous variation in state-level program parameters, as well as state and federal expansions of the Earned Income Tax Credit (EITC), is used to address the endogeneity between SNAP participation and obesity. SNAP participation is found to significantly reduce BMI percentile and the probability of being overweight or obese for boys and girls ages 5–11 and boys ages 12–18. For girls ages 12–18, SNAP participation appears to have no significant effect on these outcomes. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - Supplemental Nutrition Assistance Program KW - obesity KW - children KW - food stamps KW - body mass index KW - overweight KW - SNAP participation KW - 2012 KW - Government Programs KW - Nutrition KW - Obesity KW - Body Mass Index KW - Pediatrics KW - 2012 U1 - Sponsor: US Department of Agriculture, RIDGE Program, US. Recipients: No recipient indicated DO - 10.1002/hec.1714 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-06012-003&site=ehost-live&scope=site UR - max.schmeiser@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Board of Governors of the Federal Reserve System AD - Unlisted T1 - Methodology for Stress Scenario Projections JO - Economic and Financial Review JF - Economic and Financial Review Y1 - 2012///Spring VL - 19 IS - 1 SP - 3 EP - 41 SN - 13513621 N1 - Accession Number: 1313898; Keywords: Bank; Capital; Holding Companies; Macroeconomics; Reserves; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201208 N2 - This paper provides an overview of the analytical framework and empirical methods used by the Federal Reserve to make a supervisory assessment of the capital planning processes of bank holding companies (BHCs) over a nine-quarter planning horizon. The Comprehensive Capital Analysis and Review (CCAR) is the Federal Reserve's central mechanism for developing supervisory assessments of capital adequacy at BHCs. To maintain these capital plans, the Federal Reserve projects losses, revenues, expenses, and capital ratios for each of the 19 BHCs under a hypothetical severely adverse macroeconomic scenario. The stress scenario projections were calculated by using a set of models developed or selected by the Federal Reserve and incorporate detailed information about the risk characteristics and business activities of each BHC. Some results are presented. KW - Central Banks and Their Policies E58 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.eefclondon.org/pubs/efr.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1313898&site=ehost-live&scope=site UR - http://www.eefclondon.org/pubs/efr.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Francis, William B. AU - Osborne, Matthew T1 - Capital requirements and bank behavior in the UK: Are there lessons for international capital standards? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2012/03// VL - 36 IS - 3 M3 - Article SP - 803 EP - 816 SN - 03784266 AB - Abstract: The financial crisis prompted widespread interest in developing a better understanding of how capital regulation drives bank behavior. This paper uses a unique, comprehensive database of regulatory capital requirements on all UK banks to examine their effects on capital, lending and balance sheet management behavior. We find that capital requirements that include firm-specific, time-varying add-ons set by supervisors affect banks’ desired capital ratios and that resulting adjustments to capital and lending depend on the gap between actual and target ratios. We use these results to measure the effects of a capital regime that includes features similar to those embedded in the UK framework. Our results suggest that countercyclical capital requirements may be less effective in slowing credit activity when banks can readily satisfy them with lower-quality (lower-costing) capital elements versus higher-quality common equity. Given the size of the UK banking sector and the global nature of many of the largest institutions in the UK banking sector, the results have implications for the ongoing debate surrounding the design and calibration of international capital standards. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL requirements KW - FINANCIAL crises KW - FINANCIAL statements KW - BUSINESS enterprises KW - BANK compliance KW - DATABASES KW - EQUITY KW - UNITED States KW - Bank capital channel KW - Bank capital ratios KW - Bank credit supply KW - Countercyclical capital policy KW - Macroprudential tools KW - Regulatory capital requirements N1 - Accession Number: 71335376; Francis, William B. 1; Email Address: william.b.francis@frb.gov; Osborne, Matthew 2; Email Address: matthew.osborne@fsa.gov.uk; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Financial Services Authority, London, England E14 5HS, UK; Issue Info: Mar2012, Vol. 36 Issue 3, p803; Thesaurus Term: CAPITAL requirements; Thesaurus Term: FINANCIAL crises; Thesaurus Term: FINANCIAL statements; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: BANK compliance; Thesaurus Term: DATABASES; Subject Term: EQUITY; Subject: UNITED States; Author-Supplied Keyword: Bank capital channel; Author-Supplied Keyword: Bank capital ratios; Author-Supplied Keyword: Bank credit supply; Author-Supplied Keyword: Countercyclical capital policy; Author-Supplied Keyword: Macroprudential tools; Author-Supplied Keyword: Regulatory capital requirements; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jbankfin.2011.09.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=71335376&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pierce, Justin R. AU - Schott, Peter K. T1 - A concordance between ten-digit U.S. harmonized system codes and SIC/NAICS product classes and industries. JO - Journal of Economic & Social Measurement JF - Journal of Economic & Social Measurement Y1 - 2012/03// VL - 37 IS - 1/2 M3 - Article SP - 61 EP - 96 PB - IOS Press SN - 07479662 AB - While the relationship between international trade and domestic economic activity is an important topic in economics, research in this area has been slowed due to data limitations. In this paper we provide tools that improve the existing data in two ways. First, we develop an algorithm that yields concordances between the ten-digit Harmonized System (HS) codes used to classify products in U.S. international trade and the SIC and NAICS industry codes used to classify domestic economic activity. These concordances then yield novel time series of industry-level international trade data for the years 1989 to 2009. Second, we provide concordances between HS codes and the SIC and NAICS product classes used to classify U.S. manufacturing production, allowing for matching at a more disaggregated level than was previously available. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic & Social Measurement is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL trade KW - ECONOMICS KW - COMMERCIAL products KW - ECONOMIC activity KW - UNITED States KW - industry classification KW - International trade N1 - Accession Number: 82470198; Pierce, Justin R. 1; Schott, Peter K. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Yale School of Management and NBER, New Haven, CT, USA; Issue Info: 2012, Vol. 37 Issue 1/2, p61; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: ECONOMICS; Thesaurus Term: COMMERCIAL products; Thesaurus Term: ECONOMIC activity; Subject: UNITED States; Author-Supplied Keyword: industry classification; Author-Supplied Keyword: International trade; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 36p; Illustrations: 1 Diagram, 11 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=82470198&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FRYDMAN, CAROLA AU - MOLLOY, RAVEN T1 - Pay Cuts for the Boss: Executive Compensation in the 1940s. JO - Journal of Economic History JF - Journal of Economic History Y1 - 2012/03// VL - 72 IS - 1 M3 - Article SP - 225 EP - 251 SN - 14716372 AB - Executive pay fell during the 1940s, marking the last notable decrease in the past 70 years. We study this decline using a new panel data set on the remuneration of top executives in 246 firms. Government regulation—including explicit salary restrictions and taxation—had, at best, a modest effect on executive pay. By contrast, a decline in the returns to firm size and an increase in the power of labor unions contributed greatly to the reduction in executive compensation relative to other workers’ earnings from 1940 to 1946. The continued decrease in relative executive pay remains largely unexplained. [ABSTRACT FROM PUBLISHER] AB - Copyright of Journal of Economic History is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXECUTIVE compensation KW - WAGES KW - TAXATION -- United States KW - LABOR unions -- United States KW - HISTORY KW - COMMERCIAL policy KW - UNITED States -- Economic conditions -- 1918-1945 KW - UNITED States -- Economic conditions -- 1945-1960 KW - UNITED States N1 - Accession Number: 73900949; FRYDMAN, CAROLA 1 MOLLOY, RAVEN 2; Affiliation: 1: Assistant Professor of Economics, Boston University, 270 Bay State Road, Room 307, Boston, MA 02215; and NBER. E-mail: cfrydman@bu.edu. 2: Senior Economist, Federal Reserve Board of Governors, 20th and C Streets NW, Washington, DC 20551. E-mail: raven.s.molloy@frb.gov.; Source Info: Mar2012, Vol. 72 Issue 1, p225; Subject Term: EXECUTIVE compensation; Subject Term: WAGES; Subject Term: TAXATION -- United States; Subject Term: LABOR unions -- United States; Subject Term: HISTORY; Subject Term: COMMERCIAL policy; Subject Term: UNITED States -- Economic conditions -- 1918-1945; Subject Term: UNITED States -- Economic conditions -- 1945-1960; Subject Term: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 27p; Document Type: Article L3 - 10.1017/S002205071100249X UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=73900949&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Carpenter, Seth AU - Demiralp, Selva T1 - Money, reserves, and the transmission of monetary policy: Does the money multiplier exist? JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2012/03// VL - 34 IS - 1 M3 - Article SP - 59 EP - 75 SN - 01640704 AB - Abstract: With the use of non-traditional policy tools, the level of reserve balances has risen in the US from roughly $20 billion before the financial crisis to well past $1 trillion. The effect of reserve balances in macroeconomic models often comes through the money multiplier, affecting the money supply and the bank lending. In this paper, we document that the mechanism does not work through the standard multiplier model or the bank lending channel. If the level of reserve balances is expected to have an impact on the economy, it seems unlikely that a standard multiplier story will explain the effect. [Copyright &y& Elsevier] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMIC policy KW - FINANCIAL crises KW - ECONOMIC models KW - MONEY supply KW - BANK reserves KW - UNITED States KW - Lending channel KW - Monetary transmission mechanism KW - Money multiplier N1 - Accession Number: 72339456; Carpenter, Seth 1; Email Address: scarpenter@frb.gov; Demiralp, Selva 2; Email Address: sdemiralp@ku.edu.tr; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551, United States; 2: Department of Economics, Koc University, Rumeli Feneri Yolu, Sariyer, Istanbul 34450, Turkey; Issue Info: Mar2012, Vol. 34 Issue 1, p59; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ECONOMIC models; Thesaurus Term: MONEY supply; Thesaurus Term: BANK reserves; Subject: UNITED States; Author-Supplied Keyword: Lending channel; Author-Supplied Keyword: Monetary transmission mechanism; Author-Supplied Keyword: Money multiplier; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmacro.2011.09.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=72339456&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mandelman, Federico S. AU - Zlate, Andrei T1 - Immigration, remittances and business cycles JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2012/03// VL - 59 IS - 2 M3 - Article SP - 196 EP - 213 SN - 03043932 AB - Abstract: Using data on border enforcement and macroeconomic indicators from the U.S. and Mexico, we estimate a two-country business cycle model of labor migration and remittances. The model matches the cyclical dynamics of unskilled migration, and documents the insurance role of remittances in consumption smoothing. Over the cycle, immigration increases with the expected stream of future wage gains, but it is dampened by a sunk emigration cost. Migration barriers slow the adjustment of the stock of immigrant labor, enhancing the volatility of unskilled wages and remittances. Changes in border enforcement have asymmetric welfare implications for the skilled and unskilled households. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - BUSINESS models KW - CONSUMPTION (Economics) KW - PUBLIC welfare KW - EMIGRATION & immigration KW - VOLATILITY (Finance) KW - WAGES KW - MEXICO N1 - Accession Number: 73527750; Mandelman, Federico S. 1; Email Address: federico.mandelman@atl.frb.org; Zlate, Andrei 2; Email Address: andrei.zlate@frb.gov; Affiliations: 1: Federal Reserve Bank of Atlanta, Research Department, Atlanta, GA 30309, USA; 2: Board of Governors of the Federal Reserve System, Division of International Finance, Washington, DC 20551, USA; Issue Info: Mar2012, Vol. 59 Issue 2, p196; Thesaurus Term: BUSINESS cycles; Thesaurus Term: BUSINESS models; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PUBLIC welfare; Thesaurus Term: EMIGRATION & immigration; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: WAGES; Subject: MEXICO; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 624190 Other Individual and Family Services; NAICS/Industry Codes: 624230 Emergency and Other Relief Services; NAICS/Industry Codes: 525120 Health and Welfare Funds; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jmoneco.2012.01.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=73527750&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brueckner, Jan K. AU - Calem, Paul S. AU - Nakamura, Leonard I. T1 - Subprime mortgages and the housing bubble JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2012/03// VL - 71 IS - 2 M3 - Article SP - 230 EP - 243 SN - 00941190 AB - Abstract: This paper explores the link between the house-price expectations of mortgage lenders and the extent of subprime lending. It argues that bubble conditions in the housing market are likely to spur subprime lending, with favorable price expectations easing the default concerns of lenders and thus increasing their willingness to extend loans to risky borrowers. Since the demand created by subprime lending feeds back onto house prices, such lending also helps to fuel an emerging housing bubble. These ideas are illustrated in a theoretical model, and tentative support is found in empirical work exploring the connection between price expectations and the extent of subprime lending. [Copyright &y& Elsevier] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUBPRIME mortgages KW - MORTGAGES KW - HOME prices KW - SUBPRIME loans KW - HOUSING market KW - MONEYLENDERS KW - LOANS KW - EMPIRICAL research KW - Bubble KW - Default KW - Mortgage KW - Subprime N1 - Accession Number: 70023805; Brueckner, Jan K. 1; Email Address: jkbrueck@uci.edu; Calem, Paul S. 2; Email Address: Paul.Calem@frb.gov; Nakamura, Leonard I. 3; Email Address: Leonard.Nakamura@phil.frb.org; Affiliations: 1: Department of Economics, University of California, Irvine, 3151 Social Science Plaza, Irvine, CA 92697, United States; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; 3: Federal Reserve Bank of Philadelphia, 10 Independence Mall, Philadelphia, PA 19106, United States; Issue Info: Mar2012, Vol. 71 Issue 2, p230; Thesaurus Term: SUBPRIME mortgages; Thesaurus Term: MORTGAGES; Thesaurus Term: HOME prices; Thesaurus Term: SUBPRIME loans; Thesaurus Term: HOUSING market; Thesaurus Term: MONEYLENDERS; Thesaurus Term: LOANS; Thesaurus Term: EMPIRICAL research; Author-Supplied Keyword: Bubble; Author-Supplied Keyword: Default; Author-Supplied Keyword: Mortgage; Author-Supplied Keyword: Subprime; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 526913 Mortgage funds; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jue.2011.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=70023805&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ammer, John AU - Holland, Sara B. AU - Smith, David C. AU - Warnock, Francis E. T1 - U.S. International Equity Investment. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/03// IS - 1043-1045 M3 - Article SP - 1 EP - 62 AB - U.S. investors are the largest group of international equity investors in the world, but to date conclusive evidence on which types of foreign firms are able to attract U.S. investment is not available. Using a comprehensive dataset of all U.S. investment in foreign equities, we find that the single most important determinant of the amount of U.S. investment a foreign firm receives is whether the firm cross-lists on a U.S. exchange. Correcting for selection biases, cross-listing leads to a doubling (or more) in U.S. investment, an impact greater than all other factors combined. We also show that our firm-level analysis has implications for country-level studies, suggesting that research investigating equity investment patterns at the country-level should include cross-listing as an endogenous control variable. We describe easy-to-implement methods for including the importance of cross-listing at the country level [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITALISTS & financiers KW - STOCKS (Finance) KW - EXCHANGE KW - INVESTMENTS KW - UNITED States KW - Corporate Governance KW - Financial Disclosure KW - Home Bias KW - Portfolio Choice N1 - Accession Number: 76479548; Ammer, John 1; Holland, Sara B. 2; Smith, David C. 3; Warnock, Francis E. 4; Affiliations: 1: Chief of the Global Capital Markets section in the Division of International Finance of the Board of Governors of the Federal Reserve System; 2: Terry School of Business, University of Georgia; 3: McIntire School of Commerce, University of Virginia; 4: Darden Graduate School of Business Administration, University of Virginia; Issue Info: Mar2012, Issue 1043-1045, preceding p1; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: STOCKS (Finance); Thesaurus Term: EXCHANGE; Thesaurus Term: INVESTMENTS; Subject: UNITED States; Author-Supplied Keyword: Corporate Governance; Author-Supplied Keyword: Financial Disclosure; Author-Supplied Keyword: Home Bias; Author-Supplied Keyword: Portfolio Choice; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 64p; Illustrations: 12 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76479548&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Black, Lamont AU - Hazelwood, Lieu T1 - The Effect of TARP on Bank Risk-Taking. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/03// IS - 1043-1045 M3 - Article SP - 1 EP - 33 AB - One of the largest responses of the U.S. government to the recent financial crisis was the Troubled Asset Relief Program (TARP). TARP was originally intended to stabilize the financial sector through the increased capitalization of banks. However, recipients of TARP funds were then encouraged to make additional loans despite increased borrower risk. In this paper, we consider the effect of the TARP capital injections on bank risktaking by analyzing the risk ratings of banks' commercial loan originations during the crisis. The results indicate that, relative to non-TARP banks, the risk of loan originations increased at large TARP banks but decreased at small TARP banks. Interest spreads and loan levels also moved in different directions for large and small banks. For large banks, the increase in risk-taking without an increase in lending is suggestive of moral hazard due to government ownership. These results may also be due to the conflicting goals of the TARP program for bank capitalization and bank lending [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATIONS -- Finance KW - LOANS KW - BANKING industry KW - UNITED States KW - Banking KW - government regulation KW - macroeconomic stabilization policy KW - TROUBLED Asset Relief Program (U.S.) N1 - Accession Number: 76479547; Black, Lamont 1; Email Address: lamont.black@frb.gov; Hazelwood, Lieu 1; Affiliations: 1: Economist in the Division of International Finance and financial analyst in the Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; Issue Info: Mar2012, Issue 1043-1045, preceding p1; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: LOANS; Thesaurus Term: BANKING industry; Subject: UNITED States; Author-Supplied Keyword: Banking; Author-Supplied Keyword: government regulation; Author-Supplied Keyword: macroeconomic stabilization policy ; Company/Entity: TROUBLED Asset Relief Program (U.S.); NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 35p; Illustrations: 8 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76479547&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rice, Tara AU - Rose, Jonathan T1 - WHEN GOOD INVESTMENTS GO BAD: THE CONTRACTION IN COMMUNITY BANK LENDING AFTER THE 2008 GSE TAKEOVER. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2012/03// IS - 1043-1045 M3 - Article SP - 1 EP - 43 AB - In September 2008, the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac were placed into conservatorship and dividend payments on common and preferred shares were suspended. As a result, share prices fell to nearly zero and many banks across the country lost the value of their investments in the preferred shares. We estimate more than 600 depository institutions in the United States were exposed to at least $8 billion in investment losses from these securities. In addition, fifteen failures and two distressed mergers either directly or indirectly resulted from the takeover. Since these GSE investments were considered to be safe investments by banks, regulators, and rating agencies, we consider these losses to be exogenous shocks to bank capital, and use this event to examine the relationship between community bank condition and lending during this crisis. We find that in the quarter following the takeover of Fannie Mae and Freddie Mac, the measured Tier 1 capital ratio at exposed banks fell about three percent on average, and loan growth at exposed banks with median capitalization was about 2 percentage points lower compared to other banks in the following quarter. Consequently, considering the set of community banks that incurred about $2 billion in GSE-related losses, and assuming that each bank reduced loan growth by 2 percentage points, the estimated aggregate lending drop among these banks would be roughly $4 billion. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT-sponsored enterprises KW - DIVIDENDS KW - INVESTMENTS KW - CORPORATIONS -- Finance KW - COMMUNITY banks KW - UNITED States KW - Banking KW - credit contraction KW - financial crisis KW - government sponsored enterprise N1 - Accession Number: 76479549; Rice, Tara 1; Email Address: tara.n.rice@frb.gov; Rose, Jonathan 1; Email Address: jonathan.d.rose@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar2012, Issue 1043-1045, preceding p1; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: DIVIDENDS; Thesaurus Term: INVESTMENTS; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: COMMUNITY banks; Subject: UNITED States; Author-Supplied Keyword: Banking; Author-Supplied Keyword: credit contraction; Author-Supplied Keyword: financial crisis; Author-Supplied Keyword: government sponsored enterprise; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 45p; Illustrations: 9 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76479549&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Wei, Min T1 - Evolving macroeconomic perceptions and the term structure of interest rates JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2012/02// VL - 36 IS - 2 M3 - Article SP - 239 EP - 254 SN - 01651889 AB - Abstract: We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States over the past 40 years, we show that a recursively estimated VAR on real GDP growth, inflation and the nominal short-term interest rate generates predictions that are more consistent with survey forecasts than a benchmark fixed-coefficient counterpart. We then estimate a simple term structure model under the assumption that investor risk attitude is driven by near-term expectations of the three state variables. When we allow for evolving beliefs about the macroeconomy, the resulting term structure model provides a better fit to the cross section of yields than the benchmark model, especially at longer maturities, and exhibits better performance in out-of-sample predictions of future yield movements. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - YIELD curve (Finance) KW - INTEREST rates KW - FUTURES KW - ECONOMIC models KW - GROSS domestic product KW - Adaptive learning KW - Anticipated utility KW - Blue chip economic indicators KW - Macro term structure model KW - Real-time data KW - Recursive least squares KW - SPF KW - Survey forecasts N1 - Accession Number: 69952495; Orphanides, Athanasios 1; Email Address: http://www.centralbank.gov.cy; Wei, Min 2; Email Address: http://www.federalreserve.gov/research/staff/weiminx.htm; Affiliations: 1: Central Bank of Cyprus, 80 Kennedy Avenue, Nicosia, Cyprus; 2: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Washington, DC 20551, USA; Issue Info: Feb2012, Vol. 36 Issue 2, p239; Thesaurus Term: MACROECONOMICS; Thesaurus Term: YIELD curve (Finance); Thesaurus Term: INTEREST rates; Thesaurus Term: FUTURES; Thesaurus Term: ECONOMIC models; Thesaurus Term: GROSS domestic product; Author-Supplied Keyword: Adaptive learning; Author-Supplied Keyword: Anticipated utility; Author-Supplied Keyword: Blue chip economic indicators; Author-Supplied Keyword: Macro term structure model; Author-Supplied Keyword: Real-time data; Author-Supplied Keyword: Recursive least squares; Author-Supplied Keyword: SPF; Author-Supplied Keyword: Survey forecasts; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jedc.2011.08.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=69952495&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - WANG, JIAN AU - WU, JASON J. T1 - The Taylor Rule and Forecast Intervals for Exchange Rates. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2012/02// VL - 44 IS - 1 M3 - Article SP - 103 EP - 144 PB - Wiley-Blackwell SN - 00222879 AB - In this paper, we examine the Meese-Rogoff puzzle from a different perspective: out-of-sample interval forecasting. While most studies in the literature focus on point forecasts, we apply semiparametric interval forecasting to a group of exchange rate models. Forecast intervals for 10 OECD exchange rates are generated and the performance of the empirical exchange rate models are compared with the random walk. Our contribution is twofold. First, we find that in general, exchange rate models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting distributions of exchange rates. We also find that the benchmark Taylor rule model performs better than the monetary, PPP and forward premium models, and its advantages are more pronounced at longer horizons. Second, the bootstrap inference framework proposed in this paper for forecast interval evaluation can be applied in a broader context, such as inflation forecasting. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates -- Forecasting KW - INFLATION (Finance) -- Forecasting KW - ECONOMICS -- Research KW - PURCHASING power parity KW - MONETARY policy KW - RESEARCH KW - TAYLOR'S rule N1 - Accession Number: 70607173; WANG, JIAN 1; Email Address: jason.j.wu@frb.gov; WU, JASON J. 1; Email Address: jason.j.wu@frb.gov; Affiliations: 1: Jian Wang is at the Research Department, Federal Reserve Bank of Dallas ( E-mail: ). Jason J. Wu is at the Board of Governors of the Federal Reserve System ( E-mail: ).; Issue Info: Feb2012, Vol. 44 Issue 1, p103; Thesaurus Term: FOREIGN exchange rates -- Forecasting; Thesaurus Term: INFLATION (Finance) -- Forecasting; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: PURCHASING power parity; Thesaurus Term: MONETARY policy; Thesaurus Term: RESEARCH; Subject Term: TAYLOR'S rule; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 42p; Illustrations: 9 Charts, 2 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2011.00470.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=70607173&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - NALEWAIK, JEREMY J. T1 - Estimating Probabilities of Recession in Real Time Using GDP and GDI. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2012/02// VL - 44 IS - 1 M3 - Article SP - 235 EP - 253 PB - Wiley-Blackwell SN - 00222879 AB - This work estimates Markov switching models on real-time data and shows that the growth rate of gross domestic income (GDI), deflated by the gross domestic product (GDP) deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. In addition, the paper shows that the definition of a low-growth phase in the Markov switching models changed considerably from 1978 to 2005. The models increasingly came to define this phase as an extended period of around zero rather than negative growth, diverging somewhat from the traditional definition of a recession. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - MARKOV processes KW - RESEARCH KW - RECESSIONS KW - NEGATIVE growth (Economics) KW - BUSINESS cycles KW - REAL-time computing KW - HISTORY N1 - Accession Number: 70607166; NALEWAIK, JEREMY J. 1; Email Address: jeremy.j.nalewaik@frb.gov; Affiliations: 1: Jeremy J. Nalewaik is an Economist, at the Board of Governors of the Federal Reserve System ( E-mail: ).; Issue Info: Feb2012, Vol. 44 Issue 1, p235; Thesaurus Term: GROSS domestic product; Thesaurus Term: MARKOV processes; Thesaurus Term: RESEARCH; Thesaurus Term: RECESSIONS; Thesaurus Term: NEGATIVE growth (Economics); Thesaurus Term: BUSINESS cycles; Thesaurus Term: REAL-time computing; Subject Term: HISTORY; Number of Pages: 19p; Illustrations: 6 Charts, 10 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2011.00475.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=70607166&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP ID - 2012-14389-014 AN - 2012-14389-014 AU - Driscoll, John C. AU - Holden, Steinar ED - McDonald, Ian M. ED - McDonald, Ian M., (Ed) T1 - Fairness and inflation persistence. T2 - Behavioural macroeconomics. T3 - The international library of critical writings in economics Y1 - 2012/// SP - 259 EP - 270 CY - Northampton, MA, US PB - Edward Elgar Publishing SN - 978-1-78100-258-2 N1 - Accession Number: 2012-14389-014. Partial author list: First Author & Affiliation: Driscoll, John C.; Federal Reserve Board, US. Release Date: 20130527. Publication Type: Book (0200), Edited Book (0280). Format Covered: Print. Document Type: Chapter; Reprint. ISBN: 978-1-78100-258-2, Hardcover. Language: English. Major Descriptor: Economics; Economy; Salaries; Unemployment; Fairness. Minor Descriptor: Personnel. Classification: Social Processes & Social Issues (2900). Population: Human (10). Location: US. Intended Audience: Psychology: Professional & Research (PS). References Available: Y. Page Count: 12. AB - This reprinted article originally appeared in Journal of the European Economic Association, 2004(April-May), 2(2-3), 240-251. We argue that peoples' concern for fairness may explain an unsolved puzzle in macroeconomics: the persistence of inflation. We extend a 1990 wage-contracting model of Bhaskar in which workers' disutility from being paid less than other workers exceeds their utility from being paid more. This model generates a continuum of equilibria over a range of wages and unemployment rates. If workers' expectations are based on the past behavior of wage growth, these beliefs will be self-fulfilling, generating inflation persistence within, but not outside of, this range. Based on quarterly U.S. data over the period 1955-2000, we find evidence that inflation is more persistent between unemployment rates of 4.7 and 6.5% than outside these bounds. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - fairness KW - inflation KW - macroeconomics KW - workers KW - wages KW - equilibria KW - unemployment KW - 2012 KW - Economics KW - Economy KW - Salaries KW - Unemployment KW - Fairness KW - Personnel KW - 2012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-14389-014&site=ehost-live&scope=site UR - steinar.holden@econ.uio.no UR - John.C.Driscoll@frb.gov DP - EBSCOhost DB - psyh ER - TY - CHAP ID - 2012-14389-017 AN - 2012-14389-017 AU - Bowman, David AU - Minehart, Deborah AU - Rabin, Matthew ED - McDonald, Ian M. ED - McDonald, Ian M., (Ed) T1 - Loss aversion in a consumption-savings model. T2 - Behavioural macroeconomics. T3 - The international library of critical writings in economics Y1 - 2012/// SP - 307 EP - 330 CY - Northampton, MA, US PB - Edward Elgar Publishing SN - 978-1-78100-258-2 AD - Bowman, David, Board of Governors of the Federal Reserve System, Division of International Finance, Mail Stop 24, Washington, DC, US, 20551 N1 - Accession Number: 2012-14389-017. Partial author list: First Author & Affiliation: Bowman, David; Board of Governors of the Federal Reserve System, Division of International Finance, Washington, DC, US. Release Date: 20130527. Publication Type: Book (0200), Edited Book (0280). Format Covered: Print. Document Type: Chapter; Reprint. ISBN: 978-1-78100-258-2, Hardcover. Language: English. Major Descriptor: Consumer Behavior; Economics; Finance; Income Level; Theories. Classification: Consumer Attitudes & Behavior (3920). Population: Human (10). Location: Canada; France; Germany; Japan; United Kingdom. Intended Audience: Psychology: Professional & Research (PS). References Available: Y. Page Count: 24. AB - This reprinted article originally appeared in Journal of Economic Behavior and Organization, 1999(February), 38(2), 155-178. We propose a model of consumption and saving based on Kahneman and Tversky's Prospect Theory that implies a fundamental asymmetry in consumption behavior inconsistent with other models of consumption. When there is sufficient income uncertainty, a person resists lowering consumption in response to bad news about future income. This resistance is greater than the resistance to increasing consumption in response to good news. We present empirical evidence from five countries that confirms this behavior. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - consumption KW - saving KW - Prospect Theory KW - behavior KW - income KW - 2012 KW - Consumer Behavior KW - Economics KW - Finance KW - Income Level KW - Theories KW - 2012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2012-14389-017&site=ehost-live&scope=site DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Bottega, John A. AU - Powell, Linda F. T1 - Creating a linchpin for financial data: Toward a universal legal entity identifier JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2012/01// VL - 64 IS - 1 M3 - Article SP - 105 EP - 115 SN - 01486195 AB - Abstract: The financial industry, like many others, is powered by information and data. While the subjects of the data (balance sheet items or counterparty information, for example) may vary dramatically, they all describe a particular financial institution or legal entity. Yet a standard way to uniquely identify one financial entity from another does not currently exist. A Social Security number distinguishes one John Smith from another John Smith, but at present no single identifier distinguishes one First National Bank from another. This paper summarizes the current environment of entity identification and the problems that are currently encountered in both the private and public sectors by the lack of an industry-wide legal entity identifier (LEI). The key components that should be incorporated into the LEI, such as uniqueness, persistence, and public availability, are explored and possible alternative approaches to solving the LEI problem evaluated. The authors support a collaborative public- and private-sector approach and highlight the need for an international solution as financial markets grow ever more interconnected across the globe. [Copyright &y& Elsevier] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DATA analysis KW - FINANCIAL institutions KW - INFORMATION theory in economics KW - FINANCIAL statements KW - SECURITIES markets KW - PRIVATE sector KW - SOCIAL security KW - Data KW - Data access KW - Estimating and organizing microeconomic data KW - Methodology for collecting KW - Reference data N1 - Accession Number: 73767285; Bottega, John A. 1; Email Address: John.bottega@ny.frb.org; Powell, Linda F. 2; Email Address: Linda.powell@frb.gov; Affiliations: 1: Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045, United States; 2: Board of Governors of the Federal Reserve System, Mail Stop 158, 20th and C Streets, NW, Washington, DC 20551, United States; Issue Info: Jan2012, Vol. 64 Issue 1, p105; Thesaurus Term: DATA analysis; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: INFORMATION theory in economics; Thesaurus Term: FINANCIAL statements; Thesaurus Term: SECURITIES markets; Thesaurus Term: PRIVATE sector; Thesaurus Term: SOCIAL security; Author-Supplied Keyword: Data; Author-Supplied Keyword: Data access; Author-Supplied Keyword: Estimating and organizing microeconomic data; Author-Supplied Keyword: Methodology for collecting; Author-Supplied Keyword: Reference data; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 11p; Document Type: Article L3 - 10.1016/j.jeconbus.2011.06.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=73767285&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ohanian, Lee E. AU - Raffo, Andrea T1 - Aggregate hours worked in OECD countries: New measurement and implications for business cycles JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2012/01// VL - 59 IS - 1 M3 - Article SP - 40 EP - 56 SN - 03043932 AB - Abstract: We build a dataset of quarterly hours worked for 14 OECD countries. We document that hours are as volatile as output, that a large fraction of labor adjustment takes place along the intensive margin, and that the volatility of hours relative to output has increased over time. We use these data to reassess the Great Recession and prior recessions. The Great Recession in many countries is a puzzle in that labor wedges are small, while those in the U.S. Great Recession – and those in previous European recessions – are much larger. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC impact KW - BUSINESS cycles KW - ECONOMIC stabilization KW - VOLATILITY (Finance) KW - RECESSIONS KW - MEASUREMENT KW - WEDGES KW - UNITED States KW - OECD countries N1 - Accession Number: 71693694; Ohanian, Lee E. 1; Email Address: ohanian@econ.ucla.edu; Raffo, Andrea 2; Email Address: andrearaffo@hotmail.com; Affiliations: 1: UCLA, NBER, Hoover Institution, Department of Economics, 405 Hilgard Avenue, Los Angeles, CA 90024, United States; 2: Board of Governors of the Federal Reserve System, United States; Issue Info: Jan2012, Vol. 59 Issue 1, p40; Thesaurus Term: ECONOMIC impact; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: RECESSIONS; Subject Term: MEASUREMENT; Subject Term: WEDGES; Subject: UNITED States; Subject: OECD countries; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2011.11.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=71693694&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sun, Zheng AU - Wang, Ashley AU - Zheng, Lu T1 - The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance. JO - Review of Financial Studies JF - Review of Financial Studies Y1 - 2012/01// VL - 25 IS - 1 M3 - Article SP - 96 EP - 143 SN - 08939454 AB - We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the “Strategy Distinctiveness Index” (SDI). We document substantial cross-sectional variations as well as strong persistence in SDI. Our main result indicates that, on average, a higher SDI is associated with better subsequent performance. After adjusting for risk, funds in the highest SDI quintile outperform funds in the lowest quintile by 3.5% in the subsequent year. [ABSTRACT FROM PUBLISHER] AB - Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HEDGE funds KW - INVESTMENT advisors KW - HEDGE funds -- Rate of return KW - PORTFOLIO management (Investments) KW - ASSET allocation KW - PORTFOLIO performance N1 - Accession Number: 69708852; Sun, Zheng 1; Wang, Ashley 2; Zheng, Lu 3; Affiliations: 1: Paul Merage School of Business, University of California at Irvine; 2: Board of Governors of the Federal Reserve System; 3: Paul Merage School of Business, University of California at Irvine and China Academy of Financial Research; Issue Info: Jan2012, Vol. 25 Issue 1, p96; Thesaurus Term: HEDGE funds; Thesaurus Term: INVESTMENT advisors; Thesaurus Term: HEDGE funds -- Rate of return; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: ASSET allocation; Thesaurus Term: PORTFOLIO performance; NAICS/Industry Codes: 526917 Balanced funds / asset allocation funds; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 48p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=69708852&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Coenen, Gunter AU - Straub, Roland AU - Trabandt, Mathias AD - European Central Bank AD - European Central Bank AD - Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue N.W, Washington, DC 20551, USA. T1 - Fiscal policy and the great recession in the Euro area PB - European Central Bank, Working Paper Series: 1429 Y1 - 2012/// SP - 15 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1330839; Keywords: Fiscal policy, DSGE modelling, Bayesian inference, euro area.; Publication Type: Working Paper; Update Code: 201210 N2 - How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points. We obtain our result by using an extended version of the European Central Bank's New Area--Wide Model with a rich specification of the fiscal sector. A detailed modeling of the fiscal sector and the incorporation of as many as eight fiscal time series appear pivotal for our result. KW - Bayesian Analysis: General C11 KW - Business Fluctuations; Cycles E32 KW - Fiscal Policy E62 L3 - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1429.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1330839&site=ehost-live&scope=site UR - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1429.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Gunter AU - Straub, Roland AU - Trabandt, Mathias AD - European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany. AD - European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany. AD - Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue N.W, Washington, DC 20551, USA. T1 - Fiscal policy and the great recession in the Euro area PB - European Central Bank, Working Paper Series: 1429 Y1 - 2012/// SP - 15 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1310973; Keywords: Fiscal policy, DSGE modelling, Bayesian inference, euro area.; Publication Type: Working Paper; Update Code: 201207 N2 - How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points. We obtain our result by using an extended version of the European Central Bank's New Area-Wide Model with a rich specification of the fiscal sector. A detailed modeling of the fiscal sector and the incorporation of as many as eight fiscal time series appear pivotal for our result. KW - Bayesian Analysis: General C11 KW - Business Fluctuations; Cycles E32 KW - Fiscal Policy E62 L3 - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1429.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1310973&site=ehost-live&scope=site UR - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1429.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Reisman, Erica L. AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System T1 - Evaluating a Global Vector Autoregression for Forecasting PB - The George Washington University, Department of Economics, Research Program on Forecasting, Working Papers: 2012-006 Y1 - 2012/// SP - 21 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348169; Keywords: cointegration, error correction, forecasting, GVAR, impulse indicator saturation, model design, model evaluation, model selection, parameter constancy, VAR; Publication Type: Working Paper; Update Code: 201301 N2 - Global vector autoregressions (GVARs) have several attractive features: multiple potential channels for the international transmission of macroeconomic and financial shocks, a standardized economically appealing choice of variables for each country or region examined, systematic treatment of long-run properties through cointegration analysis, and flexible dynamic specification through vector error correction modeling. Pesaran, Schuermann, and Smith (2009) generate and evaluate forecasts from a paradigm GVAR with 26 countries, based on Dees, di Mauro, Pesaran, and Smith (2007). The current paper empirically assesses the GVAR in Dees, di Mauro, Pesaran, and Smith (2007) with impulse indicator saturation (IIS)--a new generic procedure for evaluating parameter constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C32 KW - Open Economy Macroeconomics F41 L3 - http://www.gwu.edu/~forcpgm/2012-006.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348169&site=ehost-live&scope=site UR - http://www.gwu.edu/~forcpgm/2012-006.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Gunter AU - Straub, Roland AU - Trabandt, Mathias AD - European Central Bank AD - European Central Bank AD - Board of Governors of the Federal Reserve System T1 - Gauging the effects of fiscal stimulus packages in the euro area PB - European Central Bank, Working Paper Series: 1483 Y1 - 2012/// SP - 47 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1347886; Keywords: Fiscal policy, fiscal multiplier, European Economic Recovery Plan, DSGE modelling, Bayesian inference, euro area; Publication Type: Working Paper; Update Code: 201301 N2 - We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008-09. To do so, we estimate an extended version of the ECB's New Area-Wide Model with a richly specified fiscal sector. The estimation results point to the existence of important complementarities between private and government consumption and, to a lesser extent, between private and public capital. We first examine the implied present-value multipliers for seven distinct fiscal instruments and show that the estimated complementarities result in fiscal multipliers larger than one for government consumption and investment. We highlight the importance of monetary accommodation for these findings. We then show that the EERP, if implemented as initially enacted, had a sizeable, although short-lived impact on euro area GDP. Since the EERP comprised both revenue and expenditure-based fiscal stimulus measures, the total multiplier is below unity. KW - Bayesian Analysis: General C11 KW - Business Fluctuations; Cycles E32 KW - Fiscal Policy E62 L3 - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1483.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1347886&site=ehost-live&scope=site UR - http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1483.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ajello, Andrea AU - Benzoni, Luca AU - Chyruk, Olena AD - Board of Governors of the Federal Reserve System AD - Federal Reserve Bank of Chicago AD - Federal Reserve Bank of Chicago T1 - Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates PB - Federal Reserve Bank of Chicago, Working Paper Series: WP-2014-11 Y1 - 2012/// SP - 57 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1480231; Keywords: term structure of interest rates; real rates; inflation; inflation risk premium; real rate risk premium; Publication Type: Working Paper; Update Code: 201502 N2 - We propose a no-arbitrage model that jointly explains the dynamics of consumer prices as well as the nominal and real term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations: Shocks to core are more persistent and less volatile than shocks to food and, especially, energy (the 'crust'). We find that a common structure of latent factors determines and predicts the term structure of yields and inflation. The model outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates implied by our model uncover the presence of a time-varying component in TIPS yields that we attribute to disruptions in the inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates the changing nature of inflation risk in nominal Treasuries. KW - Price Level; Inflation; Deflation E31 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 KW - Interest Rates: Determination, Term Structure, and Effects E43 KW - Financial Markets and the Macroeconomy E44 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://www.chicagofed.org/digital_assets/publications/working_papers/2014/wp2014_11.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1480231&site=ehost-live&scope=site UR - http://www.chicagofed.org/digital_assets/publications/working_papers/2014/wp2014_11.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AU - Schott, Peter K. AD - Unlisted AD - Unlisted T1 - A concordance between ten-digit U.S. Harmonized System codes and SIC/NAICS product classes and industries PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-15 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311109; Publication Type: Working Paper; Update Code: 201207 N2 - While the relationship between international trade and domestic economic activity is an important topic in economics, research in this area has been slowed due to data limitations. In this paper we provide tools that improve the existing data in two ways. First, we develop an algorithm that yields concordances between the ten-digit Harmonized System (HS) codes used to classify products in U.S. international trade and the SIC and NAICS industry codes used to classify domestic economic activity. These concordances then yield novel time series of industry-level international trade data for the years 1989 to 2009. Second, we provide concordances between HS codes and the SIC and NAICS product classes used to classify U.S. manufacturing production, allowing for matching at a more disaggregated level than was previously available. L3 - http://www.federalreserve.gov/pubs/feds/2012/201215/201215pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311109&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201215/201215pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chauvet, Marcelle AU - Senyuz, Zeynep AD - Unlisted AD - Unlisted T1 - A dynamic factor model of the yield curve as a predictor of the economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-32 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311126; Publication Type: Working Paper; Update Code: 201207 N2 - In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at the monthly frequency. The proposed nonlinear multivariate dynamic factor model takes into account not only the popular term spread but also information extracted from the level and curvature of the yield curve and from macroeconomic variables. The nonlinear model is used to investigate the interrelationship between the phases of the bond market and of the business cycle. The results indicate a strong interrelation between these two sectors. The proposed factor model of the yield curve exhibits substantial incremental predictive value compared to several alternative specifications. This result holds in-sample and out-of-sample, using revised or real time unrevised data. L3 - http://www.federalreserve.gov/pubs/feds/2012/201232/201232pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311126&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201232/201232pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stella, Andrea AU - Stock, James H. AD - Unlisted AD - Unlisted T1 - A state-dependent model for inflation forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1062 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348057; Publication Type: Working Paper; Update Code: 201301 N2 - We develop a parsimonious bivariate model of inflation and unemployment that allows for persistent variation in trend inflation and the NAIRU. The model, which consists of five unobserved components (including the trends) with stochastic volatility, implies a time-varying VAR for changes in the rates of inflation and unemployment. The implied backwards-looking Phillips curve has a time-varying slope that is steeper in the 1970s than in the 1990s. Pseudo out-of-sample forecasting experiments indicate improvements upon univariate benchmarks. Since 2008, the implied Phillips curve has become steeper and the NAIRU has increased. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1062/ifdp1062.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348057&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1062/ifdp1062.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AD - Unlisted T1 - An extensive look at taxes: how does endogenous retirement affect optimal taxation? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-28 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311122; Publication Type: Working Paper; Update Code: 201207 N2 - This paper considers the impact on optimal tax policy of including endogenously determined retirement in a life cycle model. Allowing individuals to determine when they retire causes the optimal tax on capital to increase by 75% because of two implicit changes in the aggregate labor supply elasticity. First, including endogenous retirement causes an increase in the overall aggregate labor supply elasticity since agents can change their labor supply on both the intensive and extensive margins. In response, the government limits the distortions from the tax policy by lowering the tax on labor and increases the tax on capital. Second, given that the choice to retire is more relevant for older individuals, endogenous retirement disproportionately increases older agent's elasticity compared to younger individuals. Ideally, the government would decrease the relative labor income tax on individuals when they are older and supply labor more elastically. However, in the absence of age-dependent taxes, the government mimics such a tax policy by further increasing the tax on capital. I find that the welfare lost from not accounting for endogenous retirement when solving for the optimal tax policy is equivalent to approximately one percent of lifetime consumption. L3 - http://www.federalreserve.gov/pubs/feds/2012/201228/201228pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311122&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201228/201228pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bech, Morten L. AU - Klee, Elizabeth AU - Stebunovs, Viktors AD - Unlisted AD - Unlisted AD - Unlisted T1 - Arbitrage, liquidity and exit: the repo and federal funds markets before, during, and emerging from the financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-21 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311115; Publication Type: Working Paper; Update Code: 201207 N2 - This paper examines the link between the federal funds and repo markets, before, during, and emerging from the financial crisis that began in August 2007. In particular, the paper investigates the initial transmission of monetary policy to closely related money markets, pricing of risk, and liquidity effects, and then shows how these could interact if the Federal Reserve removes the substantial amount of liquidity currently in the federal funds market. The results suggest that pass-through from the federal funds rate to the repo deteriorated somewhat during the zero lower bound period, likely due to limits to arbitrage and idiosyncratic market factors. In addition, during the early part of the crisis, the pricing of federal funds, which are unsecured loans, indicated a marked jump in perceived credit risk. Moreover, the liquidity effect for the federal funds rate, or the change in the federal funds rate associated with an exogenous change in reserve balances, weakened greatly with the increase in supply of these balances over the crisis, implying a non-linear demand for federal funds. Using these analyses, the paper then shows simulations of the dynamic effects and balance sheet mechanics of liquidity draining on the federal funds and repo rates--a tool that might be used in an exit strategy to tighten monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2012/201221/201221pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311115&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201221/201221pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Blonigen, Bruce A. AU - Liebman, Benjamin H. AU - Pierce, Justin R. AU - Wilson, Wesley W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are all trade policies created equal? empirical evidence for nonequivalent market power effects of tariffs and quotas PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-17 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311111; Publication Type: Working Paper; Update Code: 201207 N2 - Over the past 50 years, the steel industry has been protected by a wide variety of trade policies, both tariff- and quota-based. We exploit this extensive heterogeneity in trade protection to examine the well-established theoretical literature predicting nonequivalent effects of tariffs and quotas on domestic firms' market power. Using plant-level Census Bureau data for steel plants from 1967-2002, we find evidence for significant market power effects for binding quota-based protection, but not tariff-based protection, particularly with respect to integrated and minimill steel producers. Our results are robust to calculation with two standard measures of market power and controlling for potential endogeneity of trade policies. L3 - http://www.federalreserve.gov/pubs/feds/2012/201217/201217pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311111&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201217/201217pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lee, Seung Jung AU - Stebunovs, Viktors AD - Unlisted AD - Unlisted T1 - Bank capital ratios and the structure of nonfinancial industries PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-53 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331021; Publication Type: Working Paper; Update Code: 201210 N2 - We exploit variation in commercial bank capital ratios across states to identify the impact of commercial bank balance sheet pressures manifested through changes in capital ratios on employment in the manufacturing sector. For industries dependent on external finance, we find that an increase in the capital ratio has no statistically significant effect on net firm creation, but has an economically significant impact on average firm size, as measured in the number of employees. Our findings indicate a lack of substitutes for bank funding both in the short and long run. This lack of substitutes implies a notable adverse impact of balance sheet pressures on employment in industries dependent on external sources of funding. Our results highlight the potential effects that bank balance sheet pressures, for example, from tightening capital adequacy standards, such as Basel III, may have on nonfinancial firm dynamics. L3 - http://www.federalreserve.gov/pubs/feds/2012/201253/201253pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331021&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201253/201253pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Iacoviello, Matteo AU - Minetti, Raoul AD - Unlisted AD - Unlisted AD - Unlisted T1 - Banks, sovereign debt and the international transmission of business cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1067 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348062; Publication Type: Working Paper; Update Code: 201301 N2 - This paper studies the international propagation of sovereign debt default. We posit a two-country economy where capital constrained banks grant loans to firms and invest in bonds issued by the domestic and the foreign government. The model economy is calibrated to data from Europe, with the two countries representing the Periphery (Greece, Italy, Portugal and Spain) and the Core, respectively. Large contractionary shocks in the Periphery trigger sovereign default. We find sizable spillover effects of default from Periphery to the Core through a drop in the volume of credit extended by the banking sector. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1067/ifdp1067.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348062&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1067/ifdp1067.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Welch, Michelle AD - Unlisted AD - Unlisted T1 - Can macro variables used in stress testing forecast the performance of banks? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-49 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331017; Publication Type: Working Paper; Update Code: 201210 N2 - When stress tests for the banking sector use a macroeconomic scenario, an unstated premise is that macro variables should be useful factors in forecasting the performance of banks. We assess whether variables such as the ones included in stress tests for U.S. bank holding companies help improve out of sample forecasts of chargeoffs on loans, revenues, and capital measures, relative to forecasting models that exclude a role for macro factors. Using only public data on bank performance, we find the macro variables helpful, but not for all measures. Moreover, even our best-performing models imply bands of uncertainty around the forecasts so large as to make it challenging to distinguish the implications of alternative macro scenarios. L3 - http://www.federalreserve.gov/pubs/feds/2012/201249/201249pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331017&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201249/201249pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Li, Dan AU - Milbourn, Todd AD - Unlisted AD - Unlisted AD - Unlisted T1 - CEO pay and the market for CEOs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-39 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331007; Publication Type: Working Paper; Update Code: 201210 N2 - Competitive sorting models of the CEO labor market (e.g., Edmans, Gabaix and Landier (2009)) predict that differences in CEO productive abilities, or "talent", should be an important determinant of CEO pay. However, measuring CEO talent empirically represents a major challenge. In this paper, we document reliable evidence of pay for CEO credentials and argue that the evidence is consistent with models of the CEO labor market. Our main finding is that boards' compensation decisions reward several reputational, career, and educational credentials of CEOs, with newly-appointed CEOs earning a 5 percent ($280,000) total pay premium for each decile improvement in the distribution of these credentials. Consistent with boards using credentials as publicly-observable signals of CEO abilities, we show that pay for credentials displays key cross-sectional features predicted by theory, such as convexity in credentials and complementarity with firm size. Our main finding is robust to a battery of identification tests that address selectivity and endogeneity concerns, including instrumental variables estimates and controlling for firm and CEO fixed effects. We also show that credentials capture variation in CEO human capital that is different from lifetime work experience, and are positively related to long-term firm performance and board monitoring, which helps to distinguish our results from alternative stories based on CEO general human capital, hype, and entrenchment. Overall, our findings suggest that sorting considerations in the CEO labor market are an important determinant of CEO pay. Our results also suggest that the rise in CEO pay over the last decades may owe at least in part to a rise in the CEO talent premium. L3 - http://www.federalreserve.gov/pubs/feds/2012/201239/201239pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331007&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201239/201239pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Kadyrzhanova, Dalida AD - Unlisted AD - Unlisted T1 - CEO successions and firm performance in the US financial industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-79 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348042; Publication Type: Working Paper; Update Code: 201301 N2 - This paper examines the labor market for CEOs in the financial sector from 1988 to 2007, using a new hand-collected sample of 1,655 CEO successions. We document that there is a significant role of outside successions, as about one out of two successions involves an outside hire. In addition, using difference-in-differences estimates, we study the link between the labor market for finance CEOs and firm performance. We document that (1) there is a large performance gap between inside and outside successions, as outside successions are followed by significantly larger improvements in firm performance; (2) the performance gap between outside and inside successions is larger for firms with an insider dominated board of directors; (3) the performance gap widened after an important deregulation event (the 1999 Gramm-Leach-Bliley Act). These results are robust to using a battery of firm performance measures (short-run and long-run stock market returns, and several long-run operating performance measures) and a matched sample approach to address selection issues. Overall, our findings suggest that managerial human capital is very valuable in the financial industry, and weak internal governance hurts firm performance by limiting the scope of labor market competition. L3 - http://www.federalreserve.gov/pubs/feds/2012/201279/201279pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348042&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201279/201279pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bassett, William F. AU - Chosak, Mary Beth AU - Driscoll, John C. AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Changes in bank lending standards and the macroeconomy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-24 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311118; Publication Type: Working Paper; Update Code: 201207 N2 - Identifying the macroeconomic effects of credit supply disruptions is difficult because many of the same factors that influence the supply of bank loans can also affect the demand for credit. Using bank-level responses to the Federal Reserve's Senior Loan Officer Opinion Survey, we decompose the reported changes in lending standards--a commonly-used indicator of changes in credit supply conditions--into a component that captures the change in banks' lending posture in response to bank-specific and macroeconomic factors that also affect loan demand and a residual component, which provides a cleaner measure of fluctuations in the effective supply of bank-intermediated credit. When included in a standard VAR framework, shocks to our measure of loan supply are associated with substantial declines in output and in the capacity of businesses and households to borrow from the banking sector, as well as with a sharp widening of credit spreads and a significant easing of monetary policy. We corroborate the interpretation of our series as movements in the supply of bank loans using a detailed loan-level data set: A regression of individual loan amounts on the corresponding interest rate spreads--where the latter is instrumented with our bank-level loan-supply shifter--yields the semi-elasticity of loan demand between -1.0 and -1.5. L3 - http://www.federalreserve.gov/pubs/feds/2012/201224/201224pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311118&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201224/201224pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Leduc, Sylvain AD - Unlisted AD - Unlisted T1 - Commodity price movements in a general equilibrium model of storage PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1054 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331047; Publication Type: Working Paper; Update Code: 201210 N2 - We embed the canonical rational expectations competitive storage model into a general equilibrium framework thereby allowing the non-linear commodity price dynamics implied by the competitive storage model to interact with the broader macroeconomy. Our main result is that the endogenous movement in interest rates implied under general equilibrium enhances the effects of competitive storage on commodity prices. Compared to a model in which the real interest rate is fixed, we find that storage in general equilibrium leads to more persistence in commodity prices and somewhat lower volatility. Moreover, the frequency of stockouts is lower in general equilibrium. A key mechanism driving this result is a link between the ability of the household to smooth consumption over time and the level of storage in the stochasic equilibrium. Finally, the model is used to examine the macroeconomic effects of both biofuel subsidies for ethanol producers and, separately, subsidies designed to insulate households from high food prices. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1054/ifdp1054.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331047&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1054/ifdp1054.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Fernandez-Villaverde, Jesus AU - Rubio-Ramirez, Juan F. AU - Wen, Yao AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Computing DSGE models with recursive preferences and stochastic volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-04 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291142; Publication Type: Working Paper; Update Code: 201204 N2 - This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that perturbations are competitive in terms of accuracy with Chebyshev polynomials and value function iteration while being several orders of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems. L3 - http://www.federalreserve.gov/pubs/feds/2012/201204/201204pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291142&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201204/201204pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AU - Schott, Peter K. AD - Unlisted AD - Unlisted T1 - Concording U.S. Harmonized System categories over time PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-16 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311110; Publication Type: Working Paper; Update Code: 201207 N2 - Monitoring changes to product classification systems is an important component of a wide range of empirical research. In this paper we develop an algorithm for concording periodic revisions to the ten-digit Harmonized System (HS) codes used by U.S. statistical agencies to categorize international trade since 1989. We use this algorithm to construct the first comprehensive concordance of HS codes over time, and show how this concordance can be extended to incorporate future revisions. We then characterize the extent of HS-code changes since 1989 and discuss how controlling for these revisions is critical for understanding the growth of U.S. trade. Lastly, we highlight the general applicability of the algorithm to other national and international product classification systems. L3 - http://www.federalreserve.gov/pubs/feds/2012/201216/201216pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311110&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201216/201216pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AD - Unlisted T1 - Consolidation and merger activity in the United States banking industry from 2000 through 2010 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-51 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331019; Publication Type: Working Paper; Update Code: 201210 N2 - This study investigates trends in consolidation and merger activity in the United States banking industry from 2000 through 2010. Over this period, the U.S. banking industry has consistently experienced over 150 mergers annually, with the largest banking organizations holding an increasing share of banking assets. While the industry has undergone considerable consolidation at the national level, local banking markets have not experienced significant increases in concentration. The dynamics of consolidation raise concerns about competition, output, efficiency, and financial stability. This study uses a comprehensive proprietary data set to examine mergers and acquisitions involving banks and thrifts. The methodology in this paper expands the definition of mergers to include more types of transactions than previous studies on bank mergers. L3 - http://www.federalreserve.gov/pubs/feds/2012/201251/201251pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331019&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201251/201251pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramcharan, Rodney AU - Raghuram, Rajan G. AD - Unlisted AD - Unlisted T1 - Constituencies and legislation: the fight over the McFadden Act of 1927 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-61 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331029; Publication Type: Working Paper; Update Code: 201210 N2 - The McFadden Act of 1927 was one of the most hotly contested pieces of legislation in U.S. banking history, and its influence was still felt over half a century later. The act was intended to force states to accord the same branching rights to national banks as they accorded to state banks. By uniting the interests of large state and national banks, it also had the potential to expand the number of states that allowed branching. Congressional votes for the act therefore could reflect the strength of various interests in the district for expanded banking competition. We find congressmen in districts in which landholdings were concentrated (suggesting a landed elite), and where the cost of bank credit was high and its availability limited (suggesting limited banking competition and high potential rents), were significantly more likely to oppose the act. The evidence suggests that while the law and the overall regulatory structure can shape the financial system far into the future, they themselves are likely to be shaped by well organized elites, even in countries with benign political institutions. L3 - http://www.federalreserve.gov/pubs/feds/2012/201261/201261pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331029&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201261/201261pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Meisenzahl, Ralf R. AU - Sullivan, Briana D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit line use and availability in the financial crisis: the importance of hedging PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-27 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311121; Publication Type: Working Paper; Update Code: 201207 N2 - What determined the corporate use of credit lines in the recent financial crisis? To address this question we hand-collect data on credit lines and interest rate hedging for a random sample of 600 COMPUSTAT firms. We document that drawdowns of credit lines had already increased in 2007, earlier than what previous work has found. The surge in drawdowns occurred precisely when disruptions in bank funding markets began. In addition, we distinguish unused and available portions of credit lines, which we then use to disentangle credit supply and credit demand effects. On the supply side, we find covenant-induced reduction of credit supply to be small, and almost no evidence of credit line cancelations. On the demand side, our results confirm that while smaller and lower-rated firms use their credit lines more intensively in general, larger and higher-rated firms were more likely to draw on their credit lines during the crisis. We find that firms that use interest rate swaps to hedge the interest rate risk associated with their credit lines draw down significantly more from those lines than non-hedged firms. L3 - http://www.federalreserve.gov/pubs/feds/2012/201227/201227pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311121&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201227/201227pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Gilchrist, Simon AU - Wright, Jonathan H. AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-77 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348040; Publication Type: Working Paper; Update Code: 201301 N2 - Employing a large number of financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios--constructed directly from the secondary market prices of outstanding bonds--sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically-sensitive measures of economic activity at horizons from the current quarter out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe almost exclusively to the inclusion of credit spreads in the set of predictors. L3 - http://www.federalreserve.gov/pubs/feds/2012/201277/201277pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348040&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201277/201277pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AD - Unlisted T1 - Crisis and calm: Demand for U.S. currency at home and abroad from the fall of the Berlin Wall to 2011 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1058 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348053; Publication Type: Working Paper; Update Code: 201301 N2 - U.S. currency has long been a desirable store of value and medium of exchange in times and places where local currency or bank deposits are inferior in one or more respects. Indeed, as noted in earlier work, a substantial share of U.S. currency circulates outside the United States. Although precise measurements of stocks and flows of U.S. currency outside the United States are not available, a variety of data sources and methods have been developed to provide estimates.; This paper reviews the raw data available for measuring international banknote flows and presents updates on indirect methods of estimating the stock of currency held abroad: the seasonal method and the biometric method. These methods require some adjustments, but they continue to indicate that a large share of U.S. currency is held abroad, especially in the $100 denomination. In addition to these existing indirect methods, I develop a framework and basic variants of a new method to estimate the share of U.S. currency held abroad.; Although the methods and estimates are disparate, they provide support for several hypotheses regarding cross-border dollar stocks and flows. First, once a country or region begins using dollars, subsequent crises result in additional inflows: the dominant sources of international demand over the past decade and a half are the countries and regions that were known to be heavy dollar users in the early to mid-1990s. Second, economic stabilization and modernization appear to result in reversal of these inflows. Specifically, demand for U.S. currency was extremely strong through the 1990s, a period of turmoil for the former Soviet Union and for Argentina, two of the largest overseas users of U.S. currency. Demand eased in the early 2000s as conditions gradually stabilized and as financial institutions developed. However, this trend reversed sharply with the onset of the financial crisis in late 2008 and has continued since then. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1058/ifdp1058.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348053&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1058/ifdp1058.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Do creditor rights increase employment risk? evidence from debt covenants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-42 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331010; Publication Type: Working Paper; Update Code: 201210 N2 - This paper studies whether financial contracts exacerbate or mitigate agency conflicts among stakeholders. We consider a specific contractual provision, debt covenants, and examine how, by allocating control rights between shareholders and debtholders, debt covenants affect the employment relationship. We analyze the role of covenants in both public (bonds) and private (loans) debt contracts. For public debt covenants, we estimate dynamic employment equations and find a significant negative effect of leverage on employment only for firms with relatively high covenant protection. For private debt covenants, we use a regression discontinuity design and document sizable job cuts following a covenant violation. Overall, these findings suggest that creditor rights increase employment risk. As such, they complement the recent literature on financial covenants by showing that covenants affect a broader set of operating decisions than previously recognized. Moreover, the results contribute to our understanding of the consequences of the allocation of control rights within the firm by identifying a specific risk-shifting channel from debtholders to employees. L3 - http://www.federalreserve.gov/pubs/feds/2012/201242/201242pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331010&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201242/201242pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kilian, Lutz AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted T1 - Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1050 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331042; Publication Type: Working Paper; Update Code: 201210 N2 - There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil price in recent years and that (2) oil price decreases do not matter at all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class of nonlinear models to alternative economically plausible nonlinear specifications and examine which aspect of the model is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained from symmetric nonlinear models based on the three-year net oil price change. Finally, we quantify the extent to which the 2008 recession could have been forecast using the latter class of time-varying threshold models. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1050/ifdp1050.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331042&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1050/ifdp1050.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - Do recessions affect potential output? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1066 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348061; Publication Type: Working Paper; Update Code: 201301 N2 - A number of previous studies have looked at the effect of financial crises on actual output several years beyond the crisis. The purpose of this paper is to examine whether the growth of potential output also is affected by recessions, whether or not they include financial crises. Trend per capita output growth is calculated using HP filters, and average growth is compared for the two years preceding a recession, the two years immediately following a recession peak, and the two years after that. Panel regressions are run to determine whether characteristics of recessions, including depth, length, extent to which they are synchronized across countries, and whether or not they include a financial crisis, can explain the cumulative four-year loss in the level of potential output following an output peak preceding a recession. The main result is that the depth of a recession has a significant effect on the loss of potential for advanced countries, while the length is important for emerging markets. These results imply that the Great Recession might have resulted in declines in trend output growth averaging about 3 percent for the advanced economies, but appear to have had little effect on emerging market trend growth. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1066/ifdp1066.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348061&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1066/ifdp1066.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thompson, Jeffrey P. AU - Leight, Elias AD - Unlisted AD - Unlisted T1 - Do rising top income shares affect the incomes or earnings of low and middle-income families? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-76 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348039; Publication Type: Working Paper; Update Code: 201301 N2 - This paper uses US state panel data to explore the relationship between the share of income received by affluent households and the level of income and earnings received by low and middle-income families. A rising top share of income can potentially lead to increases in the incomes of low and middle-income families if economic growth is sufficiently responsive to increases in inequality. A substantial literature on the impacts of inequality on economic growth exists, but has failed to achieve consensus, with various studies finding positive impacts, negative impacts, and no impacts on growth from increased levels of income inequality. This paper departs from that literature by exploring the effect of inequality on the standard of living of middle-income and low-income families. In the context of rising inequality, increased overall growth is not necessarily a suitable proxy for overall standard of living, since growth patterns are not always uniform for the entire income distribution. The results of this study indicate that increases in the top share of income (particularly the top one percent) are associated with declines in the actual incomes (and earnings) of middle income families, but have no clear impact on families at the bottom of the income distribution. L3 - http://www.federalreserve.gov/pubs/feds/2012/201276/201276pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348039&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201276/201276pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ivashina, Victoria AU - Scharfstein, David S. AU - Stein, Jeremy C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Dollar funding and the lending behavior of global banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-74 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348045; Publication Type: Working Paper; Update Code: 201301 N2 - A large share of dollar-denominated lending is done by non-U.S. banks, particularly European banks. We present a model in which such banks cut dollar lending more than euro lending in response to a shock to their credit quality. Because these banks rely on wholesale dollar funding, while raising more of their euro funding through insured retail deposits, the shock leads to a greater withdrawal of dollar funding. Banks can borrow in euros and swap into dollars to make up for the dollar shortfall, but this may lead to violations of covered interest parity (CIP) when there is limited capital to take the other side of the swap trade. In this case, synthetic dollar borrowing becomes expensive, which causes cuts in dollar lending. We test the model in the context of the Eurozone sovereign crisis, which escalated in the second half of 2011 and resulted in U.S. money-market funds sharply reducing their funding to European banks. Coincident with the contraction in dollar funding, there were significant violations of euro-dollar CIP. Moreover, dollar lending by Eurozone banks fell relative to their euro lending in both the U.S. and Europe; this was not the case for U.S. global banks. Finally, European banks that were more reliant on money funds experienced bigger declines in dollar lending. L3 - http://www.federalreserve.gov/pubs/feds/2012/201274/201274pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348045&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201274/201274pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moore, Kevin B. AD - Unlisted T1 - Effective tax rates and measures of business size PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-58 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331026; Publication Type: Working Paper; Update Code: 201210 N2 - This paper uses data from the Survey of Consumer Finances (SCF) and the NBER TAXSIM model to estimate marginal and average tax rates for households that own businesses that are pass-through entities. We examine how marginal and average tax rates vary by the size of business using four different measures of the size: net income, gross receipts, business value, and number of employees. The analysis also uses the long-time series of SCF cross-sections to examine how tax rates for business owners have evolved over the various changes in tax policy of the last two decades. L3 - http://www.federalreserve.gov/pubs/feds/2012/201258/201258pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331026&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201258/201258pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caglio, Cecilia AU - Mayhew, Stewart AD - Unlisted AD - Unlisted T1 - Equity trading and the allocation of market data revenue PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-65 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331033; Publication Type: Working Paper; Update Code: 201210 N2 - Revenues generated from the sales of consolidated data represent a substantial source of income for U.S. stock exchanges. Until 2007, consolidated data revenue was allocated in proportion to the number of reported trades. This allocation rule encouraged market participants to break up large trades and execute them in multiple pieces. Exchanges devised revenue-sharing and rebate programs that rewarded order-flow providers, and encouraged algorithmic traders to execute strategies involving large numbers of small trades. We provide evidence that data revenue allocation influenced the trading process, by examining trading activity surrounding various events that changed the marginal data revenue per trade. L3 - http://www.federalreserve.gov/pubs/feds/2012/201265/201265pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331033&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201265/201265pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anenberg, Elliot AU - Kung, Edward AD - Unlisted AD - Unlisted T1 - Estimates of the size and source of price declines due to nearby foreclosures: evidence from San Francisco PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-84 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348049; Publication Type: Working Paper; Update Code: 201301 N2 - Using a novel dataset which merges real estate listings with real estate transactions in San Francisco from 2007-2009, we present new evidence that foreclosures causally depress nearby home prices. We show that this decrease occurs only after the foreclosed home is listed for sale, which suggests that the effect is due to the additional housing supply created by foreclosure rather than from neglect of the foreclosed property. Consistent with a framework where a foreclosed home simply increases supply, we find that new listings of foreclosed homes and non-foreclosed homes each lower sales prices of homes within 0.1 miles of the listing by 1 percent. L3 - http://www.federalreserve.gov/pubs/feds/2012/201284/201284pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348049&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201284/201284pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bassett, William F. AU - Lee, Seung Jung AU - Spiller, Thomas W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estimating changes in supervisory standards and their economic effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-55 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331023; Publication Type: Working Paper; Update Code: 201210 N2 - The disappointingly slow recovery in the U.S. from the recent recession and financial crisis has once again focused attention on the relationship between financial frictions and economic growth. With bank loans having only recently started growing and still sluggish, some bankers and borrowers have suggested that unnecessarily tight supervisory policies have been a constraint on new lending that is hindering recovery. This paper explores one specific aspect of supervisory policy: whether the standards used to assign commercial bank CAMELS ratings have changed materially over time (1991-2011). We show that models incorporating time-varying parameters or economy-wide variables suggest that standards used in the assignment of CAMELS ratings in recent years generally have been in line with historical experience. Indeed, each of the models used in this analysis suggests that the variation in those standards has been relatively small in absolute terms over most of the sample period. However, we show that when this particular aspect of supervisory stringency becomes elevated, it has a noticeable dampening effect on lending activity in subsequent quarters. L3 - http://www.federalreserve.gov/pubs/feds/2012/201255/201255pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331023&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201255/201255pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Reisman, Erica L. AD - Unlisted AD - Unlisted T1 - Evaluating a global vector autoregression for forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1056 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348051; Publication Type: Working Paper; Update Code: 201301 N2 - Global vector autoregressions (GVARs) have several attractive features: multiple potential channels for the international transmission of macroeconomic and financial shocks, a standardized economically appealing choice of variables for each country or region examined, systematic treatment of long-run properties through cointegration analysis, and flexible dynamic specification through vector error correction modeling. Pesaran, Schuermann, and Smith (2009) generate and evaluate forecasts from a paradigm GVAR with 26 countries, based on Dees, di Mauro, Pesaran, and Smith (2007). The current paper empirically assesses the GVAR in Dees, di Mauro, Pesaran, and Smith (2007) with impulse indicator saturation (IIS)--a new generic procedure for evaluating parameter constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1056/ifdp1056.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348051&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1056/ifdp1056.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Herbst, Edward AU - Schorfheide, Frank AD - Unlisted AD - Unlisted T1 - Evaluating DSGE model forecasts of comovements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-11 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311104; Publication Type: Working Paper; Update Code: 201207 N2 - This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root-mean-squared errors and event probabilities associated with these forecasts. The checks are implemented on a three-equation DSGE model as well as the Smets and Wouters (2007) model using real-time data. We find that the additional features incorporated into the Smets-Wouters model do not lead to a uniform improvement in the quality of density forecasts and prediction of comovements of output, inflation, and interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2012/201211/201211pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311104&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201211/201211pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - Examining the impact of credit access on small firm survivability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-10 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311105; Publication Type: Working Paper; Update Code: 201207 N2 - This paper examines the effects of credit availability on small firm survivability over the period 2004 to 2008 for non-publicly traded small enterprises. Using data from the 2003 Survey of Small Business Finances, we develop failure prediction models for a sample of small firms that were confirmed to have been in business as of December 2003, with particular attention to the impact of credit constraints. We find that credit constrained firms were significantly more likely to go out of business than non constrained firms. Moreover, credit constraint and credit access variables appear to be among the most important factors predicting which small U.S. firms went out of business during the 2004-2008 period even though an extensive set of firm, owner, and market characteristics were also included as explanatory factors. L3 - http://www.federalreserve.gov/pubs/feds/2012/201210/201210pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311105&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201210/201210pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jahjah, Samir AU - Wei, Bin AU - Yue, Vivian Zhanwei AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exchange rate policy and sovereign bond spreads in developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1049 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331043; Publication Type: Working Paper; Update Code: 201210 N2 - This paper empirically analyzes how exchange rate policy affects the issuance and pricing of international bonds for developing countries. We find that countries with less flexible exchange rate regimes pay higher sovereign bond spreads and are less likely to issue bonds. Quantitatively, changing a free-floating regime to a fixed regime decreases the likelihood of bond issuance by 4.6% and increases the bond spread by 1.3% on average. Furthermore, countries with real exchange rate overvaluation have higher bond spreads and higher bond issuance probabilities. Moreover, such positive effects of real exchange rate overvaluation tend to be magnified for countries with fixed exchange rate regimes. Our results suggest that choosing a less flexible exchange rate regime in general leads to higher borrowing costs for developing countries, especially when their currencies are overvalued. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1049/ifdp1049.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331043&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1049/ifdp1049.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Klee, Elizabeth AU - Li, Canlin AU - Schulte, Brett AU - Wei, Min AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Expectations about the Federal Reserve's balance sheet and the term structure of interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-57 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331025; Publication Type: Working Paper; Update Code: 201210 N2 - This paper provides a systematic assessment of the effect of the Federal Reserve's asset purchase programs on Treasury yields, with particular emphasis on the role of market expectations about the evolution of the Federal Reserve's balance sheet and of interest rates on the impact of the programs. We construct measures of such market expectations based on Blue Chip survey forecasts, Congressional Budget Office projections, and information from formal FOMC communications. Those measures are combined with a no-arbitrage term structure model, in which yields are driven by current and expected future private Treasury holdings, among other factors. This approach allows us to provide estimates of the term premium effects of the asset programs both at the time of the announcements and in the future as expectations about the economy and the Federal Reserve's balance sheet evolve. Our results suggest that the program with the largest initial impact on the ten year Treasury yield was the first purchase program, which is estimated to have held down rates by about 40 basis points in early 2009, and the initial maturity extension program had the second largest estimated impact at its inception, pushing rates down by about 20 basis points in late 2011. Currently, we estimate all programs combined are holding down the 10-year yield by about 65 basis points, of which about one-third is attributable to the first purchase program. L3 - http://www.federalreserve.gov/pubs/feds/2012/201257/201257pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331025&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201257/201257pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ajello, Andrea AD - Unlisted T1 - Financial intermediation, investment dynamics and business cycle fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-67 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331035; Publication Type: Working Paper; Update Code: 201210 N2 - I use micro data to quantify key features of U.S. firm financing. In particular, I establish that a substantial 35% of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using Bayesian methods. In the model, stylized banks enable trades of financial assets, directing funds towards investment opportunities, and charge an intermediation spread to cover their costs. According to the model estimation, exogenous shocks to the intermediation spread explain 35% of GDP and 60% of investment volatility. L3 - http://www.federalreserve.gov/pubs/feds/2012/201267/201267pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331035&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201267/201267pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hubrich, Kirstin AU - Tetlow, Robert J. AD - Unlisted AD - Unlisted T1 - Financial stress and economic dynamics: the transmission of crises PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-82 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348047; Publication Type: Working Paper; Update Code: 201301 N2 - The recent financial crisis and the associated decline in economic activity have raised some important questions about economic activity and its links to the financial sector. This paper introduces an index of financial stress--an index that was used in real time by the staff of the Federal Reserve Board to monitor the crisis--and shows how stress interacts with real activity, inflation and monetary policy. We define what we call a stress event--a period affected by stress in both shock variances and model coefficients--and describe how financial stress affects macroeconomic dynamics. We also examine what constitutes a useful and credible measure of stress and the role of monetary policy. We address these questions using a richly parameterized Markov-switching VAR model, estimated using Bayesian methods. Our results show that allowing for time variation is important: the constant-parameter, constant-shock-variance model is a poor characterization of the data. We find that periods of high stress coefficients in general, and stress events in particular, line up well with financial events in recent U.S. history. We find that a shift to a stress event is highly detrimental to the outlook for the real economy, and that conventional monetary policy is relatively weak during such periods. Finally, we argue that our findings have implications for DSGE modeling of financial events insofar as researchers wish to capture phenomena more consequential than garden-variety business cycle fluctuations, pointing away from linearized DSGE models toward either MS-DSGE models or fully nonlinear models solved with global methods. L3 - http://www.federalreserve.gov/pubs/feds/2012/201282/201282pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348047&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201282/201282pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Verani, Stephane AU - Gross, Till AD - Unlisted AD - Unlisted T1 - Financing constraints, firm dynamics, and international trade PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-68 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331036; Publication Type: Working Paper; Update Code: 201210 N2 - There is growing empirical support for the conjecture that access to credit is an important determinant of firms' export decisions. We study a multi-country general equilibrium economy in which entrepreneurs and lenders engage in long-term credit relationships. Financial constraints arise in consequence of financials contracts that are optimal given information asymmetry. Consistent with empirical regularities, as firm age and size increase, the model implies decreasing mean and variance of firm growth and increasing firm survival. Exporters are larger, their survival in international markets increases with the time spent exporting, and the sales of older exporters are larger and more stable. L3 - http://www.federalreserve.gov/pubs/feds/2012/201268/201268pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331036&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201268/201268pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kogan, Leonid AU - Tian, Mary AD - Unlisted AD - Unlisted T1 - Firm characteristics and empirical factor models: a data-mining experiment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1070 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348065; Publication Type: Working Paper; Update Code: 201301 N2 - "A three-factor model using the standardized-unexpected-earnings and cashflow-to-price factors explains 15 well-known asset pricing anomalies." Our data-mining experiment provides a backdrop against which such claims can be evaluated. We construct three-factor linear pricing models that match return spreads associated with as many as 15 out of 27 commonly used firm characteristics over the 1971-2011 sample. We form target assets by sorting firms into ten portfolios on each of the chosen characteristics and form candidate pricing factors as long-short positions in the extreme decile portfolios. Our analysis exhausts all possible 351 three-factor models, consisting of two characteristic-based factors in addition to the market portfolio. 65% of the examined factor models match a larger fraction of the target return cross-sections than the CAPM or the Fama-French three-factor model. We find that the relative performance of the complete set of three-factor models is highly sensitive to the sample choice and the factor construction methodology. Our results highlight the challenges of evaluating empirical factor models. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1070/ifdp1070.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348065&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1070/ifdp1070.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Linde, Jesper AD - Unlisted AD - Unlisted T1 - Fiscal consolidation in a currency union: spending cuts vs. tax hikes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1063 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348058; Publication Type: Working Paper; Update Code: 201301 N2 - This paper uses a two country DSGE model to examine the effects of tax-based versus expenditure-based fiscal consolidation in a currency union. We find three key results. First, given limited scope for monetary accommodation, tax-based consolidation tends to have smaller adverse effects on output than expenditure-based consolidation in the near-term, though is more costly in the longer-run. Second, a large expenditure-based consolidation may be counterproductive in the near-term if the zero lower bound is binding, reflecting that output losses rise at the margin. Third, a "mixed strategy" that combines a sharp but temporary rise in taxes with gradual spending cuts may be desirable in minimizing the output costs of fiscal consolidation. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1063/ifdp1063.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348058&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1063/ifdp1063.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Linde, Jesper AD - Unlisted AD - Unlisted T1 - Fiscal consolidation in an open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1046 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311135; Publication Type: Working Paper; Update Code: 201207 N2 - This paper uses a New Keynesian DSGE model of a small open economy to compare how the effects of fiscal consolidation differ depending on whether monetary policy is constrained by currency union membership or by the zero lower bound on policy rates. We show that there are important differences in the impact of fiscal shocks across these monetary regimes that depend both on the duration of the zero lower bound and on features that determine the responsiveness of inflation. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1046/ifdp1046.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311135&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1046/ifdp1046.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cwik, Tobias AD - Unlisted T1 - Fiscal consolidation using the example of Germany PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-80 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348043; Publication Type: Working Paper; Update Code: 201301 N2 - After the run up in debt-to-GDP ratios around the world in the aftermath of the financial crisis and the associated lower fiscal space, the question of prudent fiscal consolidation is back on the agenda. In this paper, I study the macroeconomic implications of fiscal consolidation triggered by the newly introduced "debt brake" in Germany, which dampens the accumulation of debt. I address this question using a medium-size new Keynesian DSGE model for Germany. The model includes the government debt-to-GDP ratio, government transfers, labour income tax, consumption tax and capital tax revenues. I find that the "debt brake" enforces fiscal consolidation in times of economic expansions without constraining fiscal policy makers in times of recessions. I also find that the debt brake raises the government spending multiplier initially but not over time. Finally, the debt brake, with a fiscal consolidation on the government spending and transfers side, leads to a significant stabilization of the private sector without increasing the volatility of the fiscal instruments. L3 - http://www.federalreserve.gov/pubs/feds/2012/201280/201280pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348043&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201280/201280pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron AU - Follette, Glenn AD - Unlisted AD - Unlisted T1 - Fiscal rules, what does the American experience tell us? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-38 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311132; Publication Type: Working Paper; Update Code: 201207 N2 - We examine the effect of balanced budget rules on budget outcomes in the U.S. from the mid-1980s through the present. Rules at both the federal level and the state level are considered. Given the relatively short duration of the federal rules and corresponding lack of data points, we adopt a narrative approach. Our examination fails to uncover evidence that the statutory rules at the federal level have influenced the size of deficits. The laboratory of the states provides more fertile ground for econometric testing of the influence of balanced budget rules. We test the hypothesis that the strength of a state's balanced budget rule influences its response to unanticipated budget shocks. We conclude that rules at the state-level have had a significant influence on budget outcomes. L3 - http://www.federalreserve.gov/pubs/feds/2012/201238/201238pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311132&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201238/201238pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - King, Thomas B. AD - Unlisted AD - Unlisted T1 - Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-44 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331012; Publication Type: Working Paper; Update Code: 201210 N2 - The Federal Reserve's 2009 program to purchase $300 billion of U.S. Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure. Using security-level data on Treasury prices and quantities during the course of this program, we document a 'local supply' effect in the yield curve--yields within a particular maturity sector responded more to changes in the amounts outstanding in that sector than to similar changes in other sectors. We find that this phenomenon was responsible for a persistent downward shift in yields averaging about 30 basis points over the course of the program (the "stock effect"). In addition, except at very long maturities, purchase operations caused an average decline in yields in the sector purchased of 3.5 basis points on the days when those operations occurred (the "flow effect"). The sensitivity of our results to security characteristics generally supports a view of segmentation or imperfect substitution within the Treasury market during this time. L3 - http://www.federalreserve.gov/pubs/feds/2012/201244/201244pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331012&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201244/201244pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Goulding, William AU - Nolle, Daniel E. AD - Unlisted AD - Unlisted T1 - Foreign banks in the U.S.: a primer PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1064 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348059; Publication Type: Working Paper; Update Code: 201301 N2 - This paper describes the foreign banking landscape in the United States. It begins by establishing a vocabulary for discussion of the subject, and then identifies a number of important data-related issues. With that information in hand, the remainder of the paper focuses on identifying the most important underlying trends on both sides of the balance sheets of foreign-owned banks' U.S. operations. At each step, the investigation considers how foreign-owned banks compare to U.S.-owned domestic banks, and how two types of foreign banks operations in the U.S.--branches and agencies of foreign banks (FBAs), and foreign-owned subsidiary banks (FSUBs)--compare to each other. The banking sector in the U.S. experienced substantial swings in performance and stability over the decade surrounding the 2008-2009 financial crisis and changes in every major dimension of foreign-owned banks' assets and liabilities were even larger than for domestic banks. Changes were especially large at FBAs. For example, cash balances came to dominate the assets side of FBAs' aggregate balance sheet, with the absolute level of cash balances larger than those of domestic U.S. banks beginning in 2011, despite the fact that total assets of domestic U.S. banks are five times the assets of FBAs. Further, the recent unprecedented build-up of cash balances by FBAs was almost entirely composed of excess reserves. Changes in FBAs' liabilities-side activities have also been large, with much funding coming from large wholesale deposits and net borrowing from their foreign parents and related offices abroad. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1064/ifdp1064.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348059&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1064/ifdp1064.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Kretchmer, Maxwell AU - Marquez, Jaime AU - Thomas, Charles P. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Foreign holdings of U.S. Treasuries and U.S. Treasury yields PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1041 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291147; Publication Type: Working Paper; Update Code: 201204 N2 - Foreign official holdings of U.S. Treasuries increased from $400 billion in January 1994 to about $3 trillion in June 2010. Most of this growth is accounted for by a handful of emerging market economies that have been running large current account surpluses. These countries are channeling their savings through the official sector, which is then acquiring foreign exchange reserves. Any shift in policy to reduce their current account surpluses or dampen the rate of reserves accumulation would likely slow the pace of foreign official purchases of U.S. Treasuries. Would such a slowing of foreign official purchases of Treasury notes and bonds affect long-term Treasury yields? Most likely yes, and the effects appear to be large. By our estimates, if foreign official inflows into U.S. Treasuries were to decrease in a given month by $100 billion, 5-year Treasury rates would rise by about 40-60 basis points in the short run. But once we allow foreign private investors to react to the yield change induced by the shock to foreign official inflows, the long-run effect is about 20 basis points. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1041/ifdp1041.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291147&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1041/ifdp1041.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AD - Unlisted T1 - Gamblers as personal finance activists PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-18 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311112; Publication Type: Working Paper; Update Code: 201207 N2 - Gambling behavior can serve as an informative indicator of important household heterogeneity that is difficult to observe directly in data. We present, to the best of our knowledge, the first comprehensive study of the consumption and personal finance of gamblers using a nationwide representative household survey. We find that consumers are more likely to gamble when income is higher than its normal level predicted by observable characteristics, and that nongambling expenditures tend to increase with gambling activities. In addition, gamblers are more likely to concurrently have various types of debt and assets, assuming a more active position on household balance sheets. However, gamblers do not necessarily have a higher net worth than comparable nongamblers. Gamblers also tend to engage in health-wise risky behaviors, such as smoking and heavy drinking, while paying out-of-pocket on life and health insurance. We present extensive evidence that such behavior differences observed in the data are not primarily due to different degrees of careless reporting to the survey. Rather, we argue that our findings are consistent with the notion that certain consumers, namely, the active participants in personal finance markets, take on gambling as a form of entertainment. L3 - http://www.federalreserve.gov/pubs/feds/2012/201218/201218pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311112&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201218/201218pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Gunter AU - Straub, Roland AU - Trabandt, Mathias AD - Unlisted AD - Unlisted AD - Unlisted T1 - Gauging the effects of fiscal stimulus packages in the Euro area PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1061 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348056; Publication Type: Working Paper; Update Code: 201301 N2 - We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008-09. To do so, we estimate an extended version of the ECB's New Area-Wide Model with a richly specified fiscal sector. The estimation results point to the existence of important complementarities between private and government consumption and, to a lesser extent, between private and public capital. We first examine the implied present-value multipliers for seven distinct fiscal instruments and show that the estimated complementarities result in fiscal multipliers larger than one for government consumption and investment. We highlight the importance of monetary accommodation for these findings. We then show that the EERP, if implemented as initially enacted, had a sizeable, although short-lived impact on euro area GDP. Since the EERP comprised both revenue and expenditure-based fiscal stimulus measures, the total multiplier is below unity. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1061/ifdp1061.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348056&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1061/ifdp1061.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dubin, Eduard AU - Grishchenko, Olesya V. AU - Kartashov, Vasily AD - Unlisted AD - Unlisted AD - Unlisted T1 - Habit formation heterogeneity: Implications for aggregate asset pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-07 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291145; Publication Type: Working Paper; Update Code: 201204 N2 - We study the asset pricing implications of a general equilibrium Lucas endowment economy inhabited by two agents with habit formation preferences. Preferences are modeled either as internal or external habits. We allow for agents' heterogeneity in relative risk aversion and habit strength. We explicitly compute aggregate prices, such as equity premium, equity volatility, Sharpe ratio, interest rate volatility, and asset holdings for both types of preferences. Equilibrium quantities are computed using a recently developed algorithm of Dumas and Lyasoff (2011), which is refined to capture time nonseparability induced by habit. We obtain that internal habits provide for a considerable improvement in obtaining aggregate asset pricing quantities consistent with historically observed magnitudes as opposed to "catching up with Joneses" preferences. L3 - http://www.federalreserve.gov/pubs/feds/2012/201207/201207pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291145&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201207/201207pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Epstein, Brendan AD - Unlisted T1 - Heterogeneous workers, optimal job seeking, and aggregate labor market dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1053 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331046; Publication Type: Working Paper; Update Code: 201210 N2 - In the United States, the aggregate vacancy-unemployment (V/U) ratio is strongly procyclical, and a large fraction of its adjustment associated with changes in productivity is sluggish. The latter is entirely unexplained by the benchmark homogeneous-agent model of equilibrium unemployment theory. I show that endogenous search and worker-side horizontal heterogeneity in production capacity can be important in accounting for this propagation puzzle. Driven by differences in unemployed and on-the-job seekers' search incentives, the probability that any given firm with a job opening matches with a worker endowed with a comparative advantage in that job exhibits a stage of procyclical slow-moving adjustment. Consequently, so do the expected gains from posting vacancies and, hence, the V/U ratio. The model has channels through which the majority of both the V/U ratio's sluggish-adjustment properties and its elasticity with respect to output per worker can be accounted for. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1053/ifdp1053.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331046&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1053/ifdp1053.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Trabandt, Mathias AU - Uhlig, Harald AD - Unlisted AD - Unlisted T1 - How do Laffer curves differ across countries? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1048 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311137; Publication Type: Working Paper; Update Code: 201207 N2 - We seek to understand how Laffer curves differ across countries in the US and the EU-14, thereby providing insights into fiscal limits for government spending and the service of sovereign debt. As an application, we analyze the consequences for the permanent sustainability of current debt levels, when interest rates are permanently increased e.g. due to default fears. We build on the analysis in Trabandt and Uhlig (2011) and extend it in several ways. To obtain a better fit to the data, we allow for monopolistic competition as well as partial taxation of pure profit income. We update the sample to 2010, thereby including recent increases in government spending and their fiscal consequences. We provide new tax rate data. We conduct an analysis for the pessimistic case that the recent fiscal shifts are permanent. We include a cross-country analysis on consumption taxes as well as a more detailed investigation of the inclusion of human capital considerations for labor taxation. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1048/ifdp1048.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311137&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1048/ifdp1048.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henriques, Alice M. AD - Unlisted T1 - How does Social Security claiming respond to incentives? considering husbands' and wives' benefits separately PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-19 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311113; Publication Type: Working Paper; Update Code: 201207 N2 - A majority of women receive most of their Social Security benefits based upon their husbands' earnings history, but previous research has shown that husbands' benefit claiming is inconsistent with maximizing lifetime benefits for the couple. However, that research assumes husbands choose their claim age based on all Social Security incentives facing the household. I show that husbands' claiming behavior responds to the actuarial incentives built into their own retired worker benefit formula, but not to the incentives built into the spouse and survivor formulas that determine their wives' benefits. This failure to incorporate his spouses' incentives reduces wives' lifetime benefits. Variation in incentives comes from rule changes to the Social Security benefit calculation in addition to the age difference between spouses and the relative strength of the wife's labor force history. A variety of robustness checks looking at segments of the population predicted to be more responsive to incentives provide similar results to the main specification. L3 - http://www.federalreserve.gov/pubs/feds/2012/201219/201219pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311113&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201219/201219pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AU - Lopez-Salido, David AU - Vincent, Nicholas AD - Unlisted AD - Unlisted AD - Unlisted T1 - Individual price adjustment along the extensive margin PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1052 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331045; Publication Type: Working Paper; Update Code: 201210 N2 - Firms employ a rich variety of pricing strategies whose implications for aggregate price dynamics often diverge. This situation poses a challenge for macroeconomists interested in bridging micro and macro price stickiness. In responding to this challenge, we note that differences in macro price stickiness across pricing mechanisms can often be traced back to price changes that are either triggered or cancelled by shocks. We exploit observed micro price behavior to quantify the importance of this margin of adjustment for the response of inflation to shocks. Across a range of empirical exercises, we find strong evidence that changes in the timing of price adjustments contribute significantly to the flexibility of the aggregate price level. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1052/ifdp1052.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331045&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1052/ifdp1052.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grishchenko, Olesya V. AU - Huang, Jing-zhi AD - Unlisted AD - Unlisted T1 - Inflation risk premium: evidence from the TIPS market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-06 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291144; Publication Type: Working Paper; Update Code: 201204 N2 - "Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2008. The approach we use to estimate inflation risk premium is arbitrage free, largely model free, and easy to implement. We also make distinction between TIPS yields and real yields and take into account explicitly the three-month indexation lag of TIPS in the analysis. In addition, we propose a new liquidity measure based on TIPS prices. Accounting for it, we find that the inflation risk premium is time-varying: it is negative (positive) in the first (second) half of the sample period. The average 10-year inflation risk premium ranges from -16 to 10 basis points over the full sample depending on the proxy used for expected inflation. More specifically, the estimates of the 10-year inflation risk premium range between 14 and 19 basis points for 2004-2008 period. L3 - http://www.federalreserve.gov/pubs/feds/2012/201206/201206pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291144&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201206/201206pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anenberg, Elliot AD - Unlisted T1 - Information frictions and housing market dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-48 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331016; Publication Type: Working Paper; Update Code: 201210 N2 - This paper examines the effects of seller uncertainty over their home value on the housing market. Using evidence from a new dataset on home listings and transactions, I first show that sellers do not have full information about current period demand conditions for their homes. I incorporate this type of uncertainty into a dynamic search model of the home selling problem with Bayesian learning. Simulations of the estimated model show that information frictions help explain short-run persistence in price appreciation rates and a positive (negative) correlation between price changes and sales volume (time on market). L3 - http://www.federalreserve.gov/pubs/feds/2012/201248/201248pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331016&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201248/201248pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AU - Han, Song AU - Li, Dan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Institutional herding in the corporate bond market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1071 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348066; Publication Type: Working Paper; Update Code: 201301 N2 - We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven by different factors. In particular, sell herding increases on negative news about bond ratings and corporate earnings. Interestingly, increases in ex-post transparency in corporate bond trading through Trade Reporting and Compliance Engine (TRACE) led to higher buy herding but not to higher sell herding. Finally, we find significant return reversals in the post-herding quarters, especially for sell herding and for junk bonds. Price reversal is most prominent when funds herd to sell illiquid bonds, which suggests that temporary price pressure is the reason behind price reversal. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1071/ifdp1071.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348066&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1071/ifdp1071.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - English, William B. AU - den Heuvel, Skander J. Van AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interest rate risk and bank equity valuations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-26 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311120; Publication Type: Working Paper; Update Code: 201207 N2 - Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary policy announcements. We construct a new measure of the mismatch between the repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of this mismatch and other bank characteristics, including the usage of interest rate derivatives. Our results indicate that bank stock prices decline substantially following an unanticipated increase in the level of interest rates or a steepening of the yield curve. A large maturity gap, however, significantly attenuates the negative reaction of returns to a slope surprise, a result consistent with the role of banks as maturity transformers. Share prices of banks that rely heavily on core deposits decline more in response to policy-induced interest rate surprises, a reaction that primarily reflects ensuing deposit disintermediation. Results using income and balance sheet data highlight the importance of adjustments in quantities--as well as interest margins--for understanding the reaction of bank equity values to interest rate surprises. L3 - http://www.federalreserve.gov/pubs/feds/2012/201226/201226pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311120&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201226/201226pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted T1 - Interest rates and the volatility and correlation of commodity prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1065 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348060; Publication Type: Working Paper; Update Code: 201301 N2 - We purpose a novel explanation for the observed increase in the correlation of commodity prices over the past decade. In contrast to theories that rely on the increased influence of financial speculators, we show that price correlation can increase as a result of a decline in the interest rate. More generally, we examine the effect of interest rates on the volatility and correlation of commodity prices, theoretically through the framework of Deaton and Laroque (1992) and empirically via a panel GARCH model. In theory, we show that lower interest rates decrease the volatility of prices, as lower inventory costs promote the smoothing of transient shocks, and can increase price correlation if common shocks are more persistent than idiosyncratic shocks. Empirically, as predicted by theory, we find that price volatility attributable to transitory shocks declines with interest rates, while, for many commodity pairs, price correlation increases as interest rates decline. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1065/ifdp1065.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348060&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1065/ifdp1065.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haberis, Alex AU - Lipinska, Anna AD - Unlisted AD - Unlisted T1 - International policy spillovers at the zero lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-23 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311117; Publication Type: Working Paper; Update Code: 201207 N2 - In this paper, we consider how monetary policy in a large, foreign economy affects optimal monetary policy in a small open economy ('home') in response to a large global demand shock that pushes both economies to the zero lower bound (ZLB) on nominal interest rates. We show that the inability of foreign monetary policy to stabilise the foreign economy at the ZLB creates a spillover that affects how well the home policymaker is able to stabilise its own economy. We show that more stimulatory foreign policy worsens the home policymaker's trade-off between stabilising inflation and the output gap when home and foreign goods are close substitutes. This reflects the fact that looser foreign policy leads to a relatively more appreciated home real exchange rate, which induces large expenditure switching away from home goods when goods are highly substitutable--just at a time (at the ZLB) when home policy is trying to boost demand for home goods. When goods are not close substitutes the home policymaker's ability to stabilise the economy benefits from more stimulatory foreign policy. L3 - http://www.federalreserve.gov/pubs/feds/2012/201223/201223pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311117&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201223/201223pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Thomas, Charles AU - Land, Corinne AD - Unlisted AD - Unlisted AD - Unlisted T1 - International relative price levels: a look under the hood PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1055 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331048; Publication Type: Working Paper; Update Code: 201210 N2 - This paper examines the structure of international relative price levels using purchasing power parities (PPP) at the product-level from the 2005 World Bank's International Comparison Program (ICP). Our examination is motivated by questions arising from two applications using economy-wide PPPs: the measurement of real effective exchange rates (REERs) and the correlation between prices and development. Specifically, how would our view on competitiveness be affected if one were to use PPP measures that exclude non-tradable categories? Is it the case that an increase in per-capita income raises the prices of non-tradable categories? These questions are not new. What is new here is the use of relative price levels (as opposed to indexes) at the product level for 144 countries that differ greatly in their level of development. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1055/ifdp1055.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331048&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1055/ifdp1055.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sabelhaus, John AU - Johnson, David AU - Ash, Stephen AU - Garner, Thesia AU - Greenlees, John AU - Henderson, Steve AU - Swanson, David AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Is the Consumer Expenditure Survey representative by income? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-36 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311130; Publication Type: Working Paper; Update Code: 201207 N2 - Aggregate under-reporting of household spending in the Consumer Expenditure Survey (CE) can result from two fundamental types of measurement errors: higher-income households (who presumably spend more than average) are under-represented in the CE estimation sample, or there is systematic under-reporting of spending by at least some CE survey respondents. Using a new data set linking CE units to zip-code level average Adjusted Gross Income (AGI), we show that the very highest-income households are less likely to respond to the survey when they are sampled, but unit non-response rates are not associated with income over most of the income distribution. Although increasing representation at the high end of the income distribution could in principle significantly raise aggregate CE spending, the low reported average propensity to spend for higher-income respondent households could account for at least as much of the aggregate shortfall in total spending. L3 - http://www.federalreserve.gov/pubs/feds/2012/201236/201236pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311130&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201236/201236pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce AU - Haltiwanger, John AU - McEntarfer, Erika AD - Unlisted AD - Unlisted AD - Unlisted T1 - Job-to-job flows and the consequences of job separations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-73 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331041; Publication Type: Working Paper; Update Code: 201210 N2 - This paper extends the literature on the earnings losses of displaced workers to provide a more comprehensive picture of the earnings and employment outcomes for workers who separate. First, we compare workers who separate from distressed employers (presumably displaced workers) and those who separate from stable or growing employers. Second, we distinguish between workers who do and do not experience a spell of joblessness. Third, we examine the full distribution of earnings outcomes from separations--not the impact on only the average worker. We find that earnings outcomes depend much less on whether a job separation is associated with a distressed employer than on whether the separator experienced a jobless spell after the separation. Moreover, we find that workers separating from distressed firms are faster to find jobs at new employers than are other separators. L3 - http://www.federalreserve.gov/pubs/feds/2012/201273/201273pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331041&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201273/201273pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakov, Anton AD - Unlisted T1 - Learning from experience in the stock market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-41 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331009; Publication Type: Working Paper; Update Code: 201210 N2 - We study the dynamics of a Lucas-tree model with finitely lived individuals who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate. L3 - http://www.federalreserve.gov/pubs/feds/2012/201241/201241pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331009&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201241/201241pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Sapriza, Horacio AU - Zlate, Andrei AD - Unlisted AD - Unlisted AD - Unlisted T1 - Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1059 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348054; Publication Type: Working Paper; Update Code: 201301 N2 - This paper documents a new type of cross-border bank lending channel. The deepening of the European sovereign debt crisis in 2011 restrained the financial intermediation of European banks in the United States. In this period, some of the U.S. branches of European banks faced a dollar liquidity shock--due to their perceived risk reflecting the sovereign risk of their countries of origin--which in turn affected the branches' lending to U.S. entities. We use a novel dataset to analyze the operations of branches of foreign banks in the United States. Our results show that: (1) The U.S. branches of European banks experienced a run on their deposits, mainly from U.S. money market funds. (2) The branches with curtailed access to large time deposits relied more on funding from their own parent institutions, thus shifting from being net suppliers to being net receivers of dollar funding from their related offices. (3) Since the additional funding received from parent institutions was not enough to offset the decreased access to U.S. funding, such branches reduced their lending to U.S. entities. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1059/ifdp1059.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348054&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1059/ifdp1059.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Sim, Jae W. AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-08 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311102; Publication Type: Working Paper; Update Code: 201207 N2 - Financial market frictions distort the allocation of resources among productive units--all else equal, firms whose financing choices are affected by financial frictions face higher borrowing costs than firms with ready access to capital markets. As a result, input choices may differ systematically across firms in ways that are unrelated to their productive efficiency. We propose a simple accounting framework that allows us to assess the empirical magnitude of the loss in aggregate resources due to such misallocation. To a second-order approximation, our accounting framework requires only information on the dispersion in borrowing costs across firms. We measure firm-specific borrowing costs for a subset of U.S. manufacturing firms directly from the interest rate spreads on their outstanding publicly-traded debt. Given the observed variation in borrowing costs, our approximation method implies a relatively modest loss in efficiency due to resource misallocation--on the order of 1 to 2 percent of measured total factor productivity (TFP). According to our accounting framework, the correlation between firm size and borrowing costs is irrelevant under the assumption that financial distortions and firm-level efficiency are jointly log-normally distributed. To take into account the effect of covariation between firm size and borrowing costs, we also consider a more general framework that dispenses with the assumption of log-normality and which yields somewhat higher estimates of the resource losses--about 3.5 percent of measured TFP. Counterfactual experiments indicate that dispersion in borrowing costs must be an order of magnitude higher than that observed in the U.S. financial data, in order for misallocation--arising from financial distortion--to account for a significant fraction of measured TFP differentials across countries. L3 - http://www.federalreserve.gov/pubs/feds/2012/201208/201208pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311102&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201208/201208pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hanson, Samuel G. AU - Stein, Jeremy C. AD - Unlisted AD - Unlisted T1 - Monetary policy and long-term real rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-46 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331015; Publication Type: Working Paper; Update Code: 201210 N2 - Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis-point increase in the 2-year nominal yield on an FOMC announcement day is associated with a 42 basis-point increase in the 10-year forward real rate. This finding is at odds with standard macro models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the economy can readjust. Rather, the responsiveness of long-term real rates to monetary shocks appears to reflect changes in term premia. One mechanism that may generate such variation in term premia is based on demand effects coming from "yield-oriented" investors. We find some evidence supportive of this channel. L3 - http://www.federalreserve.gov/pubs/feds/2012/201246/201246pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331015&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201246/201246pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AD - Unlisted T1 - Monetary policy in emerging market economies: what lessons from the global financial crisis? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1042 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291148; Publication Type: Working Paper; Update Code: 201204 N2 - During the 2008-2009 global financial crisis, emerging market economies (EMEs) loosened monetary policy considerably to cushion the shock. In previous crises episodes, by contrast, EMEs generally had to tighten monetary policy to defend the value of their currencies, to contain capital flight, and to bolster policy credibility. Our study aims to understand the factors that enabled this remarkable shift in monetary policy, and also to assess whether this marks a new era in which EMEs can now conduct countercyclical policy, more in line with advanced economies. The results indicate statistically significant linkages between some characteristics of the economies and their ability to conduct countercyclical monetary policy. We find that macroeconomic fundamentals and lower vulnerabilities, openness to trade, and international capital flows, financial reforms, and the adoption of inflation targeting all facilitated the conduct of countercyclical policy. Of these factors, the most important have been the financial reforms achieved over the past decades and the adoption of inflation targeting. As long as EMEs maintain these strong economic fundamentals, continue to reform their financial sector, and adopt credible and transparent monetary policy frameworks such as inflation targeting, the conduct of countercyclical monetary policy will likely be sustainable. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1042/ifdp1042.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291148&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1042/ifdp1042.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AD - Unlisted T1 - Mortgage debt and household deleveraging: accounting for the decline in mortgage debt using consumer credit record data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-14 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311108; Publication Type: Working Paper; Update Code: 201207 N2 - One of the major reasons hypothesized for the tepid economic recovery thus far is the ongoing "deleveraging" process. From 2009:Q3 to 2011:Q3, aggregate household debt declined by about $1.5 trillion in real terms, with mortgage debt falling by about $1 trillion. Other than defaults, the factors driving the decline in aggregate debt are not precisely understood, in large part because the necessary data are not widely available. This paper draws on panel data consisting of individual credit records to better understand why mortgage debt has declined. I decompose changes in aggregate mortgage debt over two-year periods spanning the past decade into inflows (from individuals whose mortgage debt increases during a given two-year period) and outflows (from those who reduce or eliminate their mortgage debt over a period). The principal finding is that the drop in outstanding mortgage debt has more to do with shrinking inflows than with expanding outflows, including defaults. Even if outflows had not grown at all, mortgage debt would have declined over the past two years because inflows have been so weak. One factor dampening inflows is historically weak first-time homebuying, especially among those with less-than-excellent credit scores, suggesting tight credit supply has limited debt accumulation even among those who have little debt. On the outflows side, most of the expansion can be traced to financially distressed borrowers and mortgage defaults, with real estate investors playing a disproportionate role. Otherwise, there has not been much of an increase in outflows, implying that borrowers generally are not paying down their balances more aggressively than in the past. L3 - http://www.federalreserve.gov/pubs/feds/2012/201214/201214pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311108&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201214/201214pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Datta, Deepa Dhume AU - Du, Wenxin AD - Unlisted AD - Unlisted T1 - Nonparametric HAC estimation for time series data with missing observations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1060 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348055; Publication Type: Working Paper; Update Code: 201301 N2 - The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true spectrum of the underlying process using only the observed data leads to incorrect inference. Instead, we propose two simple consistent HAC estimators for time series with missing data. First, we develop the Amplitude Modulated estimator by applying the Newey-West estimator and treating the missing observations as non-serially correlated. Secondly, we develop the Equal Spacing estimator by applying the Newey-West estimator to the series formed by treating the data as equally spaced. We show asymptotic consistency of both estimators for inference purposes and discuss finite sample variance and bias tradeoff. In Monte Carlo simulations, we demonstrate that the Equal Spacing estimator is preferred in most cases due to its lower bias, while the Amplitude Modulated estimator is preferred for small sample size and low autocorrelation due to its lower variance. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1060/ifdp1060.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348055&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1060/ifdp1060.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lipinska, Anna AU - von Thadden, Leopold AD - Unlisted AD - Unlisted T1 - On the (in)effectiveness of fiscal devaluations in a monetary union PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-71 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331039; Publication Type: Working Paper; Update Code: 201210 N2 - This paper explores the fiscal devaluation hypothesis in a model of a monetary union characterised by national fiscal policies and supranational monetary policy. We show that a unilateral tax shift towards indirect taxes in one of the countries produces small but non-negligible long run effects on output and consumption within and between the two countries only when international financial markets are perfectly integrated. In contrast to the existing literature, we find that short-run effects are not always amplified by nominal wage rigidities. We document also how short-run effects of the tax shift depend on the choice of the inflation index stabilized by the central bank and on whether the tax shift is anticipated. L3 - http://www.federalreserve.gov/pubs/feds/2012/201271/201271pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331039&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201271/201271pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AD - Unlisted T1 - On the distribution of a discrete sample path of a square-root diffusion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-12 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311106; Publication Type: Working Paper; Update Code: 201207 N2 - We derive the multivariate moment generating function (mgf) for the stationary distribution of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). The form of the mgf establishes that the stationary joint distribution of (X(t(1)),...,X(t(n))) for any fixed vector of observation times (t(1),...,t(n)) is a Krishnamoorthy-Parthasarathy multivariate gamma distribution. As a corollary, we obtain the mgf for the increment X(t+delta)-X(t), and show that the increment is equivalent in distribution to a scaled difference of two independent draws from a gamma distribution. Simple closed-form solutions for the moments of the increments are given. L3 - http://www.federalreserve.gov/pubs/feds/2012/201212/201212pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311106&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201212/201212pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Panousi, Vasia AU - Reis, Catarina AD - Unlisted AD - Unlisted T1 - Optimal capital taxation with idiosyncratic investment risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-70 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331038; Publication Type: Working Paper; Update Code: 201210 N2 - We examine the optimal taxation of capital in a Ramsey setting of a general-equilibrium heterogeneous-agent economy with uninsurable idiosyncratic investment or capital-income risk. We prove that the ex ante optimal tax, evaluated at steady state, maximizes human wealth, namely the present discounted value of agents' income from sources that are not subject to capital risk. Furthermore, when the amount of idiosyncratic risk in the economy is higher than a minimum lower bound, the optimal tax is positive and it is precisely the tax that maximizes the economy-wide aggregates, such as the capital stock and output. By contrast, when the amount of risk is exogenously very low, the social planner finds it optimal to increase social risk taking by subsidizing investment in capital. L3 - http://www.federalreserve.gov/pubs/feds/2012/201270/201270abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331038&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201270/201270abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AU - Kadyrzhanova, Dalida AD - Unlisted AD - Unlisted T1 - Optimal CEO incentives and industry dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-78 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348041; Publication Type: Working Paper; Update Code: 201301 N2 - This paper develops a competitive equilibrium model of CEO compensation and industry dynamics. CEOs make product pricing and product improvement decisions subject to shareholders' compensation choices and idiosyncratic shocks to product quality. The choice of high-powered incentives optimally trades off the benefits from expected product improvements and the associated agency costs. In market equilibrium, the interaction between CEO pay and product market decisions affects the stationary distribution of firms. We characterize a dynamic feedback effect of industry structure on CEO incentives. As a result of this effect, we predict that the performance-based component of CEO pay should be higher, (i) across industries, when the degree of heterogeneity of industry structure is lower; (ii) within industries, when firms are laggards with respect to their industry peers. We empirically estimate pay-performance sensitivity for a large sample of U.S. CEOs and other top executives over the 1993 to 2004 period and find strong support for our theory. Our results offer a novel product market rationale for the increased reliance of CEO pay on bonuses and stock options over the 1990s. L3 - http://www.federalreserve.gov/pubs/feds/2012/201278/201278pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348041&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201278/201278pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Harrison, Richard AU - Lipinska, Anna AD - Unlisted AD - Unlisted AD - Unlisted T1 - Practical tools for policy analysis in DSGE models with missing channels PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-72 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331040; Publication Type: Working Paper; Update Code: 201210 N2 - In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors, that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by matching impulse responses of the augmented DSGE model to those generated by an auxiliary model. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy and housing sectors. L3 - http://www.federalreserve.gov/pubs/feds/2012/201272/201272pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331040&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201272/201272pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AD - Unlisted T1 - Profitability and the lifecycle of firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-63 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331031; Publication Type: Working Paper; Update Code: 201210 N2 - Using data on listed and unlisted firms in the U.K., this study documents that average profitability changes systematically with age. In their early years, firms realize substantial profitability increases, while mature firms face slow declines in profitability. A model of endogenous profitability changes arising from product development captures this pattern. Investment in product development generates profitability increases for young firms while competitive pressures from new entrants lead to profitability declines for mature firms. In addition, the model predicts that young firms realize profitability jumps more frequently and that the effect of age on firms' policies would be stronger for young firms. Empirical tests support these predictions. Taken together, these findings show that changes in profitability influences the lifecycle of firms. L3 - http://www.federalreserve.gov/pubs/feds/2012/201263/201263pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331031&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201263/201263pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cooper, Daniel H. AU - Lutz, Byron F. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Quantifying the role of federal and state taxes in mitigating wage inequality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-05 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291143; Publication Type: Working Paper; Update Code: 201204 N2 - Wage inequality has risen dramatically in the United States since at least 1980. This paper quantifies the role that the tax policies of the federal and state governments have played in mitigating wage inequality. The analysis, which isolates the contribution of federal taxes and state taxes separately, employs two approaches. First, cross-sectional estimates compare before-tax and after-tax inequality across the 50 states and the District of Columbia. Second, inequality estimates across time are calculated to assess the evolution of the effects of tax policies. The results from the first approach indicate that the tax code reduces wage inequality substantially in all states. On average, taxes reverse approximately the last two decades of growth in wage inequality. Most of this compression of the income distribution is attributable to federal taxes. Nevertheless, there is substantial cross-state variation in the extent to which state tax policies compress the income distribution. Cross-state differences in gasoline taxes have a surprisingly large impact on income compression, as do sales tax exemptions for food and clothing. The results of the second approach indicate that the mitigating influence of tax policy on wage inequality has increased very modestly since the early 1980s. The increase is due to the widening of the pre-tax wage distribution interacting with a progressive tax structure. In contrast, legislated tax changes over this period decreased income compression somewhat. L3 - http://www.federalreserve.gov/pubs/feds/2012/201205/201205pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291143&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201205/201205pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - Real-time properties of the Federal Reserve's output gap PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-86 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348050; Publication Type: Working Paper; Update Code: 201301 N2 - This note considers the reliability of Federal Reserve Board staff estimates of the output gap after the mid-1990s, and examines the usefulness of these estimates for inflation forecasting. Over this period, we find that the Federal Reserve's output gap is more reliably estimated in real time than previous studies have documented for earlier periods and alternative estimation techniques. In contrast to previous work, we also find no deterioration in forecast performance when inflation projections are conditioned on real-time estimates of the output gap. L3 - http://www.federalreserve.gov/pubs/feds/2012/201286/201286pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348050&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201286/201286pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AD - Unlisted T1 - Reconciling micro and macro estimates of the Frisch labor supply elasticity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-75 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348038; Publication Type: Working Paper; Update Code: 201301 N2 - There are large differences between the microeconometric estimates of the Frisch labor supply elasticity (0-0.5) and the values used by macroeconomists to calibrate general equilibrium models (2-4). The microeconometric estimates of the Frisch are typically estimated by regressing changes in hours on changes in wages conditional on the individual being a married male head of household, working some minimum number of hours and being of prime working age. In contrast macroeconomic calibration values are typically set such that fluctuations in a general equilibrium model match the observed changes in the aggregate hours and wages from the whole population over time. This paper aims to explain the gap by estimating an aggregate Frisch elasticity which is consistent with the concept of macro calibration values using the microeconometric techniques. In order to estimate the Frisch consistent with the macro concept, this paper alters the typical microeconometric approach in order to incorporate fluctuations on the extensive margin and also broadens the scope of the sample to include single males, females, secondary earners, young individuals, and old individuals. This paper finds that estimates of the aggregate macro Frisch elasticity are in the middle of the range of macroeconomic calibration values (around 3.0). Furthermore, it finds that the key to explaining the difference are the fluctuations on the extensive margin of single males, females, secondary earners, older individuals, and younger individuals. L3 - http://www.federalreserve.gov/pubs/feds/2012/201275/201275pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348038&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201275/201275pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McElroy, Tucker S. AU - Trimbur, Thomas M. AD - Unlisted AD - Unlisted T1 - Signal extraction for nonstationary multivariate time series with illustrations for trend inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-45 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331013; Publication Type: Working Paper; Update Code: 201210 N2 - This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policy-makers often combine related series--that may have stochastic trends--to attain more informed assessments of basic signals like underlying inflation and business cycle components. Here, we use a very general model structure, of widespread relevance for time series econometrics, including flexible kinds of nonstationarity and correlation patterns and specific relationships like cointegration and other common factor forms. First, we develop and prove the generalization of the well-known Wiener-Kolmogorov formula that maps signal-noise dynamics into optimal estimators for bi-infinite series. Second, this paper gives the first explicit treatment of finite-length multivariate time series, providing a new method for computing signal vectors at any time point, unrelated to Kalman filter techniques; this opens the door to systematic study of near end-point estimators/filters, by revealing how they jointly depend on a function of signal location and parameters. As an illustration we present econometric measures of the trend in total inflation that make optimal use of the signal content in core inflation. L3 - http://www.federalreserve.gov/pubs/feds/2012/201245/201245pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331013&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201245/201245pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Lee, Kuan-Hui AU - Sapriza, Horacio AU - Suarez, Gustavo AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Sovereign credit risk, banks' government support, and bank stock returns around the world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1069 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348064; Publication Type: Working Paper; Update Code: 201301 N2 - We explore the joint effect of expected government support to banks and changes in sovereign credit ratings on bank stock returns using data for banks in 37 countries between 1995 and 2011. We find that sovereign credit rating downgrades have a large negative effect on bank stock returns for those banks that are expected to receive stronger support from their governments. This result is stronger for banks in advanced economies where governments are better-positioned to provide that support. Our results suggest that stock market investors perceive sovereigns and domestic banks as markedly interconnected, partly through government guarantees. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1069/ifdp1069.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348064&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1069/ifdp1069.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brooks, Leah AU - Halberstam, Yosh AU - Phillips, Justin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Spending within limits: Evidence from municipal fiscal restraints PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-52 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331020; Publication Type: Working Paper; Update Code: 201210 N2 - This paper studies the role of a constitutional rule new to the literature: a limit placed by a city on its own ability to tax or spend. We find that such a limit exists in at least 1 in 8 cities, and that limits are not adopted in response to high levels of or variability in taxation. After limit adoption, municipal revenue growth declines by 16 to 22 percent. Our results suggest that institutional constraints may be effective when representative government falls short of the median voter ideal. L3 - http://www.federalreserve.gov/pubs/feds/2012/201252/201252pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331020&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201252/201252pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiser, Elizabeth K. AU - Prager, Robin A. AU - Scott, Jason R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Supervisor ratings and the contraction of bank lending to small businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-59 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331027; Publication Type: Working Paper; Update Code: 201210 N2 - Bank lending to small firms in the U.S. fell substantially during the recent financial crisis and the ensuing recession. Because small firms account for a disproportionate share of new job creation, lending to these firms could have important implications for the pace of economic recovery. A number of factors may have contributed to the decline in small business lending over this period. This paper examines the extent to which changes in banks' supervisory ratings are associated with changes in the rate of growth of their lending to small businesses. Limiting our sample to small banks (those with total assets of $5 billion or less), we estimate the relationship between changes in supervisory CAMELS ratings and changes in small commercial and industrial (C&I) or small commercial real estate (CRE) loans to businesses, between 2007 and 2010. Controlling for other relevant factors, including several balance sheet measures of bank health, we find that small banks that experienced ratings downgrades during 2007-2010 exhibited significantly lower rates of growth in small C&I loans and small CRE loans outstanding compared with banks that maintained their ratings at healthy levels during the same period. We also find evidence suggesting that the slower growth in small business lending at downgraded banks is attributable primarily to aspects of the banks' financial health that were not fully reflected in balance sheet data, rather than to the ratings downgrades themselves or the supervisory process surrounding the downgrades. L3 - http://www.federalreserve.gov/pubs/feds/2012/201259/201259pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331027&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201259/201259pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Paciorek, Andrew D. AD - Unlisted T1 - Supply constraints and housing market dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-01 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291139; Keywords: Housing - Prices; Housing - United States; Publication Type: Working Paper; Update Code: 201204 N2 - Although the volatility of house prices is often ascribed to demand-side factors, constraints on housing supply have important and little-studied implications for housing dynamics. I illustrate the strong relationship in city-level data between the volatility of house prices and the regulation of new housing supply. I then employ a dynamic structural model of housing investment to estimate the effect of supply constraints on both the level of new construction and the responsiveness of investment to house prices. I find that supply constraints increase volatility through two channels: First, regulation lowers the elasticity of new housing supply by increasing lags in the permit process and adding to the cost of supplying new houses on the margin. Second, geographic limitations on the area available for building houses, such as steep slopes and water bodies, lead to less investment on average relative to the size of the existing housing stock, leaving less scope for the supply response to attenuate the effects of a demand shock. My estimates and simulations confirm that regulation and geographic constraints play critical and complementary roles in decreasing the responsiveness of investment to demand shocks, which in turn amplifies house price volatility. L3 - http://www.federalreserve.gov/pubs/feds/2012/201201/201201pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291139&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201201/201201pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Canlin AU - Wei, Min AD - Unlisted AD - Unlisted T1 - Term structure modelling with supply factors and the Federal Reserve's Large Scale Asset Purchase programs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-37 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311131; Publication Type: Working Paper; Update Code: 201207 N2 - This paper proposes and estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and applies it to evaluate the term premium effects of Federal Reserve's Large Scale Asset Purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the Maturity Extension program have a combined effect of about 100 basis points on the 10-year Treasury yield. L3 - http://www.federalreserve.gov/pubs/feds/2012/201237/201237pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311131&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201237/201237pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - The aggregate demand effects of short- and long-term interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-54 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331022; Publication Type: Working Paper; Update Code: 201210 N2 - I develop empirical models of the U.S. economy that distinguish between the aggregate demand effects of short- and long-term interest rates-one with clear "microfoundations" and one more loosely motivated. These models are estimated using government and private long-term bond yields. Estimation results suggest short- and long-term interest rates both influence aggregate spending. The results indicate that the short-term interest rate has a larger influence on economic activity, through its impact on the entire term structure, than term and risk premiums (for equal-sized movements in long-term interest rates). Potential policy implications are discussed. L3 - http://www.federalreserve.gov/pubs/feds/2012/201254/201254pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331022&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201254/201254pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caldara, Dario AU - Kamps, Christophe AD - Unlisted AD - Unlisted T1 - The analytics of SVARs: a unified framework to measure fiscal multipliers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-20 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311114; Publication Type: Working Paper; Update Code: 201207 N2 - Does fiscal policy stimulate output? SVARs have been used to address this question but no stylized facts have emerged. We derive analytical relationships between the output elasticities of fiscal variables and fiscal multipliers. We show that standard identification schemes imply different priors on elasticities, generating a large dispersion in multiplier estimates. We then use extra-model information to narrow the set of empirically plausible elasticities, allowing for sharper inference on multipliers. Our results for the U.S. for the period 1947-2006 suggest that the probability of the tax multiplier being larger than the spending multiplier is below 0.5 at all horizons. L3 - http://www.federalreserve.gov/pubs/feds/2012/201220/201220pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311114&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201220/201220pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramcharan, Rodney AU - Rajan, Raghuram AD - Unlisted AD - Unlisted T1 - The anatomy of a credit crisis: the boom and bust in farm land prices in the United States in the 1920s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-62 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331030; Publication Type: Working Paper; Update Code: 201210 N2 - Does credit availability exacerbate asset price inflation? What channels could it work through? What are the long run consequences? In this paper we address these questions by examining the farm land price boom (and bust) in the United States that preceded the Great Depression. We find that credit availability likely had a direct effect on inflating land prices. Credit availability may have also amplified the relationship between the perceived improvement in fundamentals and land prices. When the perceived fundamentals soured, however, areas with higher ex ante credit availability suffered a greater fall in land prices, and experienced higher bank failure rates. Land prices stayed low for a number of decades after the bust in areas that had higher credit availability, suggesting that the effects of booms and busts induced by credit availability might be persistent. We draw lessons for regulatory policy. L3 - http://www.federalreserve.gov/pubs/feds/2012/201262/201262pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331030&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201262/201262pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, Edward AD - Unlisted T1 - The correlation between money and output in the United Kingdom: resolution of a puzzle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-29 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311123; Publication Type: Working Paper; Update Code: 201207 N2 - Friedman and Schwartz (1982) and Goodhart (1982) report a zero correlation between money growth and output growth in U.K. historical data. This finding is puzzling, as there is wide agreement that changes in monetary policy are frequently nonneutral in the short run and that the U.K. experience, in particular, is replete with instances of real effects of monetary policy actions. This paper proposes a resolution to the puzzle. An analysis conducted on subperiods shows that a positive money growth/output growth correlation is indeed recoverable from U.K. historical data. Strike activity in the 1970s and shifts in the terms of trade during the interwar period are the two factors primarily responsible for obscuring the positive correlation between money and output in the United Kingdom. L3 - http://www.federalreserve.gov/pubs/feds/2012/201229/201229pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311123&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201229/201229pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AD - Unlisted T1 - The effect of endogenous human capital accumulation on optimal taxation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-03 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291141; Keywords: Capital; Human capital; Taxation; Publication Type: Working Paper; Update Code: 201204 N2 - This paper considers the impact of endogenous human capital accumulation on optimal tax policy in a life cycle model. Including endogenous human capital accumulation, either through learning-by-doing or learning-or-doing, is analytically shown to create a motive for the government to use age-dependent labor income taxes. If the government cannot condition taxes on age, then it is optimal to use a tax on capital in order to mimic such taxes. Quantitatively, introducing learning-by-doing or learning-or-doing increases the optimal tax on capital by forty or four percent, respectively. Overall, the optimal tax on capital is thirty five percent higher in the model with learning-by-doing compared to the model with learning-or-doing implying that how human capital accumulates is of significant importance when determining the optimal tax policy. L3 - http://www.federalreserve.gov/pubs/feds/2012/201203/201203pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291141&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201203/201203pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sabelhaus, John AU - Ackerman, Samuel AD - Unlisted AD - Unlisted T1 - The effect of self-reported transitory income shocks on household spending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-64 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331032; Publication Type: Working Paper; Update Code: 201210 N2 - We use repeated cross-sections of the Survey of Consumer Finances (SCF) to study the effect of self-reported transitory income shocks on household food spending. The self-reported shocks in the SCF are derived from survey questions about the gap between actual and "normal" income. This approach stands in contrast to existing income shock measures in the literature, which are generally derived from the residuals of estimated earnings or income equations. Although the self-reported transitory shocks could potentially give very different answers, the overall variance and asymmetry of shocks over the business cycle are similar to those of existing residual-based estimates. Engel Curve analysis shows a significant relationship between self-reported income shocks and household food spending, though the estimated spending responses are only a small part of the substantial slowdown in the growth rate of food consumption observed during the recent economic downturn. L3 - http://www.federalreserve.gov/pubs/feds/2012/201264/201264pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331032&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201264/201264pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont AU - Hazelwood, Lieu AD - Unlisted AD - Unlisted T1 - The effect of TARP on bank risk-taking PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1043 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291149; Publication Type: Working Paper; Update Code: 201204 N2 - One of the largest responses of the U.S. government to the recent financial crisis was the Troubled Asset Relief Program (TARP). TARP was originally intended to stabilize the financial sector through the increased capitalization of banks. However, recipients of TARP funds were then encouraged to make additional loans despite increased borrower risk. In this paper, we consider the effect of the TARP capital injections on bank risk taking by analyzing the risk ratings of banks' commercial loan originations during the crisis. The results indicate that, relative to non-TARP banks, the risk of loan originations increased at large TARP banks but decreased at small TARP banks. Interest spreads and loan levels also moved in different directions for large and small banks. For large banks, the increase in risk-taking without an increase in lending is suggestive of moral hazard due to government ownership. These results may also be due to the conflicting goals of the TARP program for bank capitalization and bank lending. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1043/ifdp1043.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291149&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1043/ifdp1043.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Lopez-Salido, David AU - Smith, Matthew E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The empirical implications of the interest-rate lower bound PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-83 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348048; Publication Type: Working Paper; Update Code: 201301 N2 - Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the resulting economic slump. Compared with the hypothetical situation in which monetary policy can act in an unconstrained fashion, our estimates imply that U.S. output was more than 1 percent lower, on average, over the 2009-2011 period. Moreover, around 20 percent of the drop in U.S. GDP during the recession of 2008-2009 was due to the interest-rate lower bound. We show that the estimated model generates lower bound episodes that resemble salient characteristics of the observed U.S. episode, including its expected duration. L3 - http://www.federalreserve.gov/pubs/feds/2012/201283/201283pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348048&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201283/201283pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Morse, Ari AU - Schlusche, Bernd AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Federal Reserve's balance sheet and overnight interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-66 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331034; Publication Type: Working Paper; Update Code: 201210 N2 - This paper provides a comprehensive study of the interplay between the Federal Reserve's balance sheet and overnight interest rates. We model both the supply of and the demand for excess reserves, treating assets of the Federal Reserve as policy tools, and estimate the effects of conventional and unconventional monetary policy on overnight funding rates. We find that, in the current environment with quite elevated levels of reserves, the effect of further monetary policy accommodation on overnight interest rates is limited. Further, assuming a path for removing monetary policy accommodation that is consistent with the FOMC's exit principles, we project that the federal funds rate increases to 70 basis points, settling in a corridor bracketed by the discount rate and the interest rate on excess reserves, as excess reserves of depository institutions decline to near zero. L3 - http://www.federalreserve.gov/pubs/feds/2012/201266/201266pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331034&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201266/201266pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Ihrig, Jane E. AU - Klee, Elizabeth C. AU - Boote, Alexander H. AU - Quinn, Daniel W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Federal Reserve's balance sheet: a primer and projections PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-56 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331024; Publication Type: Working Paper; Update Code: 201210 N2 - Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The securities holdings in excess of historical norms have been shown to be putting downward pressure on longer-term interest rates. One question asked is how long this unusual amount of monetary policy accommodation will be in place. Here we provide projections of the evolution of the Federal Reserve's balance sheet that are consistent with public economic forecasts and announced Federal Open Market Committee policy principles to help answer this question. We begin with a primer on the Federal Reserve's balance sheet. Then, with the foundational concepts in place, we present a framework for projecting Federal Reserve assets and liabilities through time. In the projections, the Federal Reserve's balance sheet remains large by historical standards for several years. Our baseline projection suggests that market participants likely do not expect the Federal Reserve's portfolio to return to a more normal size until August 2017, and its composition to return to normal until September 2018. Overall, this suggests that market participants believe that unconventional monetary policy will be in place for some time, likely depressing longer-term interest rates for a number of years. L3 - http://www.federalreserve.gov/pubs/feds/2012/201256/201256pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331024&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201256/201256pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - English, William AU - Lopez-Salido, David AU - Nelson, Edward AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The Federal Reserve's large-scale asset purchase programs: rationale and effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-85 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348046; Publication Type: Working Paper; Update Code: 201301 N2 - We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs might matter for longer-term interest rates, we concentrate on (i) the scarcity (available local supply) channel associated with the traditional preferred habitat literature, and (ii) the duration channel associated with the general notion of interest rate risk. We also clarify LSAPs' role in the broader context of monetary policy strategy, bringing out the connections between purchases of longer-term assets and historical Federal Reserve policy approaches. Our results indicate that the impact of LSAP-style operations on longer-term interest rates is mainly felt on the nominal term-premium component; moreover, within the nominal term premium, it is the real term premium that experiences the greatest response. The estimates suggest that the scarcity and duration channels have both been of considerable importance for the transmission of purchases to longer-term Treasury yields. Finally, by isolating the degree to which scarcity and duration impinge on term premiums, our estimates indicate the direction in which macroeconomic models should develop in order to encompass the transmission channels associated with LSAPs. L3 - http://www.federalreserve.gov/pubs/feds/2012/201285/201285pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348046&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201285/201285pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - The Federal Reserve's portfolio and its effects on mortgage markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-22 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311116; Publication Type: Working Paper; Update Code: 201207 N2 - We provide an empirical analysis of the effects of the Federal Reserve's asset holdings on MBS yields and mortgage rates. We argue that understanding the particulars of the U.S. mortgage markets, particularly the linkages between the secondary and primary mortgage markets, is important. We find evidence that the Federal Reserve's portfolio holdings influence mortgage markets, through both a "portfolio balancing channel" and an "excess reserves" channel. These two channels can work in opposite directions and their magnitudes are difficult to estimate, but on net, larger Federal Reserve's portfolio holdings seem to have placed a significant downward influence on MBS yields and mortgage rates. L3 - http://www.federalreserve.gov/pubs/feds/2012/201222/201222pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311116&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201222/201222pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bolotnyy, Valentin AD - Unlisted T1 - The Government-Sponsored Enterprises and the mortgage crisis: the role of the affordable housing goals PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-25 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311119; Publication Type: Working Paper; Update Code: 201207 N2 - The U.S. mortgage crisis that began in 2007 generated questions about the role played by Fannie Mae and Freddie Mac, the Government-Sponsored Enterprises (GSEs), in its causes. Some have claimed that the Affordable Housing Goals (AHGs), introduced by Congress through the GSE Act of 1992, and the resulting purchases of single-family mortgages the GSEs made to meet those goals, drove lending to high-risk borrowers. Using regression discontinuity analysis, I measure the effect of one of the goals, the Underserved Areas Goal (UAG), on the number of whole single-family mortgages purchased by the GSEs in targeted census tracts from 1996 to 2002. Focusing additionally on tracts that became UAG-eligible in 2005-2006, when the Department of Housing and Urban Development (HUD) began to determine eligibility using the 2000 Census, I measure the effect of the UAG on the GSEs' whole single-family mortgage purchases during peak years for the subprime mortgage market. Under the first approach, I estimate that the GSEs purchased 0 to 3 percent more goal-eligible mortgages than they would have without the UAG in place. Under the second approach, I estimate this effect to be 2.5 to 5 percent. The results suggest a small UAG effect and challenge the view that the goals caused the GSEs to supply substantially more credit to high-risk borrowers than they otherwise would have supplied. Although the goals may have spurred the GSEs to purchase more multi-family mortgages and REMICs than they otherwise would have, my analyses suggest that the GSEs' purchases of whole single-family mortgages to satisfy the goals did not drive the subprime lending boom of 2002-2006. L3 - http://www.federalreserve.gov/pubs/feds/2012/201225/201225pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311119&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201225/201225pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AU - Mandel, Benjamin R. AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The hitchhiker's guide to missing import price changes and pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1040 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291146; Publication Type: Working Paper; Update Code: 201204 N2 - A large body of empirical work has found that exchange rate movements have only modest effects on inflation. However, the response of an import price index to exchange rate movements may be underestimated because some import price changes are missed when constructing the index. We investigate downward biases that arise when items experiencing a price change are especially likely to exit or to enter the index. We show that, in theoretical pricing models, entry and exit have different implications for the timing and size of these biases. Using Bureau of Labor Statistics (BLS) microdata, we derive empirical bounds on the magnitude of these biases and construct alternative price indexes that are less subject to selection effects. Our analysis suggests that the biases induced by selective exits and entries do not materially alter the literature's view that pass-through to U.S. import prices is low over the short to medium term horizons that are most useful for both forecasting and differentiating amongst economic models. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1040/ifdp1040.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291146&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1040/ifdp1040.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramcharan, Rodney AU - Crowe, Christopher AD - Unlisted AD - Unlisted T1 - The impact of house prices on consumer credit: evidence from an internet bank PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-60 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331028; Publication Type: Working Paper; Update Code: 201210 N2 - This paper shows that house price fluctuations can have a significant impact on credit markets well beyond the mortgage segment. Using new data from Prosper.com, a peer to peer lending site that matches borrowers and lenders to provide unsecured consumer loans, we find evidence that home owners in states with declining house prices face higher interest rates and greater rationing of credit, while also becoming delinquent faster. Investigating the mechanism, we find separate supply and demand effects, and especially large effects for those subprime borrowers whose balance sheets are likely to be most exposed to asset price declines. This evidence suggests that asset price fluctuations can play an important part in determining credit conditions and are thus a potentially significant mechanism for propagating macroeconomic shocks. L3 - http://www.federalreserve.gov/pubs/feds/2012/201260/201260pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331028&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201260/201260pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feldman, Naomi E. AU - Ruffle, Bradley J. AD - Unlisted AD - Unlisted T1 - The impact of tax exclusive and inclusive prices on demand PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-50 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331018; Publication Type: Working Paper; Update Code: 201210 N2 - We test the equivalence of tax-inclusive and tax-exclusive prices through a series of experiments that differ only in their handling of the tax. Subjects receive a cash budget and decide how much to keep and how much to spend on various attractively priced goods. Subjects spend significantly more when faced with tax-exclusive prices. This treatment effect is robust to different price levels, to initial shopping-cart purchases and persists throughout most of the ten rounds. A goods-level analysis, intra-round revisions as well as results from a third tax-deduction treatment all cast doubt on salience as the source of our findings. L3 - http://www.federalreserve.gov/pubs/feds/2012/201250/201250pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331018&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201250/201250pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaufman, Alex AD - Unlisted T1 - The influence of Fannie and Freddie on mortgage loan terms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-33 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311127; Publication Type: Working Paper; Update Code: 201207 N2 - This paper uses a novel instrumental variables approach to quantify the effect that GSE purchase eligibility had on equilibrium mortgage loan terms in the period from 2003 to 2007. The technique is designed to eliminate sources of bias that may have affected previous studies. GSE eligibility appears to have lowered interest rates by about 10 basis points, encouraged fixed-rate loans over ARMs, and discouraged low-documentation and brokered loans. There is no measurable effect on loan performance or on the prevalence of certain types of "exotic" mortgages. The overall picture suggests that GSE purchases had only a modest impact on loan terms during this period. L3 - http://www.federalreserve.gov/pubs/feds/2012/201233/201233pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311127&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201233/201233pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cagetti, Marco AU - Holmquist, Elizabeth Ball AU - Lynn, Lisa AU - McIntosh, Susan Hume AU - Wasshausen, David AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The integrated macroeconomic accounts of the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-81 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348044; Publication Type: Working Paper; Update Code: 201301 N2 - The integrated macroeconomic accounts (IMAs), produced jointly by the Bureau of Economic Analysis (BEA) and the Federal Reserve Board (FRB), present a sequence of accounts that relate income, saving, investment in real and financial assets, and asset revaluations to changes in net worth. In this paper we first provide some background information on the IMAs and on their construction. Next, we discuss the usefulness of the IMAs, focusing for instance on the evolution of household net worth and its components, a set of series that has appeared frequently in discussions of the causes and effects of the recent financial crisis. We also discuss some of the challenges associated with integrating nonfinancial and financial data sources, that is, the current and capital accounts statistics from BEA's national income and product accounts (NIPAs) and the financial account statistics from FRB's flow of funds accounts (FFAs). In the final section, we discuss future plans for improving the IMAs, including a proposed framework and methodology for breaking out the financial business sector into three subsectors: 1) Central bank, 2) Insurance and pension funds, and 3) Other financial business. L3 - http://www.federalreserve.gov/pubs/feds/2012/201281/201281pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348044&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201281/201281pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCabe, Patrick E. AU - Cipriani, Marco AU - Holscher, Michael AU - Martin, Antoine AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The minimum balance at risk: a proposal to mitigate the systemic risks posed by money market funds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-47 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331014; Publication Type: Working Paper; Update Code: 201210 N2 - This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policy-makers often combine related series--that may have stochastic trends--to attain more informed assessments of basic signals like underlying inflation and business cycle components. Here, we use a very general model structure, of widespread relevance for time series econometrics, including flexible kinds of nonstationarity and correlation patterns and specific relationships like cointegration and other common factor forms. First, we develop and prove the generalization of the well-known Wiener-Kolmogorov formula that maps signal-noise dynamics into optimal estimators for bi-infinite series. Second, this paper gives the first explicit treatment of finite-length multivariate time series, providing a new method for computing signal vectors at any time point, unrelated to Kalman filter techniques; this opens the door to systematic study of near end-point estimators/filters, by revealing how they jointly depend on a function of signal location and parameters. As an illustration we present econometric measures of the trend in total inflation that make optimal use of the signal content in core inflation. L3 - http://www.federalreserve.gov/pubs/feds/2012/201247/201247pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331014&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201247/201247pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - The other, other half: changes in the finances of the least wealthy 50 percent, 2007-2009 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-40 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331008; Publication Type: Working Paper; Update Code: 201210 N2 - In discussions of household wealth, it is not surprising that discussion often tends to focus on the upper half of the wealth distribution: According to the 2007 Survey of Consumer Finances (SCF), that group held 97.5 percent of all directly owned household wealth. This paper investigates the wealth dynamics of this group using data from the 2007-2009 SCF panel to examine the degree of distributional mobility among this group, the demographic characteristics associated with such change and the role of initial portfolio allocation. It also provides information from earlier SCFs and the 2010 SCF to put the results in perspective. L3 - http://www.federalreserve.gov/pubs/feds/2012/201240/201240pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331008&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201240/201240pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Jonathan D. AD - Unlisted T1 - The prolonged resolution of troubled real estate lenders during the 1930s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-31 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311125; Publication Type: Working Paper; Update Code: 201207 N2 - This paper studies how building and loan associations (B&Ls) slowly unwound their obligations following a set of financial shocks during the Great Depression, with a special focus on a group of particularly troubled B&Ls in Newark, NJ. Investors in B&Ls disagreed over whether to realize losses on foreclosed real estate holdings, and those investors favoring liquidation were unable to force action after legal developments nullified statutory withdrawal privileges. In the medium run, a market-based resolution mechanism developed in the form of a secondary market for B&L liabilities. Liability holders barred from withdrawal incurred large losses while liquidating their investments on this market. At the same time, B&Ls used the market to avoid realizing some losses by exchanging foreclosed real estate for their second-hand share liabilities. More formal resolution ultimately took place from 1938 to 1943, first consisting heavily of closures, and then of reorganizations. Reorganizations were spurred by a large scale federal intervention arranging for the creation of bad banks, liquidity injections, and liability insurance. L3 - http://www.federalreserve.gov/pubs/feds/2012/201231/201231pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311125&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201231/201231pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - DeBacker, Jason AU - Heim, Bradley AU - Panousi, Vasia AU - Ramnath, Shanthi AU - Vidangos, Ivan AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The properties of income risk in privately held businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-69 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331037; Publication Type: Working Paper; Update Code: 201210 N2 - Our paper represents the first attempt in the literature to estimate the properties of business income risk from privately held businesses in the US. Using a new, large, and confidential panel of US income tax returns for the period 1987-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over time. We find that business income is much riskier than labor income, not only because of the probability of business exit, but also because of higher income fluctuations, conditional on no exit. We show that business income is less persistent, but is also characterized by higher probabilities of extreme upward transition, compared to labor income. Furthermore, the distribution of percent changes for business income is more dispersed than that for labor income, and it also indicates that business income faces substantially higher tail risks. Our results suggest that the high-income households are more likely to bear both the big positive and the big negative business income percent changes. L3 - http://www.federalreserve.gov/pubs/feds/2012/201269/201269pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331037&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201269/201269pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vojtech, Cindy M. AD - Unlisted T1 - The relationship between information asymmetry and dividend policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-13 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311107; Publication Type: Working Paper; Update Code: 201207 N2 - This paper examines how the quality of firm information disclosure affects shareholders' use of dividends to mitigate agency problems. Managerial compensation is linked to firm value. However, because the manager and shareholders are asymmetrically informed, the manager can manipulate the firm's accounting information to increase perceived firm value. Dividends can limit such practices by adding to the cost faced by a manager manipulating earnings. Empirical tests match model predictions. Dividend-paying firms show less evidence of earnings management. Furthermore, nondividend payers changed earnings announcement behavior more than dividend payers following the Sarbanes-Oxley Act, a law that increased financial disclosures. L3 - http://www.federalreserve.gov/pubs/feds/2012/201213/201213pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311107&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201213/201213pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AU - Pinto, Eugenio P. AD - Unlisted AD - Unlisted T1 - The response of capital goods shipments to demand over the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-30 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311124; Publication Type: Working Paper; Update Code: 201207 N2 - This paper studies the behavior of producers of capital goods, examining how they set shipments in response to fluctuations in new orders. The paper establishes a stylized fact: the response of shipments to orders is more pronounced when the level of new orders is low relative to the level of shipments, usually after orders plunge in recessions. This cyclical change in firm behavior is quantitatively important, accounting for a large portion of the steep decline in equipment investment in the 2001 and 2007--9 recessions. We examine economic interpretations of this stylized fact using a model where firms smooth production with a target delivery lag for new orders. Heightened persistence in orders growth may explain part of the greater responsiveness of shipments to orders, as may increases in firms' target buffer stocks of unfilled orders relative to shipments. L3 - http://www.federalreserve.gov/pubs/feds/2012/201230/201230pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311124&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201230/201230pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - The return on U.S. direct investment at home and abroad PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1057 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348052; Publication Type: Working Paper; Update Code: 201301 N2 - A longstanding puzzle is that the United States is a net borrower from the rest of the world, yet continues to receive income on its external position. A large difference between the yields on direct investment at home and abroad is responsible and this paper examines potential explanations for this differential. We find that most of the differential disappears after one adjusts for the U.S. taxes owed by the parent on foreign earnings, the sovereign risk and sunk costs associated with investing abroad, and the age of foreign direct investment in the U.S.. Taken together, our results suggest most of the difference in yields should remain as long as there is a difference in tax rates between the United States and the countries in which U.S. firms invest, and U.S. investments are perceived as relatively safe. This has implications for the long-run sustainability of the U.S. current account deficit which will depend, in part, on the long-run behavior of this income. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1057/ifdp1057.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348052&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1057/ifdp1057.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Foley-Fisher, Nathan AD - Unlisted T1 - The timing of sovereign defaults over electoral terms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1047 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311136; Publication Type: Working Paper; Update Code: 201207 N2 - I construct a database that maps the timing of sovereign default decisions into elected politicians' terms of office, that provides an empirical means of investigating political economy theories of sovereign default. I find no robust patterns in the timing of default decisions over terms of office. I also find no evidence in support of the political reputation theory of sovereign debt repayment. Finally, there is some tentative evidence that elected leaders who default are also those more likely to be re-elected. Motivated by anecdotal evidence, I use a stylised model of political leaders with career concerns to demonstrate how this can occur when politicians care about re-election. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1047/ifdp1047.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311136&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1047/ifdp1047.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Millar, Jonathan N. AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Time-to plan lags for commercial construction projects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-34 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311128; Publication Type: Working Paper; Update Code: 201207 N2 - We use a large project-level dataset to estimate the length of the planning period for commercial construction projects in the United States. We find that these time-to-plan lags are long, averaging about 17 months when we aggregate the projects without regard to size and more than 28 months when we weight the projects by their construction cost. The full distribution of time-to-plan lags is very wide, and we relate this variation to the characteristics of the project and its location. In addition, we show that time-to-plan lags lengthened by 3 to 4 months, on average, over our sample period (1999 to 2010). Regulatory factors help explain the variation in planning lags across locations, and we present anecdotal evidence that links at least some of the lengthening over time to heightened regulatory scrutiny. L3 - http://www.federalreserve.gov/pubs/feds/2012/201234/201234pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311128&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201234/201234pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Holland, Sara B. AU - Smith, David C. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - U.S. international equity investment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1044 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311133; Publication Type: Working Paper; Update Code: 201207 N2 - U.S. investors are the largest group of international equity investors in the world, but to date conclusive evidence on which types of foreign firms are able to attract U.S. investment is not available. Using a comprehensive dataset of all U.S. investment in foreign equities, we find that the single most important determinant of the amount of U.S. investment a foreign firm receives is whether the firm cross-lists on a U.S. exchange. Correcting for selection biases, cross-listing leads to a doubling (or more) in U.S. investment, an impact greater than all other factors combined. We also show that our firm-level analysis has implications for country-level studies, suggesting that research investigating equity investment patterns at the country-level should include cross-listing as an endogenous control variable. We describe easy-to-implement methods for including the importance of cross-listing at the country level. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1044/ifdp1044.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311133&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1044/ifdp1044.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Foley-Fisher, Nathan AU - Guimaraes, Bernardo AD - Unlisted AD - Unlisted T1 - U.S. real interest rates and default risk in emerging economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1051 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331044; Publication Type: Working Paper; Update Code: 201210 N2 - This paper empirically investigates the impact of changes in U.S. real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in U.S. interest rates starkly raise default risk in emerging market economies. However, the overall correlation between U.S. real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1051/ifdp1051.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331044&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1051/ifdp1051.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Lewis, Kurt F. AU - Nelson, William R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Using policy intervention to identify financial stress PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-02 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291140; Keywords: Financial markets; Financial institutions; Indexation (Economics); Publication Type: Working Paper; Update Code: 201204 N2 - This paper describes the construction of a financial stress index. This stress index differs from other indexes in that it incorporates the co-movement and volatility of financial series as well as the levels of the series. Our index also uses past experience more than others to guide the assessment about which characteristics of the data suggest financial stress exists. In addition to describing the construction of our financial stress index, we spend some time discussing issues relevant to the general construction of stress indexes. L3 - http://www.federalreserve.gov/pubs/feds/2012/201202/201202pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291140&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201202/201202pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Herbst, Edward P. AD - Unlisted T1 - Using the 'Chandrasekhar Recursions' for likelihood evaluation of DSGE models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-35 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311129; Publication Type: Working Paper; Update Code: 201207 N2 - In likelihood-based estimation of linearized Dynamic Stochastic General Equilibrium (DSGE) models, the evaluation of the Kalman Filter dominates the running time of the entire algorithm. In this paper, we revisit a set of simple recursions known as the "Chandrasekhar Recursions" developed by Morf (1974) and Morf, Sidhu, and Kalaith (1974) for evaluating the likelihood of a Linear Gaussian State Space System. We show that DSGE models are ideally suited for the use of these recursions, which work best when the number of states is much greater than the number of observables. In several examples, we show that there are substantial benefits to using the recursions, with likelihood evaluation up to five times faster. This gain is especially pronounced in light of the trivial implementation costs--no model modification is required. Moreover, the algorithm is complementary with other approaches. L3 - http://www.federalreserve.gov/pubs/feds/2012/201235/201235pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311129&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201235/201235pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Londono, Juan M. AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Variance risk premiums and the forward premium puzzle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1068 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1348063; Publication Type: Working Paper; Update Code: 201301 N2 - This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk premiums are quite low. Interestingly the currency variance risk premium has no predictive power for stock returns. We rationalize these findings in a consumption-based asset pricing model with orthogonal local and global economic uncertainties. In our model the market is incomplete in the sense that the global uncertainty is not priced by local stock markets and is therefore a forex-specific phenomenon--the currency uncertainty's effects on the expected stock return are off-setting between the cash flow channel and the volatility channel. L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1068/ifdp1068.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1348063&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1068/ifdp1068.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chauvet, Marcelle AU - Senyuz, Zeynep AU - Yoldas, Emre AD - Unlisted AD - Unlisted AD - Unlisted T1 - What does financial volatility tell us about macroeconomic fluctuations? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-09 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311103; Publication Type: Working Paper; Update Code: 201207 N2 - This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a short-run component. If volatility has components, volatility proxies are characterized by large measurement error, which veils analysis of their fundamental information and relationship with the economy. We find that there are substantial gains from using the long term component of the volatility measures for linearly projecting future economic activity, as well as for forecasting business cycle turning points. When we allow for asymmetry in the long-run volatility component, we find that it provides early signals of upcoming recessions. In a real-time out-of-sample analysis of the last recession, we find that these signals are concomitant with the first signs of distress in the financial markets due to problems in the housing sector around mid-2007 and the implied chronology is consistent with the crisis timeline. L3 - http://www.federalreserve.gov/pubs/feds/2012/201209/201209pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311103&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201209/201209pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Detmeister, Alan K. AD - Unlisted T1 - What should core inflation exclude? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2012-43 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1331011; Publication Type: Working Paper; Update Code: 201210 N2 - Consumer price inflation excluding food and energy often performs worse than other measures of underlying inflation in out-of-sample tests of predicting future inflation or tracking an ex-post measure of underlying trend inflation. Nonetheless, inflation excluding food and energy remains popular for its simplicity and transparency. Would excluding different items improve performance while maintaining the simplicity and transparency? Unfortunately, probably not. Averaging across a series of tests suggests that knowing what items to exclude before seeing the data is problematic and excluding food and energy is not a bad ex-ante guess. However, ex-post it is not difficult to construct an index which performs considerably better than excluding food and energy. L3 - http://www.federalreserve.gov/pubs/feds/2012/201243/201243pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1331011&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2012/201243/201243pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rice, Tara AU - Rose, Jonathan AD - Unlisted AD - Unlisted T1 - When good investments go bad: the contraction in community bank lending after the 2008 GSE takeover PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1045 Y1 - 2012/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1311134; Publication Type: Working Paper; Update Code: 201207 N2 - In September 2008, the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac were placed into conservatorship and dividend payments on common and preferred shares were suspended. As a result, share prices fell to nearly zero and many banks across the country lost the value of their investments in the preferred shares. We estimate more than 600 depository institutions in the United States were exposed to at least $8 billion in investment losses from these securities. In addition, fifteen failures and two distressed mergers either directly or indirectly resulted from the takeover. Since these GSE investments were considered to be safe investments by banks, regulators, and rating agencies, we consider these losses to be exogenous shocks to bank capital, and use this event to examine the relationship between community bank condition and lending during this crisis. We find that in the quarter following the takeover of Fannie Mae and Freddie Mac, the measured Tier 1 capital ratio at exposed banks fell about three percent on average, and loan growth at exposed banks with median capitalization was about 2 percentage points lower compared to other banks in the following quarter. Consequently, considering the set of community banks that incurred about $2 billion in GSE-related losses, and assuming that each bank reduced loan growth by 2 percentage points, the estimated aggregate lending drop among these banks would be roughly $4 billion. . L3 - http://www.federalreserve.gov/pubs/ifdp/2012/1045/ifdp1045.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1311134&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2012/1045/ifdp1045.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Arteta, Carlos AU - Kamin, Steven B. AU - Vitanza, Justin T1 - The puzzling peso JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2011/12// VL - 30 IS - 8 M3 - Article SP - 1814 EP - 1835 SN - 02615606 AB - Abstract: In the past decade, some observers have noted an unusual aspect of the Mexican peso’s behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso’s correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country’s currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, a country’s currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso’s unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PESO (Mexican currency) KW - DOLLAR KW - EURO KW - CAPITALISM KW - FOREIGN exchange rates KW - CORRELATION (Statistics) KW - CREDIT ratings KW - Dollar KW - Exchange rates KW - Inflation KW - Interest rate differentials KW - Mexico KW - Output gap KW - Output growth differentials KW - Peso N1 - Accession Number: 67321106; Arteta, Carlos 1; Kamin, Steven B. 1; Email Address: steven.kamin@frb.gov; Vitanza, Justin 2; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 23, Washington D.C. 20551, USA; 2: University of Rochester, Rochester, New York, USA; Issue Info: Dec2011, Vol. 30 Issue 8, p1814; Thesaurus Term: PESO (Mexican currency); Thesaurus Term: DOLLAR; Thesaurus Term: EURO; Thesaurus Term: CAPITALISM; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: CREDIT ratings; Author-Supplied Keyword: Dollar; Author-Supplied Keyword: Exchange rates; Author-Supplied Keyword: Inflation; Author-Supplied Keyword: Interest rate differentials; Author-Supplied Keyword: Mexico; Author-Supplied Keyword: Output gap; Author-Supplied Keyword: Output growth differentials; Author-Supplied Keyword: Peso; Language of Keywords: English; Language of Keywords: Spanish; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jimonfin.2011.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=67321106&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lewis, Logan T. T1 - Exports versus Multinational Production under Nominal Uncertainty. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/12// IS - 1038/1039 M3 - Article SP - 1 EP - 41 AB - This paper examines how nominal uncertainty a effects the choice firms face to serve a foreign market through exports or to produce abroad as a multinational. I develop a two-country, stochastic general equilibrium model in which firms make production and pricing decisions in advance, and I consider its implications on this relative choice. For foreign firms, both exports and multinational production are priced in the destination currency, and this uncertainty has no effect on the relative decision. In the data, U.S. firms set nearly all of their export prices in dollars. Therefore, home firms price exports in their own currency in the model. Home exporters gain an advantage over home multinationals: during a foreign contraction, the foreign exchange rate appreciates, causing exported goods from the home country to be relatively cheaper. This pricing advantage a effects exporters non-linearly through demand, which translates to convex profits. As foreign volatility rises, the model implies that the home country should serve the foreign country relatively more through exports. I take this implication to bilateral U.S. data, using ination volatility as a proxy for nominal volatility. Using seffectoral data on sales by majority-owned foreign affiliates matched with U.S. exports, I find that higher ination volatility is associated with a signifficantly lower ratio of multinational production to total foreign sales. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXPORTS KW - STOCHASTIC analysis KW - INTERNATIONAL business enterprises KW - FOREIGN sales corporations KW - UNITED States KW - International Trade KW - Multinational Production KW - Nominal Uncertainty KW - Proximity-Concentration N1 - Accession Number: 76479545; Lewis, Logan T. 1; Affiliations: 1: Staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Dec2011, Issue 1038/1039, preceding p1; Thesaurus Term: EXPORTS; Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: INTERNATIONAL business enterprises; Thesaurus Term: FOREIGN sales corporations; Subject: UNITED States; Author-Supplied Keyword: International Trade; Author-Supplied Keyword: Multinational Production; Author-Supplied Keyword: Nominal Uncertainty; Author-Supplied Keyword: Proximity-Concentration; Number of Pages: 43p; Illustrations: 1 Diagram, 6 Charts, 7 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76479545&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ohanian, Lee E. AU - Raffo, Andrea T1 - Aggregate Hours Worked in OECD Countries: New Measurement and Implications for Business Cycles. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/12// IS - 1038/1039 M3 - Article SP - 1 EP - 38 AB - We build a dataset of quarterly hours worked for 14 OECD countries. We document that hours are as volatile as output, that a large fraction of labor adjustment takes place along the intensive margin, and that the volatility of hours relative to output has increased over time. We use these data to reassess the Great Recession and prior recessions. The Great Recession in many countries is a puzzle in that labor wedges are small, while those in the U.S. Great Recession - and those in previous European recessions - are much larger. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR KW - RECESSIONS KW - BUSINESS cycles KW - UNITED States KW - Great Recession KW - Hours Worked KW - Labor Wedge KW - ORGANISATION for Economic Co-operation & Development N1 - Accession Number: 76479546; Ohanian, Lee E. 1; Email Address: ohanian@econ.ucla.edu; Raffo, Andrea 2; Email Address: andrea.raffo@frb.gov; Affiliations: 1: UCLA, NBER, Hoover Institution; 2: Board of Governors of the Federal Reserve System; Issue Info: Dec2011, Issue 1038/1039, preceding p1; Thesaurus Term: LABOR; Thesaurus Term: RECESSIONS; Thesaurus Term: BUSINESS cycles; Subject: UNITED States; Author-Supplied Keyword: Great Recession; Author-Supplied Keyword: Hours Worked; Author-Supplied Keyword: Labor Wedge ; Company/Entity: ORGANISATION for Economic Co-operation & Development; NAICS/Industry Codes: 928120 International Affairs; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; Number of Pages: 39p; Illustrations: 9 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76479546&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - Braunstein, S; AU - Lavizzo-Mourey, R; T1 - How The Health And Community Development Sectors Are Combining Forces To Improve Health And Well-Being CT - How The Health And Community Development Sectors Are Combining Forces To Improve Health And Well-Being JO - Health Affairs JF - Health Affairs VL - 30 IS - Nov SP - 2042 SN - 02782715 AD - Fed Reserve Boards, Div Consumer & Community Affairs, Washington, DC, USA sandy.braunstein@frb.gov N1 - Accession Number: 49-05161; Language: English; References: 25; Human Indicator: Yes; Section Heading: Pharmacy Practice; Sociology, Economics and Ethics N2 - The root causes of poor health experienced by many who live in low-income neighborhoods-such as the lack of access to health care, limited food choices, and exposure to environmental hazards-are well documented, but often go beyond the scope of the health care delivery system. But that is beginning to change. The health sector has begun to collaborate with the community development sector, which for decades has been working in low-income neighborhoods. Encouraging local and national examples of these new partnerships abound. They include an effort in Seattle, Washington, to reduce exposure to allergens and irritants among low-income asthmatic children, and a $500 million federal program to finance the operation of grocery stores in what have previously been urban "food deserts." To nurture such efforts, the Robert Wood Johnson Foundation, the Federal Reserve System, and others have sponsored a series of "healthy community" forums in US cities. In this article we explore the growing partnerships between the health and community development sectors as well as the challenges they face, and we offer policy recommendations that might help them succeed. KW - Interventions--health care; KW - Health care--community; KW - Costs--health care; KW - Age--pediatrics; KW - Sociology--low income; KW - Pediatrics--age; UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ipa&AN=49-05161&site=ehost-live&scope=site DP - EBSCOhost DB - ipa ER - TY - JOUR AU - Bubb, Ryan AU - Kaufman, Alex T1 - Further Investigations into the Origin of Credit Score Cutoff Rules. JO - Working Paper Series (Federal Reserve Bank of Boston) JF - Working Paper Series (Federal Reserve Bank of Boston) Y1 - 2011/11// VL - 11 IS - 12 M3 - Article SP - 1 EP - 42 AB - Keys, Mukherjee, and Vig (2010a) argue that the evidence presented in Bubb and Kaufman (2009) is based on an inappropriate pooling of loans sold to private-label securitizers with loans sold to the government sponsored enterprises (GSEs). In this paper we investigate the issues raised by the authors and conclude that they do not change our basic analytical approach or conclusions. We examine samples that do not pool together loans sold to these two types of purchasers--a sample of loans bought by the GSEs, a sample of loans originated in 2008--2009 after the private-label market collapsed, and a sample of jumbo loans--and find discontinuities in the number and default rate of loans at credit score cutoffs in the absence of corresponding discontinuities in the securitization rate. We also examine a key assumption underlying their estimates--that no loans are both at risk of being sold to the GSEs and at risk of being sold to private-label securitizers--and show that the data are inconsistent with that assumption. We find that 18 percent of conforming loans in our sample at some time switched between GSE and private-label ownership, demonstrating that the GSEs and private-label securitizers competed for the same loans. Additionally, we show that lender screening cutoffs grew steadily over the period 1997-2010 during which the private-label market rose and collapsed. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Paper Series (Federal Reserve Bank of Boston) is the property of Federal Reserve Bank of Boston and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LOANS KW - CREDIT ratings KW - GOVERNMENT-sponsored enterprises KW - CREDIT KW - POOLINGS of interest N1 - Accession Number: 70108053; Bubb, Ryan 1; Email Address: ryan.bubb@nyu.edu; Kaufman, Alex 2; Email Address: alex.kaufman@frb.gov; Affiliations: 1: Assistant Professor of Law, New York University School of Law; 2: Economist, Board of Governors of the Federal Reserve System; Issue Info: Nov2011, Vol. 11 Issue 12, p1; Thesaurus Term: LOANS; Thesaurus Term: CREDIT ratings; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: CREDIT; Thesaurus Term: POOLINGS of interest; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 43p; Illustrations: 5 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=70108053&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Londono, Juan M. T1 - The Variance Risk Premium Around the World. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/11// IS - 1033-1037 M3 - Article SP - 1 EP - 45 AB - This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time variation, they do not predict local equity returns. Then, I extend the domestic model in Bollerslev, Tauchen and Zhou (2009) to an international setting. In light of the qualitative implications of my model, I provide empirical evidence that the US variance premium outperforms that of all other countries in predicting local and foreign equity returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RISK premiums KW - RATE of return KW - INTERNATIONAL economic relations KW - ECONOMIC policy KW - MACROECONOMICS KW - comovements KW - economic uncertainty KW - interdependence KW - international integration KW - return predictability KW - variance risk premium N1 - Accession Number: 76454430; Londono, Juan M. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Nov2011, Issue 1033-1037, preceding p1; Thesaurus Term: RISK premiums; Thesaurus Term: RATE of return; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: comovements; Author-Supplied Keyword: economic uncertainty; Author-Supplied Keyword: interdependence; Author-Supplied Keyword: international integration; Author-Supplied Keyword: return predictability; Author-Supplied Keyword: variance risk premium; NAICS/Industry Codes: 911420 International assistance; Number of Pages: 47p; Illustrations: 5 Charts, 13 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76454430&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Peneva, Ekaterina T1 - Some evidence on factor intensity and price rigidity JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2011/10// VL - 35 IS - 10 M3 - Article SP - 1652 EP - 1658 SN - 01651889 AB - Abstract: This paper establishes a new empirical finding: the degree of labor intensity and the degree of price flexibility are negatively correlated across industrial sectors in the U.S. economy. This finding suggests that varying factor intensity can potentially generate different degrees of price stickiness across sectors and remove the need to exogenously impose the latter. Of course, labor intensity is just one more feature—in addition to others like the durability of goods produced and the degree of competition—that can explain some of the heterogeneity in price durations across sectors. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICE flexibility KW - LABOR KW - EMPIRICAL research KW - COMPETITION (Economics) KW - INDUSTRIES KW - FACTOR analysis KW - HETEROGENEITY KW - UNITED States KW - Factor intensity KW - Price rigidity N1 - Accession Number: 65043082; Peneva, Ekaterina 1; Email Address: ekaterina.v.peneva@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: Oct2011, Vol. 35 Issue 10, p1652; Thesaurus Term: PRICE flexibility; Thesaurus Term: LABOR; Thesaurus Term: EMPIRICAL research; Thesaurus Term: COMPETITION (Economics); Thesaurus Term: INDUSTRIES; Subject Term: FACTOR analysis; Subject Term: HETEROGENEITY; Subject: UNITED States; Author-Supplied Keyword: Factor intensity; Author-Supplied Keyword: Price rigidity; Number of Pages: 7p; Document Type: Article L3 - 10.1016/j.jedc.2011.03.011 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=65043082&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Evans, Carolyn L. AU - Sherlundf, Shane M. T1 - Are Antidumping Duties for Sale? Case-Level Evidence on the Grossman-Helpman Protection for Sale Model. JO - Southern Economic Journal JF - Southern Economic Journal Y1 - 2011/10// VL - 78 IS - 2 M3 - Article SP - 330 EP - 357 PB - John Wiley & Sons, Inc. SN - 00384038 AB - Do contributions to politicians affect trade policy? To examine this question, we have compiled a new, unique database containing information on political donations by the specific firms and labor organizations that have petitioned for antidumping protection from imports, as well as data on the outcomes of their requests. Using an empirical framework based on the Grossman and Helpman (1994) "protection for sale" model, we examine the relationship between antidumping decisions and political activism. Our results indicate that money does matter. We find that politically active petitioners are more likely to receive protection and that antidumping duty rates tend to be higher for that group. In addition, the relationship between the import penetration ratio and duties imposed depends on whether or not petitioners are politically active -- antidumping duties are positively correlated with the import penetration ratio for politically inactive petitioners but negatively correlated for politically active petitioners, consistent with the Grossman-Helpman model's predictions. [ABSTRACT FROM AUTHOR] AB - Copyright of Southern Economic Journal is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DUMPING (International trade) KW - ANTIDUMPING duties KW - POLITICAL action committees KW - TARIFF -- Law & legislation KW - TARIFF agreements KW - BUSINESS & politics N1 - Accession Number: 67153516; Evans, Carolyn L. 1; Email Address: clevans@scu.edu; Sherlundf, Shane M. 2; Email Address: shane.m.sherlund@frb.gov; Affiliations: 1: Department of Economics, Santa Clara University, 500 El Camino Real, Santa Clara, CA 95053, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Oct2011, Vol. 78 Issue 2, p330; Thesaurus Term: DUMPING (International trade); Thesaurus Term: ANTIDUMPING duties; Thesaurus Term: POLITICAL action committees; Thesaurus Term: TARIFF -- Law & legislation; Thesaurus Term: TARIFF agreements; Thesaurus Term: BUSINESS & politics; NAICS/Industry Codes: 813940 Political Organizations; NAICS/Industry Codes: 911910 Other federal government public administration; Number of Pages: 28p; Document Type: Article; Full Text Word Count: 14815 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=67153516&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Durdu, C. Bora T1 - Book review: Emerging Markets: Resilience and Growth amid Global Turmoil JO - Journal of International Economics JF - Journal of International Economics Y1 - 2011/09// VL - 85 IS - 1 M3 - Book Review SP - 160 EP - 162 SN - 00221996 N1 - Accession Number: 65231160; Durdu, C. Bora 1; Email Address: bora.durdu@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, International Finance Division, 20th Street and Constitution Avenue NW, Washington DC 20551, United States; Issue Info: Sep2011, Vol. 85 Issue 1, p160; Number of Pages: 3p; Document Type: Book Review L3 - 10.1016/j.jinteco.2011.05.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=65231160&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haltmaier, Jane T1 - Empirical Estimation of Trend and Cyclical Export Elasticities. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/09// IS - 1030 M3 - Article SP - 1 EP - 39 AB - This paper uses an adaptation of Vahid and Engle's common trend/common cycle analysis to estimate trend and cyclical export elasticities for trading partner income and real exchange rates for 36 countries. For the countries for which both types of income elasticities can be identified, the cyclical elasticity is on average more than twice as large as the trend elasticity. The methodology is applied to forecasting exports during the recent cycle and it appears to improve on simpler models for about half of the countries. For an aggregate of all of the countries for which separate elasticities can be identified, the RMSE is about half as large for the trend/cycle model as for the simple model. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXPORTS KW - INTERNATIONAL trade -- Forecasting KW - ELASTICITY (Economics) KW - BUSINESS cycles KW - ECONOMIC activity KW - FOREIGN exchange rates KW - cycles KW - exports KW - forecasting N1 - Accession Number: 76359692; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 20, Washington D.C., USA; Issue Info: Sep2011, Issue 1030, preceding p1; Thesaurus Term: EXPORTS; Thesaurus Term: INTERNATIONAL trade -- Forecasting; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC activity; Thesaurus Term: FOREIGN exchange rates; Author-Supplied Keyword: cycles; Author-Supplied Keyword: exports; Author-Supplied Keyword: forecasting; Number of Pages: 41p; Illustrations: 5 Charts, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76359692&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nalewaik, Jeremy J. T1 - The Income- and Expenditure-Side Estimates of U.S. Output Growth -- An Update to 2011Q2. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2011///Fall2011 IS - 2 M3 - Article SP - 385 EP - 403 PB - Brookings Institution Press SN - 00072303 AB - In light of recent large revisions to the official measures of U.S. output, this update reviews the evidence in my 2010 Brookings Paper showing that the income-side estimate of output (currently called gross domestic income, or GDI) likely captures business cycle fluctuations in true output better than its better-known expenditure-side counterpart (called gross domestic product, or GDP). Most notably, over the 2007-09 downturn, the revisions moved the expenditure-side estimates closer to the income-side estimates, which showed that the downturn was considerably worse than reported initially by the expenditure-side estimates. The tendency for the expenditure-side estimates to be revised toward the income-side estimates is clearer now, as is a tendency for the smoothed income-side estimates to be revised away from the smoothed expenditure-side estimates. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - GROSS domestic income KW - BUSINESS cycles KW - NATIONAL income KW - PUBLIC spending KW - UNITED States N1 - Accession Number: 76336331; Nalewaik, Jeremy J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Fall2011, Issue 2, p385; Thesaurus Term: GROSS domestic product; Thesaurus Term: GROSS domestic income; Thesaurus Term: BUSINESS cycles; Thesaurus Term: NATIONAL income; Thesaurus Term: PUBLIC spending; Subject: UNITED States; Number of Pages: 19p; Illustrations: 4 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76336331&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reeve, Trevor A AU - Vigfusson, Robert J. T1 - Evaluating the Forecasting Performance of Commodity Futures Prices. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/08// IS - 1025-1029 M3 - Article SP - 1 EP - 19 AB - Commodity futures prices are frequently criticized as being uninformative for forecasting purposes because (1) they seem to do no better than a random walk or an extrapolation of recent trends and (2) futures prices for commodities often trace out a relatively flat trajectory even though global demand is steadily increasing. In this paper, we attempt to shed light on these concerns by discussing the theoretical relationship between spot and futures prices for commodities and by evaluating the empirical forecasting performance of futures prices relative to some alternative benchmarks. The key results of our analysis are that futures prices have generally outperformed a random walk forecast, but not by a large margin, while both futures and a random walk noticeably outperform a simple extrapolation of recent trends (a random walk with drift). Importantly, however, futures prices, on average, outperform a random walk by a considerable margin when there is a sizeable difference between spot and futures prices. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - PRICES KW - SECURITIES markets KW - DEMAND (Economic theory) KW - BENCHMARKING (Management) KW - commodities KW - financial markets KW - forecasting N1 - Accession Number: 76384828; Reeve, Trevor A 1; Vigfusson, Robert J. 1; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Aug2011, Issue 1025-1029, preceding p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: PRICES; Thesaurus Term: SECURITIES markets; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: BENCHMARKING (Management); Author-Supplied Keyword: commodities; Author-Supplied Keyword: financial markets; Author-Supplied Keyword: forecasting; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 20p; Illustrations: 6 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76384828&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bech, Morten L. AU - Klee, Elizabeth T1 - The mechanics of a graceful exit: Interest on reserves and segmentation in the federal funds market JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2011/07// VL - 58 IS - 5 M3 - Article SP - 415 EP - 431 SN - 03043932 AB - Abstract: To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds rate began to deviate from the target rate set by the Federal Open Market Committee. In response, the Federal Reserve revised its operational framework for implementing monetary policy and began to pay interest on reserve balances in an attempt to provide a floor for the federal funds rate. Nevertheless, following the policy change, the effective federal funds rate remained below not only the target but also the rate paid on reserve balances. We develop a model to explain this phenomenon and use data from the federal funds market to evaluate it empirically. In turn, we show how successful the Federal Reserve may be in raising the federal funds rate even in an environment with substantial reserve balances. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST (Finance) KW - RESERVES (Accounting) KW - FEDERAL funds market (U.S.) KW - PRICES KW - BANKING industry KW - UNITED States KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 66412594; Bech, Morten L. 1; Email Address: morten.bech@ny.frb.org; Klee, Elizabeth 2; Email Address: elizabeth.klee@frb.gov; Affiliations: 1: Federal Reserve Bank of New York, 1 [1] The views expressed do not necessarily reflect those of the Federal Reserve Bank of New York, the Federal Reserve Board or the Federal Reserve System. Comments from Seth Carpenter, Craig Furfine, Jane Ihrig, Marvin Goodfriend (the editor), Steve Meyer, Simon Potter and Stanley Zin, and from participants in seminars at the Federal Reserve Banks of Atlanta, Kansas City, New York, and Philadelphia, the Federal Reserve Board, the International Monetary Fund, Copenhagen Business School, The Riksbank, Norges Bank, Bank of Canada, Bank for International Settlements, Danmarks Nationalbank, the Federal Reserve Conference on Real-time Policy Making, the New York Area Workshop on Monetary Policy, the CEPR/ESI 14th annual conference on “how has our view of central banking changed with the recent financial crisis?”, and the European Central Bank workshop on “Challenges to monetary policy implementation beyond the financial market turbulence” are genuinely appreciated. Amanda McLean and Ari Morse provided expert research assistance. USA; 2: Board of Governors of the Federal Reserve System, USA; Issue Info: Jul2011, Vol. 58 Issue 5, p415; Thesaurus Term: INTEREST (Finance); Thesaurus Term: RESERVES (Accounting); Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: PRICES; Thesaurus Term: BANKING industry; Subject: UNITED States ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2011.05.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=66412594&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - Did the Federal Reserve's MBS purchase program lower mortgage rates? JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2011/07// VL - 58 IS - 5 M3 - Article SP - 498 EP - 514 SN - 03043932 AB - Abstract: On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were important during the height of the financial crisis, but the effects of the third depended on market conditions. Overall, the program put significant downward pressure on mortgage rates. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE-backed securities KW - PURCHASING KW - MORTGAGE rates KW - PORTFOLIO management (Investments) KW - FINANCIAL management KW - UNITED States KW - Federal Reserve KW - GSEs KW - MBS KW - Mortgage KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 66412624; Hancock, Diana 1; Passmore, Wayne; Email Address: Wayne.Passmore@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Jul2011, Vol. 58 Issue 5, p498; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: PURCHASING; Thesaurus Term: MORTGAGE rates; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: FINANCIAL management; Subject: UNITED States; Author-Supplied Keyword: Federal Reserve; Author-Supplied Keyword: GSEs; Author-Supplied Keyword: MBS; Author-Supplied Keyword: Mortgage ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2011.05.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=66412624&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nolle, Daniel E. T1 - U.S. Domestic and International Financial Reform Policy: Are G20 Commitments and the Dodd-Frank Act in Sync? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2011/07// IS - 1022-1024 M3 - Article SP - 1 EP - 57 AB - The Dodd-Frank Act of 2010 is the keystone policy response directed at reforming U.S. financial system activities and oversight in the wake of the 2007-2009 financial crisis. The United States also has financial system reform policy commitments in the international arena, including in particular by virtue of its membership in the G20. This analysis considers U.S. policy initiatives related to a core dimension of financial system reform: risks posed by systemically important financial institutions ("SIFIs"). It provides a comparison of SIFI policy initiatives and timetables under both the Dodd-Frank Act and the G20 agenda, as reflected in the ongoing work plan of the Financial Stability Board (FSB), and poses the question "Are U.S. domestic and international financial system reform commitments in sync?" While finding that, fundamentally, the answer is "yes," the detailed comparison yields two caveats with potential policy implications. First, the two agendas differ in their relative emphasis on the coverage of both banks and nonbanks. The G20/FSB focus, at least over the near-term, is bank-centric compared with the Dodd-Frank Act, which consistently addresses both bank and nonbank financial firms. Second, implementation of Dodd-Frank Act provisions is subject to long-established U.S. law mandating that there be sufficient opportunity for public input into the rulemaking process, whereas the G20/FSB process has been less systematic and transparent on public consultation and feedback. The lesser emphasis on transparency and public input characterizing the G20/FSB policy development process may be attributable in part to the somewhat more rapid pace of the G20/FSB agenda relative to corresponding Dodd-Frank Act timelines. These observations may be relevant to the current debate over the speed and scope of Dodd-Frank Act implementation measures, and to the discussion about the future international competitiveness of U.S. banks and nonbank financial firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - FINANCIAL crises KW - INTERNATIONAL finance KW - BANKING industry -- United States KW - UNITED States KW - Dodd-Frank Act KW - Financial Stability Board KW - financial system reform KW - G-SIB KW - G-SIFI KW - G20 KW - global financial system KW - systemically important financial institutions KW - UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act N1 - Accession Number: 69798663; Nolle, Daniel E. 1,2; Email Address: daniel.nolle@frb.gov; Affiliations: 1: Senior Financial Economist, Office of the Comptroller of the Currency, Washington, D.C.; 2: Visiting Economist, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jul2011, Issue 1022-1024, preceding p1; Thesaurus Term: MONETARY policy; Thesaurus Term: FINANCIAL crises; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: BANKING industry -- United States; Subject: UNITED States; Author-Supplied Keyword: Dodd-Frank Act; Author-Supplied Keyword: Financial Stability Board; Author-Supplied Keyword: financial system reform; Author-Supplied Keyword: G-SIB; Author-Supplied Keyword: G-SIFI; Author-Supplied Keyword: G20; Author-Supplied Keyword: global financial system; Author-Supplied Keyword: systemically important financial institutions; Reviews & Products: UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act; Number of Pages: 59p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=69798663&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calem, Paul AU - Henderson, Christopher AU - Liles, Jonathan T1 - “Cherry picking” in subprime mortgage securitizations: Which subprime mortgage loans were sold by depository institutions prior to the crisis of 2007? JO - Journal of Housing Economics JF - Journal of Housing Economics Y1 - 2011/06// VL - 20 IS - 2 M3 - Article SP - 120 EP - 140 SN - 10511377 AB - Abstract: Depository institutions may utilize securitization to “cherry pick,” meaning to transfer risk to investors along dimensions that the investors tend to disregard or misperceive. Using Home Mortgage Disclosure Act data merged with data on subprime loan delinquency by ZIP code, this paper examines sale of “high cost” mortgages by depository institutions during the subprime lending boom of 2005 and 2006. We find that the likelihood of sale increases with risk along dimensions viewed as indicative of cherry picking; for instance, it is positively associated with future, subprime delinquency rates across neighborhoods. In contrast, along the dimension of mutually observed and priced risk as represented by APR spread, likelihood of sale decreases with risk. Thus, the paper reinforces the view, increasingly prevalent in the literature, that inattention to or misperception of risk by the securitization market played a significant role in the subprime lending boom and subsequent market collapse. [Copyright &y& Elsevier] AB - Copyright of Journal of Housing Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE-backed securities KW - SUBPRIME mortgages KW - SAVINGS & loan associations KW - CAPITALISTS & financiers KW - SUBPRIME loans KW - CREDIT risk KW - ASSET-backed financing KW - Credit risk KW - Securitization KW - Subprime mortgages N1 - Accession Number: 61494089; Calem, Paul 1; Email Address: paul.calem@frb.gov Henderson, Christopher 2; Email Address: chris.henderson@phil.frb.org Liles, Jonathan 3; Email Address: jonathan_liles@freddiemac.com; Affiliation: 1: Division of Banking Supervision and Regulation, Board of Governors of the Federal Reserve System, Mail Stop 1813, 20th and C Streets NW, Washington, DC 20551, USA 2: Department of Supervision, Regulation and Credit, Federal Reserve Bank of Philadelphia, 10 Independence Mall, Philadelphia, PA 19106-1521, USA 3: Mission Division, Freddie Mac, 1551 Park Run Drive MS D3F, McLean, VA 22102, USA; Source Info: Jun2011, Vol. 20 Issue 2, p120; Subject Term: MORTGAGE-backed securities; Subject Term: SUBPRIME mortgages; Subject Term: SAVINGS & loan associations; Subject Term: CAPITALISTS & financiers; Subject Term: SUBPRIME loans; Subject Term: CREDIT risk; Subject Term: ASSET-backed financing; Author-Supplied Keyword: Credit risk; Author-Supplied Keyword: Securitization; Author-Supplied Keyword: Subprime mortgages; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jhe.2011.04.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=61494089&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Adams, Robert M. AU - Amel, Dean F. T1 - Market structure and the pass-through of the federal funds rate JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2011/05// VL - 35 IS - 5 M3 - Article SP - 1087 EP - 1096 SN - 03784266 AB - Abstract: We study the effect of local market bank concentration on business loan originations and on the pass-through of the federal funds rate to business loan originations. Economic theory on the relationship between concentration and the pass-through of input prices to quantity (or price) is ambiguous. We find that more concentrated markets have lower business loan originations and experience smaller changes in business loan originations in response to changes in the federal funds rate. Our results support the idea that market concentration dampens quantity reactions to input price changes. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL funds market (U.S.) KW - COMMERCIAL credit KW - INDUSTRIAL organization (Economic theory) KW - PRICE levels KW - MORTGAGE-backed securities KW - PRICE flexibility KW - MONETARY policy KW - UNITED States KW - Federal funds rate KW - Market structure KW - Monetary policy N1 - Accession Number: 59455479; Adams, Robert M.; Email Address: Robert.m.adams@frb.gov; Amel, Dean F. 1; Email Address: damel@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; Issue Info: May2011, Vol. 35 Issue 5, p1087; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: COMMERCIAL credit; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: PRICE levels; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: PRICE flexibility; Thesaurus Term: MONETARY policy; Subject: UNITED States; Author-Supplied Keyword: Federal funds rate; Author-Supplied Keyword: Market structure; Author-Supplied Keyword: Monetary policy; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.jbankfin.2010.09.020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=59455479&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brevoort, Kenneth P. T1 - CREDIT CARD REDLINING REVISITED. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2011/05// VL - 93 IS - 2 M3 - Article SP - 714 EP - 724 PB - MIT Press SN - 00346535 AB - Using a proprietary data set of credit bureau records, Cohen-Cole (2011) finds evidence that lenders are using the racial composition of a borrower's neighborhood to set credit limits on revolving accounts. Using the same credit bureau data, I revisit this work and reach two main findings. First, an undocumented decision in constructing the variables appears to have introduced a distortion that is highly correlated with neighborhood racial composition and appears to increase the size of the reported disparity. Second, when neighborhood income is controlled for, the results presented as evidence of redlining disappear. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT scoring systems KW - CREDIT ratings KW - DISCRIMINATION in credit cards KW - DISCRIMINATION in consumer credit KW - SOCIOECONOMICS KW - RESEARCH KW - RACE discrimination KW - ECONOMIC aspects N1 - Accession Number: 60276818; Brevoort, Kenneth P. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May2011, Vol. 93 Issue 2, p714; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: CREDIT ratings; Thesaurus Term: DISCRIMINATION in credit cards; Thesaurus Term: DISCRIMINATION in consumer credit; Thesaurus Term: SOCIOECONOMICS; Thesaurus Term: RESEARCH; Thesaurus Term: RACE discrimination; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 11p; Illustrations: 6 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=60276818&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cai, Beilei AU - Cameron, Trudy Ann AU - Gerdes, Geoffrey R. T1 - Distal order effects in stated preference surveys JO - Ecological Economics JF - Ecological Economics Y1 - 2011/04/15/ VL - 70 IS - 6 M3 - Article SP - 1101 EP - 1108 SN - 09218009 AB - Stated preference researchers have previously demonstrated that a good's placement among a sequence of goods in a set of valuation questions (i.e. proximal order effects) can have a substantial impact on people's valuations of these different goods. However, the economic consequences of potential order effects stemming from other questions in a survey, prior to the valuation tasks, have received surprisingly little attention. Using an online climate change survey, we identify order effects created by prior attitude-elicitation questions, and we assess the potential impact of these distal order effects on willingness to pay (WTP) estimates for stylized climate change policies. We find that the order used in prior questions may change people's opinions toward various attributes of the good to be valued, and thereby change WTP by a substantial amount. This paper emphasizes the significance of order effects stemming from preliminary survey questions, and supports a call for diligence in the random ordering of all potentially influential preliminary information in stated preference surveys to minimize inadvertent effects from any single arbitrary ordering. [Copyright &y& Elsevier] AB - Copyright of Ecological Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESEARCH KW - Climatic changes -- Government policy KW - Consumers' preferences KW - Surveys KW - Questioning KW - Willingness to pay KW - Public opinion polls -- Evaluation KW - Conjoint choice KW - Non-market valuation KW - Order effects KW - Payment vehicle KW - Stated preference KW - Survey design N1 - Accession Number: 59927169; Cai, Beilei 1; Email Address: cblbud@hotmail.com; Cameron, Trudy Ann 1; Email Address: cameron@uoregon.edu; Gerdes, Geoffrey R. 2; Email Address: Geoffrey.R.Gerdes@frb.gov; Affiliations: 1: Department of Economics, 435 PLC, 1285 University of Oregon, Eugene, OR 97403-1285, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Apr2011, Vol. 70 Issue 6, p1101; Thesaurus Term: RESEARCH; Thesaurus Term: Climatic changes -- Government policy; Subject Term: Consumers' preferences; Subject Term: Surveys; Subject Term: Questioning; Subject Term: Willingness to pay; Subject Term: Public opinion polls -- Evaluation; Author-Supplied Keyword: Conjoint choice; Author-Supplied Keyword: Non-market valuation; Author-Supplied Keyword: Order effects; Author-Supplied Keyword: Payment vehicle; Author-Supplied Keyword: Stated preference; Author-Supplied Keyword: Survey design; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 8p; Document Type: Article L3 - 10.1016/j.ecolecon.2010.12.018 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=59927169&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Nalewaik, Jeremy J. T1 - Incorporating vintage differences and forecasts into Markov switching models JO - International Journal of Forecasting JF - International Journal of Forecasting Y1 - 2011/04// VL - 27 IS - 2 M3 - Article SP - 281 EP - 307 SN - 01692070 AB - Abstract: This paper incorporates vintage differences and forecasts into the Markov switching models described by . The vintage differences and forecasts induce parameter breaks close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. A supplementary procedure estimates the statistical properties of the end-of-sample observations that behave differently from the rest, allowing inferred probabilities to reflect the breaks. Empirical results using real-time data show that these techniques improve the ability of a Markov switching model based on GDP and GDI to recognize the start of the 2001 recession. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Forecasting is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - MARKOV processes KW - BUSINESS cycles KW - ECONOMIC models KW - RECESSIONS KW - PROBABILITY theory KW - PARAMETER estimation KW - EMPIRICAL research KW - MAXIMUM likelihood statistics KW - Business cycles KW - Markov switching models KW - Real-time data analysis KW - Recession probabilities N1 - Accession Number: 57296842; Nalewaik, Jeremy J. 1; Email Address: jeremy.j.nalewaik@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 5400 41st Street NW, 20015 Washington, DC, United States; Issue Info: Apr2011, Vol. 27 Issue 2, p281; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MARKOV processes; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC models; Thesaurus Term: RECESSIONS; Thesaurus Term: PROBABILITY theory; Thesaurus Term: PARAMETER estimation; Thesaurus Term: EMPIRICAL research; Subject Term: MAXIMUM likelihood statistics; Author-Supplied Keyword: Business cycles; Author-Supplied Keyword: Markov switching models; Author-Supplied Keyword: Real-time data analysis; Author-Supplied Keyword: Recession probabilities; Number of Pages: 27p; Document Type: Article L3 - 10.1016/j.ijforecast.2010.05.017 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=57296842&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Altig, David AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Lindé, Jesper T1 - Firm-specific capital, nominal rigidities and the business cycle JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2011/04// VL - 14 IS - 2 M3 - Article SP - 225 EP - 247 SN - 10942025 AB - Abstract: This paper formulates and estimates a three-shock U.S. business cycle model. The estimated model accounts for a substantial fraction of the cyclical variation in output and is consistent with the observed inertia in inflation. This is true even though firms in the model re-optimize prices on average once every 1.8 quarters. The key feature of our model underlying this result is that capital is firm-specific. If we adopt the standard assumption that capital is homogeneous and traded in economy-wide rental markets, we find that firms re-optimize their prices on average once every 9 quarters. We argue that the micro implications of the model strongly favor the firm-specific capital specification. [Copyright &y& Elsevier] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - INFLATION (Finance) KW - MONETARY policy KW - ECONOMICS -- Mathematical models KW - BUSINESS enterprises KW - CAPITAL KW - WAGES KW - PRICES KW - UNITED States KW - Inflation inertia KW - Monetary policy shocks KW - Neutral and investment-specific technology shocks KW - Sticky prices and wages KW - Structural vector autoregressive (VAR) model N1 - Accession Number: 59167586; Altig, David 1; Christiano, Lawrence J. 2; Eichenbaum, Martin 3; Lindé, Jesper 4; Email Address: Jesper.L.Linde@frb.gov; Affiliations: 1: Federal Reserve Bank of Atlanta, United States; 2: Northwestern University, National Bureau of Economic Research, and Federal Reserve Banks of Chicago, Atlanta and Minneapolis, United States; 3: Northwestern University, National Bureau of Economic Research, and Federal Reserve Banks of Chicago and Atlanta, United States; 4: Board of Governors of the Federal Reserve System and CEPR, Washington, DC, United States; Issue Info: Apr2011, Vol. 14 Issue 2, p225; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: CAPITAL; Thesaurus Term: WAGES; Thesaurus Term: PRICES; Subject: UNITED States; Author-Supplied Keyword: Inflation inertia; Author-Supplied Keyword: Monetary policy shocks; Author-Supplied Keyword: Neutral and investment-specific technology shocks; Author-Supplied Keyword: Sticky prices and wages; Author-Supplied Keyword: Structural vector autoregressive (VAR) model; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.red.2010.01.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=59167586&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Agarwal, Sumit AU - Chomsisengphet, Souphala AU - Driscoll, John C. T1 - How do private firms use credit lines? JO - Economic Perspectives JF - Economic Perspectives Y1 - 2011///2011 1st Quarter VL - 35 IS - 1 M3 - Article SP - 71 EP - 79 PB - Federal Reserve Bank of Chicago SN - 1048115X N1 - Accession Number: 89989373; Agarwal, Sumit 1 Chomsisengphet, Souphala 2 Driscoll, John C. 3; Affiliation: 1: Senior economist, Economic Research Department, Federal Reserve Bank of Chicago 2: Senior economist, Office of the Comptroller of the Currency 3: Senior economist, Divison of Monetary Affairs, Board of Governors of the Federal Reserve System; Source Info: 2011 1st Quarter, Vol. 35 Issue 1, p71; Number of Pages: 9p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=89989373&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Berger, Allen N. AU - Black, Lamont K. T1 - Bank size, lending technologies, and small business finance JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2011/03// VL - 35 IS - 3 M3 - Article SP - 724 EP - 735 SN - 03784266 AB - Abstract: Under the current paradigm in small business lending research, large banks tend to specialize in lending to relatively large, informationally transparent firms using “hard” information, while small banks have advantages in lending to smaller, less transparent firms using “soft” information. We go beyond this paradigm to analyze the comparative advantages of large and small banks in specific lending technologies. Our analysis begins with the identification of fixed-asset lending technologies used to make small business loans. Our results suggest that large banks do not have equal advantages in all of these hard lending technologies and these advantages are not all increasing monotonically in firm size, contrary to the predictions of the current paradigm. We also analyze lines of credit without fixed-asset collateral to focus on relationship lending. We confirm that small banks have a comparative advantage in relationship lending, but this appears to be strongest for lending to the largest firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - SMALL business -- Finance KW - LOANS KW - CAPITAL KW - BUSINESS enterprises KW - RELATIONSHIP banking KW - TECHNOLOGY KW - COMPARATIVE studies KW - Banks KW - L14 KW - Lending technologies KW - Relationship lending KW - Small business N1 - Accession Number: 57371367; Berger, Allen N. 1,2,3; Email Address: aberger@moore.sc.edu; Black, Lamont K. 4; Email Address: lamont.black@frb.gov; Affiliations: 1: Moore School of Business, University of South Carolina, Columbia, SC 29208, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: CentER, Tilburg University, The Netherlands; 4: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Mar2011, Vol. 35 Issue 3, p724; Thesaurus Term: BANKING industry; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: LOANS; Thesaurus Term: CAPITAL; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: RELATIONSHIP banking; Thesaurus Term: TECHNOLOGY; Subject Term: COMPARATIVE studies; Author-Supplied Keyword: Banks; Author-Supplied Keyword: L14; Author-Supplied Keyword: Lending technologies; Author-Supplied Keyword: Relationship lending; Author-Supplied Keyword: Small business; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jbankfin.2010.09.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=57371367&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Copeland, Adam AU - Dunn, Wendy AU - Hall, George T1 - Inventories and the automobile market. JO - RAND Journal of Economics (Wiley-Blackwell) JF - RAND Journal of Economics (Wiley-Blackwell) Y1 - 2011///Spring2011 VL - 42 IS - 1 M3 - Article SP - 121 EP - 149 PB - Wiley-Blackwell SN - 07416261 AB - This article studies the within-model-year pricing, production, and inventory management of new automobiles. Using new monthly data on U.S. transaction prices, we document that, for the typical vehicle, prices fall over the model year at a 9.0% annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate an industry model for new automobiles in which inventory and pricing decisions are made simultaneously. The model predicts that automakers' build-to-stock inventory management policy substantially influences the time series of prices and sales, accounting for four tenths of the price decline observed over the model year. [ABSTRACT FROM AUTHOR] AB - Copyright of RAND Journal of Economics (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVENTORIES KW - AUTOMOBILE industry KW - ECONOMIC models KW - STOCKS (Finance) -- Prices KW - DECISION making KW - TRANSACTION costs KW - PRODUCTION (Economic theory) KW - ECONOMIC aspects N1 - Accession Number: 58094678; Copeland, Adam 1; Email Address: adam.copeland@gmail.com; Dunn, Wendy 2; Email Address: wendy.e.dunn@frb.gov; Hall, George 3; Email Address: ghall@brandeis.edu; Affiliations: 1: Federal Reserve Bank of New York; .; 2: Board of Governors of the Federal Reserve System; .; 3: Brandeis University; .; Issue Info: Spring2011, Vol. 42 Issue 1, p121; Thesaurus Term: INVENTORIES; Thesaurus Term: AUTOMOBILE industry; Thesaurus Term: ECONOMIC models; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: DECISION making; Thesaurus Term: TRANSACTION costs; Thesaurus Term: PRODUCTION (Economic theory); Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 441110 New Car Dealers; NAICS/Industry Codes: 423110 Automobile and Other Motor Vehicle Merchant Wholesalers; NAICS/Industry Codes: 415110 New and used automobile and light-duty truck merchant wholesalers; NAICS/Industry Codes: 336211 Motor Vehicle Body Manufacturing; NAICS/Industry Codes: 336110 Automobile and light-duty motor vehicle manufacturing; NAICS/Industry Codes: 336111 Automobile Manufacturing; Number of Pages: 29p; Document Type: Article L3 - 10.1111/j.1756-2171.2010.00128.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=58094678&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coulibaly, Brahima AU - Millar, Jonathan N. T1 - The "Elusive" Capital-User Cost Elasticity Revisited. JO - B.E. Journal of Macroeconomics: Contributions to Macroeconomics JF - B.E. Journal of Macroeconomics: Contributions to Macroeconomics Y1 - 2011/01// VL - 11 IS - 1 M3 - Article SP - 1 EP - 39 SN - 15346005 AB - This paper sheds new light on the estimation of the long-run elasticity of the demand for business capital-for a measure of capital that includes both equipment and structures-to changes in its user cost using a quarterly panel of two-digit manufacturing industries from South Africa from 1970 to 2000. Highly significant estimates of the user cost elasticity that are in the vicinity of the -1.0 benchmark implied by a Cobb-Douglas production function are obtained using a variety of specifications, including panel cointegration techniques that correct for small sample bias. Unlike most previous studies, meaningful elasticity estimates are also obtained using stationary panel specifications. The robustness of these estimates may be due, in part, to the possibility that the capital demand curve is better identified in a small open economy where shocks to capital supply are more likely to be exogenous. The economic embargo imposed on South Africa from 1985 to early 1994 temporarily forced its economy to become more closed and therefore provides a unique opportunity to assess the importance of identification in the estimation of the user cost elasticity. User cost elasticity estimates using embargo and non-embargo period data are consistent with a substantial bias from endogeneity. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Macroeconomics: Contributions to Macroeconomics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ELASTICITY (Economics) KW - INVESTMENTS KW - CAPITAL KW - ECONOMICS KW - SOUTH Africa KW - capital accumulation KW - fixed investment KW - interest rate KW - price of capital KW - South Africa KW - user cost elasticity N1 - Accession Number: 75015448; Coulibaly, Brahima 1; Email Address: brahima.coulibaly@frb.gov; Millar, Jonathan N. 1; Email Address: jonathan.n.millar@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2011, Vol. 11 Issue 1, preceding p1; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: INVESTMENTS; Thesaurus Term: CAPITAL; Thesaurus Term: ECONOMICS; Subject: SOUTH Africa; Author-Supplied Keyword: capital accumulation; Author-Supplied Keyword: fixed investment; Author-Supplied Keyword: interest rate; Author-Supplied Keyword: price of capital; Author-Supplied Keyword: South Africa; Author-Supplied Keyword: user cost elasticity; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 41p; Document Type: Article L3 - 10.2202/1935-1690.2178 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=75015448&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - D'Amico, Stefania AU - Farka, Mira T1 - The Fed and the Stock Market: An Identification Based on Intraday Futures Data. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2011/01// VL - 29 IS - 1 M3 - Article SP - 126 EP - 137 SN - 07350015 AB - This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates and stock returns. We find that a tightening in policy rates has a negative impact on stock prices and that the Federal Reserve (Fed) has responded significantly to movements in the stock market. Estimates are robust to various model specifications. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK exchanges KW - CAPITAL market KW - REGRESSION analysis KW - STOCHASTIC processes KW - STOCKS (Finance) -- Prices KW - AUTOREGRESSION (Statistics) KW - Identification KW - Monetary policy KW - Stock market KW - Structural VAR N1 - Accession Number: 55171739; D'Amico, Stefania 1; Email Address: stefania.d'amico@frb.gov; Farka, Mira 2; Email Address: efarka@fullerton.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: Department of Economics, Mihaylo College of Business and Economics, California State University, Fullerton, Fullerton, CA 92834; Issue Info: Jan2011, Vol. 29 Issue 1, p126; Thesaurus Term: STOCK exchanges; Thesaurus Term: CAPITAL market; Thesaurus Term: REGRESSION analysis; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: STOCKS (Finance) -- Prices; Subject Term: AUTOREGRESSION (Statistics); Author-Supplied Keyword: Identification; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Stock market; Author-Supplied Keyword: Structural VAR; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 12p; Document Type: Article L3 - 10.1198/jbes.2009.08019 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=55171739&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pinto, Eugénio T1 - Firms' relative sensitivity to aggregate shocks and the dynamics of gross job flows JO - Labour Economics JF - Labour Economics Y1 - 2011/01// VL - 18 IS - 1 M3 - Article SP - 111 EP - 119 SN - 09275371 AB - Abstract: We propose the coefficient of variation as a measure of the cyclical volatility of gross job flows that is immune to trends in net job creation. In addition, we show that this measure is intrinsically related to the importance of aggregate shocks for fluctuations in job flows at the firm level. Using data for the Portuguese economy, we conclude that the coefficient of variation is a more robust measure for the underlying volatility of gross job flows. We also find that large and old firms exhibit higher relative sensitivity to aggregate shocks than small and young firms, and have a disproportional influence over the dynamics of aggregate job reallocation. In particular, since large and old firms tend to reallocate jobs less procyclically than small and young firms, job reallocation is less procyclical than if all firm classes were equally sensitive to aggregate shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Labour Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - JOB creation KW - BUSINESS cycles KW - BUSINESS enterprises KW - VOLATILITY (Finance) KW - ECONOMIC trends KW - SENSITIVITY analysis KW - HETEROGENEITY KW - Aggregate shocks KW - Firm heterogeneity KW - Gross job flows N1 - Accession Number: 57163492; Pinto, Eugénio 1; Email Address: eugenio.p.pinto@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th St and Constitution Ave, NW, Stop 80, Washington, DC 20551, USA; Issue Info: Jan2011, Vol. 18 Issue 1, p111; Thesaurus Term: JOB creation; Thesaurus Term: BUSINESS cycles; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMIC trends; Subject Term: SENSITIVITY analysis; Subject Term: HETEROGENEITY; Author-Supplied Keyword: Aggregate shocks; Author-Supplied Keyword: Firm heterogeneity; Author-Supplied Keyword: Gross job flows; Number of Pages: 9p; Document Type: Article L3 - 10.1016/j.labeco.2010.07.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=57163492&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Nelson, Edward AD - Unlisted T1 - A review of Allan Meltzer's 'A History of the Federal Reserve, Volume 2' PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-59 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291137; Keywords: Board of Governors of the Federal Reserve System (U.S.); Monetary policy - United States; Publication Type: Working Paper; Update Code: 201204 N2 - This paper reviews Allan H. Meltzer's "A History of the Federal Reserve, Volume 2." This two-book volume covers Federal Reserve policies from 1951 to 1986. The book represents an enormous achievement in synthesizing a great amount of archival information into a historical account grounded on economic analysis. At the same time, Meltzer's interpretation of specific eras is open to question. He does not appear to acknowledge adequately the degree to which 1950s monetary policy decisions had a solid analytical foundation. Furthermore, Meltzer's account of the shift from the 1970s inflation to the 1980s disinflation implausibly stresses a shift in policymakers' objective function. The crucial change over this period, both in the United States and other countries, is more likely to have been policymakers' improved grasp of the connections between monetary policy and inflation. The review also takes issue with Meltzer's account, in his book's epilogue, of the financial crisis from 2007 to 2009. In this epilogue, Meltzer understates the degree to which the Federal Reserve's reaction to the financial crisis was in line with the historical practice of the Federal Reserve and other central banks. L3 - http://www.federalreserve.gov/pubs/feds/2011/201159/201159pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291137&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201159/201159pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol AU - DeMarco, Laurie Pounder AU - Kamin, Steve AU - Tryon, Ralph AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - ABS inflows to the United States and the global financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1028 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257263; Keywords: Capital movements; Financial crises; Asset-backed financing; Interest rates; Publication Type: Working Paper; Update Code: 201109 N2 - The "global saving glut" (GSG) hypothesis argues that the surge in capital inflows from emerging market economies to the United States led to significant declines in long-term interest rates in the United States and other industrial economies. In turn, these lower interest rates, when combined with both innovations and deficiencies of the U.S. credit market, are believed to have contributed to the U.S. housing bubble and to the buildup in financial vulnerabilities that led to the financial crisis. Because the GSG countries for the most part restricted their U.S. purchases to Treasuries and Agency debt, their provision of savings to ultimately risky subprime mortgage borrowers was necessarily indirect, pushing down yields on safe assets and increasing the appetite for alternative investments on the part of other investors. We present a more complete picture of how capital flows contributed to the crisis, drawing attention to the sizable inflows from European investors into U.S. private-label asset-backed securities (ABS), including mortgage-backed securities and other structured investment products. By adding to domestic demand for private-label ABS, substantial foreign acquisitions of these securities contributed to the decline in their spreads over Treasury yields. Through a combination of empirical estimation and model simulation, we verify that both GSG inflows into Treasuries and Agencies, as well as European acquisitions of ABS, played a role in contributing to downward pressures on U.S. interest rates. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1028/ifdp1028.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257263&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1028/ifdp1028.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edgerton, Jesse AD - Unlisted T1 - Agency problems in public firms: evidence from corporate jets in leveraged buyouts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-15 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235412; Keywords: Corporations; Corporate governance; Executives; Leveraged buyouts; Publication Type: Working Paper; Update Code: 201106 N2 - This paper uses rich, new data to examine the fleets of corporate jets operated by both publicly traded and privately held firms. In the cross-section, firms owned by private equity funds average jet fleets at least 40 percent smaller than observably similar publicly-traded firms. Similar fleet reductions are observed within firms that go private in leveraged buyouts. I discuss assumptions under which comparisons across and within firms provide estimates of lower and upper bounds on the average treatment effect of taking a firm from public to private in a leveraged buyout. Both censored and standard quantile regressions suggest that results at the mean are driven by firms in the upper 30 percent of the conditional jet distribution. Results thus suggest that executives in a substantial minority of public firms enjoy more generous perquisites than they would if subject to the pressures of private equity ownership. . L3 - http://www.federalreserve.gov/pubs/feds/2011/201115/201115pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235412&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201115/201115pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ohanian, Lee E. AU - Raffo, Andrea AD - Unlisted AD - Unlisted T1 - Aggregate hours worked in OECD countries: new measurement and implications for business cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1039 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291150; Publication Type: Working Paper; Update Code: 201204 N2 - We build a dataset of quarterly hours worked for 14 OECD countries. We document that hours are as volatile as output, that a large fraction of labor adjustment takes place along the intensive margin, and that the volatility of hours relative to output has increased over time. We use these data to reassess the Great Recession and prior recessions. The Great Recession in many countries is a puzzle in that labor wedges are small, while those in the U.S. Great Recession--and those in previous European recessions--are much larger. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1039/ifdp1039.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291150&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1039/ifdp1039.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hsu, Joanne W. AD - Unlisted T1 - Aging and strategic learning: the impact of spousal incentives on financial literacy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-53 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269541; Publication Type: Working Paper; Update Code: 201112 N2 - American women tend to be less financially literate than men, which is consistent with a household division of labor in which men manage finances. However, women also tend to outlive their husbands, so they will eventually need to take over this task. Using a new survey of older couples, I find that women acquire financial literacy as they approach widowhood. At an estimated increase of 0.04 standard deviations per year approaching widowhood, 80 percent of women in the sample would catch up with their husbands prior to the expected onset of widowhood. These findings reflect actual increases by women and are not merely an artifact of cognitive decline among older men. The results are consistent with a model in which the household division of labor breaks down when a spouse dies: women have incentives both to delay acquiring financial knowledge and also to begin learning before widowhood. This paper represents the first empirical examination of the financial literacy of both members of couples and provides a life-cycle interpretation of the gender gap in financial literacy. L3 - http://www.federalreserve.gov/pubs/feds/2011/201153/201153pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269541&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201153/201153pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dai, Qiang AU - Grishchenko, Olesya V. AD - Unlisted AD - Unlisted T1 - An empirical investigation of consumption-based asset pricing models with stochastic habit formation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-47 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269535; Publication Type: Working Paper; Update Code: 201112 N2 - We econometrically estimate a consumption-based asset pricing model with stochastic internal habit and test it using the generalized method of moments. The model departs from existing models with deterministic internal habit (e.g., Dunn and Singleton (1983), Ferson and Constantinides (1991), and Heaton (1995)) by introducing shocks to the coefficients in the distributed lag specification of consumption habit and consequently an additional shock to the marginal rate of substitution. The stochastic shocks to the consumption habit are persistent and provide an additional source of time variation in expected returns. Using Treasury bond returns and broad equity market index returns, we show that stochastic internal habit formation models resolve the dichotomy between the autocorrelation properties of the stochastic discount factor and those of expected returns. Consequently, they provide a better explanation of time-variation in expected returns than models with either deterministic habit or stochastic external habit. L3 - http://www.federalreserve.gov/pubs/feds/2011/201147/201147pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269535&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201147/201147pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Are adjustable-rate mortgage borrowers borrowing constrained? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-21 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235418; Keywords: Adjustable rate mortgages; Mortgage loans; Consumer credit; Consumer behavior; Publication Type: Working Paper; Update Code: 201106 N2 - Past research argues that changes in adjustable-rate mortgage (ARM) payments may lead households to cut back on consumption or to default on their mortgages. In this paper, we argue that these outcomes are more likely if ARM borrowers are borrowing constrained, and find that ARM borrowers exhibit characteristics and behavior that are consistent with being borrowing constrained. Although the demographic and financial characteristics of ARM and fixed-rate mortgage (FRM) borrowers are quite similar, ARM borrowers differ from FRM borrowers in their uses of credit and attitudes towards it. In addition, we find the consumption growth of households with an ARM is more sensitive to past income than the consumption growth of other households, suggesting the ARM borrowers are more likely subject to borrowing constraints that hinder their ability to smooth consumption. L3 - http://www.federalreserve.gov/pubs/feds/2011/201121/201121pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235418&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201121/201121pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hurst, Erik AU - Li, Geng AU - Pugsley, Benjamin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are household surveys like tax forms: evidence from income underreporting of the self-employed PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-06 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155545; Publication Type: Working Paper; Update Code: 201103 N2 - There is a large literature showing that the self-employed underreport their income to tax authorities. In this paper, we quantify the extent to which the self-employed also systematically underreport their income in U.S. household surveys. To do so, we use the Engel curve describing the relationship between income and expenditures of wage and salary workers to infer the actual income, and thus the reporting gap, of the self-employed based on their reported expenditures. We find that the self-employed underreport their income by about 30 percent. This result is remarkably robust across data sources and alternative model specifications. Failing to account for such income underreporting leads to biased conclusions. We document this bias in existing measures of earnings differentials, wealth differentials, precautionary savings, lifecycle earnings profiles, and earnings variation across MSAs. Our results show that it is naive for researchers to take it for granted that individuals will provide unbiased information to household surveys given their demonstrated tendency of providing distorted reports of the same information to other administrative sources. L3 - http://www.federalreserve.gov/pubs/feds/2011/201106/201106pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155545&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201106/201106pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, Greg AU - Martin, Robert AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are recoveries from banking and financial crises really so different? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1037 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269550; Publication Type: Working Paper; Update Code: 201112 N2 - This paper studies the behavior of recoveries from recessions across 59 advanced and emerging market economies over the past 40 years. Focusing specifically on the performance of output after the recession trough, we find little or no difference in the pace of output growth across types of recessions. In particular, banking and financial crisis do not affect the strength of the economic rebound, although these recessions are more severe, implying a sizable output loss. However, recovery does change with some characteristics of recession. Recoveries tend to be faster following deeper recessions, especially in emerging markets, and tend to be slower following long recessions. Most recessions are associated with a slowing, if not outright decline in house prices, but recessions with large declines in house prices also tend to have slower recoveries. Long recessions and those associated with poor housing-market outcomes can lead to sustained output losses relative to pre-crisis trends. Consistent with microeconomic studies showing permanent income loss to job-losing workers during recessions, we find that the sustained deviation in output from trend is associated with a reduction in labor input, especially linked to declines in employment and labor-force participation following recessions. On net, our results imply that the output/employment gap following a severe, long recessions is considerably smaller than is typically assumed by standard macro models, which in turn may have substantial implications for macroeconomic policy during recoveries. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1037/ifdp1037.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269550&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1037/ifdp1037.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Dan AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Belief dispersion among household investors and stock trading volume PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-39 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269528; Keywords: Investments; Stockholders; Publication Type: Working Paper; Update Code: 201112 N2 - We study the effects of belief dispersion on stock trading volume. Unlike most of the existing work on the subject, our paper focuses on how household investors' disagreements on macroeconomic variables influence market-wide trading volume. We show that greater belief dispersion among household investors is associated with significantly higher trading volume, even after controlling for the disagreements among professional forecasters. Further, we find that the belief dispersion among household investors who are more likely to own stocks has more pronounced effects on trading volume, suggesting a causal relationship. Finally, we show that greater "belief jumbling," or the dispersion of belief changes over a given period, is also related to more active trading during the same period. L3 - http://www.federalreserve.gov/pubs/feds/2011/201139/201139pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269528&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201139/201139pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AU - Shan, Hui AU - Warusawitharana, Missaka AD - Unlisted AD - Unlisted AD - Unlisted T1 - Capital ratios and bank lending: a matched bank approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-34 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257250; Publication Type: Working Paper; Update Code: 201109 N2 - This paper examines the impact of bank capital ratios on bank lending by comparing differences in loan growth to differences in capital ratios at sets of banks that are matched based on geographic area as well as size and various business characteristics. We argue that such comparisons are most effective at controlling for local loan demand and other environmental factors. For comparison we also control for local factors using MSA fixed effects. We find, based on data from 2001 to 2009, that the relationship between capital ratios and bank lending is insignificant until the recent financial crisis. We also find that the effect of capital ratios on loan growth varies by type of loan, with some of the strongest effects in recent years being for commercial real estate loans. Finally, we show that the elasticity of bank lending with respect to capital ratios is higher when capital ratios are relatively low, suggesting that the effect of capital ratio on bank lending is nonlinear. L3 - http://www.federalreserve.gov/pubs/feds/2011/201134/201134pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257250&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201134/201134pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wu, Jason J. AU - Game, Aaron L. AD - Unlisted AD - Unlisted T1 - Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-18 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235415; Keywords: Swaps (Finance); Corporate bonds; Econometric models; Publication Type: Working Paper; Update Code: 201106 N2 - This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliott & Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual based Augmented Dickey Fuller (ADF) test. The asymptotic null distribution contains difficult to estimate nuisance parameters for which there is no obvious method of estimation, therefore we propose a bootstrap methodology to obtain test critical values. Local-to-unity asymptotics and Monte Carlo simulations are used to evaluate the power of the test in large and small samples, respectively. These exercises show that the addition of covariates increases power relative to the ADF and Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of U.S. firms during the 2007-2009 financial crisis. The new test finds stronger evidence for cointegration between the two spreads for more firms, relative to ADF and Johansen tests. L3 - http://www.federalreserve.gov/pubs/feds/2011/201118/201118pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235415&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201118/201118pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunetti, Celso AU - Reiffen, David AD - Unlisted AD - Unlisted T1 - Commodity index trading and hedging costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-57 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291135; Keywords: Commodity futures - Mathematical models; Hedging (Finance) - Mathematical models; Publication Type: Working Paper; Update Code: 201204 N2 - Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. The model predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely identifies trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance. L3 - http://www.federalreserve.gov/pubs/feds/2011/201157/201157pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291135&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201157/201157pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bottega, John A. AU - Powell, Linda F. AD - Unlisted AD - Unlisted T1 - Creating a linchpin for financial data: toward a universal legal entity identifier PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-07 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155546; Publication Type: Working Paper; Update Code: 201103 N2 - The financial industry, like many others, is powered by information and data. A number of government agencies, quasi-government agencies, and private companies collect, process, use, and distribute information about a variety of players in the financial world. While the subjects of the data (balance sheet items or counterparty information, for example) may vary dramatically by agency and use, they all describe a particular financial institution or legal entity. Yet a standard way to uniquely identify one financial entity from another does not currently exist. A Social Security number distinguishes one John Smith from another John Smith, but at present no single identifier distinguishes one First National Bank from another. Several private companies have developed proprietary identifiers created for their own purposes but none of those identifiers are industry-wide, universal, or strictly focused on identifying a specific institution.; A diverse group of analysts from the Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Commodity Futures Trading Commission (CFTC), Federal Deposit Insurance Corporation (FDIC), Financial Industry Regulatory Authority (FINRA), Securities and Exchange Commission (SEC), and Treasury have developed guidelines detailing the best way the industry might create, develop, and maintain such a crucial identifier. The paper summarizes the current environment of entity identification and the problems that are currently encountered in both the private and public sectors by the lack of an industry-wide identifier. The paper identifies the key components that should be incorporated into the LEI such as uniqueness, persistence, and public availability. The paper identifies possible alternative approaches to solving the LEI problem and supports a collaborative public and private sector approach. The paper also considers the need for an international solution, as financial markets grow ever more interconnected across the globe. L3 - http://www.federalreserve.gov/pubs/feds/2011/201107/201107pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155546&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201107/201107pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - Rose, Jonathan D. AD - Unlisted AD - Unlisted T1 - Credit availability and the collapse of the banking sector in the 1930s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-38 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269527; Keywords: Depressions; Bank failures - United States; Bank loans - United States; Publication Type: Working Paper; Update Code: 201112 N2 - This paper examines the mechanism through which banking sector distress affects the availability of credit. We use the experience of the United States during the Great Depression, a period of intense bank distress, to conduct our analysis. We utilize previously neglected data from a 1934 survey conducted by the Federal Reserve System of both banks and Chambers of Commerce regarding the availability of credit, and examine which aspects of the banking system collapse affected credit availability as indicated by the survey. A number of scholars have posited different ways that bank distress constrained credit availability and impacted economic activity during the 1930s; however, the empirical evidence regarding these channels is modest. In this study, we find that bank failures had the most dominant impact, but there is also some evidence for the importance of funding constraints from deposit outflows and of protracted deposit liquidation. L3 - http://www.federalreserve.gov/pubs/feds/2011/201138/201138pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269527&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201138/201138pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wang, Hao AU - Zhou, Hao AU - Zhou, Yi AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit default swap spreads and variance risk premia PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-02 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155541; Publication Type: Working Paper; Update Code: 201103 N2 - We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a predictability complements that of the leading state variable--leverage ratio--and strengthens significantly with lower firm credit rating, longer credit contract maturity, and model-free implied variance. We provide further evidence that: (1) variance risk premium has a cleaner systematic component and Granger-causes implied and expected variances, (2) the cross-section of firms' variance risk premia seem to price the market variance risk correctly, and (3) a structural model with stochastic volatility can reproduce the predictability pattern of variance risk premia for credit spreads. L3 - http://www.federalreserve.gov/pubs/feds/2011/201102/201102pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155541&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201102/201102pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Keys, Benjamin J. AU - Li, Geng AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit supply to personal bankruptcy filers: evidence from credit card mailings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-29 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235426; Keywords: Bankruptcy; Credit cards; Consumer credit; Finance, Personal; Publication Type: Working Paper; Update Code: 201106 N2 - Are consumers who have filed for personal bankruptcy before excluded from the unsecured credit market? Using a unique data set of credit card mailings, we directly explore the supply of unsecured credit to consumers with the most conspicuous default risk--those with a bankruptcy history. On average, over one-fifth of personal bankruptcy filers receive at least one offer in a given month, with the likelihood being even higher for those who filed for bankruptcy within the previous two years. However, offers to bankruptcy filers carry substantially less favorable terms than those to comparable consumers without a bankruptcy history, with higher interest rates, lower credit limits, a greater likelihood of having an annual fee, and a smaller likelihood of having rewards or promotions. In addition, our analysis of credit terms typically disclosed only in the fine print suggests that offers to filers tend to include more "hidden" costs. L3 - http://www.federalreserve.gov/pubs/feds/2011/201129/201129pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235426&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201129/201129pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peterman, William B. AD - Unlisted T1 - Determining the motives for a positive optimal tax on capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-55 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291133; Keywords: Capital; Taxation; Publication Type: Working Paper; Update Code: 201204 N2 - Previous literature demonstrates that in a computational life cycle model the optimal tax on capital is positive and large. Given the computational complexities of these overlapping generations models it is helpful to determine the relative importance of the economic factors driving this result. I highlight the impact of changing two common assumptions in a benchmark model that generates a large optimal tax on capital similar to the model in Conesa et al. (2009). First, the utility function is altered such that it implies an agent's Frisch labor supply elasticity is constant, as opposed to increasing, over his lifetime. Second, the government is allowed to tax accidental bequests at a separate rate from ordinary capital income. The main finding of this paper is that these two changes cause the optimal tax on capital to drop by almost half. Furthermore, I find that the welfare costs of adopting the high optimal tax on capital from the benchmark model in the model with the altered assumptions, which calls for a lower tax on capital, are equivalent to 0.35 percent of total lifetime consumption. Quantifying the impact of these assumptions in the benchmark model is important because the first has limited empirical evidence and the second, although included for tractability, confounds a motive for taxing capital with a motive for taxing accidental bequests. L3 - http://www.federalreserve.gov/pubs/feds/2011/201155/201155pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291133&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201155/201155pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - Did the Federal Reserve's MBS purchase program lower mortgage rates? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-01 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155540; Publication Type: Working Paper; Update Code: 201103 N2 - We employ empirical pricing models for mortgage-backed security (MBS) yields and for mortgage rates to measure deviations from normal market functioning in order to assess how the Federal Reserve MBS purchase program--a 16 month program announced on November 25, 2008 and completed on March 31, 2010--affected risk premiums that were embedded in mortgage and swap markets. Our pricing models suggest that the announcement of the program, which signaled strong and credible government backing for mortgage markets in particular and for the financial system more generally, reduced mortgage rates by about 85 basis points between November 25 and December 31, 2008, even though no MBS had (yet) been purchased by the Federal Reserve; Once the Federal Reserve's MBS program started purchasing MBS, we estimate that the abnormal risk premiums embedded mortgage rates decreased roughly 50 basis points. However, observed mortgage rates declined only slightly because of generally rising interest rates.; After May 27, 2009 fairly normal pricing conditions existed in U.S. primary and secondary mortgage markets; that is, the relationship between mortgage rates and its determinants was similar to that observed prior to the financial crisis. After the end of the Federal Reserve's MBS purchase program on March 31, 2010, mortgage rates and interest rates more generally were significantly less than they had been at the beginning.; In sum, we estimate that the Federal Reserve's MBS purchase program removed substantial risk premiums embedded in mortgage rates because of the financial crisis. The Federal Reserve also re-established a robust secondary mortgage market, which meant that the marginal mortgage borrower was funded by the capital markets and not directly by the banks during the financial crisis-had bank funding been the only source of funds, primary mortgage rates would have been much higher.; Lastly, many observers have attributed part of the Federal Reserve's effect from purchasing MBS to portfolio rebalancing. We find that if portfolio rebalancing had a substantial effect, it may have had its greatest importance only after the Federal Reserve's purchases ended, but while the Federal Reserve held a substantial portion of the stock of outstanding MBS. L3 - http://www.federalreserve.gov/pubs/feds/2011/201101/201101pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155540&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201101/201101pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont K. AU - Chu, Chenghuan Sean AU - Cohen, Andrew AU - Nichols, Joseph B. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Differences across originators in CMBS loan underwriting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-05 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155544; Publication Type: Working Paper; Update Code: 201103 N2 - Differences in the organizational structure of CMBS loan originators may reflect differences in the incentives they face for underwriting risky loans. We treat an originator's type--that is, commercial bank, investment bank, insurance company, finance company, conduit lender, or foreign-owned entity--as a proxy for incentives related to warehousing risk, balance sheet lending, and regulatory constraints. After controlling for observable credit characteristics of over 30,000 loans securitized into CMBS after 1999, we find considerable differences in loan performance across originator types. The results suggest that moral hazard--captured by lack of warehousing risk-negatively affected the quality of loans underwritten by conduit lenders. On the other hand, despite opportunities for adverse selection, balance sheet lenders--commercial banks, insurance companies and finance companies--actually underwrote higher quality loans. L3 - http://www.federalreserve.gov/pubs/feds/2011/201105/201105pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155544&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201105/201105pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Costain, James AU - Nakov, Anton AD - Unlisted AD - Unlisted T1 - Distributional dynamics under smoothly state-dependent pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-50 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269538; Publication Type: Working Paper; Update Code: 201112 N2 - Starting from the assumption that firms are more likely to adjust their prices when doing so is more valuable, this paper analyzes monetary policy shocks in a DSGE model with firm-level heterogeneity. The model is calibrated to retail price microdata, and inflation responses are decomposed into "intensive", "extensive", and "selection" margins. Money growth and Taylor rule shocks both have nontrivial real effects, because the low state dependence implied by the data rules out the strong selection effect associated with fixed menu costs. The response to sector-specific shocks is gradual, but inappropriate econometrics might make it appear immediate. L3 - http://www.federalreserve.gov/pubs/feds/2011/201150/201150pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269538&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201150/201150pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aramonte, Sirio AU - del Giudice Rodriguez, Marius AU - Wu, Jason J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Dynamic factor value-at-risk for large, heteroskedastic portfolios PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-19 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235416; Keywords: Portfolio management; Financial risk management; Econometric models; Publication Type: Working Paper; Update Code: 201106 N2 - Trading portfolios at Financial institutions are typically driven by a large number of financial variables. These variables are often correlated with each other and exhibit by time-varying volatilities. We propose a computationally efficient Value-at-Risk (VaR) methodology based on Dynamic Factor Models (DFM) that can be applied to portfolios with time-varying weights, and that, unlike the popular Historical Simulation (HS) and Filtered Historical Simulation (FHS) methodologies, can handle time-varying volatilities and correlations for a large set of financial variables. We test the DFM-VaR on three stock portfolios that cover the 2007-2009 financial crisis, and find that it reduces the number and average size of back-testing breaches relative to HS-VaR and FHS-VaR. DFM-VaR also outperforms HS-VaR when applied risk measurement of individual stocks that are exposed to systematic risk. L3 - http://www.federalreserve.gov/pubs/feds/2011/201119/201119pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235416&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201119/201119pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - Empirical estimation of trend and cyclical export elasticities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1030 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269543; Publication Type: Working Paper; Update Code: 201112 N2 - This paper uses an adaptation of Vahid and Engle's common trend/common cycle analysis to estimate trend and cyclical export elasticities for trading partner income and real exchange rates for 36 countries. For the countries for which both types of income elasticities can be identified, the cyclical elasticity is on average more than twice as large as the trend elasticity. The methodology is applied to forecasting exports during the recent cycle and it appears to improve on simpler models for about half of the countries. For an aggregate of all of the countries for which separate elasticities can be identified, the RMSE is about half as large for the trend/cycle model as for the simple model. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1030/ifdp1030.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269543&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1030/ifdp1030.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edgerton, Jesse AD - Unlisted T1 - Estimating machinery supply elasticities using output price booms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-03 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155542; Publication Type: Working Paper; Update Code: 201103 N2 - Recent years have seen large increases in the prices of houses, farm products, and oil, often with little clear connection to economic fundamentals. These price increases created plausibly exogenous shifts in demand for construction, farm, and mining machinery. This paper uses these demand shifts to estimate the elasticity of machinery supply. Graphical evidence, OLS, and IV estimates all indicate that the quantity of machinery supplied increased rapidly during the booms, with only modest increases in prices. Pooled sample estimates of the supply elasticity are around 5, much larger than the estimate of 1 from Goolsbee (1998). Results thus suggest that public policies that stimulate investment demand will have only modest effects on the prices of investment goods. L3 - http://www.federalreserve.gov/pubs/feds/2011/201103/201103pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155542&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201103/201103pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reeve, Trevor A. AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted T1 - Evaluating the forecasting performance of commodity futures prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1025 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257260; Keywords: Commodity futures; Futures market; Prices; Economic forecasting; Publication Type: Working Paper; Update Code: 201109 N2 - Commodity futures prices are frequently criticized as being uninformative for forecasting purposes because (1) they seem to do no better than a random walk or an extrapolation of recent trends and (2) futures prices for commodities often trace out a relatively flat trajectory even though global demand is steadily increasing. In this paper, we attempt to shed light on these concerns by discussing the theoretical relationship between spot and futures prices for commodities and by evaluating the empirical forecasting performance of futures prices relative to some alternative benchmarks. The key results of our analysis are that futures prices have generally outperformed a random walk forecast, but not by a large margin, while both futures and a random walk noticeably outperform a simple extrapolation of recent trends (a random walk with drift). Importantly, however, futures prices, on average, outperform a random walk by a considerable margin when there is a sizeable difference between spot and futures prices. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1025/ifdp1025.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257260&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1025/ifdp1025.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - Examining the impact of credit access on small firm survivability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-35 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257251; Publication Type: Working Paper; Update Code: 201109 N2 - This paper examines the effects of credit availability on small firm survivability over the period 2004 to 2008 for non-publicly traded small enterprises. Using data from the 2003 Survey of Small Business Finances, we develop failure prediction models for a sample of small firms that were confirmed to have been in business as of December 2003, with particular attention to the impact of credit constraints. We find that credit constrained firms were significantly more likely to go out of business than non constrained firms. Moreover, credit constraint and credit access variables appear to be among the most important factors predicting which small U.S. firms went out of business during the 2004-2008 period even though an extensive set of firm, owner, and market characteristics were also included as explanatory factors. L3 - http://www.federalreserve.gov/pubs/feds/2011/201135/201135pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257251&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201135/201135pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AD - Unlisted T1 - Explaining the energy consumption portfolio in a cross-section of countries: are the BRICs different? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1015 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235428; Publication Type: Working Paper; Update Code: 201106 N2 - This paper uses disaggregated data from a broad cross-section of countries to empirically assess differences in energy consumption profiles across countries. We find empirical support for the energy ladder hypothesis, which contends that as an economy develops it transits away from a heavier reliance on traditional fuel sources towards an increase in the use of modern commercial energy sources. We also find empirical support for the hypothesis that structural transformation--the idea that as an economy matures, it transforms away from agriculture-based activity into industrial activity and, finally, fully matures into a service-oriented economy--is an important driver for the distribution of end-use energy consumption. However, even when these two hypotheses are taken into account, we continue to find evidence suggesting that the patterns of energy consumption in the BRIC economies are importantly different from those of other economies. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1015/ifdp1015.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235428&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1015/ifdp1015.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lewis, Logan T. AD - Unlisted T1 - Exports versus multinational production under nominal uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1038 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269551; Publication Type: Working Paper; Update Code: 201112 N2 - This paper examines how nominal uncertainty affects the choice firms face to serve a foreign market through exports or to produce abroad as a multinational. I develop a two-country, stochastic general equilibrium model in which firms make production and pricing decisions in advance, and I consider its implications on this relative choice. For foreign firms, both exports and multinational production are priced in the destination currency, and this uncertainty has no effect on the relative decision. In the data, U.S. firms set nearly all of their export prices in dollars. Therefore, home firms price exports in their own currency in the model. Home exporters gain an advantage over home multinationals: during a foreign contraction, the foreign exchange rate appreciates, causing exported goods from the home country to be relatively cheaper. This pricing advantage affects exporters non-linearly through demand, which translates to convex profits. As foreign volatility rises, the model implies that the home country should serve the foreign country relatively more through exports. I take this implication to bilateral U.S. data, using inflation volatility as a proxy for nominal volatility. Using sectoral data on sales by majority-owned foreign affiliates matched with U.S. exports, I find that higher inflation volatility is associated with a significantly lower ratio of multinational production to total foreign sales. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1038/ifdp1038.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269551&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1038/ifdp1038.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AU - Sim, Jae W. AD - Unlisted AD - Unlisted T1 - Financial capital and the macroeconomy: a quantitative framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-27 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235424; Keywords: Capital market; Intermediation (Finance); Financial institutions; Publication Type: Working Paper; Update Code: 201106 N2 - Financial intermediation transforms short-term liquid assets into long-term capital assets. As a result, risk taking, in the form of long-term commitments despite unresolved short-term funding risk, is an essential element of intermediation. If such funding risk must be addressed by costly recapitalization and/or distressed asset sales due to capital market frictions, an increase in uncertainty can cause a disruption in the intermediation process by forcing risk-neutral intermediaries to behave in a risk-averse manner. Our analysis examines this behavior theoretically and empirically. We first develop a dynamic macroeconomic model in which the balance sheet/liquidity condition of financial intermediaries plays an important role in the determination of asset prices and economic activity under time-varying uncertainty. Second, we present new evidence on the importance of uncertainty facing financial intermediaries for credit terms and volume and for aggregate economic activity, thereby partially quantifying the significance of capital market frictions. We adopt a structural identification strategy in which the predictions of our theory, in the form of sign restrictions, play an important role. L3 - http://www.federalreserve.gov/pubs/feds/2011/201127/201127pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235424&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201127/201127pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AU - Sim, Jae W. AD - Unlisted AD - Unlisted T1 - Financial capital and the macroeconomy: policy considerations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-28 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235425; Keywords: Capital market; Intermediation (Finance); Financial institutions; Publication Type: Working Paper; Update Code: 201106 N2 - We develop a macroeconomic model in which the balance sheet/liquidity condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete resolution of idiosyncratic funding risk that can be addressed only by costly refinancing, forcing them to behave in a risk-averse manner. The model shows that the balance sheet condition of intermediaries can drive asset values away from their fundamentals, causing aggregate investment and output to respond to shocks to intermediaries. We use this model to evaluate several public policies designed to address balance sheet problems at financial institutions. With regard to short-run policies, we find that capital injections conditioned upon voluntary recapitalization can be a more effective tool than direct lending/asset purchases. With regard to long-run policies, we demonstrate that higher capital requirements can have sizable short-run effects on economic activity if not implemented carefully, and that a long transition period helps avoid such effects. L3 - http://www.federalreserve.gov/pubs/feds/2011/201128/201128pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235425&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201128/201128pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobson, Tor AU - Linde, Jesper AU - Roszbach, Kasper AD - Unlisted AD - Unlisted AD - Unlisted T1 - Firm default and aggregate fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1029 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257264; Publication Type: Working Paper; Update Code: 201109 N2 - This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. By using a panel data set for virtually all incorporated Swedish businesses over 1990-2009, a period which includes a full-scale banking crisis, we find strong evidence for a substantial and stable impact from aggregate fluctuations on business defaults. A standard logit model with financial ratios augmented with macroeconomic factors can account surprisingly well for the outburst in business defaults during the banking crisis, as well as the subsequent fluctuations in default frequencies. Moreover, the effects of macroeconomic variables differ across industries in an economically intuitive way. Out-of-sample evaluations show that our approach is superior to models that exclude macro information and standard well-fitting time-series models. Our analysis shows that firm-specific factors are useful in ranking firms' relative riskiness, but that macroeconomic factors are necessary to understand fluctuations in the absolute risk level. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1029/ifdp1029.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257264&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1029/ifdp1029.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Forecasting recessions using stall speeds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-24 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235421; Keywords: Recessions; Economic forecasting; Business cycles; Markov processes; Publication Type: Working Paper; Update Code: 201106 N2 - This paper presents evidence that the economic stall speed concept has some empirical content, and can be moderately useful in forecasting recessions. Specifically, output tends to transition to a slow-growth phase at the end of expansions before falling into a recession, and the paper designs Markov-switching models that behave in that way. While the switching models using output growth alone produce a considerable number of false positive recession signals, adding the slope of the yield curve, the percent change in housing starts, and the change in the unemployment rate to the model reduces false positives and improves recession forecasting. The switching model is particularly good at forecasting at long horizons, outperforming Blue Chip consensus forecasts. L3 - http://www.federalreserve.gov/pubs/feds/2011/201124/201124pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235421&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201124/201124pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Alquist, Ron AU - Kilian, Lutz AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Forecasting the price of oil PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1022 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257257; Keywords: Petroleum products--Prices; Econometric models; Publication Type: Working Paper; Update Code: 201109 N2 - We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries? L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1022/ifdp1022.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257257&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1022/ifdp1022.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, Edward AD - Unlisted T1 - Friedman's monetary economics in practice PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-26 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235423; Keywords: Global financial crisis; Financial crises; Publication Type: Working Paper; Update Code: 201106 N2 - This paper views the policy response to the recent financial crisis from the perspective of Milton Friedman's monetary economics. Five major aspects of the policy response are: 1) discount window lending has been provided broadly to the financial system, at rates low relative to the market rates prevailing pre-crisis; 2) the Federal Reserve's holdings of government securities have been adjusted with the aim of putting downward pressure on the path of several important interest rates relative to the path of short-term rates; 3) deposit insurance has been extended, helping to insulate the money stock from credit market disruption; 4) the commercial banking system has received assistance via a recapitalization program, while existing equity holders have borne losses; and 5) an interest-on-reserves system has been introduced. These five elements of the policy response are in keeping with those that would arise from Friedman's framework, while a number of the five depart appreciably from other prominent benchmarks (such as the Bagehot-Thornton prescription for discount rate policy, and New Keynesian approaches to stabilization policy). One notable part of the policy response, the TALF initiative, draws largely on frameworks other than Friedman's. But, in important respects, the overall monetary and financial policy response to the crisis can be viewed as Friedman's monetary economics in practice. L3 - http://www.federalreserve.gov/pubs/feds/2011/201126/201126pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235423&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201126/201126pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fleischman, Charles A. AU - Roberts, John M. AD - Unlisted AD - Unlisted T1 - From many series, one cycle: improved estimates of the business cycle from a multivariate unobserved components model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-46 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269534; Publication Type: Working Paper; Update Code: 201112 N2 - We construct new estimates of potential output and the output gap using a multivariate approach that allows for an explicit role for measurement errors in the decomposition of real output. Because we include data on hours, output, employment, and the labor force, we are able to decompose our estimate of potential output into separate trends in labor productivity, labor-force participation, weekly hours, and the NAIRU. We find that labor-market variables--especially the unemployment rate--are the most informative individual indicators of the state of the business cycle. Conditional on including these measures, inflation is also very informative. Among measures of output, we find that although they add little to the identification for the cycle, the income-side measures of output are about as informative as the traditional product-side measures about the level of structural productivity and potential output. We also find that the output gap resulting from the recent financial crisis was very large, reaching -7 percent of output in the second half of 2009. L3 - http://www.federalreserve.gov/pubs/feds/2011/201146/201146pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269534&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201146/201146pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - Have cyclical movements in the unemployment rate become more persistent? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-33 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257249; Publication Type: Working Paper; Update Code: 201109 N2 - I examine whether the cyclical behavior of unemployment has changed over the post WWII period. Specifically, I test whether cyclical movements in unemployment have become more persistent. Finding that they have, indeed, become more persistent, I then take some initial steps in explaining why. I find that the increase in persistence has affected private nonfarm payroll employment as well as unemployment and that increased persistence appears to be widespread across industries. At the same time, increased persistence owes primarily to greater persistence in job finding rates and greater persistence in unemployment among permanent job losers. This combination suggests that the welfare loss from cyclical increases in unemployment is becoming increasingly concentrated among permanent job losers who become unemployed for extended durations during cyclical downturns. L3 - http://www.federalreserve.gov/pubs/feds/2011/201133/201133pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257249&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201133/201133pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feigenbaum, James AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Household income uncertainties over three decades PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-25 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235422; Keywords: Households - Economic aspects; Uncertainty; Saving and investment; Publication Type: Working Paper; Update Code: 201106 N2 - We study the trend in household income uncertainty using a novel approach that measures income uncertainty as the variance of forecast errors at each future horizon separately without imposing parametric restrictions on the underlying income shocks. We find that household income uncertainty has risen significantly and persistently since the early 1970s. For example, our measure of near-future uncertainty in total family non-capital income rose about 40 percent between 1971 and 2002. This rising uncertainty is likely due to the increase in variances of both persistent and transitory income shocks. Although the increase in uncertainty was widespread, the increase was most pronounced among single-earner households and high-income households. A parsimoniously calibrated Aiyagari (1994) model is solved to illustrate how rising income uncertainty affects aggregate saving. L3 - http://www.federalreserve.gov/pubs/feds/2011/201125/201125pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235422&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201125/201125pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iacoviello, Matteo AU - Pavan, Marina AD - Unlisted AD - Unlisted T1 - Housing and debt over the life cycle and over the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1032 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269545; Publication Type: Working Paper; Update Code: 201112 N2 - We study housing and debt in a quantitative general equilibrium model. In the cross-section, the model matches the wealth distribution, the age pro.les of homeownership and mortgage debt, and the frequency of housing adjustment. In the time-series, the model matches the procyclicality and volatility of housing investment, and the procyclicality of mortgage debt. We use the model to conduct two experiments. First, we investigate the consequences of higher individual income risk and lower downpayments, and .nd that these two changes can explain, in the model and in the data, the reduced volatility of housing investment, the reduced procyclicality of mortgage debt, and a small fraction of the reduced volatility of GDP. Second, we use the model to look at the behavior of housing investment and mortgage debt in an experiment that mimics the Great Recession: we find that countercyclical financial conditions can account for large drops in housing activity and mortgage debt when the economy is hit by large negative shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1032/ifdp1032.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269545&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1032/ifdp1032.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iacoviello, Matteo AD - Unlisted T1 - Housing wealth and consumption PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1027 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257262; Keywords: Consumption (Economics)--United States; Home ownership--United States; Wealth--United States; Publication Type: Working Paper; Update Code: 201109 N2 - Housing wealth is about one half of household net worth, and consumption is a considerable fraction (about two thirds) of Gross Domestic Product in the United States. Empirically, movements in housing wealth are associated with movements in consumption in the same direction. This observation has led many economists, commentators and policy makers to study how housing wealth and consumption are linked together. A sizeable portion of the comovement between housing wealth and consumption reflects common factors driving both variables, rather than the "wealth effect" of the former on the latter; however, a growing body of evidence suggests that the comovement is larger in developed financial markets and in the presence of liquidity constraints. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1027/ifdp1027.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257262&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1027/ifdp1027.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rezende, Marcelo AD - Unlisted T1 - How do joint supervisors examine financial institutions? the case of state banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-43 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269532; Keywords: Bank examination - United States; Bank supervision - United States; Publication Type: Working Paper; Update Code: 201112 N2 - This paper studies what determines whether federal and state supervisors examine state banks independently or together. The results suggest that supervisors coordinate examinations in order to support states with lower budgets and capabilities and more banks to supervise. I find that states with larger budgets examine more banks independently, that they accommodate changes in the number of banks mostly through the number of examinations with a federal supervisor and that, when examining banks together, state banking departments that have earned quality accreditation are more likely to write conclusion reports separately from federal supervisors. The results also indicate that regulation impacts supervision by changing the characteristics of banks. Independent examinations decrease with branch deregulation, which is consistent with the facts that this reform consolidated banks within fewer independent firms and that state and federal supervisors are more likely to examine large and complex institutions together. L3 - http://www.federalreserve.gov/pubs/feds/2011/201143/201143pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269532&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201143/201143pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Gurkaynak, Refet S. AD - Unlisted AD - Unlisted T1 - How useful are estimated DSGE model forecasts? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-11 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235408; Keywords: Economic forecasting; Inflation (Finance); Econometric models; Publication Type: Working Paper; Update Code: 201106 N2 - DSGE models are a prominent tool for forecasting at central banks and the competitive forecasting performance of these models relative to alternatives--including official forecasts--has been documented. When evaluating DSGE models on an absolute basis, however, we find that the benchmark estimated medium scale DSGE model forecasts inflation and GDP growth very poorly, although statistical and judgmental forecasts forecast as poorly. Our finding is the DSGE model analogue of the literature documenting the recent poor performance of macroeconomic forecasts relative to simple naive forecasts since the onset of the Great Moderation. While this finding is broadly consistent with the DSGE model we employ--ie, the model itself implies that under strong monetary policy especially inflation deviations should be unpredictable--a "wrong" model may also have the same implication. We therefore argue that forecasting ability during the Great Moderation is not a good metric to judge the usefulness of model forecasts. L3 - http://www.federalreserve.gov/pubs/feds/2011/201111/201111pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235408&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201111/201111pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven AU - Smith, Christopher L. AU - Wozniak, Abigail AD - Unlisted AD - Unlisted AD - Unlisted T1 - Internal migration in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-30 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235427; Keywords: Migration, Internal; Labor mobility; Publication Type: Working Paper; Update Code: 201106 N2 - We review patterns in migration within the U.S. over the past thirty years. Internal migration has fallen noticeably since the 1980s, reversing increases from earlier in the century. The decline in migration has been widespread across demographic and socioeconomic groups, as well as for moves of all distances. Although a convincing explanation for the secular decline in migration remains elusive and requires further research, we find only limited roles for the housing market contraction and the economic recession in reducing migration recently. Despite its downward trend, migration within the U.S. remains higher than that within most other developed countries. L3 - http://www.federalreserve.gov/pubs/feds/2011/201130/201130pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235427&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201130/201130pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bernanke, Ben S. AU - Bertaut, Carol AU - DeMarco, Laurie Pounder AU - Kamin, Steven AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - International capital flows and the returns to safe assets in the United States, 2003-2007 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1014 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155552; Publication Type: Working Paper; Update Code: 201103 N2 - A broad array of domestic institutional factors--including problems with the originate-to-distribute model for mortgage loans, deteriorating lending standards, deficiencies in risk management, conflicting incentives for the GSEs, and shortcomings of supervision and regulation--were the primary sources of the U.S. housing boom and bust and the associated financial crisis. In addition, the extended rise in U.S. house prices was likely also supported by long-term interest rates (including mortgage rates) that were surprisingly low, given the level of short-term rates and other macro fundamentals--a development that Greenspan (2005) dubbed a "conundrum." The "global saving glut" (GSG) hypothesis (Bernanke, 2005 and 2007) argues that increased capital inflows to the United States from countries in which desired saving greatly exceeded desired investment--including Asian emerging markets and commodity exporters--were an important reason that U.S. longer-term interest rates during this period were lower than expected.; This essay investigates further the effects of capital inflows to the United States on U.S. longer-term interest rates; however, we look beyond the overall size of the inflows emphasized by the GSG hypothesis to examine the implications for U.S. yields of the portfolio preferences of foreign creditors. We present evidence that, in the spirit of Caballero and Krishnamurthy (2009), foreign investors during this period tended to prefer U.S. assets perceived to be safe. In particular, foreign investors--especially the GSG countries--acquired a substantial share of the new issues of U.S. Treasuries, Agency debt, and Agency-sponsored mortgage-backed securities. The downward pressure on yields exerted by inflows from the GSG countries was reinforced by the portfolio preferences of other foreign investors. We focus particularly on the case of Europe: Although Europe did not run a large current account surplus as did the GSG countries, we show that it leveraged up its international balance sheet, issuing external liabilities to finance substantial purchases of apparently safe U.S. "private-label" mortgage-backed securities and other fixed-income products. The strong demand for apparently safe assets by both domestic and foreign investors not only served to reduce yields on these assets but also provided additional incentives for the U.S. financial services industry to develop structured investment products that "transformed" risky loans into highly-rated securities.; Our findings do not challenge the view that domestic factors, including those listed above, were the primary sources of the housing boom and bust in the United States. However, examining how changes in the pattern of international capital flows affected yields on U.S. assets helps provide a deeper understanding of the origins and dynamics of the crisis. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1014/ifdp1014.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155552&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1014/ifdp1014.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edgerton, Jesse AD - Unlisted T1 - Investment, accounting, and the salience of the corporate income tax PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-20 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235417; Keywords: Corporations - Taxation; Tax credits; Tax incentives; Publication Type: Working Paper; Update Code: 201106 N2 - This paper develops and tests the hypothesis that accounting rules mitigate the impact of tax policy on investment decisions by obscuring the timing of tax payments. I model a firm that maximizes a discounted weighted average of after-tax cash flows and accounting profits. The cost of capital and the impact of tax incentives for investment both depend on the weight placed on accounting profits. I estimate this weight by comparing the effectiveness of tax incentives that do and do not affect accounting profits. Investment tax credits, which do affect accounting profits, have more impact on investment than accelerated depreciation, which does not. This difference in estimated impact is not obviously driven by discounting, cash flow effects, or measurement error. Results thus suggest that the tax burden on corporate capital could be lower than we would otherwise estimate, and accelerated depreciation provisions are less effective than they otherwise would be. L3 - http://www.federalreserve.gov/pubs/feds/2011/201120/201120pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235417&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201120/201120pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Panousi, Vasia AU - Papanikolaou, Dimitris AD - Unlisted AD - Unlisted T1 - Investment, idiosyncratic risk, and ownership PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-54 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291132; Keywords: Investments; Risk; Uncertainty; Institutional investors; Stockholders; Publication Type: Working Paper; Update Code: 201204 N2 - High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises, firm investment falls, and more so when managers own a larger fraction of the firm. This negative effect of managerial risk aversion on investment is mitigated if executives are compensated with options rather than with shares or if institutional investors form a large part of the shareholder base. L3 - http://www.federalreserve.gov/pubs/feds/2011/201154/201154pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291132&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201154/201154pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Powell, Linda F. AU - Montoya, Mark AU - Shuvalov, Elena AD - Unlisted AD - Unlisted AD - Unlisted T1 - Legal entity identifier: what else do you need to know? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-31 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257247; Publication Type: Working Paper; Update Code: 201109 N2 - The passage of the Dodd-Frank Wall Street Reform and Consumer Protection Act sparked discussion of creating a systematic code that uniquely identifies an entity. This code is commonly referred to as a legal entity identifier (LEI). The information that is collected to accompany and describe the LEI will play an important role in enhancing the usefulness of the LEI. This paper explores the information (referred to as reference data) commonly used in datasets that describe entities and evaluates the usefulness of reference data elements for uniquely identifying an entity and for monitoring systemic risk in the financial industry. L3 - http://www.federalreserve.gov/pubs/feds/2011/201131/201131pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257247&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201131/201131pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sun, Bo AD - Unlisted T1 - Limited market participation and asset prices in the presence of earnings management PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1019 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257254; Keywords: Earnings management; Stocks--Rate of return; Publication Type: Working Paper; Update Code: 201109 N2 - We examine the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that investors' uncertainty about the extent of manipulation can cause excess movements in stock price relative to fluctuations in output. When faced with information asymmetry about fundamentals in the presence of earnings management, investors demand a higher equity premium for bearing the additional risk associated with their payoffs. In addition, when investors have heterogeneous beliefs about managerial manipulation, the dispersion in belief endogenously gives rise to limited stock market participation. Our model suggests that the increasing stringency of corporate governance and varying composition of investors may have played a role in the contemporaneous run-up of market participation rates in the recent years. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1019/ifdp1019.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257254&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1019/ifdp1019.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Robitaille, Patrice AD - Unlisted T1 - Liquidity and reserve requirements in Brazil PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1021 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257256; Keywords: Bank reserves--Brazil; Bank liquidity--Brazil; Global financial crisis; Publication Type: Working Paper; Update Code: 201109 N2 - The international reform initiative that followed the global financial crisis of 2008-09 has resulted in the introduction of liquidity requirements for banks. Under one requirement, the Liquidity Coverage Ratio (LCR), banks will need to hold enough highly liquid assets to survive for a month in a stress scenario. Banks' required reserve balances can be used to fulfill this liquidity requirement and this may be seen as an attractive option for emerging market economies, where financial sectors are often underdeveloped. In this paper, I examine the Brazilian experience prior to and during the global crisis as a case study that can shed light into the challenges of using reserve requirements as a liquidity management tool. Brazilian reserve requirements did not ensure adequate liquidity, in part because the smallest banks were exempted from the requirements. Financial innovations were also used by banks to circumvent reserve requirements. In Brazil, the use of reserve requirements as a liquidity management tool is often justified by the argument that reserve requirements fulfilled a critical liquidity provision role in the fall of 2008. I argue that Brazilian reserve requirements did not actually serve well the liquidity provision goal. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1021/ifdp1021.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257256&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1021/ifdp1021.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anderson, Nathan B. AU - Dokko, Jane K. AD - Unlisted AD - Unlisted T1 - Liquidity problems and early payment default among subprime mortgages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-09 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155548; Publication Type: Working Paper; Update Code: 201103 N2 - The lack of property tax escrow accounts among subprime mortgages causes borrowers to make large lump-sum tax payments that reduce liquidity. Different property tax collection dates across states and counties create exogenous variation in the time between loan origination and the first property tax due date, affording the opportunity to estimate the causal effect of loan-level exposure to liquidity reductions on mortgage default. We find that a nine-month delay in owing property taxes reduces the probability of first-year default by about 4 percent, or about one-third of the effect of a reduction in equity from 10 percent to negative 20 percent. L3 - http://www.federalreserve.gov/pubs/feds/2011/201109/201109pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155548&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201109/201109pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cao, Charles AU - Petrasek, Lubomir AD - Unlisted AD - Unlisted T1 - Liquidity risk and hedge fund ownership PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-49 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269537; Publication Type: Working Paper; Update Code: 201112 N2 - Using a unique, hand-collected data set of hedge fund ownership, we examine the effects of hedge fund ownership on liquidity risk in the cross-section of stocks. After controlling for institutional preferences for stock characteristics, we find that stocks held by hedge funds as marginal investors are more sensitive to changes in aggregate liquidity than comparable stocks held by other types of institutions or by individuals. Stocks held by hedge funds also experience significantly negative abnormal returns during liquidity crises. These findings support the theory of Brunnermeier and Pedersen (2009) that ownership by levered traders leads to a greater liquidity risk. L3 - http://www.federalreserve.gov/pubs/feds/2011/201149/201149pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269537&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201149/201149pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hanley, Kathleen Weiss AU - Hoberg, Gerard AD - Unlisted AD - Unlisted T1 - Litigation risk, strategic disclosure and the underpricing of initial public offerings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-12 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235409; Keywords: Going public (Securities); Securities; Disclosure of information; Risk; Publication Type: Working Paper; Update Code: 201106 N2 - Using word content analysis on the time-series of IPO prospectuses, we find evidence that issuers trade off underpricing and strategic disclosure as potential hedges against litigation risk. This tradeoff explains a significant fraction of the variation in prospectus revision patterns, IPO underpricing, the partial adjustment phenomenon, and litigation outcomes. We find that strong disclosure is an effective hedge against all lawsuits. Underpricing, however, is an effective hedge only against the incidence of Section 11 lawsuits, those lawsuits which are most damaging to the underwriter. Underwriters who fail to adequately hedge litigation risk experience economically large penalties including loss of market share. L3 - http://www.federalreserve.gov/pubs/feds/2011/201112/201112pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235409&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201112/201112pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Debortoli, Davide AU - Maih, Junior AU - Nunes, Ricardo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Loose commitment in medium-scale macroeconomic models: theory and applications PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1034 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269548; Publication Type: Working Paper; Update Code: 201112 N2 - This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment. As opposed to the existing literature, our method can be employed in medium- and large-scale models typically used in monetary policy. We apply our method to the Smets and Wouters (2007) model, where we show that imperfect commitment has relevant implications for interest rate setting, the sources of business cycle fluctuations, and welfare. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1034/ifdp1034.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269548&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1034/ifdp1034.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mertens, Elmar AD - Unlisted T1 - Measuring the level and uncertainty of trend inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-42 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269531; Keywords: Inflation (Finance) - United States; Publication Type: Working Paper; Update Code: 201112 N2 - Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the term structure of interest rates, and realized inflation rates. My application combines a variety of data sources at the monthly frequency and it can flexibly handle missing data arising from infrequent observations and limited data availability. In order to assess whether inflation expectations are anchored, uncertainty surrounding future changes in trend inflation--measured by a time-varying volatility of trend shocks--is estimated as well.; Not surprisingly, the estimates suggest that trend inflation in the U.S. rose and fell again over the 1970s and 1980s, accompanied by increases in uncertainty. Considering the recent crisis, full-sample estimates of trend inflation fell quite a bit, but not too dramatically. In contrast, real-time estimates recorded sizeable increases of trend uncertainty during the crisis of 2007/2008, which have abated since then. L3 - http://www.federalreserve.gov/pubs/feds/2011/201142/201142pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269531&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201142/201142pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Debortoli, Davide AU - Nunes, Ricardo AD - Unlisted AD - Unlisted T1 - Monetary regime switches and unstable objectives PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1036 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269547; Publication Type: Working Paper; Update Code: 201112 N2 - Monetary policy objectives and targets are not necessarily stable over time. The regime switching literature has typically analyzed and interpreted changes in policymakers' behavior through simple interest rate rules. This paper analyzes policy regime switches explicitly modeling policymakers' behavior and objectives. We show how current monetary policy is affected and should optimally respond to alternative regimes. We also show that changes in the parameters of simple rules do not necessarily correspond to changes in policymakers' preferences. In fact, capturing and interpreting regime changes in preferences through interest rate rules can lead to misleading results. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1036/ifdp1036.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269547&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1036/ifdp1036.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kilian, Lutz AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted T1 - Nonlinearities in the oil price-output relationship PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1013 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155551; Publication Type: Working Paper; Update Code: 201103 N2 - It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations. Moreover, many of the papers quantifying these asymmetric responses are based on censored oil price VAR models which recently have been shown to be invalid. Other studies are based on dynamic correlations in the data that do not shed light on the central question of whether the structural responses of real output triggered by positive and negative oil price innovations are asymmetric. Recently, a number of new methodologies have been introduced and applied to the problem of testing and quantifying asymmetric responses of U.S. real economic activity to positive and negative oil price innovations. Our objective is to put this literature in perspective, to contrast it with more traditional approaches, to highlight directions for further research, and to reconcile some seemingly conflicting results reported in the literature. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1013/ifdp1013.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155551&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1013/ifdp1013.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Guerrieri, Luca AD - Unlisted AD - Unlisted T1 - Oil efficiency, demand, and prices: a tale of ups and downs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1031 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269544; Publication Type: Working Paper; Update Code: 201112 N2 - The macroeconomic implications of oil price fluctuations vary according to their sources. Our estimated two-country DSGE model distinguishes between country-specific oil supply shocks, various domestic and foreign activity shocks, and oil efficiency shocks. Changes in foreign oil efficiency, modeled as factor-augmenting technology, were the key driver of fluctuations in oil prices between 1984 and 2008, but have modest effects on U.S. activity. A pickup in foreign activity played an important role in the 2003-2008 oil price runup. Beyond quantifying the responses of oil prices and economic activity, our model informs about the propagation mechanisms. We find evidence that nonoil trade linkages are an important transmission channel for shocks that affect oil prices. Conversely, nominal rigidities and monetary policy are not. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1031/ifdp1031.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269544&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1031/ifdp1031.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adolfson, Malin AU - Laseen, Stefan AU - Linde, Jesper AU - Svensson, Lars E. O. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Optimal monetary policy in an operational medium-sized DSGE model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1023 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257258; Keywords: Econometric models; Monetary policy--Sweden; Publication Type: Working Paper; Update Code: 201109 N2 - We show how to construct optimal policy projections in Ramses, the Riksbank's open-economy medium-sized DSGE model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports our view that the model parameters may be regarded as unaffected by the monetary policy specification. We discuss how monetary policy, and in particular the choice of output gap measure, affects the transmission of shocks. Finally, we use the model to assess the recent Great Recession in the world economy and how its impact on the economic development in Sweden depends on the conduct of monetary policy. This provides an illustration on how Rames incorporates large international spillover effects. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1023/ifdp1023.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257258&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1023/ifdp1023.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nakov, Anton AU - Thomas, Carlos AD - Unlisted AD - Unlisted T1 - Optimal monetary policy with state-dependent pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-48 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269536; Publication Type: Working Paper; Update Code: 201112 N2 - In an abstract economic model, we study optimal monetary policy from the timeless perspective under a general state-dependent pricing framework. We find that when firms are monopolistic competitors subject to idiosyncratic menu cost shocks, households have isoelastic preferences, and there is no government spending, strict price stability is optimal both in the long run and in response to aggregate shocks. Key to this finding is an "envelope" property: At zero inflation, a marginal increase in the rate of inflation has no effect on firms' profits and therefore it has no effect on the probability of price adjustment. Our results lend support to more informal statements about the suitability of the Calvo model for studying optimal monetary policy despite its apparent conflict with the Lucas critique. We offer an analytic solution that does not require local approximation or efficiency of the steady state. L3 - http://www.federalreserve.gov/pubs/feds/2011/201148/201148pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269536&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201148/201148pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, Justin R. AD - Unlisted T1 - Plant-level responses to antidumping duties: evidence from U.S. manufacturers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-40 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269529; Keywords: Antidumping duties - United States; Manufacturing industries - United States; Publication Type: Working Paper; Update Code: 201112 N2 - This paper describes the effects of a temporary increase in tariffs on the performance and behavior of U.S. manufacturers. Using a dataset that includes the full population of U.S. manufacturing plants, I show that an apparent positive correlation between antidumping duties and traditional revenue productivity is likely misleading. For the subset of plants reporting quantity-based output data, increases in prices and markups artificially inflate the effect of antidumping duties on revenue productivity, while physical productivity actually falls. Moreover, antidumping duties allow low-productivity plants to continue producing protected products, slowing the reallocation of resources from less productive to more productive uses. L3 - http://www.federalreserve.gov/pubs/feds/2011/201140/201140pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269529&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201140/201140pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smith, Christopher L. AD - Unlisted T1 - Polarization, immigration, education: What's behind the dramatic decline in youth employment? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-41 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269530; Keywords: Youth - Employment; Labor market - United States; Emigration and immigration - United States; Publication Type: Working Paper; Update Code: 201112 N2 - Since the beginning of the recent recession, the employment-population ratio for high-school age youth (16-17 years old) has fallen by nearly a third, to its lowest level ever. However, this recession has exacerbated a longer-run downward trend that actually began in the 1990s and accelerated in the early 2000s. There is little research regarding why teen employment has fallen. Some earlier work emphasized labor supply explanations related to schooling and education, such as an increased emphasis on college preparation (Aaronson, Park, and Sullivan 2006), while others have argued that adult immigrants have crowded out teens, at least in part because adult immigrants and native teens tend to be employed in similar occupations (Sum, Garrington, and Khatiwada 2006, Camarota and Jensenius 2010, Smith 2012). This paper presents updated trends in teen employment and participation across multiple demographic characteristics, and argues that, in addition to immigration, occupational polarization in the U.S. adult labor market has resulted in increased competition for jobs that teens traditionally hold. Testing various supply and demand explanations for the decline since the mid-1980s, I find that demand factors can explain at least half of the decline unexplained by the business cycle, and that supply factors can explain much of the remaining decline. L3 - http://www.federalreserve.gov/pubs/feds/2011/201141/201141pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269530&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201141/201141pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barr, Michael S. AU - Dokko, Jane K. AU - Feit, Eleanor M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Preferences for banking and payment services among low- and moderate-income households PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-13 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235410; Keywords: Debit cards; Credit cards; Payment systems; Consumer protection; Publication Type: Working Paper; Update Code: 201106 N2 - This paper characterizes the features of an account-based payment card--including bank debit cards, prepaid debit cards, and payroll cards--that elicit a high take-rate among low- and moderate-income (LMI) households, particularly those without bank accounts. We apply marketing research techniques, specifically choice modeling, to identify the design of a specific financial services product for LMI households, who often face difficulties maintaining standard bank accounts but need banking services. After monthly cost, we find that, on average, non-monetary features of a payment card, such as the availability of federal protection and the type of card, are factors LMI consumers weigh most heavily when choosing among differently designed payment cards. We estimate a high take rate for a well-designed payment card that is decreasing in its cost. The sensitivity of the take-rate with respect to cost varies by income and bank account ownership. These results can guide private and public sector initiatives to expand the range of financial services available to LMI households. L3 - http://www.federalreserve.gov/pubs/feds/2011/201113/201113pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235410&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201113/201113pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Cai, Fang AU - Davies, Sally AU - Kamin, Steven AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Quantitative easing and bank lending: evidence from Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1018 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235431; Publication Type: Working Paper; Update Code: 201106 N2 - Prior to the recent financial crisis, one of the most prominent examples of unconventional monetary stimulus was Japan's "quantitative easing policy" (QEP). Most analysts agree that QEP did not succeed in stimulating aggregate demand sufficiently to overcome persistent deflation. However, it remains unclear whether QEP simply provided little stimulus, or whether its positive effects were overwhelmed by the contractionary forces in Japan's post-bubble economy. In the spirit of Kashyap and Stein (2000) and Hosono (2006), this paper uses bank-level data from 2000 to 2009 to examine the effectiveness in promoting bank lending of a key element of QEP, the Bank of Japan's injections of liquidity into the interbank market. We identify a robust, positive, and statistically significant effect of bank liquidity positions on lending, suggesting that the expansion of reserves associated with QEP likely boosted the flow of credit. However, the overall size of that boost was probably quite small. First, the estimated response of lending to liquidity positions in our regressions is small. Second, much of the effect of the BOJ's reserve injections on bank liquidity was offset as banks reduced their lending to each other. Finally, the effect of liquidity on lending appears to have held only during the initial years of QEP, when the banking system was at its weakest; by 2005, even before QEP was abandoned, the relationship between liquidity and lending had evaporated. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1018/ifdp1018.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235431&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1018/ifdp1018.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - DeBacker, Jason AU - Heim, Bradley AU - Panousi, Vasia AU - Vidangos, Ivan AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Rising inequality: transitory or permanent? New evidence from a U.S. panel of household income 1987-2006 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-60 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291138; Keywords: Income distribution - United States - Mathematical models; Publication Type: Working Paper; Update Code: 201204 N2 - We use a new and large panel dataset of household income to shed light on the permanent versus transitory nature of rising inequality in individual male labor earnings and in total household income, both before and after taxes, in the United States over the period 1987-2006. Due to the quality and the significant size of our dataset, we are able to conduct our analysis using rich and precisely estimated error-components models of income dynamics. Our main specification finds evidence for a quadratic heterogeneous income profiles component and a random walk component in permanent earnings, and for a moving-average component in autoregressive transitory earnings. We find that the increase in inequality over our sample period was entirely permanent for male earnings, and predominantly permanent for household income. We also show that the tax system, though reducing inequality, nonetheless did not materially affect its increasing trend. Furthermore, we compare our model-based findings against those of simpler, non-model based inequality decomposition methods. We show that the results for the trends in the evolution of the permanent and transitory variances are remarkably similar across methods, whereas the results for the shares of those variances in cross-sectional inequality differ widely. Further investigation into the sources of these differences suggests that simpler methods produce erroneous decompositions because they cannot flexibly capture the relative degree of persistence of the transitory component of income. L3 - http://www.federalreserve.gov/pubs/feds/2011/201160/201160pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291138&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201160/201160pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bali, Turan G. AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Risk, uncertainty, and expected returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-45 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269542; Publication Type: Working Paper; Update Code: 201112 N2 - A consumption-based asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks indicate that the conditional covariances of equity portfolios (individual stocks) with market and uncertainty predict the time series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant premium relative to portfolios that are uncorrelated or lowly correlated with VRP. The insignificant alpha estimates indicate that the conditional asset pricing model proposed in the paper also explains the industry, size, and value premiums. L3 - http://www.federalreserve.gov/pubs/feds/2011/201145/201145pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269542&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201145/201145pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean AU - Covitz, Daniel AU - Nelson, William AU - Pence, Karen AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Securitization markets and central banking: an evaluation of the term asset-backed securities loan facility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-16 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235413; Keywords: Asset-backed financing; Mortgage-backed securities; Financial crises; Term Asset-Backed Securities Loan Facility; Publication Type: Working Paper; Update Code: 201106 N2 - In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered non-recourse loans to finance investors' purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program improved conditions in securitization markets but did not subsidize individual securities. We also find that the risk of loss to the US government was small. L3 - http://www.federalreserve.gov/pubs/feds/2011/201116/201116pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235413&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201116/201116pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bollerslev, Tim AU - Marrone, James AU - Xu, Lai AU - Zhou, Hao AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Stock return predictability and variance risk premia: statistical inference and international evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-52 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269540; Publication Type: Working Paper; Update Code: 201112 N2 - Recent empirical evidence suggests that the variance risk premium, or the difference between risk-neutral and statistical expectations of the future return variation, predicts aggregate stock market returns, with the predictability especially strong at the 2-4 month horizons. We provide extensive Monte Carlo simulation evidence that statistical finite sample biases in the overlapping return regressions underlying these findings can not "explain" this apparent predictability. Further corroborating the existing empirical evidence, we show that the patterns in the predictability across different return horizons estimated from country specific regressions for France, Germany, Japan, Switzerland and the U.K. are remarkably similar to the pattern previously documented for the U.S. Defining a "global" variance risk premium, we uncover even stronger predictability and almost identical cross-country patterns through the use of panel regressions that effectively restrict the compensation for world-wide variance risk to be the same across countries. Our findings are broadly consistent with the implications from a stylized two-country general equilibrium model explicitly incorporating the effects of world-wide time-varying economic uncertainty. L3 - http://www.federalreserve.gov/pubs/feds/2011/201152/201152pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269540&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201152/201152pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AU - Bucks, Brian AU - Kennickell, Arthur AU - Mach, Traci AU - Moore, Kevin AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Surveying the aftermath of the storm: changes in family finances from 2007 to 2009 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-17 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235414; Keywords: International trade; Exports; Global financial crisis; Publication Type: Working Paper; Update Code: 201106 N2 - In 2009, the Federal Reserve Board implemented a survey of families that participated in the 2007 Survey of Consumer Finances (SCF) to gain detailed information on the effects of the recent recession on all types of households. Using data from the 2007-09 SCF panel, we highlight the variation in households' financial experiences by examining the distribution of changes in families' balance sheets. Further, we use information on changes in families' saving, investing, and spending behavior to consider the potential longer-term consequences of the current recession on households' finances and decisions.; Most families experienced a decline in wealth between 2007 and 2009, but many families saw only small changes on net, and others saw substantial increases in their wealth. This pattern of gains and losses typically holds within demographic groups. Changes in families' wealth over the period appear to reflect changes in asset values (particularly the value of homes, stocks, and businesses) rather than changes in the level of ownership of assets and debts or in the amount of debt held. On the whole, families appear more cautious in 2009 than in 2007, as most families reported greater desired buffer savings, and many expressed concern over future income and employment. L3 - http://www.federalreserve.gov/pubs/feds/2011/201117/201117pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235414&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201117/201117pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huang, Xin AU - Zhou, Hao AU - Zhu, Haibin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Systemic risk contributions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-08 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155547; Publication Type: Working Paper; Update Code: 201103 N2 - We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP expected loss measure. In general, we find that a bank's contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation. L3 - http://www.federalreserve.gov/pubs/feds/2011/201108/201108pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155547&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201108/201108pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AD - Unlisted T1 - The expected real return to equity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-14 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235411; Keywords: Stock - Prices; Forecasting; Investments; Securities; Publication Type: Working Paper; Update Code: 201106 N2 - The expected return to equity--typically measured as a historical average--is a key variable in the decision making of investors. A recent literature based on analysts forecasts and practitioner surveys finds estimates of expected returns that are sometimes much lower than historical averages. This study presents a novel method that estimates the expected return to equity using only observable data. The method builds on a present value relationship that links dividends, earnings, and investment to market values via expected returns. Given a model that captures this relationship, one can infer the expected return. Using this method, the estimated expected real return to equity ranges from 4 to 5.5 percent. Furthermore, the analysis indicates that expected returns have declined by about 2 percentage points over the past forty years. These results indicate that future returns to equity may be lower than past realized returns. L3 - http://www.federalreserve.gov/pubs/feds/2011/201114/201114pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235411&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201114/201114pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Klee, Elizabeth AD - Unlisted T1 - The first line of defense: the discount window during the early stages of the financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-23 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235420; Keywords: Discount; Federal funds; Global financial crisis; Publication Type: Working Paper; Update Code: 201106 N2 - This paper develops a theoretical model of trading in the federal funds market that captures characteristics of discount window borrowing and the federal funds market during the first year of the financial crisis, including the narrowing of the spread between the discount rate and the target rate; the increased incidence of high-rate trading; and the decline in participation in the federal funds market. The model shows that differences in stigma of borrowing from the discount window across banks can cause the federal funds rate to rise, even when the spread between the discount rate and the target rate narrows. The model is then evaluated using both aggregate and institution-level data. The data suggest that in aggregate, federal funds volume brokered at rates above the primary credit rate and discount window borrowing both increased during the first stages of the crisis. Bank-level data suggest that institutions that went to the discount window paid lower rates in the federal funds market than banks that did not. This effect became stronger as the spread between the primary credit rate and the target rate narrowed, coincident with the intensification of the financial crisis. L3 - http://www.federalreserve.gov/pubs/feds/2011/201123/201123pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235420&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201123/201123pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Brett AU - Martin, Robert F. AD - Unlisted AD - Unlisted T1 - The growth of Chinese exports: an examination of the detailed trade data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1033 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269546; Publication Type: Working Paper; Update Code: 201112 N2 - Over the past decade, Chinese exports have boomed, increasing far faster than GDP growth. What can account for this explosion? Our paper uses finely detailed Chinese export data (8-digit HS codes) combined with U.S. trade data to explore this question. Although exchange rate policy clearly boosted the trade surplus, and the structure of the economy, e.g. abundant cheap labor, encouraged investment, these alone cannot account for the changing composition and acceleration of exports. We find that the growth in exports is most likely a product of effective Chinese industrial policy and fortuitous timing. The detailed trade data reveal that key "new" technology goods, such as cell phones, LCD screens, and laptops played a critical role. Finally, we use the data to examine the relationship between Chinese exports and global manufacturing, in particular U.S. manufacturing employment. We find that increased Chinese competition in both domestic and U.S. export markets likely lowered U.S. manufacturing employment between 2000 and 2007. Chinese policy is not, however, wholly responsible. Some job losses, such as in textile production, were no doubt the result of China's natural comparative advantages, while other U.S. job losses are attributable to relatively low investment and slow GDP growth in the United States following the 2001 recession. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1033/ifdp1033.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269546&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1033/ifdp1033.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Grishchenko, Olesya V. AU - Vanden, Joel M. AU - Zhang, Jianing AD - Unlisted AD - Unlisted AD - Unlisted T1 - The information content of the embedded deflation option in TIPS PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-58 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291136; Keywords: Inflation (Finance); Forecasting; Inflation-indexed bonds - United States; Government securities - United States; Publication Type: Working Paper; Update Code: 201204 N2 - In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX index return, and the lagged inflation rate. We conduct several robustness tests, including alternative weighting schemes, alternative variable specifications, and alternative data samples. We conclude that the embedded option in TIPS contains useful information for future inflation, both in-sample and out-of-sample. Our results should be valuable to practitioners, monetary authorities, and policymakers alike. L3 - http://www.federalreserve.gov/pubs/feds/2011/201158/201158pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291136&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201158/201158pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven AU - Shan, Hui AD - Unlisted AD - Unlisted T1 - The post-foreclosure experience of U.S. households PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-32 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257248; Publication Type: Working Paper; Update Code: 201109 N2 - Despite the recent flood of foreclosures on residential mortgages, little is known about what happens to borrowers and their households after their mortgage has been foreclosed. We study the post-foreclosure experience of U.S. households using a unique dataset based on the credit reports of a large panel of individuals to from 1999 to 2010. Although foreclosure considerably raises the probability of moving, the majority of post-foreclosure migrants do not end up in substantially less desirable neighborhoods or more crowded living conditions. These results suggest that, on average, foreclosure does not impose an economic burden large enough to severely reduce housing consumption. L3 - http://www.federalreserve.gov/pubs/feds/2011/201132/201132pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257248&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201132/201132pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gatto, Massimo Del AU - di Mauro, Filippo AU - Gruber, Joseph AU - Mandel, Benjamin R. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The revealed competitiveness of U.S. exports PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1026 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257261; Keywords: Exports--United States; Industrial Productivity--United States; Competition; Publication Type: Working Paper; Update Code: 201109 N2 - The U.S. share of world merchandise exports has declined sharply over the last decade. Using data at the level of detailed industries, this paper analyzes the decline in U.S. share against the backdrop of alternative measures of the competitiveness of the U.S. economy. We document the following facts: (i) only a few industries contributed to the decline in any meaningful way, (ii) a large part of the drop was driven by the changing size of U.S. export industries and not the size of U.S. sales within those industries, (iii) in a gravity framework, the majority of the decline in the U.S. export share within industries was due to the declining U.S. share of world income, and (iv) in a computed structural measure of firm productivity, average U.S. export productivity has generally maintained its high level versus other countries over time. Overall, our analysis suggests that the dismal performance of the U.S. market share is not a sufficient statistic for competitiveness. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1026/ifdp1026.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257261&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1026/ifdp1026.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Brevoort, Kenneth P. AD - Unlisted AD - Unlisted T1 - The subprime crisis: Is government housing policy to blame? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-36 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257252; Publication Type: Working Paper; Update Code: 201109 N2 - A growing literature suggests that housing policy, embodied by the Community Reinvestment Act (CRA) and the affordable housing goals of the government sponsored enterprises, may have caused the subprime crisis. The conclusions drawn in this literature, for the most part, have been based on associations between aggregated national trends. In this paper we examine more directly whether these programs were associated with worse outcomes in the mortgage market, including delinquency rates and measures of loan quality. We rely on two empirical approaches. In the first approach, which focuses on the CRA, we conjecture that historical legacies create significant variations in the lenders that serve otherwise comparable neighborhoods. Because not all lenders are subject to the CRA, this creates a quasi-natural experiment of the CRA's effect. We test this conjecture by examining whether neighborhoods that have been disproportionally served by CRA-covered institutions historically experienced worse outcomes. The second approach takes advantage of the fact that both the CRA and GSE goals rely on clearly defined geographic areas to determine which loans are favored by the regulations. Using a regression discontinuity approach, our tests compare the marginal areas just above and below the thresholds that define eligibility, where any effect of the CRA or GSE goals should be clearest. We find little evidence that either the CRA or the GSE goals played a significant role in the subprime crisis. Our lender tests indicate that areas disproportionately served by lenders covered by the CRA experienced lower delinquency rates and less risky lending. Similarly, the threshold tests show no evidence that either program had a significantly negative effect on outcomes. L3 - http://www.federalreserve.gov/pubs/feds/2011/201136/201136pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257252&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201136/201136pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Meisenzahl, Ralf R. AD - Unlisted AD - Unlisted T1 - The unreliability of credit-to-GDP ratio gaps in real-time: Implications for countercyclical capital buffers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-37 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257253; Publication Type: Working Paper; Update Code: 201109 N2 - Macroeconomists have long recognized that activity-gap measures are unreliable in real time and that this can present serious difficulties for stabilization policy. This paper investigates whether the credit-to-GDP ratio gap, which has been proposed as a reference point for accumulating countercyclical capital buffers, is subject to similar problems. We find that ex-post revisions to the U.S. credit-to-GDP ratio gap are sizable and as large as the gap itself, and that the main source of these revisions stems from the unreliability of end-of-sample estimates of the series' trend rather than from revised estimates of the underlying data. The paper considers the potential costs of gap mismeasurement. We find that the volume of lending that may incorrectly be curtailed is potentially large, although loan interest-rates appear to increase only modestly. L3 - http://www.federalreserve.gov/pubs/feds/2011/201137/201137pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257253&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201137/201137pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Detmeister, Alan K. AD - Unlisted T1 - The usefulness of core PCE inflation measures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-56 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1291134; Keywords: Inflation (Finance) - Mathematical models; Publication Type: Working Paper; Update Code: 201204 N2 - This paper examines a number of alternative PCE price inflation measures including overall PCE inflation, PCE inflation excluding food and energy, trimmed mean PCE inflation, component-smoothed inflation, variance-weighted inflation, inflation with weights based on disaggregated regressions, and survey measures of inflation expectations. When averaging across a handful of specifications based on the primary uses of a core inflation measure three conclusions arise: 1. Inflation rates for nearly all the measures best track ex-post trend inflation or predict future overall inflation when they are averaged over a considerable number of months. Overall PCE price inflation should be averaged over 18 months or longer. A shorter averaging period is appropriate for core measures, often on the order of 12 months. 2. Even after appropriately averaging each index, core inflation indexes generally perform better than overall inflation. 3. Exclusion indexes, such as PCE excluding food and energy, perform slightly worse than many other possible core inflation measures; trimmed mean PCE, or a variance-weighted index, may be better choice for a summary inflation measure. L3 - http://www.federalreserve.gov/pubs/feds/2011/201156/201156pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1291134&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201156/201156pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Londono, Juan M. AD - Unlisted T1 - The variance risk premium around the world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1035 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269549; Publication Type: Working Paper; Update Code: 201112 N2 - This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time variation, they do not predict local equity returns. Then, I extend the domestic model in Bollerslev, Tauchen and Zhou (2009) to an international setting. In light of the qualitative implications of my model, I provide empirical evidence that the US variance premium outperforms that of all other countries in predicting local and foreign equity returns. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1035/ifdp1035.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269549&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1035/ifdp1035.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - Tossed and turned: wealth dynamics of U.S. households 2007-2009 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-51 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269539; Publication Type: Working Paper; Update Code: 201112 N2 - For many years, the cross-sectional Survey of Consumer Finances (SCF) has shown relatively weak or inconsistent changes in the shape of the distribution of net worth, despite many shifts in income and other economic factors. In 2009, households that had taken part in the 2007 SCF were re-interviewed to obtain information on the changes in their financial condition over the period of the intervening financial crisis. Looked at as a second cross section, the 2009 data show a pattern of wealth distribution very similar in shape to what had been seen in the earlier cross sections. Between the two years, however, there was considerable variation in the relative positions of households within the wealth distribution. This paper presents data on the changed situation of households and it decomposes the observed wealth changes in terms of underlying portfolio shifts. It is generally recognized that changes in the value of residential real estate, corporate equities and private businesses were important sources of wealth losses. Although the data presented here confirm that picture, they also show a great deal of heterogeneity below the aggregate level. The observed stability of the pseudo-cross-sectional wealth shares in the panel despite the underlying turmoil is largely a consequence of changes in values of businesses and equities among comparatively wealthy households offsetting changes in the value of housing assets among other households. L3 - http://www.federalreserve.gov/pubs/feds/2011/201151/201151pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269539&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201151/201151pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AU - Sapriza, Horacio AU - Zlate, Andrei AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trade credit and international trade during the 2008-09 global financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1020 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257255; Keywords: International trade; Credit--Asia; Financial crises--Asia; Publication Type: Working Paper; Update Code: 201109 N2 - This paper studies the role of the credit crunch in the severe contraction of trade and economic activity at the height of the 2008-09 global financial crisis, using firm-level data from six emerging market economies in Asia. We construct firm-specific measures of global demand, which allow us to disentangle the effect of falling demand from that of financial constraints on sales. The results indicate that: (1) Although the fall in demand adversely affected the sales of all firms during the crisis, sales declined by less for firms with better pre-crisis financial conditions. (2) In the face of the decline in external financing opportunities, some firms relied more on trade credit from suppliers to supplement operating capital during the crisis, which allowed them to post relatively better sales. (3) Export-intensive firms with comparable financial vulnerability resorted less to trade credit as an alternative source of finance, and hence experienced sharper declines in sales than the domestically-oriented firms. These findings point to the presence of credit frictions among the factors that contributed to the disproportionately large decline in international trade during the crisis. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1020/ifdp1020.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257255&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1020/ifdp1020.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brayton, Flint AD - Unlisted T1 - Two practical algorithms for solving rational expectations models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-44 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1269533; Publication Type: Working Paper; Update Code: 201112 N2 - This paper describes the E-Newton and E-QNewton algorithms for solving rational expectations (RE) models. Both algorithms treat a model's RE terms as exogenous variables whose values are iteratively updated until they (hopefully) satisfy the RE requirement. In E-Newton, the updates are based on Newton's method; E-QNewton uses an efficient form of Broyden's quasi-Newton method. The paper shows that the algorithms are reliable, fast enough for practical use on a mid-range PC, and simple enough that their implementation does not require highly specialized software. The evaluation of the algorithms is based on experiments with three well-known macro models--the Smets-Wouters (SW) model, EDO, and FRB/US--using code written in EViews, a general-purpose, easy-to-use software package. The models are either linear (SW and EDO) or mildly nonlinear (FRB/US). A test of the robustness of the algorithms in the presence of substantial nonlinearity is based on modified versions of each model that include a smoothed form of the constraint that the short-term rate of interest cannot fall below zero. In two single-simulation experiments with the standard and modified versions of the models, E-QNewton is found to be faster than E-Newton, except for solutions of small-to-medium sized linear models. In a multi-simulation experiment using the standard versions of the models, E-Newton dominates E-QNewton. L3 - http://www.federalreserve.gov/pubs/feds/2011/201144/201144pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1269533&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201144/201144pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nolle, Daniel E. AD - Unlisted T1 - U.S. domestic and international financial reform policy: Are G20 commitments and the Dodd-Frank Act in sync? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1024 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1257259; Keywords: Financial institutions; Financial crises; Regulatory reform; Publication Type: Working Paper; Update Code: 201109 N2 - The Dodd-Frank Act of 2010 is the keystone policy response directed at reforming U.S. financial system activities and oversight in the wake of the 2007-2009 financial crisis. The United States also has financial system reform policy commitments in the international arena, including in particular by virtue of its membership in the G20. This analysis considers U.S. policy initiatives related to a core dimension of financial system reform: risks posed by systemically important financial institutions ("SIFIs"). It provides a comparison of SIFI policy initiatives and timetables under both the Dodd-Frank Act and the G20 agenda, as reflected in the ongoing work plan of the Financial Stability Board (FSB), and poses the question "Are U.S. domestic and international financial system reform commitments in sync?" While finding that, fundamentally, the answer is "yes," the detailed comparison yields two caveats with potential policy implications. First, the two agendas differ in their relative emphasis on the coverage of both banks and nonbanks. The G20/FSB focus, at least over the near-term, is bank-centric compared with the Dodd-Frank Act, which consistently addresses both bank and nonbank financial firms. Second, implementation of Dodd-Frank Act provisions is subject to long-established U.S. law mandating that there be sufficient opportunity for public input into the rulemaking process, whereas the G20/FSB process has been less systematic and transparent on public consultation and feedback. The lesser emphasis on transparency and public input characterizing the G20/FSB policy development process may be attributable in part to the somewhat more rapid pace of the G20/FSB agenda relative to corresponding Dodd-Frank Act timelines. These observations may be relevant to the current debate over the speed and scope of Dodd-Frank Act implementation measures, and to the discussion about the future international competitiveness of U.S. banks and nonbank financial firms. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1024/ifdp1024.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1257259&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1024/ifdp1024.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AU - Wongswan, Jon AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - U.S. international equity investment and past prospective returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1016 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235429; Keywords: Investments, Foreign; Portfolio management; Publication Type: Working Paper; Update Code: 201106 N2 - Counter to extant stylized facts, using newly available data on country allocations in U.S. investors' foreign equity portfolios we find that (i) U.S. investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) U.S. investors increase portfolio weights on a country's equity market just prior to its strong performance, behavior inconsistent with an informational disadvantage. Over the past two decades, U.S. investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1016/ifdp1016.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235429&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1016/ifdp1016.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meisenzahl, Ralf R. AD - Unlisted T1 - Verifying the state of financing constraints: evidence from U.S. business credit contracts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-04 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155543; Publication Type: Working Paper; Update Code: 201103 N2 - Which of the strategies for financing constraints in economic models is the most empirically plausible? This paper tests two commonly used models of financing constraints, costly state verification (Townsend, 1979) and moral hazard (Holmstrom and Tirole, 1997), using a comprehensive data set of US small business credit contracts. The data include detailed information about the business, its owner, bank balance sheet information, and the terms of credit. In line with the predictions of models of financing constraints, I find that an additional dollar of net worth accounts for about 30 cents of external finance. More than two thirds of the business credit contracts can be rationalized by one period debt contracts with costly state verification. The parameter values obtained in the costly state verification model imply bankruptcy costs of 28% of expected output and a rate of return ranging between 5% and 8% annually, which are consistent with studies on bankruptcy incidences and returns to entrepreneurial investment. The moral hazard model, however, performs poorly. The correlation between model implied interest rates and actual interest rates paid is close to zero because the bank variables emphasized by this model do not explain loan interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2011/201104/201104pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155543&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201104/201104pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Demiralp, Selva AD - Unlisted AD - Unlisted T1 - Volatility, money market rates, and the transmission of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-22 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235419; Keywords: Transmission mechanism (Monetary policy); Interest rates; Federal funds market (United States); Publication Type: Working Paper; Update Code: 201106 N2 - Central banks typically control an overnight interest rate as their policy tool, and the transmission of monetary policy happens through the relationship of this overnight rate to the rest of the yield curve. The expectations hypothesis, that longer-term rates should equal expected future short-term rates plus a term premium, provides the typical framework for understanding this relationship. We explore the effect of volatility in the federal funds market on the expectations hypothesis in money markets. We present two major results. First, the expectations hypothesis is likely to be rejected in money markets if the realized federal funds rate is studied instead of an appropriate measure of the expected federal funds rate. Second, we find that lower volatility in the bank funding markets market, all else equal, leads to a lower term premium and thus longer-term rates for a given setting of the overnight rate. The results appear to hold for the US as well as the Euro Area and the UK. The results have implications for the design of operational frameworks for the implementation of monetary policy and for the interpretation of the changes in the Libor-OIS spread during the financial crisis. We also demonstrate that the expectations hypothesis is more likely to hold the more closely linked the short- and long-term interest rates are. L3 - http://www.federalreserve.gov/pubs/feds/2011/201122/201122pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235419&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201122/201122pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AU - Figura, Andrew AD - Unlisted AD - Unlisted T1 - What drives matching efficiency? a tale of composition and dispersion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2011-10 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235407; Keywords: Labor market; Unemployment; Employment (Economic theory); Publication Type: Working Paper; Update Code: 201106 N2 - This paper presents a framework to study movements in the matching efficiency of the labor market and highlights two observable factors affecting matching efficiency: (i) unemployment composition and (ii) dispersion in labor market conditions, the fact that tight labor markets coexist with slack ones. Using CPS micro data over 1976-2009, we find that composition is responsible for most of the movements in matching efficiency until 2006. In 2008-2009, only forty percent of an exceptionally low matching efficiency can be attributed to composition. New highly disaggregated data on vacancies and unemployment show that the unexplained decline in matching efficiency coincides with an increase in dispersion. L3 - http://www.federalreserve.gov/pubs/feds/2011/201110/201110pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235407&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2011/201110/201110pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - di Mauro, Filippo AU - Schnatz, Bernd AU - Zorell, Nico AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Where are global and U.S. trade heading in the aftermath of the trade collapse: issues and alternative scenarios PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1017 Y1 - 2011/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1235430; Publication Type: Working Paper; Update Code: 201106 N2 - Global and U.S. trade declined dramatically in the wake of the global financial crisis in late 2008 and early 2009. The subsequent recovery in trade, while vigorous at first, gradually lost momentum in 2010. Against this backdrop, this paper explores the prospects for global and U.S. trade in the medium term. We develop a unified empirical framework--an error correction model--that exploits the cointegrating relationship between trade and economic activity. The model allows us to juxtapose several scenarios with different assumptions about the strength of GDP growth going forward and the relationship between trade and economic activity. Our analysis suggests that during the crisis both world trade and U.S. exports declined significantly more than would have been expected on the basis of historical relationships with economic activity. Moreover, this gap between actual and equilibrium trade is closing only slowly and could persist for some time to come. L3 - http://www.federalreserve.gov/pubs/ifdp/2011/1017/ifdp1017.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1235430&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2011/1017/ifdp1017.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - FRANCIS, WILLIAM B. AU - OSBORNE, MATTHEW T1 - On the Behavior and Determinants of Risk-Based Capital Ratios: Revisiting the Evidence from UK Banking Institutions On the Behavior and Determinants of Risk-Based Capital Ratios: Revisiting the Evidence from UK Banking Institutions On the Behavior and Determinants of Risk-Based Capital Ratios JO - International Review of Finance JF - International Review of Finance Y1 - 2010/12// VL - 10 IS - 4 M3 - Article SP - 485 EP - 518 PB - Wiley-Blackwell SN - 1369412X AB - Using bank-level panel data from the United Kingdom, this paper investigates the factors that influence banks' choice of risk-based capital ratios. The study focuses on evaluating the role of regulatory capital requirements. Findings indicate that such requirements, even when not binding, affect banks' capital management practices and suggest that banks maintain targeted buffers above regulatory thresholds. That behavior differs across several dimensions, including bank size, nearness to regulatory minimum, reliance on core (equity) capital and exposure to market discipline. Capital ratios also vary over the economic cycle. These findings have implications for the ongoing review of international capital standards. [ABSTRACT FROM AUTHOR] AB - Copyright of International Review of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BEHAVIORAL economics KW - BANKING industry KW - CAPITAL requirements KW - FINANCIAL risk KW - DATA analysis KW - CAPITAL KW - MANAGEMENT KW - BUSINESS enterprises -- Size KW - GREAT Britain N1 - Accession Number: 55203385; FRANCIS, WILLIAM B. 1; OSBORNE, MATTHEW 2; Affiliations: 1: Division of Banking Supervision and Regulation, Board of Governors of the Federal Reserve System, Washington, DC; 2: Economics of Financial Regulation Department, Financial Services Authority, London, UK; Issue Info: Dec2010, Vol. 10 Issue 4, p485; Thesaurus Term: BEHAVIORAL economics; Thesaurus Term: BANKING industry; Thesaurus Term: CAPITAL requirements; Thesaurus Term: FINANCIAL risk; Thesaurus Term: DATA analysis; Thesaurus Term: CAPITAL; Thesaurus Term: MANAGEMENT; Thesaurus Term: BUSINESS enterprises -- Size; Subject: GREAT Britain; Number of Pages: 34p; Document Type: Article L3 - 10.1111/j.1468-2443.2010.01112.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=55203385&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph W. AU - Kamin, Steven B. T1 - Fiscal Positions and Government Bond Yields in OECD Countries. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2010/12// IS - 1011/1012 M3 - Article SP - 1 EP - 40 AB - We examine the impact of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the OECD. In order to control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal performance on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions associated with the recent financial crisis is to add about 60 basis points to U.S. bond yields by 2015, with effects on other G7 bond yields generally being smaller. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BONDS (Finance) KW - FINANCIAL crises KW - BUSINESS cycles KW - FISCAL policy KW - OECD countries KW - UNITED States KW - Fiscal Balances KW - Fiscal Policy KW - Government Debt KW - Interest Rates N1 - Accession Number: 61263255; Gruber, Joseph W. 1; Email Address: joseph.w.gruber@frb.gov; Kamin, Steven B. 2; Email Address: steven.kamin@frb.gov; Affiliations: 1: Section Chief, Trade & Quantitative Studies, Board of Governors of the Federal Reserve System, Washington DC 20551, U. S. A.; 2: Deputy Director, Trade & Quantitative Studies, Board of Governors of the Federal Reserve System, Washington DC 20551, U. S. A.; Issue Info: Dec2010, Issue 1011/1012, preceding p1; Thesaurus Term: BONDS (Finance); Thesaurus Term: FINANCIAL crises; Thesaurus Term: BUSINESS cycles; Thesaurus Term: FISCAL policy; Subject: OECD countries; Subject: UNITED States; Author-Supplied Keyword: Fiscal Balances; Author-Supplied Keyword: Fiscal Policy; Author-Supplied Keyword: Government Debt; Author-Supplied Keyword: Interest Rates; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 42p; Illustrations: 12 Charts, 9 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=61263255&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2010-25130-004 AN - 2010-25130-004 AU - Love, David A. AU - Smith, Paul A. T1 - Does health affect portfolio choice? JF - Health Economics JO - Health Economics JA - Health Econ Y1 - 2010/12// VL - 19 IS - 12 SP - 1441 EP - 1460 CY - US PB - John Wiley & Sons SN - 1057-9230 SN - 1099-1050 AD - Smith, Paul A., Federal Reserve Board, Mail Stop 97, 20th & C St, NW, Washington, DC, US, 20551 N1 - Accession Number: 2010-25130-004. PMID: 19937612 Partial author list: First Author & Affiliation: Love, David A.; Department of Economics, Williams College, Williamstown, MA, US. Release Date: 20110321. Correction Date: 20130114. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Print. Document Type: Journal Article. Language: English. Major Descriptor: Choice Behavior; Finance; Health. Classification: Personality Traits & Processes (3120). Population: Human (10). Location: US. Age Group: Adulthood (18 yrs & older) (300); Middle Age (40-64 yrs) (360); Aged (65 yrs & older) (380). Methodology: Empirical Study; Longitudinal Study; Interview; Quantitative Study. References Available: Y. Page Count: 20. Issue Publication Date: Dec, 2010. Publication History: First Posted Date: Nov 20, 2009; Accepted Date: Sep 29, 2009; Revised Date: Sep 22, 2009; First Submitted Date: Sep 30, 2008. Copyright Statement: John Wiley & Sons, Ltd. 2009. AB - A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled for, can induce significant bias in the estimates of asset demand equations. Using the 1992–2006 waves of the Health and Retirement Study, we investigate how much of the connection between health and portfolio choice is causal and how much is due to the effects of unobserved heterogeneity. Accounting for unobserved heterogeneity with fixed effects and correlated random effects models, we find that health does not appear to significantly affect portfolio choice among single households. For married households, we find a small effect (about 2–3 percentage points) from being in the lowest of five self-reported health categories. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - health KW - portfolio choice KW - 2010 KW - Choice Behavior KW - Finance KW - Health KW - 2010 DO - 10.1002/hec.1562 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2010-25130-004&site=ehost-live&scope=site UR - paul.a.smith@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Rezende, Marcelo T1 - The effects of accountability on higher education JO - Economics of Education Review JF - Economics of Education Review Y1 - 2010/10// VL - 29 IS - 5 M3 - Article SP - 842 EP - 856 SN - 02727757 AB - Abstract: This paper analyzes the effects of a higher education accountability system in Brazil. For each discipline, colleges were assigned a grade that depended on the scores of their students on the ENC, an annual mandatory exam. These grades were then disclosed to the public and colleges were rewarded or penalized based on them. I find that the ENC had a positive effect on the education and the proportion of full-time faculty and that it increased the number of vacancies offered, applicants and enrollments. Colleges were affected differently depending on grades, ownership and academic organization, changing the distribution of students among them. [ABSTRACT FROM AUTHOR] AB - Copyright of Economics of Education Review is the property of Pergamon Press - An Imprint of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EDUCATIONAL accountability KW - HIGHER education KW - SCHOOL enrollment KW - UNIVERSITIES & colleges -- Curricula KW - GRADING & marking (Students) KW - TEST scoring KW - EDUCATIONAL psychology KW - BRAZIL KW - Economic impact KW - Educational economics KW - I20 N1 - Accession Number: 52877366; Rezende, Marcelo 1; Email Address: marcelo.rezende@frb.gov; Affiliation: 1: Board of Governors of the Federal Reserve System, 20th and Constitution Avenue NW, Washington, DC 20551, USA; Source Info: Oct2010, Vol. 29 Issue 5, p842; Subject Term: EDUCATIONAL accountability; Subject Term: HIGHER education; Subject Term: SCHOOL enrollment; Subject Term: UNIVERSITIES & colleges -- Curricula; Subject Term: GRADING & marking (Students); Subject Term: TEST scoring; Subject Term: EDUCATIONAL psychology; Subject Term: BRAZIL; Author-Supplied Keyword: Economic impact; Author-Supplied Keyword: Educational economics; Author-Supplied Keyword: I20; NAICS/Industry Codes: 611710 Educational Support Services; NAICS/Industry Codes: 611310 Colleges, Universities, and Professional Schools; Number of Pages: 15p; Document Type: Article L3 - 10.1016/j.econedurev.2010.03.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=52877366&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Klee, Elizabeth T1 - Operational outages and aggregate uncertainty in the federal funds market JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2010/10// VL - 34 IS - 10 M3 - Article SP - 2386 EP - 2402 SN - 03784266 AB - Abstract: This paper uses operational problems at depository institutions in sending Fedwire payments as a proxy for aggregate uncertainty in end-of-day Fed account positions and then examines funds market behavior on those days. The results suggest that increased uncertainty is associated with a deviation of the federal funds rate from the Federal Open Market Committee’s (FOMC’s) target rate; the magnitude depends on the severity of the difficulty, the payment volume of the affected participant, and the time of day. The intraday standard deviation of the federal funds rate is also affected by operational outages. Moreover, extensions to Fedwire are more likely on days with possible outages, and discount window borrowing picks up on these days as well. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL funds market (U.S.) KW - PAYMENT systems KW - MONETARY policy KW - OPEN market operations KW - STANDARD deviations KW - UNCERTAINTY (Information theory) KW - UNITED States KW - Discount window KW - Federal funds market KW - Monetary policy implementation KW - Payment systems KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 52825894; Klee, Elizabeth 1; Email Address: elizabeth.klee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, United States; Issue Info: Oct2010, Vol. 34 Issue 10, p2386; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: PAYMENT systems; Thesaurus Term: MONETARY policy; Thesaurus Term: OPEN market operations; Thesaurus Term: STANDARD deviations; Thesaurus Term: UNCERTAINTY (Information theory); Subject: UNITED States; Author-Supplied Keyword: Discount window; Author-Supplied Keyword: Federal funds market; Author-Supplied Keyword: Monetary policy implementation; Author-Supplied Keyword: Payment systems ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jbankfin.2010.03.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=52825894&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - JOHNSON, KATHLEEN W. AU - LI, GENG T1 - The Debt-Payment-to-Income Ratio as an Indicator of Borrowing Constraints: Evidence from Two Household Surveys. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2010/10// VL - 42 IS - 7 M3 - Article SP - 1373 EP - 1390 PB - Wiley-Blackwell SN - 00222879 AB - Liquidity constraints have been proposed as an important explanation for deviations from the rational expectations/permanent income hypothesis. This paper introduces to the liquidity constraint literature the ratio of a household's debt payments to its disposable personal income, the debt service ratio (DSR). We find that a household with a high DSR is significantly more likely to be turned down for credit than other households. Also, the consumption growth of likely constrained households, identified using the DSR along with the liquid-asset-to-income ratio, is significantly more sensitive to past income than that of other households, confirming the DSR's value in identifying constrained households. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEBT service KW - DEBT KW - CONSUMPTION (Economics) KW - DISPOSABLE income KW - CONSUMER credit KW - CREDIT KW - borrowing constraints KW - consumption smoothing KW - debt service ratio KW - E21 N1 - Accession Number: 53418367; JOHNSON, KATHLEEN W. 1; LI, GENG 2; Affiliations: 1: * Kathleen W. Johnson is a Senior Economist at the Division of Research and Statistics, Board of Governors of the Federal Reserve System ( E-mail: ).; 2: † Geng Li is an Economist at the Division of Research and Statistics, Board of Governors of the Federal Reserve System ( E-mail: ).; Issue Info: Oct2010, Vol. 42 Issue 7, p1373; Thesaurus Term: DEBT service; Thesaurus Term: DEBT; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: DISPOSABLE income; Thesaurus Term: CONSUMER credit; Thesaurus Term: CREDIT; Author-Supplied Keyword: borrowing constraints; Author-Supplied Keyword: consumption smoothing; Author-Supplied Keyword: debt service ratio; Author-Supplied Keyword: E21; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 18p; Illustrations: 8 Charts; Document Type: Article L3 - 10.1111/j.1538-4616.2010.00345.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=53418367&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ramey, Valerie A. AU - Vine, Daniel J. T1 - Oil, Automobiles, and the U.S. Economy: How Much Have Things Really Changed? JO - NBER/Macroeconomics Annual (University of Chicago Press) JF - NBER/Macroeconomics Annual (University of Chicago Press) Y1 - 2010/10// VL - 25 M3 - Article SP - 333 EP - 385 SN - 08893365 AB - The article examines how the impact of oil shocks on the U.S. economy has changed over time, particularly within the motor vehicle industry. It explores the influence of dynamic stochastic general equilibrium (DSGE) macro models on the role of oil in the economy. It discusses the role of the motor vehicle industry on the economy as well as mentions how demands for vehicles is affected by gas prices. KW - MOTOR vehicle industry KW - GAS prices -- United States KW - ECONOMIC aspects KW - PETROLEUM products -- Sales & prices -- United States KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 60906784; Ramey, Valerie A. 1; Vine, Daniel J. 2; Affiliations: 1: University of California, San Diego; 2: Board of Governors of the Federal Reserve System; Issue Info: 2010, Vol. 25, p333; Thesaurus Term: MOTOR vehicle industry; Subject Term: GAS prices -- United States; Subject Term: ECONOMIC aspects; Subject Term: PETROLEUM products -- Sales & prices -- United States; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 336211 Motor Vehicle Body Manufacturing; NAICS/Industry Codes: 423110 Automobile and Other Motor Vehicle Merchant Wholesalers; NAICS/Industry Codes: 415190 Recreational and other motor vehicles merchant wholesalers; Number of Pages: 50p; Illustrations: 2 Charts, 15 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=60906784&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - AMMER, JOHN AU - VEGA, CLARA AU - WONGSWAN, JON T1 - International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2010/09/02/Sep2010 Supplement 1 VL - 42 M3 - Article SP - 179 EP - 198 PB - Wiley-Blackwell SN - 00222879 AB - This paper analyzes intraday changes in firm-level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross-sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - STOCKS (Finance) -- Prices KW - INTEREST rates KW - INTERNATIONAL competition KW - FOREIGN exchange rates KW - ECONOMIC policy KW - 2009-2017 KW - UNITED States KW - credit channel KW - E44 KW - E52 KW - G14 KW - G15 KW - high-frequency data KW - monetary policy announcements N1 - Accession Number: 52927900; AMMER, JOHN 1; VEGA, CLARA 2; WONGSWAN, JON 3; Affiliations: 1: * John Ammer is a Senior Economist at the Division of International Finance, Board of Governors of the Federal Reserve System ( E-mail: ).; 2: † Clara Vega is a Senior Economist at the Division of International Finance, Board of Governors of the Federal Reserve System ( E-mail: ).; 3: ‡ Jon Wongswan is a Vice President at the Equity and Derivatives Trading Group, Phatra Securities Public Company Limited ( E-mail: ).; Issue Info: Sep2010 Supplement 1, Vol. 42, p179; Thesaurus Term: MONETARY policy; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: INTEREST rates; Thesaurus Term: INTERNATIONAL competition; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: ECONOMIC policy; Subject Term: 2009-2017; Subject: UNITED States; Author-Supplied Keyword: credit channel; Author-Supplied Keyword: E44; Author-Supplied Keyword: E52; Author-Supplied Keyword: G14; Author-Supplied Keyword: G15; Author-Supplied Keyword: high-frequency data; Author-Supplied Keyword: monetary policy announcements; Number of Pages: 20p; Illustrations: 6 Charts, 1 Graph; Document Type: Article L3 - 10.1111/j.1538-4616.2010.00333.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=52927900&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calem, Paul S. AU - Firestone, Simon AU - Wachter, Susan M. T1 - Credit impairment and housing tenure status JO - Journal of Housing Economics JF - Journal of Housing Economics Y1 - 2010/09// VL - 19 IS - 3 M3 - Article SP - 219 EP - 232 SN - 10511377 AB - Abstract: We revisit the relationship between financing constraints and homeownership rates using the 2004 wave of the 1979 National Longitudinal Survey of Youth. The survey respondents are a nationally representative sample of Americans 39–47years of age as of this wave. As most of the sample had been in their current residence prior to 2004, this study reflects housing tenure status decisions made prior to the recent credit expansion and subsequent crisis. Past research has emphasized wealth constraints, and income constraints as limiting homeownership. The estimation results here point to primary roles for credit impairment and lack of credit history. We also find that excluding controls for the endogeneity of wealth and income may mask the impact of credit factors. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Housing Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT KW - DECISION making KW - ESTIMATION theory KW - ECONOMIC impact KW - LAND tenure KW - LONGITUDINAL method KW - Credit constraints KW - D14 KW - Tenure choice N1 - Accession Number: 53381178; Calem, Paul S. 1; Email Address: paul.calem@frb.gov Firestone, Simon 2; Email Address: simon.b.firestone@frb.gov Wachter, Susan M. 3; Email Address: wachter@wharton.upenn.edu; Affiliation: 1: Board of Governors of the Federal Reserve System, MS 3440, Washington, DC 20551, USA 2: Board of Governors of the Federal Reserve System, MS 803, Washington, DC 20551, USA 3: Richard B. Worley Professor of Financial Management, The Wharton School, University of Pennsylvania, 3733 Spruce Street, Philadelphia PA 19104-6301, USA; Source Info: Sep2010, Vol. 19 Issue 3, p219; Subject Term: CREDIT; Subject Term: DECISION making; Subject Term: ESTIMATION theory; Subject Term: ECONOMIC impact; Subject Term: LAND tenure; Subject Term: LONGITUDINAL method; Author-Supplied Keyword: Credit constraints; Author-Supplied Keyword: D14; Author-Supplied Keyword: Tenure choice; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jhe.2010.07.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=53381178&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Judson, Ruth A. AU - Klee, Elizabeth T1 - Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years JO - Journal of Macroeconomics JF - Journal of Macroeconomics Y1 - 2010/09// VL - 32 IS - 3 M3 - Article SP - 713 EP - 731 SN - 01640704 AB - Abstract: Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the day of the maintenance period. In this paper, we examine data from 1998 to 2007, the recent period of increased Federal Reserve transparency before the financial crisis, and find that the liquidity effect stabilized across days of the maintenance period. We conclude that the liquidity effect may be a function of the uncertainty about banks’ end-of-day balances, as well as pure maintenance period effects. Moreover, we find that increased transparency led to a larger liquidity effect on the days prior to an FOMC meeting. [Copyright &y& Elsevier] AB - Copyright of Journal of Macroeconomics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIQUIDITY (Economics) KW - FEDERAL funds market (U.S.) KW - FINANCIAL crises KW - OPEN market operations KW - SECURITIES markets KW - ECONOMICS -- Research KW - UNITED States KW - Federal funds market KW - Liquidity effect KW - Open market operations N1 - Accession Number: 50694643; Judson, Ruth A. 1; Email Address: rjudson@frb.gov; Klee, Elizabeth; Email Address: elizabeth.c.klee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 59, 20th and C Streets NW, Washington, DC 20551, USA; Issue Info: Sep2010, Vol. 32 Issue 3, p713; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: FINANCIAL crises; Thesaurus Term: OPEN market operations; Thesaurus Term: SECURITIES markets; Thesaurus Term: ECONOMICS -- Research; Subject: UNITED States; Author-Supplied Keyword: Federal funds market; Author-Supplied Keyword: Liquidity effect; Author-Supplied Keyword: Open market operations; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jmacro.2010.01.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=50694643&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brennan, Michael J. AU - Wang, Ashley W. T1 - The Mispricing Return Premium. JO - Review of Financial Studies JF - Review of Financial Studies Y1 - 2010/09// VL - 23 IS - 9 M3 - Article SP - 3437 EP - 3468 SN - 08939454 AB - We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk-adjusted returns. [ABSTRACT FROM PUBLISHER] AB - Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKS (Finance) -- Prices KW - STOCKS (Finance) KW - CAPITAL assets pricing model KW - FINANCE -- Mathematical models KW - VOLATILITY (Finance) KW - KALMAN filtering N1 - Accession Number: 53442768; Brennan, Michael J. 1; Wang, Ashley W. 2; Affiliations: 1: Anderson School at UCLA and Manchester University; 2: Board of Governors of the Federal Reserve System; Issue Info: Sep2010, Vol. 23 Issue 9, p3437; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: STOCKS (Finance); Thesaurus Term: CAPITAL assets pricing model; Thesaurus Term: FINANCE -- Mathematical models; Thesaurus Term: VOLATILITY (Finance); Subject Term: KALMAN filtering; Number of Pages: 32p; Illustrations: 7 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=53442768&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Aaronson, Stephanie AU - Figura, Andrew T1 - HOW BIASED ARE MEASURES OF CYCLICAL MOVEMENTS IN PRODUCTIVITY AND HOURS? JO - Review of Income & Wealth JF - Review of Income & Wealth Y1 - 2010/09// VL - 56 IS - 3 M3 - Article SP - 539 EP - 558 PB - Wiley-Blackwell SN - 00346586 AB - The movement of hours worked over the business cycle is an important input into the estimation of many key parameters in macroeconomics. Unfortunately, the available data on hours do not correspond precisely to the concept required for accurate inference. We study one source of mismeasurement—that the most commonly used source data measure hours paid instead of hours worked. In particular, we focus our attention on salaried workers, a group for whom the gap between hours paid and hours worked is likely to be large. We show that the measurement gap varies significantly and positively with changes in labor demand. As a result, we estimate that the standard deviations of the workweek and of total hours worked are 27 and 5 percent larger, respectively, than published measures of hours suggest. We also find that this measurement gap is unlikely to be the source of the acceleration in published measures of productivity in the early 2000s. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Income & Wealth is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - MACROECONOMICS KW - PRODUCTIVITY accounting KW - ACCELERATION principle (Economics) KW - LABOR demand KW - WAGES & labor productivity KW - INCOME distribution KW - LABOR costs KW - LABOR market N1 - Accession Number: 52902924; Aaronson, Stephanie 1; Figura, Andrew 1; Email Address: Andrew.Figura@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System 20th & C Streets, NW Washington DC 20551, USA; Issue Info: Sep2010, Vol. 56 Issue 3, p539; Thesaurus Term: BUSINESS cycles; Thesaurus Term: MACROECONOMICS; Thesaurus Term: PRODUCTIVITY accounting; Thesaurus Term: ACCELERATION principle (Economics); Thesaurus Term: LABOR demand; Thesaurus Term: WAGES & labor productivity; Thesaurus Term: INCOME distribution; Thesaurus Term: LABOR costs; Thesaurus Term: LABOR market; Number of Pages: 20p; Document Type: Article L3 - 10.1111/j.1475-4991.2010.00401.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=52902924&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - An Analysis of Government Guarantees and the Functioning of Asset-Backed Securities Markets. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/09// M3 - Article SP - 1 EP - 33 AB - Mortgage securitization has been tried several times in the United States and each time it has failed amid a credit bust. In what is now a familiar recurring history, during the credit boom, underwriting standards are violated and guarantees are inadequately funded; subsequently, defaults increase and investors in mortgage-backed securities attempt to dump their investments. We focus on a specific market failure that is associated with asset-backed securitization and propose a tailored government remedy. Our analysis of loan market equilibriums shows that the additional liquidity provided by securitization may (or may not) lower primary loan rates, but such liquidity comes at a cost. More specifically, if guarantee-sensitive investors doubt the credit quality of asset-backed bonds, significant risk premiums can develop. If a financial crisis ensues, securitization can disappear from the market entirely, leaving banks that originate just the highest quality loans as the only source of credit. This abrupt increase in lending standards can tighten credit, exacerbate asset price declines, and impinge on economic growth. We argue that an institutional structure for stemming "runs," analogous to the current set up for the Federal Deposit Insurance Corporation, could be deployed to insure pre-specified asset backed instruments. Such an insurer would likely benefit from the accumulated information and infrastructure that is embodied in the Fannie Mae and Freddie Mac organizations. Hence, the provision of federally-backed catastrophic insurance on pre-specified asset-backed instruments provided at risk-based premiums could provide a rationale for restructuring the housing-related GSEs towards a public purpose. Regardless of its institutional structure, a federally-backed catastrophic bond insurer would provide greater financial stability and ensure that credit is provided at reasonable cost both in times of prosperity and during downturns. Moreover, the explicit pricing of the government-backed guarantee would mitigate the market distortions that have been created by implicit government guarantees during prosperity. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSET-backed financing KW - RESEARCH KW - SURETYSHIP & guaranty KW - MORTGAGE-backed securities KW - EQUILIBRIUM (Economics) KW - CAPITALISTS & financiers KW - INVESTMENTS KW - SECURITY measures KW - UNITED States N1 - Accession Number: 54377617; Hancock, Diana 1; Passmore, Wayne 1; Affiliations: 1: Division of Research/Statistics at the Board of Governors of the Federal Reserve System, U.S.A.; Issue Info: 2010, p1; Thesaurus Term: ASSET-backed financing; Thesaurus Term: RESEARCH; Thesaurus Term: SURETYSHIP & guaranty; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: INVESTMENTS; Subject Term: SECURITY measures; Subject: UNITED States; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 42p; Illustrations: 7 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54377617&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCabe, Patrick E. T1 - The Cross Section of Money Market Fund Risks and Financial Crises. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/09// M3 - Article SP - 1 EP - A-5 AB - This paper examines the relationship between money market fund (MMF) risks and outcomes during crises, with a focus on the ABCP crisis in 2007 and the run on money funds in 2008. I analyze three broad types of MMF risks: portfolio risks arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on MMFs in September and October 2008, outflows were larger for MMFs that had previously exhibited greater degrees of all three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered capital losses, but investor flows were relatively unresponsive to risks, probably because investors correctly believed that sponsors would absorb the losses. However, the consequences of MMF risks were quite costly for some sponsors: Using a unique data set of sponsor interventions, I show that sponsor financial support was more likely for MMFs that previously earned higher gross yields (a measure of portfolio risk) and funds with bank-affiliated sponsors. Funds' gross yields and bank affiliation (but not funds' ratings) also would have helped forecast holdings of distressed ABCP. This paper provides some useful lessons for investors and policymakers. The significance of MMF risks in predicting poor outcomes in past crises highlights the importance of monitoring such risks, and I offer some useful proxies for doing so. The paper also argues for greater attention to the systemic risks posed by the industry's reliance on discretionary sponsor support. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY market funds KW - FINANCIAL crises KW - FINANCIAL risk KW - INVESTMENTS KW - CAPITALISTS & financiers KW - CROSS-sectional method N1 - Accession Number: 54377660; McCabe, Patrick E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, U.S.A.; Issue Info: 2010, p1; Thesaurus Term: MONEY market funds; Thesaurus Term: FINANCIAL crises; Thesaurus Term: FINANCIAL risk; Thesaurus Term: INVESTMENTS; Thesaurus Term: CAPITALISTS & financiers; Subject Term: CROSS-sectional method; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 526914 Money market funds; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 525990 Other Financial Vehicles; Number of Pages: 63p; Illustrations: 13 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54377660&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edge, Rochelle M. AU - GÜrkaynak, Refet S. T1 - How Useful Are Estimated DSGE Model Forecasts for Central Bankers? JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2010///Fall2010 IS - 2 M3 - Article SP - 209 EP - 259 PB - Brookings Institution Press SN - 00072303 AB - Dynamic stochastic general equilibrium (DSGE) models are a prominent tool for forecasting at central banks, and the competitive forecasting performance of these models relative to alternatives, including official forecasts, has been documented. When evaluating DSGE models on an absolute basis, however, we find that the benchmark estimated mediumscale DSGE model forecasts inflation and GDP growth very poorly, although statistical and judgmental forecasts do equally poorly. Our finding is the DSGE model analogue of the literature documenting the recent poor performance of macroeconomic forecasts relative to simple naive forecasts since the onset of the Great Moderation. Although this finding is broadly consistent with the DSGE model we employ—the model itself implies that especially under strong monetary policy, inflation deviations should be unpredictable—a “wrong” model may also have the same implication. We therefore argue that forecasting ability during the Great Moderation is not a good metric by which to judge models. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting -- Mathematical models KW - RATIONAL expectations (Economic theory) KW - CENTRAL banking industry KW - INFLATION (Finance) -- Mathematical models KW - GROSS domestic product KW - ACCOUNTING KW - MACROECONOMICS KW - RECESSIONS KW - RESEARCH KW - STOCHASTIC approximation N1 - Accession Number: 59669941; Edge, Rochelle M. 1; GÜrkaynak, Refet S. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Bilkent University, USA; Issue Info: Fall2010, Issue 2, p209; Thesaurus Term: ECONOMIC forecasting -- Mathematical models; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: INFLATION (Finance) -- Mathematical models; Thesaurus Term: GROSS domestic product; Thesaurus Term: ACCOUNTING; Thesaurus Term: MACROECONOMICS; Thesaurus Term: RECESSIONS; Thesaurus Term: RESEARCH; Subject Term: STOCHASTIC approximation; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 51p; Illustrations: 5 Charts, 10 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=59669941&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hjalmarsson, Erik AU - Österholm, Pär T1 - Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies. JO - Empirical Economics JF - Empirical Economics Y1 - 2010/08// VL - 39 IS - 1 M3 - Article SP - 51 EP - 76 PB - Springer Science & Business Media B.V. SN - 03777332 AB - We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988; Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. We suggest ways of identifying the problem and different approaches to reduce the size distortions of the tests. [ABSTRACT FROM AUTHOR] AB - Copyright of Empirical Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COINTEGRATION KW - MONTE Carlo method KW - STATISTICS KW - MATHEMATICAL economics KW - SAMPLING (Statistics) KW - PROBABILITY theory KW - TEST theory KW - INSTRUMENTAL variables (Statistics) KW - EXAMINATION item analysis KW - C12 KW - C15 KW - C32 KW - Cointegration KW - Near unit root KW - Spurious rejection N1 - Accession Number: 52057808; Hjalmarsson, Erik 1; Email Address: erik.hjalmarsson@frb.gov; Österholm, Pär 2; Email Address: par.osterholm@konj.se; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington 20551 USA; 2: National Institute of Economic Research, 103 62 Stockholm Sweden; Issue Info: Aug2010, Vol. 39 Issue 1, p51; Thesaurus Term: COINTEGRATION; Thesaurus Term: MONTE Carlo method; Thesaurus Term: STATISTICS; Thesaurus Term: MATHEMATICAL economics; Thesaurus Term: SAMPLING (Statistics); Thesaurus Term: PROBABILITY theory; Subject Term: TEST theory; Subject Term: INSTRUMENTAL variables (Statistics); Subject Term: EXAMINATION item analysis; Author-Supplied Keyword: C12; Author-Supplied Keyword: C15; Author-Supplied Keyword: C32; Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Near unit root; Author-Supplied Keyword: Spurious rejection; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 26p; Illustrations: 6 Charts, 8 Graphs; Document Type: Article L3 - 10.1007/s00181-009-0294-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=52057808&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cai, Beilei AU - Cameron, Trudy AU - Gerdes, Geoffrey T1 - Distributional Preferences and the Incidence of Costs and Benefits in Climate Change Policy. JO - Environmental & Resource Economics JF - Environmental & Resource Economics Y1 - 2010/08// VL - 46 IS - 4 M3 - Article SP - 429 EP - 458 PB - Springer Science & Business Media B.V. SN - 09246460 AB - We explore the relationship between willingness to pay (WTP) for climate change mitigation and distributional preferences, by which we mean individuals’ opinions about who should be responsible for climate change prevention and whether the share of climate change impacts borne by the poor is a cause for concern. We use 1,770 responses to an online stated preference survey. The domestic costs in our survey’s policy choice scenarios are expressed as a set of randomized shares across four different payment vehicles, and the international cost shares are randomized across four groups of countries. We also elicit respondents’ perceptions of the likely regressivity of climate change impacts under a policy of business-as-usual. WTP is higher when larger cost shares are borne by parties deemed to bear a greater responsibility for mitigation, and when respondents believe (and care) that the impacts of climate change may be borne disproportionately by the world’s poor. That WTP for an environmental policy depends on the distributional consequences of the policy is an unsettling result: efficiency assessments are typically assumed to be separate from equity considerations in most benefit-cost analyses. [ABSTRACT FROM AUTHOR] AB - Copyright of Environmental & Resource Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Climate change mitigation KW - Environmental policy KW - Cost effectiveness KW - Willingness to pay KW - Climatic changes -- Social aspects KW - Equity KW - Test validity KW - C35 KW - Climate change KW - Construct validity KW - Distributional preferences KW - H41 KW - Payment vehicle KW - Q51 KW - Regressivity KW - Stated preference N1 - Accession Number: 52196267; Cai, Beilei 1; Cameron, Trudy 1; Email Address: cameron@uoregon.edu; Gerdes, Geoffrey 2; Affiliations: 1: Department of Economics, 435 PLC, 1285 University of Oregon, Eugene 97403-1285 USA; 2: Payment System Studies, Board of Governors of the Federal Reserve System, Washington USA; Issue Info: Aug2010, Vol. 46 Issue 4, p429; Thesaurus Term: Climate change mitigation; Thesaurus Term: Environmental policy; Thesaurus Term: Cost effectiveness; Subject Term: Willingness to pay; Subject Term: Climatic changes -- Social aspects; Subject Term: Equity; Subject Term: Test validity; Author-Supplied Keyword: C35; Author-Supplied Keyword: Climate change; Author-Supplied Keyword: Construct validity; Author-Supplied Keyword: Distributional preferences; Author-Supplied Keyword: H41; Author-Supplied Keyword: Payment vehicle; Author-Supplied Keyword: Q51; Author-Supplied Keyword: Regressivity; Author-Supplied Keyword: Stated preference; NAICS/Industry Codes: 924110 Administration of Air and Water Resource and Solid Waste Management Programs; NAICS/Industry Codes: 912910 Other provincial and territorial public administration; Number of Pages: 30p; Illustrations: 5 Charts; Document Type: Article L3 - 10.1007/s10640-010-9348-7 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=52196267&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Carpenter, Seth B. AU - Demiralp, Selva T1 - Money, Reserves, and the Transmission of Monetary Policy: Does the Money Multiplier Exist? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/08// M3 - Article SP - 1 EP - 38 AB - With the use of nontraditional policy tools, the level of reserve balances has risen significantly in the United States since 2007. Before the financial crisis, reserve balances were roughly $20 billion whereas the level has risen well past $1 trillion. The effect of reserve balances in simple macro-economic models often comes through the money multiplier, affecting the money supply and the amount of bank lending in the economy. Most models currently used for macro-economic policy analysis, however, either exclude money or model money demand as entirely endogenous, thus precluding any causal role for reserves and money. Nevertheless, some academic research and many textbooks continue to use the money multiplier concept in discussions of money. We explore the institutional structure of the transmission mechanism beginning with open market operations through to money and loans. We then undertake empirical analysis of the relationship among reserve balances, money, and bank lending. We use aggregate as well as bank-level data in a VAR framework and document that the mechanism does not work through the standard multiplier model or the bank lending channel. In particular, if the level of reserve balances is expected to have an impact on the economy, it seems unlikely that a standard multiplier story will explain the effect. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MULTIPLIER (Economics) KW - FINANCIAL crises KW - TRANSMISSION mechanism (Monetary policy) KW - UNITED States -- Economic conditions -- 21st century KW - UNITED States KW - lending channel KW - Monetary transmission mechanism KW - money multiplier N1 - Accession Number: 54378211; Carpenter, Seth B. 1; Email Address: scarpenter@frb.gov; Demiralp, Selva 2; Email Address: sdemiralp@ku.edu.tr; Affiliations: 1: Division of Monetary Affairs Board of Governors of the Federal Reserve System 20th Street and Constitution Avenue NW, Washington, DC 20551, U.S.A.; 2: Department of Economics Koc University Rumeli Feneri Yolu Sariyer, Istanbul 34450, Turkey; Issue Info: 2010, p1; Thesaurus Term: MULTIPLIER (Economics); Thesaurus Term: FINANCIAL crises; Subject Term: TRANSMISSION mechanism (Monetary policy); Subject Term: UNITED States -- Economic conditions -- 21st century; Subject: UNITED States; Author-Supplied Keyword: lending channel; Author-Supplied Keyword: Monetary transmission mechanism; Author-Supplied Keyword: money multiplier; Number of Pages: 58p; Illustrations: 5 Charts, 13 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54378211&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mertens, Elmar T1 - Structural shocks and the comovements between output and interest rates JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2010/06// VL - 34 IS - 6 M3 - Article SP - 1171 EP - 1186 SN - 01651889 AB - Abstract: Stylized facts on U.S. output and interest rates have so far proved hard to match with simple DSGE models. I estimate covariances between output, nominal and real interest rate conditional on structural shocks, since such evidence has largely been lacking in previous discussions of the output-interest rate puzzle. Conditional on shocks to technology and monetary policy, the results square with simple models. Moreover, permanent inflation shocks accounted for the counter-cyclical and inversely leading behavior of the real rate during the Great Inflation (1959–1979). Over the Great Moderation (1982–2006), technology shocks were more dominant and the real rate has been pro-cyclical. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - PRODUCTION (Economic theory) KW - ECONOMICS -- Mathematical models KW - BUSINESS cycles KW - MONETARY policy KW - TECHNOLOGY KW - REGRESSION analysis KW - INFLATION (Finance) KW - BANDPASS filters KW - LAW & legislation KW - UNITED States KW - Bandpass filter KW - Business cycles KW - Interest rates KW - News shocks KW - Structural VAR N1 - Accession Number: 49816078; Mertens, Elmar 1; Email Address: em@elmarmertens.com; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC 20551, USA; Issue Info: Jun2010, Vol. 34 Issue 6, p1171; Thesaurus Term: INTEREST rates; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: BUSINESS cycles; Thesaurus Term: MONETARY policy; Thesaurus Term: TECHNOLOGY; Thesaurus Term: REGRESSION analysis; Thesaurus Term: INFLATION (Finance); Subject Term: BANDPASS filters; Subject Term: LAW & legislation; Subject: UNITED States; Author-Supplied Keyword: Bandpass filter; Author-Supplied Keyword: Business cycles; Author-Supplied Keyword: Interest rates; Author-Supplied Keyword: News shocks; Author-Supplied Keyword: Structural VAR; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jedc.2010.02.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49816078&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - Exports, Borders, Distance, and Plant Size. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/06// M3 - Article SP - 1 EP - 22 AB - The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. We examine this fact using Census micro data on plant shipments from the Commodity Flow Survey. We show the fact is not entirely an international trade phenomenon; part of it can be accounted for by the effect of distance, distinct from any border effect. Export destinations tend to be further than domestic destinations, and large plants tend to ship further distances even to domestic locations, as compared with small plants. We develop an extension of the Melitz (2003) model and use it to set up an analysis with model interpretations of ratios between large plant and small plant shipments that can be calculated with the data. We obtain a decomposition of the overall ratio into a term that varies with distance, holding fixed the border, and a term that varies with the border, holding fixed the distance. The distance term accounts for more than half of the overall difference. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FACTORIES KW - INTERNATIONAL trade KW - EXPORTS KW - INTERNATIONAL cooperation KW - SHIPMENT of goods KW - HOME economics N1 - Accession Number: 54378156; Holmes, Thomas J. 1; Stevens, John J. 2; Affiliations: 1: Federal Reserve Bank of Minneapolis, and NBER, U.S.A.; 2: Board of Governors of the Federal Reserve System, U.S.A.; Issue Info: 2010, p1; Thesaurus Term: FACTORIES; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: EXPORTS; Thesaurus Term: INTERNATIONAL cooperation; Thesaurus Term: SHIPMENT of goods; Subject Term: HOME economics; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 31p; Illustrations: 6 Charts, 1 Map; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54378156&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bodenstein, Martin T1 - Trade elasticity of substitution and equilibrium dynamics JO - Journal of Economic Theory JF - Journal of Economic Theory Y1 - 2010/05// VL - 145 IS - 3 M3 - Article SP - 1033 EP - 1059 SN - 00220531 AB - Abstract: The empirical literature provides a wide range of estimates for trade elasticities at the aggregate level. Recent contributions in international macroeconomics suggest that low (implied) values of the trade elasticity may play an important role in understanding the disconnect between international prices and real variables. However, a standard model of the international business cycle displays multiple locally isolated equilibria if the trade is sufficiently low. The main contribution of this paper is to compute and characterize some dynamic properties of these equilibria. In simulations, the presence of multiple equilibria is shown to imply a volatile and persistent real exchange rate. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Theory is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ELASTICITY (Economics) KW - EQUILIBRIUM (Economics) KW - FOREIGN exchange rates KW - BUSINESS cycles KW - SUBSTITUTION (Economics) KW - EMPIRICAL research KW - MACROECONOMICS KW - SIMULATION methods & models KW - International business cycle KW - Multiple equilibria KW - Real exchange rate N1 - Accession Number: 50226060; Bodenstein, Martin 1; Email Address: Martin.R.Bodenstein@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: May2010, Vol. 145 Issue 3, p1033; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: BUSINESS cycles; Thesaurus Term: SUBSTITUTION (Economics); Thesaurus Term: EMPIRICAL research; Thesaurus Term: MACROECONOMICS; Thesaurus Term: SIMULATION methods & models; Author-Supplied Keyword: International business cycle; Author-Supplied Keyword: Multiple equilibria; Author-Supplied Keyword: Real exchange rate; Number of Pages: 27p; Document Type: Article L3 - 10.1016/j.jet.2010.01.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=50226060&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - An Alternative Theory of the Plant Size Distribution With an Application to Trade. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/05// M3 - Article SP - 1 EP - 44 AB - There is wide variation in the sizes of manufacturing plants, even within the most narrowly defined industry classifications used by statistical agencies. Standard theories attribute all such size differences to productivity differences. This paper develops an alternative theory in which industries are made up of large plants producing standardized goods and small plants making custom or specialty goods. It uses confidential Census data to estimate the parameters of the model, including estimates of plant counts in the standardized and specialty segments by industry. The estimated model fits the data relatively well compared with estimates based on standard approaches. In particular, the predictions of the model for the impacts of a surge in imports from China are consistent with what happened to U.S. manufacturing industries that experienced such a surge over the period 1997-2007. Large-scale standardized plants were decimated, while small-scale specialty plants were relatively less impacted. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS KW - IMPORT credit KW - INFLATION (Finance) KW - INTERNATIONAL trade KW - INDUSTRIES KW - MANUFACTURING industries KW - UNITED States KW - CHINA N1 - Accession Number: 54375435; Holmes, Thomas J. 1; Stevens, John J. 2; Affiliations: 1: University of Minnesota, Federal Reserve Bank of Minneapolis, and NBER, U.S.A.; 2: Board of Governors of the Federal Reserve System, U.S.A.; Issue Info: 2010, p1; Thesaurus Term: ECONOMICS; Thesaurus Term: IMPORT credit; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: INDUSTRIES; Thesaurus Term: MANUFACTURING industries; Subject: UNITED States; Subject: CHINA; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 62p; Illustrations: 18 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54375435&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Boivin, Jean AU - Kiley, Michael T. AU - Mishkin, Frederic S. T1 - How Has the Monetary Transmission Mechanism Evolved Over Time? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/05// M3 - Article SP - i EP - 88 AB - We discuss the evolution in macroeconomic thought on the monetary policy transmission mechanism and present related empirical evidence. The core channels of policy transmission - the neoclassical links between short-term policy interest rates, other asset prices such as longterm interest rates, equity prices, and the exchange rate, and the consequent effects on household and business demand have remained steady from early policy-oriented models (like the Penn-MIT-SSRC MPS model) to modern dynamic-stochastic-general-equilibrium (DSGE) models. In contrast, non -neoclassical channels, such as credit-based channels, have remained outside the core models. In conjunction with this evolution in theory and modeling, there have been notable changes in policy behavior (with policy more focused on price stability) and in the reduced form correlations of policy interest rates with activity in the United States. Regulatory effects on credit provision have also changed significantly. As a result, we review the empirical evidence on the changes in the effect of monetary policy actions on real activity and inflation and present new evidence, using both a relatively unrestricted factor-augmented vector autoregression (FAVAR) and a DSGE model. Both approaches yield similar results: Monetary policy innovations have a more muted effect on real activity and inflation in recent decades as compared to the effects before 1980. Our analysis suggests that these shifts are accounted for by changes in policy behavior and the effect of these changes on expectations, leaving little role for changes in underlying private-sector behavior (outside shifts related to monetary policy changes). [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - GOVERNMENT policy KW - MARKETING channels KW - SECURITIES markets KW - ECONOMIC models KW - TRANSMISSION mechanism (Monetary policy) N1 - Accession Number: 54375419; Boivin, Jean 1,2; Kiley, Michael T. 3; Mishkin, Frederic S. 2,4; Affiliations: 1: Bank of Canada, HEC Montréal, Canada; 2: National Bureau of Economic Research, Canada; 3: Board of Governors of the Federal Reserve System, Canada; 4: Graduate School of Business, Columbia University, Canada; Issue Info: 2010, pi; Thesaurus Term: INTEREST rates; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: MARKETING channels; Thesaurus Term: SECURITIES markets; Thesaurus Term: ECONOMIC models; Subject Term: TRANSMISSION mechanism (Monetary policy); NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 91p; Illustrations: 6 Charts, 12 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54375419&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cuadra, Gabriel AU - Sanchez, Juan M. AU - Sapriza, Horacio T1 - Fiscal policy and default risk in emerging markets JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2010/04// VL - 13 IS - 2 M3 - Article SP - 452 EP - 469 SN - 10942025 AB - Abstract: Emerging market economies typically exhibit a procyclical fiscal policy: public expenditures rise (fall) in economic expansions (recessions), whereas tax rates rise (fall) in bad (good) times. Additionally, the business cycle of these economies is characterized by countercyclical default risk. In this paper we develop a quantitative dynamic stochastic small open economy model with incomplete markets, endogenous fiscal policy and sovereign default where public expenditures and tax rates are optimally procyclical. The model also accounts for the dynamics of other key macroeconomic variables in emerging economies. [Copyright &y& Elsevier] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FISCAL policy KW - EMERGING markets KW - PUBLIC spending KW - ECONOMIC expansion KW - TAX rates & tables KW - BUSINESS cycles KW - STOCHASTIC processes KW - MACROECONOMICS KW - FINANCIAL risk KW - Endogenous borrowing constraints KW - Procyclical fiscal policy KW - Sovereign default risk N1 - Accession Number: 48453095; Cuadra, Gabriel 1; Email Address: gcuadra@banxico.org.mx; Sanchez, Juan M. 2; Email Address: juan.m.sanchez@rich.frb.org; Sapriza, Horacio 3; Email Address: hsapriza@andromeda.rutgers.edu; Affiliations: 1: Dirección General de Inv. Económica, Banco de México, Mexico; 2: Federal Reserve Bank of Richmond, United States; 3: Board of Governors of the Federal Reserve System and Rutgers University, United States; Issue Info: Apr2010, Vol. 13 Issue 2, p452; Thesaurus Term: FISCAL policy; Thesaurus Term: EMERGING markets; Thesaurus Term: PUBLIC spending; Thesaurus Term: ECONOMIC expansion; Thesaurus Term: TAX rates & tables; Thesaurus Term: BUSINESS cycles; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: MACROECONOMICS; Thesaurus Term: FINANCIAL risk; Author-Supplied Keyword: Endogenous borrowing constraints; Author-Supplied Keyword: Procyclical fiscal policy; Author-Supplied Keyword: Sovereign default risk; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.red.2009.07.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=48453095&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nalewaik, Jeremy J. T1 - The Income- and Expenditure-Side Estimates of US. Output Growth. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2010///Spring2010 IS - 1 M3 - Article SP - 71 EP - 127 PB - Brookings Institution Press SN - 00072303 AB - The two official measures of U.S. economic output, gross domestic product (GDP) and gross domestic income (GDI), have shown markedly different business cycle fluctuations over the past 25 years, with GDI showing a more pronounced cycle than GDP. This paper reports a broad range of results that indicate that GDI better reflects the business cycle fluctuations in true output growth. Results on revisions to the estimates, and correlations with numerous other cyclically sensitive variables, are particularly favorable to GDI. The most recent GDI data show the 2007-09 downturn to have been considerably worse than is reflected in GDP. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC history KW - GROSS domestic product KW - BUSINESS cycles KW - UNITED States -- Economic conditions -- 2009-2017 KW - UNITED States N1 - Accession Number: 54575580; Nalewaik, Jeremy J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Spring2010, Issue 1, p71; Thesaurus Term: ECONOMIC history; Thesaurus Term: GROSS domestic product; Thesaurus Term: BUSINESS cycles; Subject Term: UNITED States -- Economic conditions -- 2009-2017; Subject: UNITED States; Number of Pages: 57p; Illustrations: 5 Charts, 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54575580&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mertens, Elmar T1 - Managing Beliefs about Monetary Policy under Discretion. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/03// M3 - Article SP - 1 EP - 70 AB - In models of monetary policy, discretionary policymaking often lacks the ability to manage public beliefs, which explains the theoretical appeal of policy rules and commitment strategies. But as shown in this paper, when a policymaker possesses private information, belief management becomes an integral part of optimal discretion policies and improves their performance. Solving for optimal policy in a simple New Keynesian model, this paper shows how discretionary losses are reduced when the policymaker has private information. Furthermore, disinflations are pursued more vigorously, when the hidden information problem is larger, even when inflation is partly backward-looking. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - FISCAL policy KW - MONEY supply KW - KEYNESIAN economics KW - POLICY sciences KW - KALMAN filtering KW - UNITED States KW - Discretion KW - Incomplete Information KW - Kalman Filter KW - Markov-Perfect Equilibrium KW - Optimal Monetary Policy KW - Time-Consistent Policy N1 - Accession Number: 49064986; Mertens, Elmar 1; Email Address: elmar.mertens@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System,Washington D.C. 20551; Issue Info: 2010, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: FISCAL policy; Thesaurus Term: MONEY supply; Thesaurus Term: KEYNESIAN economics; Subject Term: POLICY sciences; Subject Term: KALMAN filtering; Subject: UNITED States; Author-Supplied Keyword: Discretion; Author-Supplied Keyword: Incomplete Information; Author-Supplied Keyword: Kalman Filter; Author-Supplied Keyword: Markov-Perfect Equilibrium; Author-Supplied Keyword: Optimal Monetary Policy; Author-Supplied Keyword: Time-Consistent Policy; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 70p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49064986&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bowman, David AU - Gagnon, Etienne AU - Leahy, Mike T1 - Interest on Excess Reserves as a Monetary Policy Instrument: The Experience of Foreign Central Banks. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2010/03// M3 - Article SP - 1 EP - 47 AB - This paper reviews the experience of eight major foreign central banks with policy interest rates comparable to the interest rate on excess reserves paid by the Federal Reserve. We pursue two main lines of inquiry: 1) To what extent have these policy interest rates been lower bounds for short-term market rates, and 2) to what extent has tightening that included increasing these policy rates been achieved without reliance on reductions in reserves or other deposits held at the central bank? The foreign experience suggests that policy rate floors can be effective lower bounds for market rates, although incomplete access to central bank accounts and interest on them weakens this result. In addition, the foreign experience suggests that tightening by increasing the interest rate paid on central bank balances can help reduce or eliminate the need to drain balances. These results are consistent with theoretical results that show that tightening without draining is possible, irrespective of whether excess reserves are large or small. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - CENTRAL banking industry KW - FEDERAL Reserve banks KW - MONETARY policy KW - BANK deposits KW - central bank balance sheet KW - deposit facility KW - excess reserves KW - fine-tuning operations KW - floor system KW - interest rate corridor KW - liquidity KW - open market operations KW - policy interest rate KW - quantitative easing KW - settlement balances N1 - Accession Number: 52330831; Bowman, David 1; Gagnon, Etienne 1; Leahy, Mike 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2010, p1; Thesaurus Term: INTEREST rates; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: MONETARY policy; Thesaurus Term: BANK deposits; Author-Supplied Keyword: central bank balance sheet; Author-Supplied Keyword: deposit facility; Author-Supplied Keyword: excess reserves; Author-Supplied Keyword: fine-tuning operations; Author-Supplied Keyword: floor system; Author-Supplied Keyword: interest rate corridor; Author-Supplied Keyword: liquidity; Author-Supplied Keyword: open market operations; Author-Supplied Keyword: policy interest rate; Author-Supplied Keyword: quantitative easing; Author-Supplied Keyword: settlement balances; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 48p; Illustrations: 19 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=52330831&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hurst, Erik AU - Lusardi, Annamaria AU - Kennickell, Arthur AU - Torralba, Francisco T1 - THE IMPORTANCE OF BUSINESS OWNERS IN ASSESSING THE SIZE OF PRECAUTIONARY SAVINGS. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2010/02// VL - 92 IS - 1 M3 - Article SP - 61 EP - 69 PB - MIT Press SN - 00346535 AB - Not properly accounting for differences between business owners and nonbusiness owners in studies of household wealth can lead to erroneous conclusions about the significance of different saving motives. Using data from the Panel Study of Income Dynamics from the 1980s and 1990s, we show that within samples of both business owners and non-business owners, the amount of precautionary savings with respect to labor income risk is modest and accounts for less than 10% of total household wealth. Previous large estimates of the size of precautionary balances resulted from pooling these two groups together. Such pooling is inappropriate given that business owners face higher labor risk and accumulate more wealth than non-business owners for reasons unrelated to precautionary motives. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS KW - SAVING & investment KW - CORPORATION reserves KW - RESERVES (Accounting) KW - INCOME KW - WEALTH KW - BUSINESS enterprises N1 - Accession Number: 47797896; Hurst, Erik 1,2; Lusardi, Annamaria 2,3; Kennickell, Arthur 4; Torralba, Francisco 1; Affiliations: 1: University of Chicago; 2: NBER; 3: Dartmouth College; 4: Board of Governors of the Federal Reserve System; Issue Info: Feb2010, Vol. 92 Issue 1, p61; Thesaurus Term: ECONOMICS; Thesaurus Term: SAVING & investment; Thesaurus Term: CORPORATION reserves; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: INCOME; Thesaurus Term: WEALTH; Thesaurus Term: BUSINESS enterprises; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 9p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47797896&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chin, Alycia AU - Warusawitharana, Missaka T1 - Financial Market Shocks during the Great Depression. JO - B.E. Journal of Macroeconomics: Topics in Macroeconomics JF - B.E. Journal of Macroeconomics: Topics in Macroeconomics Y1 - 2010/01// VL - 10 IS - 1 M3 - Article SP - 1 EP - 25 SN - 15345998 AB - This study examines the effect of shocks observed in financial markets on output and employment during the Great Depression. We present three main findings. First, an adverse financial shock leads to a decline in the manufacturing sector’s output and employment that peaks about 11 months afterward. Next, this shock has a much greater impact on the durables sector than the nondurables sector. Last, continuing financial market weakness in 1933 and 1934 may have restrained the recovery from the Great Depression. The findings suggest that financial market weakness contributed to the length and depth of the Great Depression, and that this occurred mainly through the investment channel. In addition, a counterfactual analysis using the estimates from the Great Depression suggests that the recent recession would have been less severe without the financial market disruptions in the fall of 2008. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Macroeconomics: Topics in Macroeconomics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SECURITIES markets KW - DEPRESSIONS (Economics) -- 1929 KW - ECONOMIC recovery KW - FINANCIAL market reaction KW - UNITED States -- Economic conditions -- 1918-1945 KW - UNITED States N1 - Accession Number: 57825156; Chin, Alycia 1; Email Address: alycia.chin@frb.gov; Warusawitharana, Missaka 1; Email Address: m1mnw00@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2010, Vol. 10 Issue 1, preceding p1; Thesaurus Term: SECURITIES markets; Thesaurus Term: DEPRESSIONS (Economics) -- 1929; Thesaurus Term: ECONOMIC recovery; Thesaurus Term: FINANCIAL market reaction; Subject Term: UNITED States -- Economic conditions -- 1918-1945; Subject: UNITED States; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 27p; Illustrations: 1 Chart, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=57825156&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edge, Rochelle M. AU - Laubach, Thomas AU - Williams, John C. T1 - Welfare-maximizing monetary policy under parameter uncertainty. JO - Journal of Applied Econometrics JF - Journal of Applied Econometrics Y1 - 2010/01//Jan/Feb2010 VL - 25 IS - 1 M3 - Article SP - 129 EP - 143 SN - 08837252 AB - This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the US economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies uncertainty about the model's dynamics, utility-based welfare criterion and the ‘natural’ rates of output and interest that would prevail absent nominal rigidities. We estimate the degree of uncertainty regarding natural rates due to parameter uncertainty. We find that optimal Taylor rules under parameter uncertainty respond less to the output gap and more to price inflation than would be optimal absent parameter uncertainty. We also show that policy rules that focus solely on stabilizing wages and prices yield welfare outcomes very close to the first-best. Copyright © 2009 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Applied Econometrics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - MATHEMATICAL models KW - MONETARY theory KW - EQUILIBRIUM (Economics) KW - INFLATION (Finance) KW - TAYLOR'S rule N1 - Accession Number: 47686982; Edge, Rochelle M. 1; Laubach, Thomas 2; Williams, John C. 3; Email Address: john.c.williams@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Goethe University Frankfurt, Germany; 3: Federal Reserve Bank of San Francisco, CA, USA; Issue Info: Jan/Feb2010, Vol. 25 Issue 1, p129; Thesaurus Term: MONETARY policy; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: MONETARY theory; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INFLATION (Finance); Subject Term: TAYLOR'S rule; Number of Pages: 15p; Illustrations: 3 Charts, 1 Graph; Document Type: Article L3 - 10.1002/jae.1136 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47686982&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Korniotis, George M. T1 - Estimating Panel Models With Internal and External Habit Formation. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2010/01// VL - 28 IS - 1 M3 - Article SP - 145 EP - 158 SN - 07350015 AB - A new bias-corrected estimator is developed for dynamic panel model with both fixed and spatial effects. The estimator is asymptotically unbiased, normally distributed, and it has good finite sample properties (low finite sample bias and root mean squared error). Applying the estimator to annual consumption data for the continental U.S. states shows that state consumption growth is not significantly affected by its own (lagged) consumption growth. However, it is affected by lagged consumption growth of nearby states. These results support external habit formation model, which have been used to explain the behavior of U.S. stock retums. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ESTIMATION theory KW - ECONOMETRIC models KW - CONSUMPTION (Economics) -- Mathematical models KW - STOCKS (Finance) -- Rate of return KW - U.S. states KW - UNITED States KW - Asset pricing KW - Bias correction KW - Instrumental variables KW - Spatial and dynamic effects KW - U.S. state consumption N1 - Accession Number: 47727062; Korniotis, George M. 1; Email Address: George.M.Korniotis@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Risk Analysis Section (Mail Stop 91), 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: Jan2010, Vol. 28 Issue 1, p145; Thesaurus Term: ESTIMATION theory; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: CONSUMPTION (Economics) -- Mathematical models; Thesaurus Term: STOCKS (Finance) -- Rate of return; Subject Term: U.S. states; Subject: UNITED States; Author-Supplied Keyword: Asset pricing; Author-Supplied Keyword: Bias correction; Author-Supplied Keyword: Instrumental variables; Author-Supplied Keyword: Spatial and dynamic effects; Author-Supplied Keyword: U.S. state consumption; Number of Pages: 14p; Document Type: Article L3 - 10.1198/jbes.2009.08041 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47727062&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Dvorak, Tomas AU - Warnock, Francis E. T1 - Decomposing the U.S. external returns differential JO - Journal of International Economics JF - Journal of International Economics Y1 - 2010/01// VL - 80 IS - 1 M3 - Article SP - 22 EP - 32 SN - 00221996 AB - Abstract: We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor timing of foreign investors–caused primarily by deliberate trading, not a lack of portfolio rebalancing–contributes positively to the U.S. external returns differential. We find no evidence that the poor timing is driven by mechanical reserve accumulation by emerging market countries; rather, it is driven almost entirely by the poor timing of rich, developed (mainly European) countries. Finally, while poor foreign timing appears to be persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as well as the overall differential, are sometimes negative, sometimes positive, and usually indistinguishable from zero. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIABILITIES (Accounting) KW - FOREIGN investments KW - BOND market KW - EMERGING markets KW - DECOMPOSITION (Mathematics) KW - DEVELOPED countries KW - UNITED States KW - Returns differential KW - Timing effect N1 - Accession Number: 47153207; Curcuru, Stephanie E. 1; Dvorak, Tomas 2; Warnock, Francis E. 3,4,5,6; Email Address: warnockf@darden.virginia.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, United States; 2: Union College, 807 Union Street, Schenectady, NY 12308, United States; 3: Darden Graduate School of Business, University of Virginia, Charlottesville, VA 22906-6550, United States; 4: Institute for International Integration Studies, Trinity College, Dublin, Ireland; 5: Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, 2200 N. Pearl Street, Dallas, Texas 75201, United States; 6: National Bureau of Economic Research, 1050 Massachusetts Avenue, Cambridge, MA 02138, United States; Issue Info: Jan2010, Vol. 80 Issue 1, p22; Thesaurus Term: LIABILITIES (Accounting); Thesaurus Term: FOREIGN investments; Thesaurus Term: BOND market; Thesaurus Term: EMERGING markets; Subject Term: DECOMPOSITION (Mathematics); Subject: DEVELOPED countries; Subject: UNITED States; Author-Supplied Keyword: Returns differential; Author-Supplied Keyword: Timing effect; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 11p; Document Type: Article L3 - 10.1016/j.jinteco.2009.06.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47153207&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanidesy, Athanasios AU - Weiz, Min T1 - Evolving Macroeconomic Perceptions and the Term Structure of Interest Rates. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2010/01// M3 - Article SP - 1 EP - 47 AB - We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States over the past 40 years, we show that a recursively estimated VAR on real GDP growth, inflation and the nominal short-term interest generates predictions that are more consistent with survey forecasts than a benchmark fixed-coefficient counterpart. We then estimate a simple term structure model under the assumption that the investors' risk attitude is driven by near-term expectations of the three state variables. When we allow for evolving beliefs about the macroeconomy, the resulting term structure model provides a better fit to the cross section of yields than the benchmark model, especially at longer maturities, and exhibits better performance in out-of-sample predictions of future yield movements. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - YIELD curve (Finance) KW - INTEREST rates KW - MACROECONOMICS KW - INVESTMENT analysis KW - GROSS domestic product KW - INTEREST rate risk KW - UNITED States KW - Anticipated Utility KW - Macro Term Structure Model KW - Recursive VAR KW - Survey Forecasts N1 - Accession Number: 49063302; Orphanidesy, Athanasios 1; Email Address: Athanasios.Orphanides@centralbank.gov.cy; Weiz, Min 2; Affiliations: 1: Central Bank of Cyprus, 80 Kennedy Avenue, Nicosia, Cyprus; 2: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Washington, DC 20551, USA; Issue Info: 2010, p1; Thesaurus Term: YIELD curve (Finance); Thesaurus Term: INTEREST rates; Thesaurus Term: MACROECONOMICS; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: GROSS domestic product; Thesaurus Term: INTEREST rate risk; Subject: UNITED States; Author-Supplied Keyword: Anticipated Utility; Author-Supplied Keyword: Macro Term Structure Model; Author-Supplied Keyword: Recursive VAR; Author-Supplied Keyword: Survey Forecasts; Number of Pages: 50p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49063302&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Altigy, David AU - Christianoz, Lawrence J. AU - Eichenbaumx, Martin AU - Lindé, Jesper T1 - Firm-Specific Capital, Nominal Rigidities and the Business Cycle. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2010/01// M3 - Article SP - 1 EP - 47 AB - This paper formulates and estimates a three-shock US business cycle model. The estimated model accounts for a substantial fraction of the cyclical variation in output and is consistent with the observed inertia in inflation. This is true even though firms in the model reoptimize prices on average once every 1.8 quarters. The key feature of our model underlying this result is that capital is firm-specific. If we adopt the standard assumption that capital is homogeneous and traded in economy-wide rental markets, we find that firms reoptimize their prices on average once every 9 quarters. We argue that the micro implications of the model strongly favor the firm-specific capital specification. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL investments KW - BUSINESS cycles KW - INFLATION (Finance) KW - ECONOMIC activity KW - BUSINESS enterprises KW - UNITED States N1 - Accession Number: 51972501; Altigy, David 1; Christianoz, Lawrence J. 2; Eichenbaumx, Martin 2; Lindé, Jesper 3; Affiliations: 1: Federal Reserve Bank of Atlanta; 2: Northwestern University, National Bureau of Economic Research, and Federal Reserve Banks of Chicago, Atlanta and Minneapolis; 3: Board of Governors of the Federal Reserve System and CEPR; Issue Info: 2010, p1; Thesaurus Term: CAPITAL investments; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC activity; Thesaurus Term: BUSINESS enterprises; Subject: UNITED States; Number of Pages: 47p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=51972501&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mandel, Benjamin R. T1 - Heterogenous Firms and Import Quality: Evidence from Transaction-Level Priced. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2010/01// M3 - Article SP - 1 EP - 49 AB - A key emerging insight in international economics is that the scope for quality differentiation can help to explain patterns in export prices at the level of products or firms. In this paper, a unified theoretical framework of firm heterogeneity in cost and quality is brought to bear on an expansive data set of U.S. import transaction prices collected by the Bureau of Labor Statistics (BLS). The higher moments of the price distribution are used to identify the scope for quality differentiation at the detailed product level; highly differentiated products account for about half of U.S. import value. The product classification is then used to evaluate two claims in the nascent firm-level trade quality literature. First, the positive link between exporter capability and price is found to depend on the nature of the product: productive exporters simultaneously specialize in high-priced varieties in quality differentiated goods and low-priced varieties in more homogeneous goods. Second, a novel time series test documents firm sorting into export markets according to output quality. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL economic relations KW - COMMERCIAL products -- Export & import trade KW - EXPORT marketing KW - BUSINESS enterprises KW - PRICING KW - UNITED States KW - firm sorting KW - heterogeneous firms KW - Quality differentiation N1 - Accession Number: 51972502; Mandel, Benjamin R. 1; Email Address: Benjamin.R.Mandel@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2010, p1; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: COMMERCIAL products -- Export & import trade; Thesaurus Term: EXPORT marketing; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: PRICING; Subject: UNITED States; Author-Supplied Keyword: firm sorting; Author-Supplied Keyword: heterogeneous firms; Author-Supplied Keyword: Quality differentiation; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 911420 International assistance; Number of Pages: 49p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=51972502&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Raff, Andrea T1 - Technology Shocks: Novel Implications for International Business Cycles. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2010/01// M3 - Article SP - 1 EP - 54 AB - Understanding the joint dynamics of international prices and quantities remains a central issue in international business cycles. International relative prices appreciate when domestic consumption and output increase more than their foreign counterparts. In addition, both trade flows and trade prices display sizable volatility. This paper incorporates Hicks-neutral and investment-specific technology shocks into a standard two-country general equilibrium model with variable capacity utilization and weak wealth effects on labor supply. Investment specific technology shocks introduce a source of fluctuations in absorption similar to taste shocks, thus reconciling theory and data. The paper also presents implications for the transmission mechanism of technology shocks across countries and for the Barro and King (1984) critique of investment shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL economic relations KW - TECHNOLOGY KW - INTERNATIONAL trade KW - CONSUMPTION (Economics) KW - PRICES KW - BUSINESS cycles KW - LABOR supply KW - ECONOMIC aspects N1 - Accession Number: 51972503; Raff, Andrea 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2010, p1; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: TECHNOLOGY; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PRICES; Thesaurus Term: BUSINESS cycles; Thesaurus Term: LABOR supply; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 55p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=51972503&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Anderson, Gary S. AD - Unlisted T1 - A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-13 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103207; Publication Type: Working Paper; Update Code: 201005 N2 - This paper describes a set of algorithms for quickly and reliably solving linear rational expectations models. The utility, reliability and speed of these algorithms are a consequence of 1) the algorithm for computing the minimal dimension state space transition matrix for models with arbitrary numbers of lags or leads, 2) the availability of a simple modeling language for characterizing a linear model and 3) the use of the QR Decomposition and Arnoldi type eigenspace calculations. The paper also presents new formulae for computing and manipulating solutions for arbitrary exogenous processes. L3 - http://www.federalreserve.gov/pubs/feds/2010/201013/201013pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201013/201013pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feigenbaum, James A. AU - Li, Geng AD - Unlisted AD - Unlisted T1 - A semiparametric characterization of income uncertainty over the life cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-42 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140123; Keywords: Income; Saving and investment; Consumption (Economics); Uncertainty; Publication Type: Working Paper; Update Code: 201012 N2 - We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast errors conditional on information available to households prior to observing the realized income. This approach is semiparametric because we impose essentially no restrictions on the statistical properties of the forecast errors. Relative to previous studies, we find lower and less persistent income uncertainties that call for a life cycle consumption profile with a less pronounced hump. L3 - http://www.federalreserve.gov/pubs/feds/2010/201042/201042pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140123&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201042/201042pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holmes, Thomas J. AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - An alternative theory of the plant size distribution with an application to trade PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-30 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115978; Publication Type: Working Paper; Update Code: 201007 N2 - There is wide variation in the sizes of manufacturing plants, even within the most narrowly defined industry classifications used by statistical agencies. Standard theories attribute all such size differences to productivity differences. This paper develops an alternative theory in which industries are made up of large plants producing standardized goods and small plants making custom or specialty goods. It uses confidential Census data to estimate the parameters of the model, including estimates of plant counts in the standardized and specialty segments by industry. The estimated model fits the data relatively well compared with estimates based on standard approaches. In particular, the predictions of the model for the impacts of a surge in imports from China are consistent with what happened to U.S. manufacturing industries that experienced such a surge over the period 1997--2007. Large-scale standardized plants were decimated, while small-scale specialty plants were relatively less impacted. L3 - http://www.federalreserve.gov/pubs/feds/2010/201030/201030pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115978&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201030/201030pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - An analysis of government guarantees and the functioning of asset-backed securities markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-46 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140127; Keywords: Mortgage-backed securities; Government-sponsored enterprises; Publication Type: Working Paper; Update Code: 201012 N2 - Mortgage securitization has been tried several times in the United States and each time it has failed amid a credit bust. In what is now a familiar recurring history, during the credit boom, underwriting standards are violated and guarantees are inadequately funded; subsequently, defaults increase and investors in mortgage-backed securities attempt to dump their investments.; We focus on a specific market failure associated with asset-backed securitization and propose a tailored government remedy. Our analysis of loan market equilibriums shows that the additional liquidity provided by securitization may (or may not) lower primary loan rates, but such liquidity comes at a cost. More specifically, if guarantee-sensitive investors doubt the credit quality of asset-backed bonds, significant risk premiums can develop. If a financial crisis ensues, securitization can disappear from the market entirely, leaving banks that originate just the highest quality loans as the only source of credit. This abrupt increase in lending standards can tighten credit, exacerbate asset price declines, and impinge on economic growth.; We argue that an institutional structure for stemming "runs," analogous to the current set up for the Federal Deposit Insurance Corporation, could be deployed to insure pre-specified asset-backed instruments. Such an insurer would likely benefit from the accumulated information and infrastructure that is embodied in Fannie Mae and Freddie Mac. Hence, the provision of federally-backed catastrophic insurance could provide a rationale for restructuring the housing-related GSEs towards a public purpose. Regardless of its institutional structure, a federally-backed catastrophic bond insurer would provide greater financial stability and ensure credit is provided at reasonable cost both in times of prosperity and during downturns. Moreover, the explicit pricing of the government-backed guarantee would mitigate the market distortions that have been created by implicit government guarantees during prosperity. L3 - http://www.federalreserve.gov/pubs/feds/2010/201046/201046pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140127&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201046/201046pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mertens, Elmar AD - Unlisted T1 - Are spectral estimators useful for implementing long-run restrictions in SVARs? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-09 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089031; Publication Type: Working Paper; Update Code: 201003 N2 - No, not really, since spectral estimators suffer from small sample and misspecification biases just as VARs do. Spectral estimators are no panacea for implementing long-run restrictions.; In addition, when combining VAR coefficients with non-parametric estimates of the spectral density, care needs to be taken to consistently account for information embedded in the non-parametric estimates about serial correlation in VAR residuals. This paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot overcome the fundamental problems of estimating the long-run dynamics of macroeconomic data in samples of typical length. L3 - http://www.federalreserve.gov/pubs/feds/2010/201009/201009pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089031&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201009/201009pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Linde, Jesper AD - Unlisted AD - Unlisted T1 - Asymmetric shocks in a currency union with monetary and fiscal handcuffs? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1012 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155550; Publication Type: Working Paper; Update Code: 201103 N2 - This paper investigates the impact of the asymmetric shocks within a currency union in a framework that takes account of the zero bound constraint on policy rates, and also allows for constraints on fiscal policy. In this environment, we document that the usual optimal currency argument showing that the effects of shocks are mitigated to the extent that they are common across member states can be reversed. Countries can be worse off when their neighbors experience similar shocks, including policy-driven reductions in government spending. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1012/ifdp1012.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155550&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1012/ifdp1012.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Panousi, Vasia AD - Unlisted T1 - Capital taxation with entrepreneurial risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-56 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146381; Publication Type: Working Paper; Update Code: 201101 N2 - This paper studies the effects of capital taxation in a dynamic heterogeneous-agent economy with uninsurable entrepreneurial risk. Although it allows for rich general-equilibrium effects and a stationary distribution of wealth, the model is highly tractable. This permits a clear analysis, not only of the steady state, but also of the entire transitional dynamics following any change in tax policies. Unlike either the complete-markets paradigm or Bewley-type models where idiosyncratic risk impacts only labor income, here it is shown that capital taxation may actually stimulate capital accumulation. This possibility emerges because of the general-equilibrium effects of the insurance aspect of capital taxation. In particular, for the preferred calibrated version of the model, when the tax on capital is 25 percent, output per work-hour is 2.2 percent higher than it would have been had the tax rate been zero. Turning to the welfare effects of a reform in capital taxation, it is examined how these effects depend on whether one focuses on the steady state or also takes into account transitional dynamics, as well as how they vary in the cross-section of the population (rich versus poor, entrepreneurs versus non-entrepreneurs). L3 - http://www.federalreserve.gov/pubs/feds/2010/201056/201056pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146381&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201056/201056pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eichner, Matthew J. AU - Natalucci, Fabio M. AD - Unlisted AD - Unlisted T1 - Capturing the evolution of dealer credit terms related to securities financing and OTC derivatives: some initial results from the new Senior Credit Officer Opinion Survey on Dealer Financing Terms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-47 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140128; Keywords: Credit; Derivative securities; Bank loans; Publication Type: Working Paper; Update Code: 201012 N2 - In the period prior to the financial crisis, leverage in the financial system increased substantially. This buildup was likely facilitated by, among other factors, a loosening of credit terms related to OTC derivatives and securities financing transactions. However, little or no systematic data on these trends were available at the time. The new Senior Credit Officer Opinion Survey on Dealer Financing Terms, which was conducted for the first time in June 2010, partially fills this gap. The new survey provides qualitative information about changes in credit terms and conditions across the entire range of these transactions, and the evolution of market conditions and conventions applicable to such activities. L3 - http://www.federalreserve.gov/pubs/feds/2010/201047/201047pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140128&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201047/201047pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sahm, Claudia R. AU - Shapiro, Matthew D. AU - Slemrod, Joel AD - Unlisted AD - Unlisted AD - Unlisted T1 - Check in the mail or more in the paycheck: does the effectiveness of fiscal stimulus depend on how it is delivered? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-40 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1130065; Keywords: Consumption (Economics) ; Fiscal policy; Publication Type: Working Paper; Update Code: 201009 N2 - Recent fiscal policies have aimed to stimulate household spending. In 2008, most households received one-time economic stimulus payments. In 2009, most working households received the Making Work Pay tax credit in the form of reduced withholding; other households, mainly retirees, received one-time payments. This paper quantifies the spending response to these different policies and examines whether the spending response differed according to whether the stimulus was delivered as a one-time payment or as a flow of payments in the form of reduced withholding. Based on responses from a representative sample of households in the Thomson Reuters/University of Michigan Surveys of Consumers, the paper finds that the reduction in withholding led to a substantially lower rate of spending than the one-time payments. Specifically, 25 percent of households reported that the one-time economic stimulus payment in 2008 led them to mostly increase their spending while only 13 percent reported that the extra pay from the lower withholding in 2009 led them to mostly increase their spending. The paper uses several approaches to isolate the effect of the delivery mechanism from the changing aggregate and individual conditions. Responses to a hypothetical stimulus in 2009, examination of "free responses" concerning differing responses to the policies, and regression analysis controlling for individual economic conditions and demographics all support the primary importance of the income delivery mechanism in determining the spending response to the policies. L3 - http://www.federalreserve.gov/pubs/feds/2010/201040/201040pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1130065&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201040/201040pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nichols, Joseph B. AU - Oliner, Stephen D. AU - Mulhall, Michael R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Commercial and residential land prices across the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-16 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103210; Publication Type: Working Paper; Update Code: 201005 N2 - We use a national dataset of land sales to construct land price indexes for 23 MSAs in the United States and for the aggregate of those MSAs. We construct the price indexes by estimating hedonic regressions with a large sample of land transactions dating back to the mid-1990s. The regressions feature a flexible method of controlling for spatial price patterns within an MSA. The resulting price indexes show a dramatic increase in both commercial and residential land prices over several years prior to their peak in 2006-07 and a steep descent since then. These fluctuations in land prices are considerably larger than those in well-known indexes of commercial real estate and house prices. Because those existing indexes price a bundle of land and structures, this comparison implies that land prices have been more volatile than structures prices over this period. L3 - http://www.federalreserve.gov/pubs/feds/2010/201016/201016pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103210&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201016/201016pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AU - Willemann, Soren AD - Unlisted AD - Unlisted T1 - Constant proportion debt obligations: a post-mortem analysis of rating models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-05 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089027; Publication Type: Working Paper; Update Code: 201003 N2 - In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that the models used by S&P and Moody's would have assigned very low probability to the spread levels realized in the investment grade corporate credit default swap market in late 2007, even though these spread levels were comparable to those of 2002. The spread levels realized in the first quarter of 2008 would have been assigned negligibly small probabilities. Had the models put non-negligible likelihood on attaining these high spread levels, the CPDO notes could never have achieved investment grade status. We conclude with larger lessons for the rating of complex products and for modeling credit risk in general. L3 - http://www.federalreserve.gov/pubs/feds/2010/201005/201005pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089027&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201005/201005pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Contreras, Juan AU - Nichols, Joseph AD - Unlisted AD - Unlisted T1 - Consumption responses to permanent and transitory shocks to house appreciation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-32 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115981; Publication Type: Working Paper; Update Code: 201007 N2 - We estimate the marginal propensity to consume (MPC) out of permanent and transitory shocks to house price appreciation. We consider two different models under which those shocks may affect consumption. In the first one, housing is a risky asset. In the second one, housing has a role as a consumption and as an investment good. In both, changes in the rate of house price appreciation may affect nonhousing consumption. Shocks to appreciation rates may happen when increases in future house prices are expected to differ from the current ones because heterogeneity, market failures or errors in expectations. We test the implications of those models empirically using the PSID's imputed total consumption from food consumption and self-reported house values, and base our identification strategy on two sources of variation in the appreciation rate. The first source depends on the fact that home prices are far more cyclical in areas where the supply of housing is relatively inelastic. The second source is households' perceptions about which parts of shocks to appreciation rates are permanent or transitory. We model households' self-reported rate of appreciation as an AR(1) process and use both the Hodrick-Prescott and the Kalman filter to separate households' perceptions about permanent and transitory shocks to appreciation. Our results show that (1) consumption responses to house wealth shocks vary greatly by area and depend upon the area-specific levels of temporal persistence and variance of those shocks; (2) the overall MPC out of those shocks is 3.5%; (3) the MPC out of permanent shocks is between 3.4% and 9.1%; and (4) the MPC out of transitory shocks is between 0.5% and 3.3%. L3 - http://www.federalreserve.gov/pubs/feds/2010/201032/201032pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115981&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201032/201032pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - Could asymmetric information alone have caused the collapse of private-label securitization? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1010 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140144; Keywords: Securities; Publication Type: Working Paper; Update Code: 201012 N2 - A key feature of the 2007-2008 financial crisis is that for some classes of securities trade has ceased. And where trade does occur, it appears that market prices are well below what one might believe to be the intrinsic value for that class of security. This seems to be especially true for those securities where the payoff streams are particularly complex (for example, CDOs). One explanation for this is that information about these securities' intrinsic values is asymmetric, with the current holders having better information than potential buyers. We show how the resulting adverse selection problem can help explain why more complex securities trade at significant discounts to their intrinsic values or do not trade at all. To examine whether asymmetric information alone would suffice to shut down portions of the asset-backed securities (ABS) market, we append a simple "workhorse" model for pricing securities under asymmetric information into a Monte Carlo simulation that generates hypothetical securities backed by residential mortgages. We conduct a type of "stress test" on the ABS by making the distribution of payoffs to the underlying loans worse, and find that the intrinsic values of the securities further down the securitization chain become dispersed in such a way that the market for them may shut down under asymmetric information. We then consider the role for government intervention, and compare the effectiveness of different policies that aim to unclog these markets. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1010/ifdp1010.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140144&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1010/ifdp1010.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Brevoort, Kenneth P. AU - Canner, Glenn B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit where none is due? Authorized user account status and 'piggybacking credit' PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-23 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115972; Publication Type: Working Paper; Update Code: 201007 N2 - An "authorized user" is a person who is permitted by a revolving account holder to use an account without being legally liable for any charges incurred. The Federal Reserve's Regulation B, which implements the 1974 Equal Credit Opportunity Act, requires that information on spousal authorized user accounts be reported to the credit bureaus and considered when lenders evaluate credit history. Since creditors generally furnish to the credit bureaus information on all authorized user accounts, without indicating which are spouses and which are not, credit scoring modelers cannot distinguish spousal from non-spousal authorized user accounts. This effectively requires that all authorized user accounts receive similar treatment. Consequently, becoming an authorized user on an old account with a good payment history, may improve an individual's credit score, potentially increasing access to credit or reducing borrowing costs. As a result, the practice of "piggybacking credit" has developed. In a piggybacking arrangement, an individual pays a fee to be added as an authorized user on an account to "rent" the account's credit history. This paper provides the first comprehensive look at authorized user accounts in individual credit records and how their importance differs across demographic groups. Our analysis suggests that piggybacking credit can materially improve credit scores, particularly for individuals with thin or short credit histories. We also evaluate the effect that eliminating authorized user accounts from credit scoring models would have on individual credit scores. Our results suggest that removing this information has relatively little effect on credit scores, but may reduce model predictiveness. L3 - http://www.federalreserve.gov/pubs/feds/2010/201023/201023pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115972&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201023/201023pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brevoort, Kenneth P. AU - Holmes, John A. AU - Wolken, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Distance still matters: the information revolution in small business lending and the persistent role of location, 1993-2003 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-08 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089030; Publication Type: Working Paper; Update Code: 201003 N2 - In a seminal article on small business lending, Petersen & Rajan (2002) argue that technological changes have revolutionized small business lending markets, weakening the reliance of small businesses on local lenders and increasing geographic distances between firms and their credit suppliers. While their data only cover through 1993, they conjecture that the pace of change accelerated after 1993. Using the 1993, 1998, and 2003 Surveys of Small Business Finances (SSBFs), we test whether the distance changes identified by Petersen and Rajan continued or accelerated during the following decade. Using a novel application of Oaxaca-Blinder decomposition, we identify the extent to which specific observable characteristics are associated with distance changes and draw three conclusions. First, while distances increased between 1993 and 1998 at a faster rate than found by Petersen & Rajan, distance increases appear to have halted or possibly reversed between 1998 and 2003. Second, rather than increasing proportionally for all small firms, distance increases were uneven across firms over the decade, with higher credit quality firms and firms with more experienced ownership realizing greater gains in distance than other firms. Finally, distances increased faster at older firms and, regardless of firm age, increases in distance have only affected some product types, primarily those involving asset-back loans (including mortgages). For relationships that involved the provision of either lines of credit or multiple types of credit, distances increased very little or not at all during the decade. This analysis provides a detailed and nuanced view of how the market for small business credit has evolved during a period of rapid technological change. L3 - http://www.federalreserve.gov/pubs/feds/2010/201008/201008pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089030&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201008/201008pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chung, Hess T. AU - Kiley, Michael T. AU - Laforte, Jean-Philippe AD - Unlisted AD - Unlisted AD - Unlisted T1 - Documentation of the Estimated, Dynamic, Optimization-based (EDO) model of the U.S. economy: 2010 version PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-29 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115980; Publication Type: Working Paper; Update Code: 201007 N2 - This paper provides documentation for a large-scale estimated DSGE model of the U.S. economy--the Federal Reserve Board's Estimated, Dynamic, Optimization-based (FRB/EDO) model project. The model can be used to address a wide range of practical policy questions on a routine basis. The paper discusses the model's specification, estimated parameters, and key properties. L3 - http://www.federalreserve.gov/pubs/feds/2010/201029/201029pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115980&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201029/201029pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Brevoort, Kenneth P. AU - Canner, Glenn B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does credit scoring produce a disparate impact? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-58 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146383; Publication Type: Working Paper; Update Code: 201101 N2 - The widespread use of credit scoring in the underwriting and pricing of mortgage and consumer credit has raised concerns that the use of these scores may unfairly disadvantage minority populations. A specific concern has been that the independent variables that comprise these models may have a disparate impact on these demographic groups. By "disparate impact" we mean that a variable's predictive power might arise not from its ability to predict future performance within any demographic group, but rather from acting as a surrogate for group membership. Using a unique source of data that combines a nationally representative sample of credit bureau records with demographic information from the Social Security Administration and a demographic information company, we examine the extent to which credit history scores may have such a disparate impact. Our examination yields no evidence of disparate impact by race (or ethnicity) or gender. However, we do find evidence of limited disparate impact by age, in which the use of variables related to an individual's credit history appear to lower the credit scores of older individuals and increase them for the young. L3 - http://www.federalreserve.gov/pubs/feds/2010/201058/201058pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146383&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201058/201058pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edgerton, Jesse AD - Unlisted T1 - Effects of the 2003 dividend tax cut: evidence from real estate investment trusts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-34 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115983; Publication Type: Working Paper; Update Code: 201007 N2 - Recent literature has estimated that the 2003 dividend tax cut caused a large increase in aggregate dividend payouts, which would imply that dividend taxation creates large efficiency costs relative to the amount of revenue raised. I document that dividend payouts by real estate investment trusts also rose sharply following the tax cut, even though REIT dividends did not qualify for the cut. Using REITs as a control group in a simple difference-in-differences framework produces small and statistically insignificant estimates of the effect of the tax cut on aggregate dividend payouts. I further document that the ratio of dividend payouts to corporate earnings changed little after the tax cut, and that the ratio of dividend payouts to share repurchases fell dramatically. These facts suggest that contemporaneous increases in earnings and investor demand for payouts drove the observed increases in aggregate dividend payouts, with at most a modest role for the tax cut. L3 - http://www.federalreserve.gov/pubs/feds/2010/201034/201034pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115983&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201034/201034pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Leduc, Sylvain AU - Vigfusson, Robert AD - Unlisted AD - Unlisted AD - Unlisted T1 - Entry dynamics and the decline in exchange-rate pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1008 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140142; Keywords: International trade; Foreign exchange rates; Imports; Exports; Publication Type: Working Paper; Update Code: 201012 N2 - The degree of exchange-rate pass-through to import prices is low. An average pass-through estimate for the 1980s would be roughly 50 percent for the United States implying that, following a 10 percent depreciation of the dollar, a foreign exporter selling to the U.S. market would raise its price in the United States by 5 percent. Moreover, substantial evidence indicates that the degree of pass-through has since declined to about 30 percent.; Gust, Leduc, and Vigfusson (2010) demonstrate that, in the presence of pricing complementarity, trade integration spurred by lower costs for importers can account for a significant portion of the decline in pass-through. In our framework, pass-through declines solely because of markup adjustments along the intensive margin.; In this paper, we model how the entry and exit decisions of exporting firms affect pass-through. This is particularly important since the decline in pass-through has occurred as a greater concentration of foreign firms are exporting to the United States.; We find that the effect of entry on pass-through is quantitatively small and is more than offset by the adjustment of markups that arise only along the intensive margin. Even though entry has a relatively small impact on pass-through, it nevertheless plays an important role in accounting for the secular rise in imports relative to GDP. In particular, our model suggests that over 3/4 of the rise in the U.S. import share since the early 1980s is due to trade in new goods. Thus, a key insight of this paper is that adjustment of markups that occur along the intensive margin are quantitatively more important in accounting for secular changes in pass-through than adjustments that occur along the extensive margin. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1008/ifdp1008.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140142&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1008/ifdp1008.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Wei, Min AD - Unlisted AD - Unlisted T1 - Evolving macroeconomic perceptions and the term structure of interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-01 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089023; Publication Type: Working Paper; Update Code: 201003 N2 - We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States over the past 40 years, we show that a recursively estimated VAR on real GDP growth, inflation and the nominal short-term interest generates predictions that are more consistent with survey forecasts than a benchmark fixed-coefficient counterpart. We then estimate a simple term structure model under the assumption that the investors' risk attitude is driven by near-term expectations of the three state variables. When we allow for evolving beliefs about the macroeconomy, the resulting term structure model provides a better fit to the cross section of yields than the benchmark model, especially at longer maturities, and exhibits better performance in out-of-sample predictions of future yield movements. L3 - http://www.federalreserve.gov/pubs/feds/2010/201001/201001pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089023&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201001/201001pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holmes, Thomas J. AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Exports, borders, distance, and plant size PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-38 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115985; Publication Type: Working Paper; Update Code: 201007 N2 - The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. We examine this fact using Census micro data on plant shipments from the Commodity Flow Survey. We show the fact is not entirely an international trade phenomenon; part of it can be accounted for by the effect of distance, distinct from any border effect. Export destinations tend to be further than domestic destinations, and large plants tend to ship further distances even to domestic locations, as compared with small plants. We develop an extension of the Melitz (2003) model and use it to set up an analysis with model interpretations of ratios between large plant and small plant shipments that can be calculated with the data. We obtain a decomposition of the overall ratio into a term that varies with distance, holding fixed the border, and a term that varies with the border, holding fixed the distance. The distance term accounts for more than half of the overall difference. L3 - http://www.federalreserve.gov/pubs/feds/2010/201038/201038pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115985&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201038/201038pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Financial globalization and monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1002 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1130069; Keywords: Monetary policy ; Interest rates ; Globalization; Publication Type: Working Paper; Update Code: 201009 N2 - This paper reviews the available evidence and previous research on potential effects of financial globalization, that is, the international integration of financial markets. In particular, we address the questions: Has financial globalization materially increased the influence of external developments on domestic monetary conditions? And, has it reduced the influence of central banks over financial and economic conditions in their own country? We find that central banks with floating currencies retain the ability to independently determine short-term interest rates and thus influence broader financial conditions and macroeconomic performance in their economies. However, domestic financial conditions appear to have become more vulnerable to a wide range of external shocks, complicating the task of making appropriate monetary policy decisions. Moreover, the financial crisis has highlighted the importance of cross-border channels for the transmission of liquidity and credit shocks. With financial transactions increasingly being undertaken in vehicle currencies such as dollars and euros, the liquidity provision and the lender-of-last resort functions of many central banks are being challenged. Accordingly, international arrangements for liquidity provision may become increasingly important in the future. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1002/ifdp1002.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1130069&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1002/ifdp1002.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Panousi, Vasia AU - Angeletos, George-Marios AD - Unlisted AD - Unlisted T1 - Financial integration, entrepreneurial risk and global dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-54 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140135; Publication Type: Working Paper; Update Code: 201012 N2 - How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? This paper investigates this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk---a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. Our contribution is then to show that this friction provides a simple explanation for the emergence of global imbalances, a simple resolution to the empirical puzzle that capital often fails to flow from the rich or slow-growing countries to the poor or fast-growing ones, and a distinct set of policy lessons regarding the intertemporal costs and benefits of capital-account liberalization. L3 - http://www.federalreserve.gov/pubs/feds/2010/201054/201054pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140135&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201054/201054pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chin, Alycia AU - Warusawitharana, Missaka AD - Unlisted AD - Unlisted T1 - Financial market shocks during the Great Depression PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-22 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115971; Publication Type: Working Paper; Update Code: 201007 N2 - This study examines the effect of shocks observed in financial markets on output and employment during the Great Depression. We present three main findings. First, an adverse financial shock leads to a decline in the manufacturing sector's output and employment that peaks about 11 months afterward. Next, this shock has a much greater impact on the durables sector than the nondurables sector. Last, continuing financial market weakness in 1933 and 1934 may have restrained the recovery from the Great Depression. The findings suggest that financial market weakness contributed to the length and depth of the Great Depression, and that this occurred mainly through the investment channel. In addition, we use the estimates from the Great Depression data to evaluate the effect of recent financial market disruptions. L3 - http://www.federalreserve.gov/pubs/feds/2010/201022/201022pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115971&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201022/201022pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eichner, Matthew J. AU - Kohn, Donald L. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial statistics for the United States and the crisis: what did they get right, what did they miss, and how should they change? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-20 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103214; Publication Type: Working Paper; Update Code: 201005 N2 - Although the instruments and transactions most closely associated with the financial crisis of 2008 and 2009 were novel, the underlying themes that played out in the crisis were familiar from previous episodes: Competitive dynamics resulted in excessive leverage and risk-taking by large, interconnected firms, in heavy reliance on short-term sources of funding to finance long-term and ultimately terribly illiquid positions, and in common exposures being shared by many major financial institutions. Understandably, in the wake of the crisis, financial supervisors and policymakers want to obtain better and earlier indications regarding these critical, and apparently recurring, core vulnerabilities in the financial system. Indeed, gaps in data and analysis, in a sense, defined the shadows in which the "shadow banking system" associated with the buildup in financial risks grew. We agree that more comprehensive real-time data is necessary, but we also emphasize that collecting more data is only part of the process of developing early warning systems. More fundamental, in our view, is the need to use data in a different way--in a way that integrates the ongoing analysis of macro data to identify areas of interest with the development of highly specialized information to illuminate those areas, including the relevant instruments and transactional forms. In this paper, we describe why we are concerned that specifying this second stage generically and prior to processing the first-stage signals will not be fruitful: We can easily imagine specifying ex ante a program of data collection that would look for vulnerabilities in the wrong place, particularly if the actual act of looking by macro-or microprudential supervisors causes the locus of activity to shift into a new shadow somewhere else--something we argue occurred during the buildup of risks ahead of this crisis. L3 - http://www.federalreserve.gov/pubs/feds/2010/201020/201020pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103214&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201020/201020pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Altig, David AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Linde, Jesper AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Firm-specific capital, nominal rigidities and the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 990 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089035; Publication Type: Working Paper; Update Code: 201003 N2 - This paper formulates and estimates a three-shock US business cycle model. The estimated model accounts for a substantial fraction of the cyclical variation in output and is consistent with the observed inertia in inflation. This is true even though firms in the model reoptimize prices on average once every 1.8 quarters. The key feature of our model underlying this result is that capital is firm-specific. If we adopt the standard assumption that capital is homogeneous and traded in economy-wide rental markets, we find that firms reoptimize their prices on average once every 9 quarters. We argue that the micro implications of the model strongly favor the firm-specific capital specification. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/990/ifdp990.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089035&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/990/ifdp990.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Follette, Glenn AU - Lutz, Byron AD - Unlisted AD - Unlisted T1 - Fiscal policy in the United States: automatic stabilizers, discretionary fiscal policy actions, and the economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-43 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140124; Keywords: Fiscal policy; Finance, Public; Publication Type: Working Paper; Update Code: 201012 N2 - We examine the effects of the economy on the government budget as well as the effects of the budget on the economy. First, we provide measures of the effects of automatic stabilizers on budget outcomes at the federal and state and local levels. For the federal government, the deficit increases about 0.35 percent of GDP for each 1 percentage point deviation of actual GDP relative to potential GDP. For state and local governments, the deficit increases by about 0.1 percent of GDP. We then examine the response of the economy to the automatic stabilizers using the FRB/US model by comparing the response to aggregate demand shocks under two scenarios: with the automatic stabilizers in place and without the automatic stabilizers. Second, we provide measures of discretionary fiscal policy actions at the federal and state and local levels. We find that federal policy actions are somewhat counter-cyclical while state and local policy actions have been somewhat pro-cyclical. Finally, we evaluate the impact of the budget, from both automatic stabilizers and discretionary actions, on economic activity in 2008 and 2009. L3 - http://www.federalreserve.gov/pubs/feds/2010/201043/201043pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140124&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201043/201043pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Fiscal positions and government bond yields in OECD countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1011 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155549; Publication Type: Working Paper; Update Code: 201103 N2 - We examine the impact of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the OECD. In order to control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal performance on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions associated with the recent financial crisis is to add about 60 basis points to U.S. bond yields by 2015, with effects on other G7 bond yields generally being smaller. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1011/ifdp1011.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155549&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1011/ifdp1011.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - King, Thomas B. AD - Unlisted AD - Unlisted T1 - Flow and stock effects of large-scale Treasury purchases PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-52 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140134; Keywords: Government securities; Treasury bills; Publication Type: Working Paper; Update Code: 201012 N2 - Using a panel of daily CUSIP-level data, we study the effects of the Federal Reserve's program to purchase $300 billion of U.S. Treasury coupon securities announced and implemented during 2009. This program represented an unprecedented intervention in the Treasury market and thus allows us to shed light on the price elasticities and substitutability of Treasuries, preferred-habitat theories of the term structure, and the ability of large-scale asset purchases to reduce overall yields and improve market functioning. We find that each purchase operation, on average, caused a decline in yields in the sector purchased of 3.5 basis points on the days when these purchases occurred (the "flow effect" of the program). In addition, the program as a whole resulted in a persistent downward shift in the yield curve of as much as 50 basis points (the "stock effect"), with the largest impact in the 10-to 15-year sector. The coefficient patterns generally support a view of segmentation or imperfect substitution within the Treasury market. L3 - http://www.federalreserve.gov/pubs/feds/2010/201052/201052pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140134&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201052/201052pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brevoort, Kenneth P. AU - Cooper, Cheryl R. AD - Unlisted AD - Unlisted T1 - Foreclosure's wake: the credit experiences of individuals following foreclosure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-59 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146384; Publication Type: Working Paper; Update Code: 201101 N2 - While a substantial literature has examined the causes of mortgage foreclosure, there has been relatively little work on the consequences of foreclosure for the borrowers themselves. Using a large sample of anonymous credit bureau records, observed quarterly from 1999Q1 through 2010Q1, we examine the credit experiences of almost 350,000 borrowers before and after their mortgage foreclosure. Our analysis documents the substantial declines in credit scores that accompany foreclosure and examines the length of time it takes individuals to return their credit scores to pre-delinquency levels. The results suggest that, particularly for prime borrowers, credit score recovery comes slowly, if at all. This appears to be driven by persistently higher levels of delinquency on consumer credit (such as auto and credit card loans) in the years that follow foreclosure. Our results also indicate that the experiences of individuals whose mortgages entered foreclosure from 2007 to 2009 have followed a similar path to borrowers foreclosed earlier in the decade, though post-foreclosure delinquency rates for the recently foreclosed have been higher and, consequently, credit score recovery appears to be taking longer. L3 - http://www.federalreserve.gov/pubs/feds/2010/201059/201059pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146384&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201059/201059pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - General-equilibrium effects of investment tax incentives PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-17 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103211; Publication Type: Working Paper; Update Code: 201005 N2 - This paper develops a new-Keynesian model with nominal depreciation allowances to consider the effects of temporary tax-based investment incentives on capital spending and real activity. In particular, we investigate the effects of a temporary expensing allowance on investment in partial and general equilibrium and challenge the conventional view, advanced by Auerbach and Summers (1979) and Judd (1985), that partial-equilibrium analyses overstate the calculated impact of such policies. We also explore two additional questions. First, we investigate a claim noted by Auerbach and Summers and analyzed by Christiano (1984) that such incentives can be destabilizing. Second, we consider the relative impact of two types of tax-based investment incentives: a temporary partial-expensing allowance and a temporary reduction in capital taxes. L3 - http://www.federalreserve.gov/pubs/feds/2010/201017/201017pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103211&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201017/201017pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AU - Marrone, James AD - Unlisted AD - Unlisted T1 - Granularity adjustment for mark-to-market credit risk models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-37 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115988; Publication Type: Working Paper; Update Code: 201007 N2 - The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however, analytical results have been derived only for simple models of actuarial loss, i.e., credit loss due to default. We demonstrate that the GA is entirely tractable for single-factor versions of a large class of models that includes all the commonly used mark-to-market approaches. Our approach covers both finite ratings-based models and models with a continuum of obligor states. We apply our methodology to CreditMetrics and KMV Portfolio Manager, as these are benchmark models for the finite and continuous classes, respectively. Comparative statics of the GA with respect to model parameters in CreditMetrics reveal striking and counterintuitive patterns. We explain these relationships with a stylized model of portfolio risk. L3 - http://www.federalreserve.gov/pubs/feds/2010/201037/201037pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115988&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201037/201037pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Cai, Fang AU - Scotti, Chiara AD - Unlisted AD - Unlisted AD - Unlisted T1 - Has international financial co-movement changed? Emerging markets in the 2007-2009 financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1006 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140140; Keywords: Stocks--Rate of return; Investments, Foreign; Publication Type: Working Paper; Update Code: 201012 N2 - Emerging market (EM) assets have historically been regarded as inherently risky and particularly vulnerable to international shocks that result in a general increase in investor risk perceptions. In this paper, we assess the ongoing relevance of this view by examining the linkages between EM and non-EM stock and bond markets in the past two decades, with a focus on how these relationships played out during the global financial crisis of 2007-2009. We evaluate how these linkages have evolved over the period 1992-2009, through statistical tests of whether the volatility of EM financial markets changed--either in their response to international shocks originating in advanced economy markets or in their independent fluctuations. We find that over the longer period EM bond and stock prices have on average moved in the same direction as the prices of non-EM risky assets, and this co-movement has persisted. However, these relationships have evolved somewhat over time. Both EM sensitivity to international shocks and EM-specific volatility in EM sovereign bond spreads appear to have decreased over time, consistent with the greater fundamental stability of EM economies and perhaps a reduced inclination by investors to sell off EM assets in response to a rise in risk perceptions. Somewhat in contrast, while an upward trend in co-variation between EM and non-EM stock prices suggests an increasing degree of global market integration, idiosyncratic volatility has declined, consistent with a diminished level of locally-driven risk in these markets. In addition, the response of EM asset prices to the latest financial crisis appears to be moderate in comparison to historical experience. This evidence may reflect reduced EM vulnerability to external shocks in general, which is consistent with some encouraging improvements in the underlying fundamentals of EM economies over the decade preceding the onset of the crisis. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1006/ifdp1006.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140140&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1006/ifdp1006.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mandel, Benjamin R. AD - Unlisted T1 - Heterogeneous firms and import quality: evidence from transaction-level prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 991 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089036; Publication Type: Working Paper; Update Code: 201003 N2 - A key emerging insight in international economics is that the scope for quality differentiation can help to explain patterns in export prices at the level of products or firms. In this paper, a unified theoretical framework of firm heterogeneity in cost and quality is brought to bear on an expansive data set of U.S. import transaction prices collected by the Bureau of Labor Statistics (BLS). The higher moments of the price distribution are used to identify the scope for quality differentiation at the detailed product level; highly differentiated products account for about half of U.S. import value. The product classification is then used to evaluate two claims in the nascent firm-level trade quality literature. First, the positive link between exporter capability and price is found to depend on the nature of the product: productive exporters simultaneously specialize in high-priced varieties in quality differentiated goods and low-priced varieties in more homogeneous goods. Second, a novel time series test documents firm sorting into export markets according to output quality. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/991/ifdp991.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089036&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/991/ifdp991.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - DeMarco, Laurie Pounder AD - Unlisted AD - Unlisted T1 - How did a domestic housing slump turn into a global financial crisis? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 994 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103216; Publication Type: Working Paper; Update Code: 201005 N2 - The global financial crisis clearly started with problems in the U.S. subprime sector and spread across the world from there. But was the direct exposure of foreigners to the U.S. financial system a key driver of the crisis, or did other factors account for its rapid contagion across the world? To answer this question, we assessed whether countries that held large amounts of U.S. mortgage-backed securities (MBS) and were highly dependent on dollar funding experienced a greater degree of financial distress during the crisis. We found little evidence of such "direct contagion" from the United States to abroad. Although CDS spreads generally rose higher and bank stocks generally fell lower in countries with more exposure to U.S. MBS and greater dollar funding needs, these correlations were not robust, and they fail to explain the lion's share of the deterioration in asset prices that took place during the crisis. Accordingly, channels of "indirect contagion" may have played a more important role in the global spread of the crisis: a generalized run on global financial institutions, given the opacity of their balance sheets; excessive dependence on short-term funding; vicious cycles of mark-to-market losses driving fire sales of MBS; the realization that financial firms around the world were pursuing similar (flawed) business models; and global swings in risk aversion. The U.S. subprime crisis, rather than being a fundamental driver of the global crisis, may have been merely a trigger for a global bank run and for disillusionment with a risky business model that already had spread around the world. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/994/ifdp994.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103216&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/994/ifdp994.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Boivin, Jean AU - Kiley, Michael T. AU - Mishkin, Frederic S. AD - Unlisted AD - Unlisted AD - Unlisted T1 - How has the monetary transmission mechanism evolved over time? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-26 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115975; Publication Type: Working Paper; Update Code: 201007 N2 - We discuss the evolution in macroeconomic thought on the monetary policy transmission mechanism and present related empirical evidence. The core channels of policy transmission--the neoclassical links between short-term policy interest rates, other asset prices such as long-term interest rates, equity prices, and the exchange rate, and the consequent effects on household and business demand--have remained steady from early policy-oriented models (like the Penn-MIT-SSRC MPS model) to modern dynamic-stochastic-general-equilibrium (DSGE) models. In contrast, non-neoclassical channels, such as credit-based channels, have remained outside the core models. In conjunction with this evolution in theory and modeling, there have been notable changes in policy behavior (with policy more focused on price stability) and in the reduced form correlations of policy interest rates with activity in the United States. Regulatory effects on credit provision have also changed significantly. As a result, we review the empirical evidence on the changes in the effect of monetary policy actions on real activity and inflation and present new evidence, using both a relatively unrestricted factor-augmented vector autoregression (FAVAR) and a DSGE model. Both approaches yield similar results: Monetary policy innovations have a more muted effect on real activity and inflation in recent decades as compared to the effects before 1980. Our analysis suggests that these shifts are accounted for by changes in policy behavior and the effect of these changes on expectations, leaving little role for changes in underlying private-sector behavior (outside shifts related to monetary policy changes). L3 - http://www.federalreserve.gov/pubs/feds/2010/201026/201026pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115975&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201026/201026pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mandelman, Federico AU - Zlate, Andrei AD - Unlisted AD - Unlisted T1 - Immigration, remittances and business cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 998 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115990; Publication Type: Working Paper; Update Code: 201007 N2 - We use data on border enforcement and macroeconomic indicators from the U.S. and Mexico to estimate a two-country business cycle model of labor migration and remittances. The model matches the cyclical dynamics of labor migration to the U.S. and documents how remittances to Mexico serve an insurance role to smooth consumption across the border. During expansions in the destination economy, immigration increases with the expected stream of future wage gains, but it is dampened by a sunk migration cost that reflects the intensity of border enforcement. During recessions, established migrants are deterred from returning to their country of origin, which places an additional downward pressure on the wage of native unskilled workers. Thus, migration barriers reduce the ability of the stock of immigrant labor to adjust during the cycle, enhancing the volatility of unskilled wages and remittances. We quantify the welfare implications of various immigration policies for the destination economy. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/998/ifdp998.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115990&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/998/ifdp998.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Hebden, James AU - Nunes, Ricardo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Imperfect credibility and the zero lower bound on the nominal interest rate PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1001 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1130068; Keywords: Monetary policy ; Interest rates ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 201009 N2 - When the nominal interest rate reaches its zero lower bound, credibility is crucial for conducting forward guidance. We determine optimal policy in a New Keynesian model when the central bank has imperfect credibility and cannot set the nominal interest rate below zero. In our model, an announcement of a low interest rate for an extended period does not necessarily reflect high credibility. Even if the central bank does not face a temptation to act discretionarily in the current period, policy commitments should not be postponed. In reality, central banks are often reluctant to allow a recovery path with output and inflation temporarily above target. From the perspective of our model such a policy reflects a low degree of credibility. We find increased forecast uncertainty in inflation and the output gap at the zero lower bound while interest rate uncertainty is reduced. Furthermore, misalignments between announced interest rate paths and market expectations are found to be best explained by lack of credibility. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1001/ifdp1001.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1130068&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1001/ifdp1001.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elliehausen, Gregory AD - Unlisted T1 - Implications of behavioral research for the use and regulation of consumer credit products PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-25 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115974; Publication Type: Working Paper; Update Code: 201007 N2 - This paper reviews the behavioral literature on inter-temporal choice and decision making under uncertainty and assesses the evidence on behavioral influences affecting consumers' credit decisions. The evidence reviewed suggests that consumers often do not consider all information available in the market nor deliberately evaluate each alternative. Consumers simplify, take shortcuts, and use heuristics, which may not always be optimal but nevertheless may be an economical means for achieving desired goals. While most economists and psychologists agree that cognitive errors and time inconsistent behavior occur, the extent to which these phenomena impair actual decisions in markets is not at all clear. At this time, neither existing behavioral evidence nor conventional economic evidence supports a general conclusion that consumers' credit decisions are not rational or that markets do not work reasonably well. Empirical evidence suggests that behavioral research can help improve required information disclosures and contribute to more effective regulation, which enhances the performance of markets and improves individual outcomes. L3 - http://www.federalreserve.gov/pubs/feds/2010/201025/201025pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115974&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201025/201025pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shan, Hui AU - Powell, David AD - Unlisted AD - Unlisted T1 - Income taxes, compensating differentials, and occupational choice: how taxes distort the wage-amenity decision PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-04 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089026; Publication Type: Working Paper; Update Code: 201003 N2 - The link between taxes and occupational choices is central for understanding the welfare impacts of income taxes. Just as taxes distort the labor-leisure decision, they also distort the wage-amenity decision. Yet, there are no estimates of the full response on this margin. When tax rates increase, workers favor jobs with lower wages and more non-taxable amenities. We introduce a two-step methodology which uses compensating differentials to characterize the tax elasticity of occupational choice. We estimate a significant compensated elasticity of 0.05, implying that a 10% increase in the net-of-tax rate causes workers to change to a 0.5% higher wage job. L3 - http://www.federalreserve.gov/pubs/feds/2010/201004/201004pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089026&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201004/201004pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nekarda, Christopher J. AU - Ramey, Valerie A. AD - Unlisted AD - Unlisted T1 - Industry evidence on the effects of government spending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-28 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115977; Publication Type: Working Paper; Update Code: 201007 N2 - This paper investigates industry-level effects of government purchases in order to shed light on the transmission mechanism for government spending on the aggregate economy. We begin by highlighting the different theoretical predictions concerning the effects of government spending on industry labor market equilibrium. We then create a panel data set that matches output and labor variables to shifts in industry-specific government demand. The empirical results indicate that increases in government demand raise output and hours, but lower real product wages and productivity. Markups do not change as a result of government demand increases. The results are consistent with the neoclassical model of government spending, but they are not consistent with the New Keynesian model of the effects of government spending. L3 - http://www.federalreserve.gov/pubs/feds/2010/201028/201028pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115977&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201028/201028pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Strum, Brad E. AD - Unlisted T1 - Inflation persistence, backward-looking firms, and monetary policy in an input-output economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-55 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140136; Publication Type: Working Paper; Update Code: 201012 N2 - This paper studies the implications of inflation persistence (generated by backward-looking price setters) for monetary policy in a New Keynesian "input-output" model--a model with sticky prices in both intermediate and final goods sectors. Optimal policy under commitment depends on the degree of inflation persistence in both sectors. Under discretion, speed-limit targeting--targeting the change in the output gap--outperforms price-level and inflation targeting in the presence of inflation persistence. If inflation persistence is low in the intermediate goods sector, price-level targeting outperforms inflation targeting despite high inflation persistence in the final goods sector. L3 - http://www.federalreserve.gov/pubs/feds/2010/201055/201055pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140136&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201055/201055pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iacoviello, Matteo AU - Schiantarelli, Fabio AU - Schuh, Scott AD - Unlisted AD - Unlisted AD - Unlisted T1 - Input and output inventories in general equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1004 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140138; Keywords: Inventories; Business cycles; Publication Type: Working Paper; Update Code: 201012 N2 - We build and estimate a two-sector (goods and services) dynamic stochastic general equilibrium model with two types of inventories: materials (input) inventories facilitate the production of finished goods, while finished goods (output) inventories yield utility services. The model is estimated using Bayesian methods. The estimated model replicates the volatility and cyclicality of inventory investment and inventory-to-target ratios. Although inventories are an important element of the model's propagation mechanism, shocks to inventory efficiency or management are not an important source of business cycles. When the model is estimated over two subperiods (pre and post 1984), changes in the volatility of inventory shocks or in structural parameters associated with inventories, such as the input inventory to output ratio, play a small role in reducing the volatility of output. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1004/ifdp1004.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140138&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1004/ifdp1004.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Gagnon, Etienne AU - Leahy, Mike AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interest on excess reserves as a monetary policy instrument: the experience of foreign central banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 996 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103218; Publication Type: Working Paper; Update Code: 201005 N2 - This paper reviews the experience of eight major foreign central banks with policy interest rates comparable to the interest rate on excess reserves paid by the Federal Reserve. We pursue two main lines of inquiry: 1) To what extent have these policy interest rates been lower bounds for short-term market rates, and 2) to what extent has tightening that included increasing these policy rates been achieved without reliance on reductions in reserves or other deposits held at the central bank? The foreign experience suggests that policy rate floors can be effective lower bounds for market rates, although incomplete access to central bank accounts and interest on them weakens this result. In addition, the foreign experience suggests that tightening by increasing the interest rate paid on central bank balances can help reduce or eliminate the need to drain balances. These results are consistent with theoretical results that show that tightening without draining is possible, irrespective of whether excess reserves are large or small. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/996/ifdp996.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103218&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/996/ifdp996.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Henderson, Dale AU - Kim, Jinill AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interpreting investment-specific technology shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1000 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1130067; Keywords: Business cycles ; Technology - Economic aspects; Publication Type: Working Paper; Update Code: 201009 N2 - Investment-specific technology (IST) shocks are often interpreted as multi-factor productivity (MFP) shocks in a separate investment-producing sector. However, this interpretation is strictly valid only when some stringent conditions are satisfied. Some of these conditions are at odds with the data. Using a two-sector model whose calibration is based on the U.S. Input-Output Tables, we consider the implications of relaxing several of these conditions. In particular, we show how the effects of IST shocks in a one-sector model differ from those of MFP shocks to an investment-producing sector of a two-sector model. Importantly, with a menu of shocks drawn from recent empirical studies, MFP shocks induce a positive short-run correlation between consumption and investment consistent with U.S. data, while IST shocks do not. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1000/ifdp1000.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1130067&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1000/ifdp1000.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Linde, Jesper AD - Unlisted AD - Unlisted T1 - Is there a fiscal free lunch in a liquidity trap? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1003 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140137; Keywords: Monetary policy; Fiscal policy; Liquidity (Economics); Publication Type: Working Paper; Update Code: 201012 N2 - This paper uses a DSGE model to examine the effects of an expansion in government spending in a liquidity trap. If the liquidity trap is very prolonged, the spending multiplier can be much larger than in normal circumstances, and the budgetary costs minimal. But given this "fiscal free lunch," it is unclear why policymakers would want to limit the size of fiscal expansion. Our paper addresses this question in a model environment in which the duration of the liquidity trap is determined endogenously, and depends on the size of the fiscal stimulus. We show that even if the multiplier is high for small increases in government spending, it may decrease substantially at higher spending levels; thus, it is crucial to distinguish between the marginal and average responses of output and government debt. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1003/ifdp1003.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140137&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1003/ifdp1003.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mertens, Elmar AD - Unlisted T1 - Managing beliefs about monetary policy under discretion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-11 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089033; Publication Type: Working Paper; Update Code: 201003 N2 - In models of monetary policy, discretionary policymaking often lacks the ability to manage public beliefs, which explains the theoretical appeal of policy rules and commitment strategies. But as shown in this paper, when a policymaker possesses private information, belief management becomes an integral part of optimal discretion policies and improves their performance.; Solving for optimal policy in a simple New Keynesian model, this paper shows how discretionary losses are reduced when the policymaker has private information. Furthermore, disinflations are pursued more vigorously, when the hidden information problem is larger, even when inflation is partly backward-looking. L3 - http://www.federalreserve.gov/pubs/feds/2010/201011/201011pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089033&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201011/201011pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hall, Anne E. AD - Unlisted T1 - Measuring the return on spending on the Medicare HMO program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-31 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115979; Publication Type: Working Paper; Update Code: 201007 N2 - I estimate the welfare provided by and net costs of the Medicare HMO program in 1999-2002. I measure welfare with a nested logit model of demand for Medicare HMO plans using detailed data on plan benefits. From this, I derive estimates of consumer surplus and find that total welfare provided by the program over the four-year period is about $61 billion (2000 $). I also use data on favorable selection enjoyed by Medicare HMOs to estimate net costs, which total about $21 billion (2000 $). Net welfare therefore totals nearly $40 billion and the return on spending is about 186%. L3 - http://www.federalreserve.gov/pubs/feds/2010/201031/201031pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115979&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201031/201031pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stahl, Jessica C. AD - Unlisted T1 - Mergers and sequential innovation: evidence from patent citations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-12 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089034; Publication Type: Working Paper; Update Code: 201003 N2 - An extensive literature has investigated the effect of market structure on innovation. A persistent concern is that market structure may be endogenous to innovation. Firms may choose to merge so as to capture information spillovers or they may choose to merge so as to dampen competition in innovation. These two scenarios have very different welfare implications. This paper attempts to distinguish between the two scenarios empirically, looking at recent mergers among public companies in the United States. Using patent citation data, I find evidence that firms increase their rate of sequential innovation in the years preceding a merger, and reduce their rate of sequential innovation in the years following a merger. This suggests that mergers are motivated more by the desire to dampen competition than by the desire to capture information spillovers. I use citation-based measures of patent value to shed light on the welfare implications. The question is relevant for policy, as the FTC and DOJ frequently cite innovation as a reason for concern about a merger. L3 - http://www.federalreserve.gov/pubs/feds/2010/201012/201012pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089034&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201012/201012pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Lopez-Salido, David AD - Unlisted AD - Unlisted T1 - Monetary policy and the cyclicality of risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 999 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1130066; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 201009 N2 - We use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. As emphasized by the microfinance literature, variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. We show that the model can account for the mean returns on equity and the risk-free rate, and in line with empirical evidence generates a decline in the equity premium following an unanticipated easing of monetary policy. An important result that emerges from our analysis is that countercyclical monetary policy generates higher average welfare than constant money growth or zero inflation policies. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/999/ifdp999.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1130066&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/999/ifdp999.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCallum, Bennett T. AU - Nelson, Edward AD - Unlisted AD - Unlisted T1 - Money and inflation: some critical issues PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-57 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146382; Publication Type: Working Paper; Update Code: 201101 N2 - We consider what, if any, relationship there is between monetary aggregates and inflation, and whether there is any substantial reason for modifying the current mainstream mode of policy analysis, which frequently does not consider monetary aggregates at all. We begin by considering the body of thought known as the "quantity theory of money." The quantity theory centers on the prediction that there will be a long-run proportionate reaction of the price level to an exogenous increase in the nominal money stock. The nominal homogeneity conditions that deliver the quantity-theory result are the same as those that deliver monetary neutrality, an important principle behind policy formulation. The quantity theory implies a ceteris paribus unitary relationship between inflation and money growth. Simulations of a New Keynesian model suggest that we should expect this relationship to be apparent in time series data, with no heavy averaging or filtering required, but with allowance needed for the phase shift in the relationship between monetary growth rates and inflation. While financial innovation can obscure the relationship between monetary growth and inflation, evidence of a money growth/inflation relationship does emerge from U.S. time series and G7 panel data. Various considerations suggest that studies of inflation and monetary policy behavior can benefit from including both interest rates and money in the empirical analysis. L3 - http://www.federalreserve.gov/pubs/feds/2010/201057/201057pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146382&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201057/201057pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Demiralp, Selva AD - Unlisted AD - Unlisted T1 - Money, reserves, and the transmission of monetary policy: does the money multiplier exist? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-41 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140122; Keywords: Bank reserves; Publication Type: Working Paper; Update Code: 201012 N2 - With the use of nontraditional policy tools, the level of reserve balances has risen significantly in the United States since 2007. Before the financial crisis, reserve balances were roughly $20 billion whereas the level has risen well past $1 trillion. The effect of reserve balances in simple macroeconomic models often comes through the money multiplier, affecting the money supply and the amount of bank lending in the economy. Most models currently used for macroeconomic policy analysis, however, either exclude money or model money demand as entirely endogenous, thus precluding any causal role for reserves and money. Nevertheless, some academic research and many textbooks continue to use the money multiplier concept in discussions of money. We explore the institutional structure of the transmission mechanism beginning with open market operations through to money and loans. We then undertake empirical analysis of the relationship among reserve balances, money, and bank lending. We use aggregate as well as bank-level data in a VAR framework and document that the mechanism does not work through the standard multiplier model or the bank lending channel. In particular, if the level of reserve balances is expected to have an impact on the economy, it seems unlikely that a standard multiplier story will explain the effect. L3 - http://www.federalreserve.gov/pubs/feds/2010/201041/201041pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140122&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201041/201041pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elliehausen, Gregory AU - Hwang, Min AD - Unlisted AD - Unlisted T1 - Mortgage contract choice in subprime mortgage markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-53 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140133; Publication Type: Working Paper; Update Code: 201012 N2 - The boom in the subprime mortgage market yielded many loans with high LTV ratios. From a large proprietary database on subprime mortgages, we find that choice of mortgage rate type is not linear in loan sizes. A fixed rate mortgage contract is a popular choice when loan size, measured by LTV ratio, is small. As LTV ratio increases, borrowers become more likely to choose adjustable rate mortgage contracts. However, when LTV reaches a certain level, borrowers start to switch back to fixed rate contracts. For these high LTV loans, fixed rate mortgages dominate borrowers' choices. We present a very simple model that explains this "nonlinear" pattern in mortgage instrument choice. The model shows that the choice of mortgage rate type depends on two opposing effects: a "term structure" effect and an "interest rate volatility" effect. When the loan size is small, the term structure effect dominates: rising LTV ratios making ARM loans less costly, and more attractive. However, when the loan size is large enough, the interest volatility effect dominates: rising LTV ratios making FRM loans less costly and preferable. We present strong empirical evidence in support of the model predictions. L3 - http://www.federalreserve.gov/pubs/feds/2010/201053/201053pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140133&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201053/201053pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durdu, Ceyhun Bora AU - Nunes, Ricardo AU - Sapriza, Horacio AD - Unlisted AD - Unlisted AD - Unlisted T1 - News and sovereign default risk in small open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 997 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115989; Publication Type: Working Paper; Update Code: 201007 N2 - This paper builds a model of sovereign debt in which default risk, interest rates, and debt depend not only on current fundamentals but also on news about future fundamentals. News shocks affect equilibrium outcomes because they contain information about the future ability of the government to repay its debt. First, in the model with news shocks not all defaults occur in bad times, bringing the model closer to the data. Second, the news shocks help account for key differences between emerging markets and developed economies: as the precision of the news improves the model predicts lower variability of consumption, less countercyclical trade balance and interest rate spreads, as well as a higher level of debt more in line with the characteristics of developed economies. Finally, the model also captures the hump-shaped relationship between default rates and the precision of news obtained from the data. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/997/ifdp997.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115989&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/997/ifdp997.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zlate, Andrei AD - Unlisted T1 - Offshore production and business cycle dynamics with heterogeneous firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 995 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103217; Publication Type: Working Paper; Update Code: 201005 N2 - Cross-country variation in production costs encourages the relocation of production facilities to other countries, a process known as offshoring through vertical foreign direct investment. I examine the effect of offshoring on the international transmission of business cycles. Unlike the existing macroeconomic literature, I distinguish between fluctuations in the number of offshoring firms (the extensive margin) and in the value added per offshoring firm (the intensive margin) as separate transmission mechanisms. The firms' decision to produce offshore depends on the firm-specific level of labor productivity, on fluctuations in the relative cost of effective labor, and on the fixed and trade costs of offshoring. The model replicates the procyclical pattern of offshoring and the dynamics along its two margins, which I document using data from U.S. manufacturing and Mexico's maquiladora sectors. Offshoring enhances the synchronization of business cycles, and dampens the real exchange rate appreciation generated by aggregate productivity differentials across countries. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/995/ifdp995.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103217&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/995/ifdp995.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Houseman, Susan AU - Kurz, Christopher AU - Lengermann, Paul AU - Mandel, Benjamin AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Offshoring bias in U.S. manufacturing: implications for productivity and value added PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1007 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140141; Keywords: Contracting out; Publication Type: Working Paper; Update Code: 201012 N2 - The rapid growth of offshoring has sparked a contentious debate over its impact on the U.S. manufacturing sector, which has recorded steep employment declines yet strong output growth--a fact reconciled by the notable gains in manufacturing productivity. We maintain, however, that the dramatic acceleration of imports from developing countries has imparted a significant bias to the official statistics. In particular, the price declines associated with the shift to low-cost foreign suppliers are generally not captured in input cost and import price indexes. Although cost savings are a primary driver of the shift in sourcing to foreign suppliers, the price declines associated with offshoring are not systematically observed; this is the essence of the measurement problem. To gauge the magnitude of these discounts, we draw on a variety of evidence from import price microdata from the Bureau of Labor Statistics, industry case studies, and the business press. To assess the implications of offshoring bias for manufacturing productivity and value added, we implement the bias correction developed by Diewert and Nakamura (2009) to the input price index in a growth accounting framework, using a variety of assumptions about the magnitude of the discounts from offshoring. We find that from 1997 to 2007 average annual multifactor productivity growth in manufacturing was overstated by 0.1 to 0.2 percentage point and real value added growth by 0.2 to 0.5 percentage point. Furthermore, although the bias from offshoring represents a relatively small share of real value added growth in the computer and electronic products industry, it may have accounted for a fifth to a half of the growth in real value added in the rest of manufacturing. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1007/ifdp1007.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140141&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1007/ifdp1007.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Guerrieri, Luca AU - Gust, Christopher AD - Unlisted AD - Unlisted AD - Unlisted T1 - Oil shocks and the zero bound on nominal interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1009 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140143; Keywords: Petroleum products--Prices; Petroleum industry and trade; Publication Type: Working Paper; Update Code: 201012 N2 - Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from an oil price increase lowers real interest rates at the ZLB and stimulates the interest-sensitive component of GDP, offsetting the usual contractionary effects. In fact, if the increase in oil prices is gradual, the persistent rise in inflation can cause a GDP expansion. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1009/ifdp1009.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140143&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1009/ifdp1009.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Output gaps PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-27 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115976; Publication Type: Working Paper; Update Code: 201007 N2 - What is the output gap? There are many definitions in the economics literature, all of which have a long history. I discuss three alternatives: the deviation of output from its long-run stochastic trend (i.e., the "Beveridge-Nelson cycle"); the deviation of output from the level consistent with current technologies and normal utilization of capital and labor input (i.e., the "production-function approach"); and the deviation of output from "flexible-price" output (i.e., its "natural rate"). Estimates of each concept are presented from a dynamic-stochastic-general-equilibrium (DSGE) model of the U.S. economy used at the Federal Reserve Board. Four points are emphasized: The DSGE model's estimate of the Beveridge-Nelson gap is very similar to gaps from policy institutions, but the DSGE model's estimate of potential growth has a higher variance and substantially different covariance with GDP growth; the natural rate concept depends strongly on model assumptions and is not designed to guide nominal interest rate movements in "Taylor" rules in the same way as the other measures; the natural rate and production function trends converge to the Beveridge-Nelson trend; and the DSGE model's estimate of the Beveridge-Nelson gap is as closely related to unemployment fluctuations as those from policy institutions and has more predictive ability for inflation. L3 - http://www.federalreserve.gov/pubs/feds/2010/201027/201027pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115976&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201027/201027pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pykhtin, Michael AU - Rosen, Dan AD - Unlisted AD - Unlisted T1 - Pricing counterparty risk at the trade level and CVA allocations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-10 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089032; Publication Type: Working Paper; Update Code: 201003 N2 - We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty's default. We propose a methodology for calculating conditional EE contributions for both collateralized and non-collateralized counterparties. Calculation of EE contributions can be easily incorporated into exposure simulation processes that already exist in a financial institution. We also derive closed-form expressions for EE contributions under the assumption that trade values are normally distributed. Analytical results are obtained for the case when the trade values and the counterparty's credit quality are independent as well as when there is a dependence between them (wrong-way risk). L3 - http://www.federalreserve.gov/pubs/feds/2010/201010/201010pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089032&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201010/201010pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AD - Unlisted T1 - Real-time model uncertainty in the United States: 'Robust' policies put to the test PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-15 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103209; Publication Type: Working Paper; Update Code: 201005 N2 - I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for policymakers in that key model properties differ in important ways across model vintages. Then I show that the parameterization of optimized simple policy rule--rules that are intended to be robust with respect to model uncertainty--also differ substantially across model vintages. Included in the set of rules are rules that eschew feedback on the output gap, rules that target nominal income growth, and rules that allow for time variation in the equilibrium real interest rate. I find that many rules, which previous research has shown to be robust in artificial economies, would have failed to provide adequate stabilization in the real-time, real-world environment seen by the Fed staff. However, I do identify certain policy rules that would have performed relatively well, and I characterize the key features of those rules to draw more general lessons about the design of monetary policy under model uncertainty. L3 - http://www.federalreserve.gov/pubs/feds/2010/201015/201015pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103209&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201015/201015pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mertens, Elmar AD - Unlisted T1 - Structural shocks and the comovements between output and interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-21 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115970; Publication Type: Working Paper; Update Code: 201007 N2 - Stylized facts on U.S. output and interest rates have so far proved hard to match with DSGE models. But model predictions hinge on the joint specification of economic structure and a set of driving processes. In a model, different shocks often induce different comovements, such that the overall pattern depends as much on the specified transmission mechanisms from shocks to outcomes, as well as on the composition of these driving processes. I estimate covariances between output, nominal and real interest rate conditional on several shocks, since such evidence has largely been lacking in previous discussions of the output-interest rate puzzle. Conditional on shocks to neutral technology and monetary policy, the results square with simple models, like the standard RBC model or a textbook version of the New Keynesian model. In addition, news about future productivity help to explain the overall counter-cyclical behavior of the real rate. A sub-sample analysis documents also interesting changes in these pattern. During the Great Inflation (1959-1979), permanent shocks to inflation accounted for the counter-cyclical behavior of the real rate and its inverted leading indicator property. Over the Great Moderation (1982-2006), neutral technology shocks were more dominant in explaining comovements between output and interest rates, and the real rate has been pro-cyclical. L3 - http://www.federalreserve.gov/pubs/feds/2010/201021/201021pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115970&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201021/201021pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Raffo, Andrea AD - Unlisted T1 - Technology shocks: novel implications for international business cycles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 992 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089037; Publication Type: Working Paper; Update Code: 201003 N2 - Understanding the joint dynamics of international prices and quantities remains a central issue in international business cycles. International relative prices appreciate when domestic consumption and output increase more than their foreign counterparts. In addition, both trade flows and trade prices display sizable volatility. This paper incorporates Hicks-neutral and investment-specific technology shocks into a standard two-country general equilibrium model with variable capacity utilization and weak wealth effects on labor supply. Investment-specific technology shocks introduce a source of fluctuations in absorption similar to taste shocks, thus reconciling theory and data. The paper also presents implications for the transmission mechanism of technology shocks across countries and for the Barro and King (1984) critique of investment shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/992/ifdp992.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089037&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/992/ifdp992.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pooter, Michiel De AU - Ravazzolo, Francesco AU - van Dijk, Dick AD - Unlisted AD - Unlisted AD - Unlisted T1 - Term structure forecasting using macro factors and forecast combination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 993 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103215; Publication Type: Working Paper; Update Code: 201005 N2 - We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S. interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our results confirm and extend results found in previous literature that adding macroeconomic information, through factors extracted from a large number of individual series, tends to improve interest rate forecasts. We then show, however, that the predictive power of individual models varies over time significantly. Models with macro factors are the more accurate in and around recession periods. Models without macro factors do particularly well in low-volatility subperiods such as the late 1990s. We demonstrate that this problem of model uncertainty can be mitigated by combining individual model forecasts. Combining forecasts leads to encouraging gains in predictability, especially for longer-dated maturities, and importantly, these gains are consistent over time. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/993/ifdp993.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103215&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/993/ifdp993.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont K. AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted AD - Unlisted T1 - The bank lending channel of monetary policy and its effect on mortgage lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-39 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115986; Publication Type: Working Paper; Update Code: 201007 N2 - The bank lending channel of monetary policy suggests that banks play a special role in the transmission of monetary policy. We look for this special role by examining the business strategies of banks as it relates to mortgage funding and mortgage lending. "Traditional banks" have a large supply of excess core deposits and specialize in information-intensive lending to borrowers (which is proxied here using mortgage lending in subprime communities), whereas "market-based banks" are funded with managed liabilities and mainly lend to relatively easy-to-evaluate borrowers. We predict that only "transition banks" operating between these business strategies are likely to increase their loan rate spreads substantially in response to monetary tightening. To fund ongoing mortgage originations, these banks must substitute from core deposits to managed liabilities, which have a large external finance premium due to these banks' information-intensive lending. Consistent with this prediction, we find evidence of a bank lending channel only among transition banks--they significantly reduce mortgage lending in response to monetary contractions. L3 - http://www.federalreserve.gov/pubs/feds/2010/201039/201039pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115986&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201039/201039pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Autor, David AU - Manning, Alan AU - Smith, Christopher L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The contribution of the minimum wage to U.S. wage inequality over three decades: a reassessment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-60 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146385; Publication Type: Working Paper; Update Code: 201101 N2 - We reassess the effect of state and federal minimum wages on U.S. earnings inequality, attending to two issues that appear to bias earlier work: violation of the assumed independence of state wage levels and state wage dispersion, and errors-in-variables that inflate impact estimates via an analogue of the well known division bias problem. We find that erosion of the real minimum wage raises inequality in the lower tail of the wage distribution (the 50/10 wage ratio), but the impacts are typically less than half as large as those reported in the literature and are almost negligible for males. Nevertheless, the estimated effects of the minimum wage on points of the wage distribution extend to wage percentiles where the minimum is nominally non-binding, implying spillovers. We structurally estimate these spillovers and show that their relative importance grows as the nominal minimum wage becomes less binding. Subsequent analysis underscores, however, that spillovers and measurement error (absent spillovers) have similar implications for the effect of the minimum on the shape of the lower tail of the measured wage distribution. With available precision, we cannot reject the hypothesis that estimated spillovers to non-binding percentiles are due to reporting artifacts. Accepting this null, the implied effect of the minimum wage on the actual wage distribution is smaller than the effect of the minimum wage on the measured wage distribution. L3 - http://www.federalreserve.gov/pubs/feds/2010/201060/201060pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146385&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201060/201060pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Keys, Benjamin J. AD - Unlisted T1 - The credit market consequences of job displacement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-24 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115973; Publication Type: Working Paper; Update Code: 201007 N2 - This paper demonstrates the important role of job displacement in the household bankruptcy decision. I develop a dynamic, forward-looking model of unemployment and bankruptcy where persistent negative income shocks increase a household's likelihood of filing for bankruptcy both immediately and in the future. Consistent with the model's predictions, I find that households in the NLSY are 2.5 times more likely to file for bankruptcy in the year immediately following a job loss, at a rate of an additional 10 bankruptcies per 1000 job losses. Heightened bankruptcy risk then declines in magnitude but persists for two to three years. Aggregate patterns in job loss and bankruptcy are also consistent with the micro model. Using county-level data, I similarly find that 1000 job losses are associated with 8 to 11 bankruptcies and that the effects also last two to three years. In addition, the loss of a manufacturing job, a proxy for a more persistent separation, is three times more likely to lead to bankruptcy than the loss of a non-manufacturing job. The results suggest that even relatively brief unemployment spells can have significant long-term consequences on households' credit market outcomes. L3 - http://www.federalreserve.gov/pubs/feds/2010/201024/201024pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115973&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201024/201024pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCabe, Patrick E. AD - Unlisted T1 - The cross section of money market fund risks and financial crises PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-51 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140132; Keywords: Money market funds; Mutual funds; Asset-backed financing; Publication Type: Working Paper; Update Code: 201012 N2 - This paper examines the relationship between money market fund (MMF) risks and outcomes during crises, with a focus on the ABCP crisis in 2007 and the run on money funds in 2008. I analyze three broad types of MMF risks: portfolio risks arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on MMFs in September and October 2008, outflows were larger for MMFs that had previously exhibited greater degrees of all three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered capital losses, but investor flows were relatively unresponsive to risks, probably because investors correctly believed that sponsors would absorb the losses. However, the consequences of MMF risks were quite costly for some sponsors: Using a unique data set of sponsor interventions, I show that sponsor financial support was more likely for MMFs that previously earned higher gross yields (a measure of portfolio risk) and funds with bank-affiliated sponsors. Funds' gross yields and bank affiliation (but not funds' ratings) also would have helped forecast holdings of distressed ABCP. This paper provides some useful lessons for investors and policymakers. The significance of MMF risks in predicting poor outcomes in past crises highlights the importance of monitoring such risks, and I offer some useful proxies for doing so. The paper also argues for greater attention to the systemic risks posed by the industry's reliance on discretionary sponsor support. L3 - http://www.federalreserve.gov/pubs/feds/2010/201051/201051pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140132&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201051/201051pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AU - Dokko, Jane AU - Shan, Hui AD - Unlisted AD - Unlisted AD - Unlisted T1 - The depth of negative equity and mortgage default decisions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-35 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115984; Publication Type: Working Paper; Update Code: 201007 N2 - A central question in the literature on mortgage default is at what point underwater homeowners walk away from their homes even if they can afford to pay. We study borrowers from Arizona, California, Florida, and Nevada who purchased homes in 2006 using non-prime mortgages with 100 percent financing. Almost 80 percent of these borrowers default by the end of the observation period in September 2009. After distinguishing between defaults induced by job losses and other income shocks from those induced purely by negative equity, we find that the median borrower does not strategically default until equity falls to -62 percent of their home's value. This result suggests that borrowers face high default and transaction costs. Our estimates show that about 80 percent of defaults in our sample are the result of income shocks combined with negative equity. However, when equity falls below -50 percent, half of the defaults are driven purely by negative equity. Therefore, our findings lend support to both the "double-trigger" theory of default and the view that mortgage borrowers exercise the implicit put option when it is in their interest. L3 - http://www.federalreserve.gov/pubs/feds/2010/201035/201035pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115984&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201035/201035pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghironi, Fabio AU - Stebunovs, Viktors AD - Boston College AD - Board of Governors of the Federal Reserve System T1 - The Domestic and International Effects of Interstate U.S. Banking PB - Boston College Department of Economics, Boston College Working Papers in Economics: 765 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1146082; Keywords: Business cycle volatility; Current account; Deregulation; Interstate banking; Producer entry; Real exchange rate; Publication Type: Working Paper; Update Code: 201101 N2 - This paper studies the domestic and international effects of the transition to an interstate banking system implemented by the U.S. since the late 1970s in a dynamic, stochastic, general equilibrium model with endogenous producer entry. Interstate banking reduces the degree of local monopoly power of financial intermediaries. We show that the an economy that implements this form of deregulation experiences increased producer entry, real exchange rate appreciation, and a current account deficit. The rest of the world experiences a long-run increase in GDP and consumption. Less monopoly power in financial intermediation results in less volatile business creation, reduced markup countercyclicality, and weaker substitution effects in labor supply in response to productivity shocks. Bank market integration thus contributes to a moderation of firm-level and aggregate output volatility. In turn, trade and financial ties between the two countries in our model allow also the foreign economy to enjoy lower GDP volatility in most scenarios we consider. The results of the model are consistent with features of the U.S. and international business cycle after the U.S. began its transition to interstate banking. KW - Business Fluctuations; Cycles E32 KW - Current Account Adjustment; Short-term Capital Movements F32 KW - Open Economy Macroeconomics F41 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://fmwww.bc.edu/EC-P/WP765.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1146082&site=ehost-live&scope=site UR - http://fmwww.bc.edu/EC-P/WP765.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Molloy, Raven AU - Shan, Hui AD - Unlisted AD - Unlisted T1 - The effect of gasoline prices on household location PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-36 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115987; Publication Type: Working Paper; Update Code: 201007 N2 - Gasoline prices influence where households decide to locate by changing the cost of commuting. Consequently, the substantial increase in gas prices since 2003 may have reduced the demand for housing in areas far from employment centers, leading to a decrease in the price and/or quantity of housing in those locations relative to locations closer to jobs. Using annual panel data on ZIP codes and municipalities in a large number of metropolitan areas of the United States from 1981 to 2008, we find that a 10 percent increase in gas prices leads to a 10 percent decrease in construction after 4 years in locations with a long average commute relative to locations closer to jobs, but to no significant change in house prices. Thus, the supply response may prevent the change in housing demand from capitalizing in house prices. Because housing is durable, the resulting change in construction has a long-lived impact on the spatial distribution of housing units. L3 - http://www.federalreserve.gov/pubs/feds/2010/201036/201036pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115987&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201036/201036pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Edge, Rochelle M. AD - Unlisted AD - Unlisted T1 - The effects of bank capital on lending: what do we know, and what does it mean? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-44 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140125; Keywords: Bank capital; Bank loans; Publication Type: Working Paper; Update Code: 201012 N2 - The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. We use panel-regression techniques--following Bernanke and Lown (1991) and Hancock and Wilcox (1993, 1994)--to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. We then consider the effect of capital ratios on lending using a variant of Lown and Morgan's (2006) VAR model, and again find modest effects of bank capital ratio changes on lending. These results are in marked contrast to estimates obtained using simple empirical relations between aggregate commercial-bank assets and leverage growth, which have recently been very influential in shaping forecasters' and policymakers' views regarding the effects of bank capital on loan growth. Our estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments. L3 - http://www.federalreserve.gov/pubs/feds/2010/201044/201044pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140125&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201044/201044pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moore, Kevin B. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted T1 - The finances of American households in the past three recessions: evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-06 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089028; Publication Type: Working Paper; Update Code: 201003 N2 - The downturn in economic activity in the U.S. that began in December 2007 (as determined by researchers with the National Bureau of Economic Research) has been noticeably deeper and has already lasted considerably longer than the prior two recessions--those beginning in July 1990 and in March 2001. In addition, a key difference between the current and the past two recessions is the extent to which consumer spending and residential investment have dropped since late 2007--that is, the extent to which the household sector appears to have "led" the drop in aggregate economic activity in this recession. This paper uses household-level data from the Federal Reserve Board's series of Surveys of Consumer Finances to document three factors that appear to have contributed to greater financial stress in the household sector in the current downturn compared with the prior two: 1) substantial and widespread reductions in home values that resulted in sizable erosions of home equity and net worth for many homeowners; 2) markedly expanded holdings of corporate equity among middle-income households which lost significant market value, on net, as stock prices sunk; and, 3) greater debt on household balance sheets and overall financial vulnerability around the onset of the 2008-09 recession, particularly for those in the middle of the income distribution. L3 - http://www.federalreserve.gov/pubs/feds/2010/201006/201006pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089028&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201006/201006pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Li, Dan AD - Unlisted AD - Unlisted T1 - The fragility of discretionary liquidity provision--lessons from the collapse of the auction rate securities market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-50 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140131; Keywords: Securities; Auctions; Municipal bonds; Liquidity (Economics); Publication Type: Working Paper; Update Code: 201012 N2 - We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing inventory pressure, they stopped making markets. Moreover, the drop in support occurred suddenly, apparently triggered by the unexpected withdrawal of one major broker-dealer. L3 - http://www.federalreserve.gov/pubs/feds/2010/201050/201050pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140131&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201050/201050pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron AU - Molloy, Raven AU - Shan, Hui AD - Unlisted AD - Unlisted AD - Unlisted T1 - The housing crisis and state and local government tax revenue: five channels PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-49 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140130; Keywords: Real property and taxation; Income tax; Publication Type: Working Paper; Update Code: 201012 N2 - State and local government tax revenues dropped steeply following the most severe housing market contraction since the Great Depression. We identify five main channels through which the housing market affects state and local tax revenues: property tax revenues, transfer tax revenues, sales tax revenues (including a direct effect through construction materials and an indirect effect through the link between housing wealth and consumption), and personal income tax revenues. We find that property tax revenues do not tend to decrease following house price declines. We conclude that the resilience of property tax receipts is due to significant lags between market values and assessed values of housing and the tendency of policy makers to offset declines in the tax base with higher tax rates. The other four channels have had a relatively modest effect on state tax revenues. We calculate that these channels jointly reduced tax revenues by $15 billion from 2005 to 2009, which is about 2 percent of total state own-source revenues in 2005. We conclude that the recent contraction in state and local tax revenues has been driven primarily by the general economic recession, rather than the housing market per-se. L3 - http://www.federalreserve.gov/pubs/feds/2010/201049/201049pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140130&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201049/201049pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smith, Christopher L. AD - Unlisted T1 - The impact of low-skilled immigration on the youth labor market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-03 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089025; Publication Type: Working Paper; Update Code: 201003 N2 - The employment-to-population rate of high-school aged youth has fallen by about 20 percentage points since the late 1980s. The human capital implications of this decline depend on the reasons behind it. In this paper, I demonstrate that growth in the number of less-educated immigrants may have considerably reduced youth employment rates. This finding stands in contrast to previous research that generally identifies, at most, a modest negative relationship across states or cities between immigration levels and adult labor market outcomes. At least two factors are at work: there is greater overlap between the jobs that youth and less-educated adult immigrants traditionally do, and youth labor supply is more responsive to immigration-induced changes in their wage. Despite a slight increase in schooling rates in response to immigration, I find little evidence that reduced employment rates are associated with higher earnings ten years later in life. This raises the possibility that an immigration-induced reduction in youth employment, on net, hinders youths' human capital accumulation. L3 - http://www.federalreserve.gov/pubs/feds/2010/201003/201003pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089025&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201003/201003pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dobrev, Dobrislav AU - Szerszen, Pawel AD - Unlisted AD - Unlisted T1 - The information content of high-frequency data for estimating equity return models and forecasting risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1005 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140139; Keywords: Stocks--Rate of return; Economic forecasting; Publication Type: Working Paper; Update Code: 201012 N2 - We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few months ahead when taking also into account parameter uncertainty. As a practical rule of thumb, we find that two years of high frequency data often suffice to obtain the same level of precision as twenty years of daily data, thereby making our approach particularly useful in finance applications where only short data samples are available or economically meaningful to use. Moreover, we find that compared to model inference without high-frequency data, our approach largely eliminates underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR forecast accuracy on simulated data and provide an empirical illustration on stock returns during the financial crisis of 2007-2008. L3 - http://www.federalreserve.gov/pubs/ifdp/2010/1005/ifdp1005.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140139&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2010/1005/ifdp1005.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dobrev, Dobrislav P. AU - Szerszen, Pawel J. AD - Unlisted AD - Unlisted T1 - The information content of high-frequency data for estimating equity return models and forecasting risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-45 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140126; Keywords: Stocks--Rate of return; Economic forecasting; Publication Type: Working Paper; Update Code: 201012 N2 - We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few months ahead when taking also into account parameter uncertainty. As a practical rule of thumb, we find that two years of high frequency data often suffice to obtain the same level of precision as twenty years of daily data, thereby making our approach particularly useful in finance applications where only short data samples are available or economically meaningful to use. Moreover, we find that compared to model inference without high-frequency data, our approach largely eliminates underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR forecast accuracy on simulated data and provide an empirical illustration on stock returns during the financial crisis of 2007-2008. L3 - http://www.federalreserve.gov/pubs/feds/2010/201045/201045pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140126&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201045/201045pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bech, Morten L. AU - Klee, Elizabeth AD - Unlisted AD - Unlisted T1 - The mechanics of a graceful exit: interest on reserves and segmentation in the federal funds market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-07 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089029; Publication Type: Working Paper; Update Code: 201003 N2 - To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds rate began to deviate from the target rate set by the Federal Open Market Committee. In response, the Federal Reserve revised its operational framework for implementing monetary policy and began to pay interest on reserve balances in an attempt to provide a floor for the federal funds rate. Nevertheless, following the policy change, the effective federal funds rate remained below not only the target but also the rate paid on reserve balances. We develop a model to explain this phenomenon and use data from the federal funds market to evaluate it empirically. In turn, we show how successful the Federal Reserve may be in raising the federal funds rate even in an environment with substantial reserve balances. L3 - http://www.federalreserve.gov/pubs/feds/2010/201007/201007pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089029&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201007/201007pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tutino, Antonella AD - Unlisted T1 - The rigidity of labor: processing savings and work decisions through Shannon's channels PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-02 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089024; Publication Type: Working Paper; Update Code: 201003 N2 - This paper argues that constraining people to choose consumption and labor under finite Shannon capacity produces results in line with U.S. business cycle data. My model has a simple partial equilibrium setting in which risk averse consumers keep high labor supply and low consumption profile at early stage of life to hedge against wealth fluctuations. They rationally choose to keep consumption and labor unchanged until they collect enough information. I find that at high frequency consumption appears to be more sluggish than labor supply. However, when people decide to change consumption they do so by a large amount. This combination leads to higher variance of consumption with respect to labor supply. My model also finds high persistence and strong comovement of consumption and employment and delayed response of consumption and labor with respect to wealth. Furthermore, my framework generates endogenously a wedge between marginal rate of substitution and marginal rate of transformation or wages. Such wedge is bigger and more volatile the lower information flow. These findings suggest that rational inattention offers a promising avenue to bridge the gap between theory and U.S. business cycle data. L3 - http://www.federalreserve.gov/pubs/feds/2010/201002/201002pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089024&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201002/201002pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bricker, Jesse AU - Cortes, Kalena AU - Rohlfs, Chris AD - Unlisted AD - Unlisted AD - Unlisted T1 - The role of specific subjects in education production functions: evidence from morning classes in Chicago public high schools PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-33 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1115982; Publication Type: Working Paper; Update Code: 201007 N2 - Absences in Chicago Public High Schools are 3-7 days per year higher in first period than at other times of the day. This study exploits this empirical regularity and the essentially random variation between students in the ordering of classes over the day to measure how the returns to classroom learning vary by course subject, and how much attendance in one class spills over into learning in other subjects. We find that having a class in first period reduces grades in that course and has little effect on long-term grades or grades in related subjects. We also find moderately-sized negative effects of having a class in first period on test scores in that subject and in related subjects, particularly for math classes. L3 - http://www.federalreserve.gov/pubs/feds/2010/201033/201033pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1115982&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201033/201033pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - Kim, Don H. AU - Wei, Min AD - Unlisted AD - Unlisted AD - Unlisted T1 - Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-19 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103213; Publication Type: Working Paper; Update Code: 201005 N2 - TIPS breakeven inflation rate, defined as the difference between nominal and TIPS yields of comparable maturities, is potentially useful as a real-time measure of market inflation expectations. In this paper, we provide evidence that a fairly large TIPS liquidity premium existed until recently, using a multifactor no-arbitrage term structure model estimated with nominal and TIPS yields, inflation and survey forecasts of interest rates. Ignoring the TIPS liquidity premiums leads to counterintuitive implications for inflation expectations and inflation risk premium, and produces large pricing errors for TIPS. In contrast, models incorporating a TIPS liquidity factor generate much better fit for these variables and reveal a TIPS liquidity premium that was until recently quite large (~1%) but has come down in recent years, consistent with the common perception that TIPS market grew and liquidity conditions improved. Our results indicate that after taking proper account of the liquidity conditions in the TIPS market, the movement in TIPS breakeven inflation rate can provide useful information for identifying real yields, expected inflation and inflation risk premium. L3 - http://www.federalreserve.gov/pubs/feds/2010/201019/201019pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103213&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201019/201019pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anderson, Gary S. AU - Kim, Jinill AU - Yun, Tack AD - Unlisted AD - Unlisted AD - Unlisted T1 - Using a projection method to analyze inflation bias in a micro-founded model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-18 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103212; Publication Type: Working Paper; Update Code: 201005 N2 - Since Kydland and Prescott (1977) and Barro and Gordon (1983), most studies of the problem of the inflation bias associated with discretionary monetary policy have assumed a quadratic loss function. We depart from the conventional linear-quadratic approach to the problem in favor of a projection method approach. We investigate the size of the inflation bias that arises in a microfounded nonlinear environment with Calvo price setting. The inflation bias is found to lie between 1% and 6% for a reasonable range of parameter values, when the bias is defined as the steady-state deviation of the discretionary inflation rate from the optimal inflation rate under commitment. L3 - http://www.federalreserve.gov/pubs/feds/2010/201018/201018pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103212&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201018/201018pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Hao AD - Unlisted T1 - Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-14 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1103208; Publication Type: Working Paper; Update Code: 201005 N2 - This paper presents predictability evidence from the difference between implied and expected variances or variance risk premium that: (1) the variance difference measure predicts a significant positive risk premium across equity, bond, and credit markets; (2) the predictability is short-run, in that it peaks around one to four months and dies out as the horizon increases; and (3) such a short-run predictability is complementary to that of the standard predictor variables--P/E ratio, forward spread, and short rate. These findings are potentially justifiable by a general equilibrium model with recursive preference that incorporates stochastic economic uncertainty. Calibration evidence suggests that such a framework is capable of reproducing the variance premium dynamics, especially its high skewness and kurtosis, without introducing jumps. The calibrated model can also qualitatively explain the equity premium puzzle and the bond risk premia in short horizons. L3 - http://www.federalreserve.gov/pubs/feds/2010/201014/201014pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1103208&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201014/201014pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AU - Figura, Andrew AD - Unlisted AD - Unlisted T1 - What drives movements in the unemployment rate? a decomposition of the Beveridge curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2010-48 Y1 - 2010/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1140129; Keywords: Unemployment; Publication Type: Working Paper; Update Code: 201012 N2 - This paper presents a framework to interpret movements in the Beveridge curve and analyze unemployment fluctuations. We decompose the unemployment rate into three main components: (1) a component driven by changes in labor demand--movements along the Beveridge curve and shifts in the Beveridge curve due to layoffs--(2) a component driven by changes in labor supply--shifts in the Beveridge curve due to quits, movements in-and-out of the labor force and demographics--and (3) a component driven by changes in the efficiency of matching unemployed workers to jobs. We find that cyclical movements in unemployment are dominated by changes in labor demand, but that changes in labor supply due to movements in-and-out of the labor force also play an important role. Further, cyclical changes in labor demand lead cyclical changes in labor supply. Changes in matching efficiency generally play a small role but can decline substantially in recessions. At low-frequencies, labor demand displays no trend, and changes in labor supply explain virtually all of the secular trend in unemployment since 1976. L3 - http://www.federalreserve.gov/pubs/feds/2010/201048/201048pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1140129&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2010/201048/201048pap.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Correa, Ricardo T1 - Cross-Border Bank Acquisitions: Is there a Performance Effect? JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2009/12// VL - 36 IS - 2/3 M3 - Article SP - 169 EP - 197 SN - 09208550 AB - This paper uses a unique database that includes deal and bank balance sheet information for 220 cross-border acquisitions between 1996 and 2003 to analyze the characteristics and performance effects of international takeovers on target banks. A discrete choice estimation shows that banks are more likely to get acquired in a cross-border deal if they are large, bad performers, in a small country, and when the banking sector is concentrated. Post-acquisition performance for target banks does not improve in the first 2 years relative to domestically-owned financial institutions. This result is explained by a decrease in the banks’ net interest margin in developed countries and an increase in overhead costs in emerging economies. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK mergers KW - FINANCIAL performance KW - BANKING industry KW - FINANCE KW - DISCRETE choice models KW - ESTIMATION theory KW - CROSS border transactions KW - FINANCIAL institutions KW - International banking KW - Mergers and acquisitions KW - Performance N1 - Accession Number: 44487258; Correa, Ricardo 1; Email Address: ricardo.correa@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and C Street, N.W., Mailstop 44, Washington, DC, 20551, USA; Issue Info: Dec2009, Vol. 36 Issue 2/3, p169; Thesaurus Term: BANK mergers; Thesaurus Term: FINANCIAL performance; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE; Thesaurus Term: DISCRETE choice models; Thesaurus Term: ESTIMATION theory; Thesaurus Term: CROSS border transactions; Thesaurus Term: FINANCIAL institutions; Author-Supplied Keyword: International banking; Author-Supplied Keyword: Mergers and acquisitions; Author-Supplied Keyword: Performance; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 29p; Illustrations: 13 Charts, 1 Graph; Document Type: Article L3 - 10.1007/s10693-008-0043-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44487258&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Johnson, Kathleen W.1, kathleen.w.johnson@frb.gov AU - Li, Geng1, geng.li@frb.gov T1 - Household liability data in the Consumer Expenditure Survey. JO - Monthly Labor Review JF - Monthly Labor Review J1 - Monthly Labor Review PY - 2009/12// Y1 - 2009/12// VL - 132 IS - 12 CP - 12 M3 - Article SP - 18 EP - 27 SN - 00981818 AB - Liability data from the Consumer Expenditure Survey (CE), the Survey of Consumer Finances, and an analogous aggregate measure show that the major types of household debt balances and payments are measured reasonably well in the CE; thus, CE data may be used to examine household debt and its relation to household economic decisions [ABSTRACT FROM AUTHOR] KW - Home economics KW - Research KW - Consumer credit KW - Income distribution KW - Wealth KW - Income tax KW - Debt management KW - Debt service KW - Consumption tax N1 - Accession Number: 48414356; Authors:Johnson, Kathleen W. 1 Email Address: kathleen.w.johnson@frb.gov; Li, Geng 1 Email Address: geng.li@frb.gov; Affiliations: 1: Economist in the Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC; Subject: Home economics; Subject: Research; Subject: Consumer credit; Subject: Income distribution; Subject: Wealth; Subject: Income tax; Subject: Debt management; Subject: Debt service; Subject: Consumption tax; Subject: United States; Number of Pages: 10p; Illustrations: 4 Charts, 5 Graphs; Record Type: Article; Full Text Word Count: 4978 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eft&AN=48414356&site=ehost-live&scope=site DP - EBSCOhost DB - eft ER - TY - JOUR AU - Hjalmarsson, Erik AU - Hjalmarsson, Randi T1 - Efficiency in housing markets: Which home buyers know how to discount? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2009/11// VL - 33 IS - 11 M3 - Article SP - 2150 EP - 2163 SN - 03784266 AB - Abstract: We test for efficiency in the Swedish co-op market by examining the negative relationship between the sales price and the present value of future monthly payments or ‘rents’. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative should be fully reflected in the sales price. However, a one hundred kronor increase in the present value of future rents only leads to an approximately 75 kronor reduction in the sales price. These inefficiencies are larger at the lower end of the housing market and in poorer, less educated regions and appear to reflect both liquidity constraints and the existence of more ‘sophisticated’ buyers in higher educated areas. Overall, our findings suggest that there is some systematic failure to properly discount the future stream of rent payments relative to the up front sales price. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - HOUSE buying KW - DISCOUNT KW - PRICES KW - HOUSING -- Finance KW - LIQUIDITY (Economics) KW - RENT charges (Feudal law) KW - COOPERATIVE housing KW - Cooperative housing KW - Housing markets KW - Market efficiency N1 - Accession Number: 44261087; Hjalmarsson, Erik 1; Email Address: erik.hjalmarsson@frb.gov; Hjalmarsson, Randi 2; Email Address: rhjalmar@umd.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 2: School of Public Policy, University of Maryland, Van Munching Hall, College Park, Maryland 20742, USA; Issue Info: Nov2009, Vol. 33 Issue 11, p2150; Thesaurus Term: HOUSING market; Thesaurus Term: HOUSE buying; Thesaurus Term: DISCOUNT; Thesaurus Term: PRICES; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: RENT charges (Feudal law); Subject Term: COOPERATIVE housing; Author-Supplied Keyword: Cooperative housing; Author-Supplied Keyword: Housing markets; Author-Supplied Keyword: Market efficiency; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jbankfin.2009.05.014 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44261087&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, Robert AU - Johnson, Richard AU - Pilloff, Steven T1 - Market Structure after Horizontal Mergers: Evidence from the Banking Industry. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 2009/11// VL - 35 IS - 3 M3 - Article SP - 217 EP - 231 SN - 0889938X AB - Antitrust agencies use measures of market structure to evaluate the likely competitive effects of proposed mergers, but little is known about how measures of market structure change over time, particularly after consummation of mergers and acquisitions. This paper analyzes the changes in market structure 3 and 5 years after mergers in the US banking industry. Our analysis suggests that concentration decreases and the number of banks increases in banking markets where mergers resulted in high concentration levels. In markets where the level of concentration changed by a relatively large amount, our findings are more ambiguous, as the level of concentration decreases, but no effect is found on the number of competitors. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL organization (Economic theory) KW - BANKING industry KW - CONSOLIDATION & merger of corporations KW - ANTITRUST law KW - COMPETITION KW - UNITED States KW - Antitrust policy KW - Banking industry mergers KW - Competition KW - G21 KW - G28 KW - G34 KW - L11 KW - L13 KW - Market structure N1 - Accession Number: 44984720; Adams, Robert 1; Email Address: Robert.M.Adams@frb.gov; Johnson, Richard 2; Email Address: Richard.Johnson2@usdoj.gov; Pilloff, Steven 3; Email Address: spilloff@gmu.edu; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, 20th Street and Constitution Ave, NW Washington 20551 USA; 2: Antitrust Division, Department of Justice, 450 Fifth Street, NW, Suite 3100 Washington 20530 USA; 3: School of Management, George Mason University, 4400 University Drive, Mailstop 5F5 Fairfax 22030 USA; Issue Info: Nov2009, Vol. 35 Issue 3, p217; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: BANKING industry; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: ANTITRUST law; Subject Term: COMPETITION; Subject: UNITED States; Author-Supplied Keyword: Antitrust policy; Author-Supplied Keyword: Banking industry mergers; Author-Supplied Keyword: Competition; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: G34; Author-Supplied Keyword: L11; Author-Supplied Keyword: L13; Author-Supplied Keyword: Market structure; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; Number of Pages: 15p; Illustrations: 6 Charts; Document Type: Article L3 - 10.1007/s11151-009-9217-0 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44984720&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hale, Galina AU - Arteta, Carlos T1 - Currency crises and foreign credit in emerging markets: Credit crunch or demand effect? JO - European Economic Review JF - European Economic Review Y1 - 2009/10// VL - 53 IS - 7 M3 - Article SP - 758 EP - 774 SN - 00142921 AB - Abstract: Currency crises of the past decade highlighted the importance of balance-sheet effects of large devaluations. Currency crisis literature identified a decline in credit as one of the channels through which such crises affect real economic activity. We find empirical evidence of the existence of this channel and quantify its extent and persistence: controlling for a host of fundamentals, we find a decline in foreign credit to emerging market private firms of about 25 percent in the first year following large depreciations. This decline is especially large in the first five months, is less pronounced in the second year, and disappears entirely by the third year. We show that only about a quarter of the initial decline in credit could be attributed to the “credit crunch,” while the rest of the decline is due to contracting demand. After six months, however, most of the credit decline could be attributed to supply effects. [Copyright &y& Elsevier] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - CREDIT KW - DEMAND for money KW - FOREIGN investments KW - EMERGING markets KW - RATIONING KW - DEPRECIATION KW - Balance-sheet effects KW - Credit constraints KW - Credit rationing KW - Currency crises N1 - Accession Number: 44418148; Hale, Galina 1; Email Address: galina.b.hale@sf.frb.org; Arteta, Carlos 2; Affiliations: 1: Federal Reserve Bank of San Francisco, 101 Market St., MS1130, San Francisco, CA 94105, USA; 2: Board of Governors of the Federal Reserve System, USA; Issue Info: Oct2009, Vol. 53 Issue 7, p758; Thesaurus Term: FINANCIAL crises; Thesaurus Term: CREDIT; Thesaurus Term: DEMAND for money; Thesaurus Term: FOREIGN investments; Thesaurus Term: EMERGING markets; Thesaurus Term: RATIONING; Thesaurus Term: DEPRECIATION; Author-Supplied Keyword: Balance-sheet effects; Author-Supplied Keyword: Credit constraints; Author-Supplied Keyword: Credit rationing; Author-Supplied Keyword: Currency crises; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.euroecorev.2009.03.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44418148&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Aruoba, S. Borağan AU - Diebold, Francis X. AU - Scotti, Chiara T1 - Real-Time Measurement of Business Conditions. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2009/10// VL - 27 IS - 4 M3 - Article SP - 417 EP - 427 SN - 07350015 AB - We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC activity KW - ECONOMIC indicators KW - EMPIRICAL research KW - BUSINESS conditions KW - FILTERING of information KW - Business cycle KW - Contraction KW - Dynamic factor model KW - Expansion KW - Macroeconomic forecasting KW - Recession KW - State space model KW - Turning point N1 - Accession Number: 44981137; Aruoba, S. Borağan 1; Email Address: aruoba@econ.umd.edu; Diebold, Francis X. 2,3; Email Address: fdiebold@sas.upenn.edu; Scotti, Chiara 4; Email Address: chiara.scotti@frb.gov; Affiliations: 1: Department of Economics, University of Maryland, College Park, MD 20742; 2: Departments of Economics, Finance and Statistics, University of Pennsylvania, Philadelphia, PA 19104; 3: NBER; 4: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Oct2009, Vol. 27 Issue 4, p417; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: EMPIRICAL research; Thesaurus Term: BUSINESS conditions; Subject Term: FILTERING of information; Author-Supplied Keyword: Business cycle; Author-Supplied Keyword: Contraction; Author-Supplied Keyword: Dynamic factor model; Author-Supplied Keyword: Expansion; Author-Supplied Keyword: Macroeconomic forecasting; Author-Supplied Keyword: Recession; Author-Supplied Keyword: State space model; Author-Supplied Keyword: Turning point; Number of Pages: 11p; Illustrations: 6 Graphs; Document Type: Article L3 - 10.1198/jbes.2009.07205 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44981137&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bertaut, Carol C. AU - Haliassos, Michael AU - Reiter, Michael T1 - Credit Card Debt Puzzles and Debt Revolvers for Self Control*. JO - Review of Finance JF - Review of Finance Y1 - 2009/10// VL - 13 IS - 4 M3 - Article SP - 657 EP - 692 SN - 15723097 AB - Most US credit card holders revolve high-interest debt, often with substantial liquid and retirement assets. We model separation of accounting from shopping allowed by credit cards, in a rational, dynamic game. When the shopper is more impatient than the accountant, selling assets to repay debt is not necessarily optimal, as the shopper can restore debt. Modest relative impatience generates asset-debt co-existence and target utilization rates, matching incidence and median assets of debt revolvers with substantial assets. Empirical evidence is consistent with a role for spending control considerations, after allowing for standard determinants of credit card debt. [ABSTRACT FROM PUBLISHER] AB - Copyright of Review of Finance is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT cards KW - REVOLVING credit KW - PENSIONS KW - DEBT KW - RETIREMENT planning KW - UNITED States N1 - Accession Number: 47142781; Bertaut, Carol C. 1; Haliassos, Michael 2; Reiter, Michael 3; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Goethe University Frankfurt, CFS, MEA, NETSPAR; 3: Institute for Advanced Studies, Vienna and CESIfo; Issue Info: Oct2009, Vol. 13 Issue 4, p657; Thesaurus Term: CREDIT cards; Thesaurus Term: REVOLVING credit; Thesaurus Term: PENSIONS; Thesaurus Term: DEBT; Thesaurus Term: RETIREMENT planning; Subject: UNITED States; NAICS/Industry Codes: 526111 Trusteed pension funds; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 36p; Illustrations: 7 Charts, 5 Graphs; Document Type: Article L3 - 10.1093/rof/rfn033 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47142781&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Passmore, Wayne T1 - Three Initiatives Enhancing the Mortgage Market and Promoting Financial Stability. JO - B.E. Journal of Economic Analysis & Policy: Advances in Economic Analysis & Policy JF - B.E. Journal of Economic Analysis & Policy: Advances in Economic Analysis & Policy Y1 - 2009/09// VL - 9 IS - 3 M3 - Article SP - 1 EP - 23 SN - 15380637 AB - In recent years, the government has greatly extended its reach into the mortgage markets with the goals of (1) mitigating the deadweight losses associated with mortgage foreclosures, (2) promoting affordable homeownership, and (3) providing low cost mortgage financing. In this paper, we identify three innovations-one in each of these areas-that could be made to the American mortgage market that would help obtain the government's objectives while enhancing financial market stability-particularly if all are done together. These three innovations are: (1) "buy your own mortgage" options, (2) variable maturity mortgages, and (3) creation of a government mortgage bond insurer, with an emphasis on insuring covered bonds as well as GSE debt. The first innovation would allow homebuyers to repurchase their mortgage at the "market value" of their homes when they move, thereby helping society avoid some of the deadweight losses associated with unnecessary foreclosures. The second innovation would provide a mortgage that could promote affordable housing without unduly raising the default risks of low- and moderate-income families. The third innovation would help create a variety of financing options for mortgages in the United States. Moreover, it could be integrated into the current system of mortgage financing, which would include government-sponsored enterprises (GSEs), in a manner that would help the government manage the systemic risks associated with the quasi-government backing of mortgage credit and mortgage insurance. In particular, we propose that the government explicitly insure pre-designated financial instruments used to fund mortgage credit (such as covered bonds and GSE debt) by creating a government-backed insurance fund similar to that currently used for deposits. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Economic Analysis & Policy: Advances in Economic Analysis & Policy is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGES KW - FORECLOSURE KW - MORTGAGE bonds KW - GOVERNMENT-sponsored enterprises KW - MORTGAGE life insurance KW - HOME ownership KW - UNITED States N1 - Accession Number: 97429184; Hancock, Diana 1; Email Address: diana.hancock@frb.gov; Passmore, Wayne 1; Email Address: wpassmore@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2009, Vol. 9 Issue 3, preceding p1; Thesaurus Term: MORTGAGES; Thesaurus Term: FORECLOSURE; Thesaurus Term: MORTGAGE bonds; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: MORTGAGE life insurance; Thesaurus Term: HOME ownership; Subject Term: UNITED States; NAICS/Industry Codes: 524126 Direct Property and Casualty Insurance Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=97429184&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Borzekowski, Ron T1 - Measuring the cost impact of hospital information systems: 1987–1994 JO - Journal of Health Economics JF - Journal of Health Economics Y1 - 2009/09// VL - 28 IS - 5 M3 - Article SP - 938 EP - 949 SN - 01676296 AB - Abstract: This study measures the impact of information technology (IT) use on hospital operating costs during the late 1980s and early 1990s. Using a proprietary eight-year panel dataset (1987–1994) that catalogues application-level automation for the complete census of the 3000 U.S. hospitals with more than 100 beds, this study finds that both financial/administrative and clinical IT systems at the most thoroughly automated hospitals are associated with declining costs three and five years after adoption. At the application level, declining costs are associated with the adoption of some of the newest technologies, including systems designed for cost management, the administration of managed care contracts, and for both financial and clinical decision support. The association of cost declines with lagged IT as well as the cost patterns at the less automated hospitals both provide some evidence of learning effects. [Copyright &y& Elsevier] AB - Copyright of Journal of Health Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MEDICAL informatics KW - INFORMATION technology KW - HOSPITALS -- Ownership KW - PROPRIETARY hospitals KW - INFORMATION resources management KW - HOSPITAL costs KW - MEDICAL care -- United States KW - UNITED States KW - Cost KW - Hospitals KW - Information systems KW - Productivity N1 - Accession Number: 44696153; Borzekowski, Ron 1; Email Address: ron.borzekowski@frb.gov; Affiliation: 1: Board of Governors of the Federal Reserve System, 20th and C St NW, Washington, DC 20551, United States; Source Info: Sep2009, Vol. 28 Issue 5, p938; Subject Term: MEDICAL informatics; Subject Term: INFORMATION technology; Subject Term: HOSPITALS -- Ownership; Subject Term: PROPRIETARY hospitals; Subject Term: INFORMATION resources management; Subject Term: HOSPITAL costs; Subject Term: MEDICAL care -- United States; Subject Term: UNITED States; Author-Supplied Keyword: Cost; Author-Supplied Keyword: Hospitals; Author-Supplied Keyword: Information systems; Author-Supplied Keyword: Productivity; NAICS/Industry Codes: 519190 All Other Information Services; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jhealeco.2009.06.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=44696153&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR ID - 105231678 T1 - Measuring the cost impact of hospital information systems: 1987-1994. AU - Borzekowski R Y1 - 2009/09// N1 - Accession Number: 105231678. Language: English. Entry Date: 20100226. Revision Date: 20150711. Publication Type: Journal Article; research. Journal Subset: Biomedical; Continental Europe; Europe; Health Services Administration; Peer Reviewed. NLM UID: 8410622. KW - Financial Management -- Methods KW - Hospital Information Systems -- Economics KW - Human KW - Models, Statistical KW - United States SP - 938 EP - 949 JO - Journal of Health Economics JF - Journal of Health Economics JA - J HEALTH ECON VL - 28 IS - 5 PB - Elsevier Science SN - 0167-6296 AD - Board of Governors of the Federal Reserve System, 20th and C St NW, Washington, DC 20551, United States. U2 - PMID: 19699542. DO - 10.1016/j.jhealeco.2009.06.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=rzh&AN=105231678&site=ehost-live&scope=site DP - EBSCOhost DB - rzh ER - TY - JOUR AU - Campbell, Sean D. AU - Davis, Morris A. AU - Gallin, Joshua AU - Martin, Robert F. T1 - What moves housing markets: A variance decomposition of the rent–price ratio JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2009/09// VL - 66 IS - 2 M3 - Article SP - 90 EP - 102 SN - 00941190 AB - Abstract: We apply the dynamic Gordon growth model to the housing market in 23 US metropolitan areas, the four Census regions, and the nation from 1975 to 2007. The model allows the rent–price ratio at each date to be split into the expected present discounted values of rent growth, real interest rates, and a housing premium over real rates. We show that housing premia are variable and forecastable and account for a significant fraction of rent–price ratio volatility at the national and local levels, and that covariances among the three components damp fluctuations in rent–price ratios. Thus, explanations of house-price dynamics that focus only on interest rate movements and ignore these covariances can be misleading. These results are similar to those found for stocks and bonds. [Copyright &y& Elsevier] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - ECONOMIC development -- Mathematical models KW - METROPOLITAN areas KW - REAL property -- Sales & prices KW - RENT (Economic theory) KW - INTEREST rates KW - ANALYSIS of covariance KW - STOCKS (Finance) KW - BONDS (Finance) KW - UNITED States KW - House prices KW - Housing rents KW - Interest rates KW - Rent–price ratio N1 - Accession Number: 43530779; Campbell, Sean D. 1; Davis, Morris A. 2; Email Address: mdavis@bus.wisc.edu; Gallin, Joshua 1; Martin, Robert F. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Wisconsin School of Business, University of Wisconsin-Madison, WI, USA; Issue Info: Sep2009, Vol. 66 Issue 2, p90; Thesaurus Term: HOUSING market; Thesaurus Term: ECONOMIC development -- Mathematical models; Thesaurus Term: METROPOLITAN areas; Thesaurus Term: REAL property -- Sales & prices; Thesaurus Term: RENT (Economic theory); Thesaurus Term: INTEREST rates; Thesaurus Term: ANALYSIS of covariance; Thesaurus Term: STOCKS (Finance); Thesaurus Term: BONDS (Finance); Subject: UNITED States; Author-Supplied Keyword: House prices; Author-Supplied Keyword: Housing rents; Author-Supplied Keyword: Interest rates; Author-Supplied Keyword: Rent–price ratio; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jue.2009.06.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=43530779&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph AU - Kamin, Steven T1 - Do Differences in Financial Development Explain the Global Pattern of Current Account Imbalances? JO - Review of International Economics JF - Review of International Economics Y1 - 2009/09// VL - 17 IS - 4 M3 - Article SP - 667 EP - 688 PB - Wiley-Blackwell SN - 09657576 AB - Building on the panel-regression approach of Chinn and Prasad (2003 ) and Gruber and Kamin (2007 ), we assess whether differences in financial development can explain the large developing-country surpluses or large US deficits. We find little evidence to support these hypotheses. We also assess whether differences in asset returns, an alternative measure of the attractiveness of financial assets, can explain the international pattern of capital flows. Lower bond yields have been generally associated with larger current account deficits in industrial countries. However, US bond yields have not been significantly lower than those in other industrial economies, suggesting that US financial assets have not been unusually attractive. We consider an alternative hypothesis that spending in the United States was uniquely responsive to lower costs of capital. However, we found this hypothesis also to be weak, as household saving rates have declined throughout the industrial economies. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of International Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BALANCE of payments KW - BUDGET deficits KW - REGRESSION analysis KW - INDUSTRIAL organization (Economic theory) KW - UNITED States N1 - Accession Number: 43676671; Gruber, Joseph 1; Kamin, Steven 2; Email Address: steven.kamin@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and ConstitutionAve. NW,Washington, DC 20551, USA; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Ave. NW,Washington, DC 20551, USA.; Issue Info: Sep2009, Vol. 17 Issue 4, p667; Thesaurus Term: BALANCE of payments; Thesaurus Term: BUDGET deficits; Thesaurus Term: REGRESSION analysis; Thesaurus Term: INDUSTRIAL organization (Economic theory); Subject: UNITED States; Number of Pages: 22p; Illustrations: 7 Charts, 5 Graphs; Document Type: Article L3 - 10.1111/j.1467-9396.2009.00842.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=43676671&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Figura, Andrew T1 - Explaining cyclical movements in employment: Creative-destruction or changes in utilization? JO - Labour Economics JF - Labour Economics Y1 - 2009/08// VL - 16 IS - 4 M3 - Article SP - 429 EP - 439 SN - 09275371 AB - Abstract: An important step in understanding why employment fluctuates cyclically is determining the relative importance of cyclical movements in permanent and temporary plant-level employment changes. If movements in permanent employment changes are important, then recessions are times when the destruction of job-specific capital picks up and/or investment in new job capital slows. If movements in temporary employment changes are important, then employment fluctuations are related to the temporary movement of workers across activities (e.g. from work to home production or search and back again) as the relative costs/benefits of these activities change. I estimate that in the manufacturing sector temporary employment changes account for nearly 60% of the change in employment growth over the cycle. However, if permanent employment changes create and destroy more capital than temporary employment changes, then their economic consequences would be relatively greater. The correlation between gross permanent employment changes and capital intensity across industries supports the hypothesis that permanent employment changes do create and destroy more capital than temporary employment changes. [Copyright &y& Elsevier] AB - Copyright of Labour Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - ECONOMICS KW - CONTRACTS for work & labor KW - LABOR supply KW - Cyclical employment changes KW - Permanent and temporary employment changes N1 - Accession Number: 39781333; Figura, Andrew 1; Email Address: jfigura@frb.gov; Affiliations: 1: Mail Stop 80, Board of Governors of the Federal Reserve System, Washington DC 20551, United States; Issue Info: Aug2009, Vol. 16 Issue 4, p429; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: ECONOMICS; Thesaurus Term: CONTRACTS for work & labor; Thesaurus Term: LABOR supply; Author-Supplied Keyword: Cyclical employment changes; Author-Supplied Keyword: Permanent and temporary employment changes; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 11p; Document Type: Article L3 - 10.1016/j.labeco.2008.12.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=39781333&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seung Jung Lee T1 - How Information Quality of Macro Aggregates Affects Sovereign Risk: An Empirical Investigation. JO - Review of International Economics JF - Review of International Economics Y1 - 2009/08// VL - 17 IS - 3 M3 - Article SP - 510 EP - 532 PB - Wiley-Blackwell SN - 09657576 AB - This paper looks at the relationship between data quality of macro aggregates and the repayment ratio for debt payments due in a given year after a country defaults. We find empirical evidence that good information of macro aggregates reduces sovereign risk by enhancing the repayment ratio conditional on default, while having an insignificant effect on the default probability. The estimation accounts for selection bias by using a cross-country panel data of 69 developing countries for 1989–2002. Careful consideration is taken to establish information quality of macro aggregates as an exogenous institutional variable. Results are robust to controlling for various governance factors, income levels, and regional factors, etc. Linking information quality to creditors' bargaining power is more consistent with our findings than linking poor information quality to information asymmetry. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of International Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEBT KW - PUBLIC debts KW - REPAYMENTS KW - INCOME KW - DEBTOR & creditor KW - DEVELOPING countries N1 - Accession Number: 43198606; Seung Jung Lee 1; Email Address: seung.j.lee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 21st Street & Constitution Avenue, NW, Washington, DC 20551, USA; Issue Info: Aug2009, Vol. 17 Issue 3, p510; Thesaurus Term: DEBT; Thesaurus Term: PUBLIC debts; Thesaurus Term: REPAYMENTS; Thesaurus Term: INCOME; Thesaurus Term: DEBTOR & creditor; Subject Term: DEVELOPING countries; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 23p; Illustrations: 9 Charts; Document Type: Article L3 - 10.1111/j.1467-9396.2009.00814.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=43198606&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2009-10862-003 AN - 2009-10862-003 AU - Zhu, Ting AU - Singh, Vishal AU - Manuszak, Mark D. T1 - Market structure and competition in the retail discount industry. JF - Journal of Marketing Research JO - Journal of Marketing Research JA - J Mark Res Y1 - 2009/08// VL - 46 IS - 4 SP - 453 EP - 466 CY - US PB - American Marketing Association SN - 0022-2437 SN - 1547-7193 AD - Zhu, Ting N1 - Accession Number: 2009-10862-003. Partial author list: First Author & Affiliation: Zhu, Ting; Graduate School of Business, University of Chicago, Chicago, IL, US. Release Date: 20090928. Correction Date: 20110620. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Business; Competition; Marketing; Retailing. Minor Descriptor: Money. Classification: Marketing & Advertising (3940). Population: Human (10). Location: US. Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 14. Issue Publication Date: Aug, 2009. Copyright Statement: American Marketing Association. 2009. AB - This article examines competition among Wal-Mart, Kmart, and Target using two distinct but related approaches. The authors first develop and estimate a discrete game in which each chain’s store presence and format decisions in local markets depend on the decisions of its competitors and market characteristics. This analysis is extended to evaluate the determinants of store revenues for each chain in local markets as a function of market characteristics, including the presence of competing firms. These regressions use the results of the initial model to correct for the endogeneity of observed market structures. The results from both exercises illustrate several important asymmetries across the firms. Kmart and Wal-Mart prefer similar markets, but Wal-Mart’s competitive position is dominant enough to prevent Kmart’s operation in otherwise attractive markets. In contrast, Target prefers substantially different market characteristics. In total, the results support a view of the industry as one in which Wal-Mart is dominant, Target serves more of a niche role, and Kmart struggles to find its footing. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - market structure KW - competition KW - retail discount industry KW - revenues KW - 2009 KW - Business KW - Competition KW - Marketing KW - Retailing KW - Money KW - 2009 DO - 10.1509/jmkr.46.4.453 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2009-10862-003&site=ehost-live&scope=site UR - mark.d.manuszak@frb.gov UR - vsingh@stern.nyu.edu UR - tingzhu@chicagogsb.edu DP - EBSCOhost DB - psyh ER - TY - JOUR AU - COULIBALY, BRAHIMA T1 - Currency unions and currency crises: an empirical assessment. JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 2009/07// VL - 14 IS - 3 M3 - Article SP - 199 EP - 221 SN - 10769307 AB - Using panel data of 192 countries from 1970 through 1999, and 195 currency crisis episodes, this study examines the effect of membership in a currency union on the probability of experiencing a currency crisis. Both parametric and non-parametric estimates suggest that membership in a currency union reduces the likelihood of a currency crash. This finding is robust to various definitions of currency crises and exchange rates, across time, and across regions. The results are further confirmed by case studies of some countries that joined or left a currency union. We interpret these findings to suggest that the formation of currency unions should not be ruled out in the debate on stability and the new financial architecture. Copyright © 2008 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY unions KW - MONEY KW - CURRENCY question KW - CURRENCY crises KW - FINANCIAL crises KW - currency crises KW - Currency union KW - exchange rate KW - speculative attacks KW - speculative pressure N1 - Accession Number: 42962566; COULIBALY, BRAHIMA 1; Email Address: brahima.coulibaly@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Jul2009, Vol. 14 Issue 3, p199; Thesaurus Term: MONETARY unions; Thesaurus Term: MONEY; Thesaurus Term: CURRENCY question; Thesaurus Term: CURRENCY crises; Thesaurus Term: FINANCIAL crises; Author-Supplied Keyword: currency crises; Author-Supplied Keyword: Currency union; Author-Supplied Keyword: exchange rate; Author-Supplied Keyword: speculative attacks; Author-Supplied Keyword: speculative pressure; Number of Pages: 23p; Illustrations: 10 Charts, 2 Graphs; Document Type: Article L3 - 10.1002/ijfe.363 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=42962566&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mishkin, Frederic S. T1 - Globalization and financial development JO - Journal of Development Economics JF - Journal of Development Economics Y1 - 2009/07// VL - 89 IS - 2 M3 - Article SP - 164 EP - 169 SN - 03043878 AB - Abstract: This paper argues that globalization is a key factor in stimulating institutional reforms in developing countries that promote financial development and economic growth. Advanced countries can help in this process by supporting the opening of their markets to goods and services from emerging-market countries. By encouraging these countries to increase their participation in global markets, advanced countries can create exactly the right incentives for developing countries to implement the reforms that will enable them to have high economic growth. [Copyright &y& Elsevier] AB - Copyright of Journal of Development Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GLOBALIZATION KW - INTERNATIONAL relations KW - ECONOMIC indicators KW - ECONOMIC development KW - Economic growth KW - F4 KW - Financial development KW - Globalization KW - Institutional reform KW - O16 KW - Trade liberalization N1 - Accession Number: 38807278; Mishkin, Frederic S. 1; Email Address: fsm3@columbia.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, United States; Issue Info: Jul2009, Vol. 89 Issue 2, p164; Thesaurus Term: GLOBALIZATION; Thesaurus Term: INTERNATIONAL relations; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: ECONOMIC development; Author-Supplied Keyword: Economic growth; Author-Supplied Keyword: F4; Author-Supplied Keyword: Financial development; Author-Supplied Keyword: Globalization; Author-Supplied Keyword: Institutional reform; Author-Supplied Keyword: O16; Author-Supplied Keyword: Trade liberalization; NAICS/Industry Codes: 911410 Foreign affairs; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 6p; Document Type: Article L3 - 10.1016/j.jdeveco.2007.11.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=38807278&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - ALBUQUERQUE, RUI AU - VEGA, CLARA T1 - Economic News and International Stock Market Co-movement. JO - Review of Finance JF - Review of Finance Y1 - 2009/07// VL - 13 IS - 3 M3 - Article SP - 401 EP - 465 SN - 15723097 AB - The article presents a study which investigated the effects of U.S. news announcements on stock market co-movement on the small, open economy of Portugal. It discusses the two leading theories on the reason stock markets around the world co-move and gives reasons why Portugal was chosen to represent small economies by the researchers. The study showed that U.S. news announcements affect the stock market returns in Portugal but not the correlation of stock returns across the two countries. KW - STOCK exchanges KW - SECURITIES markets KW - CAPITAL market KW - UNITED States KW - PORTUGAL N1 - Accession Number: 45280079; ALBUQUERQUE, RUI 1; VEGA, CLARA 2; Affiliations: 1: Boston University School of Management and CEPR; 2: Board of Governors of the Federal Reserve System and William E. Simon School of Management; Issue Info: Jul2009, Vol. 13 Issue 3, p401; Thesaurus Term: STOCK exchanges; Thesaurus Term: SECURITIES markets; Thesaurus Term: CAPITAL market; Subject: UNITED States; Subject: PORTUGAL; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 65p; Illustrations: 8 Charts, 3 Graphs; Document Type: Article L3 - 10.1093/rof/rfn020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=45280079&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bally, Steffan AU - Lowz, Hamish T1 - Do Self-Insurance and Disability Insurance Prevent Consumption Loss on Disability? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/07// M3 - Article SP - 1 EP - 34 AB - In this paper we show the extent to which public insurance and self-insurance mitigate the cost of health shocks that limit the ability to work. We use consumption data from the UK to estimate the insurance provided by the government disability programme and account for the effectiveness of alternative self-insurance mechanisms. Individuals with a work-limiting health condition, but in receipt of disability insurance, have 7% lower consumption than those without such a condition. Self-insurance through savings and a working partner each provide some insurance benefit, improving outcomes from 2% to 4%. Reductions in the generosity of incapacity benefit after 1995 are associated with increases in the consumption loss associated with disability. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SELF-insurance KW - CONSUMPTION (Economics) KW - DISABILITY insurance KW - HEALTH insurance KW - GOVERNMENT policy KW - MEDICAL care costs KW - SELF-INSURANCE KW - GREAT Britain KW - consumption KW - disability insurance KW - liquidity constraints KW - living standards N1 - Accession Number: 49061339; Bally, Steffan 1; Email Address: steffan.g.ball@frb.gov; Lowz, Hamish 2; Email Address: hamish.low@econ.cam.ac.uk; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C St., NW,Washington DC 20551; 2: Faculty of Economics, University of Cambridge, Sidgwick Avenue, Cambridge, CB3 9DD; Issue Info: 2009, p1; Thesaurus Term: SELF-insurance; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: DISABILITY insurance; Thesaurus Term: HEALTH insurance; Thesaurus Term: GOVERNMENT policy; Subject Term: MEDICAL care costs; Subject Term: SELF-INSURANCE; Subject: GREAT Britain; Author-Supplied Keyword: consumption; Author-Supplied Keyword: disability insurance; Author-Supplied Keyword: liquidity constraints; Author-Supplied Keyword: living standards; NAICS/Industry Codes: 524112 Direct group life, health and medical insurance carriers; NAICS/Industry Codes: 524111 Direct individual life, health and medical insurance carriers; NAICS/Industry Codes: 524113 Direct Life Insurance Carriers; NAICS/Industry Codes: 524299 All other insurance related activities; NAICS/Industry Codes: 526989 All other miscellaneous funds and financial vehicles; Number of Pages: 35p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49061339&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Korniotis, George M. T1 - Does Speculation Affect Spot Price Levels? The Case of Metals with and without Futures Markets. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/07// M3 - Article SP - 1 EP - 37 AB - This paper finds no evidence that speculative activity in futures markets for industrial metals caused higher spot prices in recent years. The empirical analysis focuses on industrial metals with and without futures contracts and is organized around two key themes. First, I show that the comovement between metals with and without futures contracts has not weakened in recent years as speculative activity has risen. Specifically, the annual and quarterly price growth rates of the two metal categories have been positively correlated with their growth rates experiencing a structural shift by the end of 2002. This comovement is driven by economic fundamentals because world GDP growth is strongly correlated with metal price growth, especially after 2002. The structural change in 2002 is also consistent with supply and demand information found in industry newsletters. In the second set of results, I focus more directly on financial speculation and spot price inflation. I use the S&P Goldman-Sachs Commodity Index returns to proxy for the volume of speculative activity and I show that these returns are unrelated to metal prices. The final test follows storage models, which suggest that speculation can affect spot markets only if it leads to physical hoarding. Focusing on metals with established futures markets, I find no evidence of physical hoarding because inventory growth is found to be negatively correlated with price growth rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICES KW - CONTRACTS KW - GROSS domestic product KW - INVENTORY control KW - METALS KW - UNITED States KW - GOLDMAN Sachs & Co. N1 - Accession Number: 49061289; Korniotis, George M. 1; Email Address: George.M.Korniotis@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC; Issue Info: 2009, p1; Thesaurus Term: PRICES; Thesaurus Term: CONTRACTS; Thesaurus Term: GROSS domestic product; Thesaurus Term: INVENTORY control; Subject Term: METALS; Subject: UNITED States ; Company/Entity: GOLDMAN Sachs & Co. DUNS Number: 006984561; NAICS/Industry Codes: 541614 Process, Physical Distribution, and Logistics Consulting Services; NAICS/Industry Codes: 561990 All Other Support Services; Number of Pages: 39p; Illustrations: 2 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49061289&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wachter, Jessica A. AU - Warusawitharana, Missaka T1 - What is the Chance that the Equity Premium Varies Over Time? Evidence from Predictive Regressions. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/07// M3 - Article SP - 1 EP - 46 AB - We examine the evidence on stock return predictability in a Bayesian setting that includes uncertainty about both the existence and strength of predictability. We consider an investor who believes that excess stock returns exhibit predictability with prior probability q < 1. In addition, the investor down-weights observed predictability by placing a prior distribution on the R2 of the predictability regression. When we apply our analysis to the dividend-price ratio, we find that even investors who are quite skeptical about the existence and strength of predictability sharply modify their views in favor of predictability when confronted by the evidence. We depart from previous model-selection work by treating the regressor as stochastic rather than known; we find that this has a large impact on inference about time- varying expected returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BAYESIAN analysis KW - CAPITALISTS & financiers KW - SECURITIES -- Prices KW - PROBABILITY theory KW - STOCHASTIC analysis KW - EVIDENCE KW - UNITED States N1 - Accession Number: 49061185; Wachter, Jessica A. 1; Email Address: jwachter@wharton.upenn.edu; Warusawitharana, Missaka 2; Email Address: missaka.n.warusawitharana@frb.gov; Affiliations: 1: University of Pennsylvania; 2: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Mail Stop 97, 20th and Constitution Ave, Washington D.C, 2055; Issue Info: 2009, p1; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: PROBABILITY theory; Thesaurus Term: STOCHASTIC analysis; Subject Term: EVIDENCE; Subject: UNITED States; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 47p; Illustrations: 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49061185&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Judson, Ruth AU - Klee, Elizabeth T1 - A Study of U.S. Monetary Policy Implementation: Demand for Reserves on a Period Average Basis. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/06// M3 - Article SP - 1 EP - 33 AB - This paper provides new estimates of banks' demand for excess reserve balances on a period average basis. Consistent with theoretical work, we find that the demand for excess depends critically on uncertainty of flows in and out of reserve accounts. We also document the variability of demand for excess reserve balances by institution size, evaluate different models for forecasting demand for excess on a period average basis, and report the forecasting performance of each of these models. Finally, we present analysis of the period of financial turmoil seen over the year since August, 2007. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - RESERVES (Accounting) KW - BANK reserves KW - FISCAL policy KW - OPEN market operations KW - CENTRAL banking industry KW - MONETARY theory KW - UNITED States N1 - Accession Number: 49061013; Judson, Ruth 1; Klee, Elizabeth 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2009, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: BANK reserves; Thesaurus Term: FISCAL policy; Thesaurus Term: OPEN market operations; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONETARY theory; Subject: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 34p; Illustrations: 4 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49061013&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Arteta, Carlos AU - Kamin, Steven B. AU - Vitanza, Justin T1 - The Puzzling Peso. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2009/06// M3 - Article SP - 1 EP - 42 AB - In the past decade, some observers have noted an unusual aspect of the Mexican peso's behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso's correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country's currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, and perhaps more surprisingly, a country's currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso's unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange KW - PESO (Mexican currency) KW - NATIONAL currencies KW - MONEY KW - MONETARY policy KW - MEXICO KW - dollar KW - exchange rates KW - inflation KW - interest rate differentials KW - Mexico KW - output gap KW - output growth differentials KW - peso N1 - Accession Number: 44475166; Arteta, Carlos 1; Kamin, Steven B. 1; Vitanza, Justin 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2009, preceding p1; Thesaurus Term: FOREIGN exchange; Thesaurus Term: PESO (Mexican currency); Thesaurus Term: NATIONAL currencies; Thesaurus Term: MONEY; Thesaurus Term: MONETARY policy; Subject Term: MEXICO; Author-Supplied Keyword: dollar; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: inflation; Author-Supplied Keyword: interest rate differentials; Author-Supplied Keyword: Mexico; Author-Supplied Keyword: output gap; Author-Supplied Keyword: output growth differentials; Author-Supplied Keyword: peso; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 42p; Illustrations: 4 Charts, 38 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44475166&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chabot, Benjamin AU - Kurz, Christopher J. T1 - That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907. JO - Working Papers -- Yale School of Management's Economics Research Network JF - Working Papers -- Yale School of Management's Economics Research Network Y1 - 2009/06// M3 - Article SP - 1 EP - 34 AB - Why did Victorian Britain invest so much capital abroad? We collect over 500,000 monthly returns of British and foreign securities trading in London and the United States between 1866 and 1907. These heretofore-unknown data allow us to better quantify the historical benefits of international diversification and revisit the question of whether British Victorian investor bias starved new domestic industries of capital. We find no evidence of bias. A British investor who increased his investment in new British industry at the expense of foreign diversification would have been worse off. The addition of foreign assets significantly expanded the mean-variance frontier and resulted in utility gains equivalent to a meaningful increase in lifetime consumption. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- Yale School of Management's Economics Research Network is the property of Yale School of Management and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - CAPITALISTS & financiers KW - SECURITIES trading KW - STOCK exchanges KW - INTERNATIONAL finance KW - GREAT Britain -- Foreign economic relations KW - UNITED States -- Foreign economic relations KW - GREAT Britain KW - UNITED States KW - Capital markets KW - History KW - Home bias KW - Victorian overseas investment N1 - Accession Number: 49051528; Chabot, Benjamin 1; Email Address: Benjamin.chabot@yale.edu; Kurz, Christopher J. 2; Email Address: Christopher.J.Kurz@frb.gov; Affiliations: 1: Yale University and NBER; 2: Board of Governors of the Federal Reserve System; Issue Info: 2009, p1; Thesaurus Term: FOREIGN investments; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: SECURITIES trading; Thesaurus Term: STOCK exchanges; Thesaurus Term: INTERNATIONAL finance; Subject Term: GREAT Britain -- Foreign economic relations; Subject Term: UNITED States -- Foreign economic relations; Subject: GREAT Britain; Subject: UNITED States; Author-Supplied Keyword: Capital markets; Author-Supplied Keyword: History; Author-Supplied Keyword: Home bias; Author-Supplied Keyword: Victorian overseas investment; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 35p; Illustrations: 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49051528&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beechey, Meredith AU - Hjalmarsson, Erik AU - Österholm, Pär T1 - Testing the expectations hypothesis when interest rates are near integrated JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2009/05// VL - 33 IS - 5 M3 - Article SP - 934 EP - 943 SN - 03784266 AB - Abstract: Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in 10 of the 14 countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - ECONOMIC development KW - COINTEGRATION KW - ECONOMIC forecasting KW - MONEY supply KW - ECONOMIC indicators KW - Bonferroni tests KW - Cointegration KW - Expectations hypothesis KW - Near integration KW - Term premium N1 - Accession Number: 36769752; Beechey, Meredith 1; Email Address: meredith.j.beechey@frb.gov; Hjalmarsson, Erik 2; Email Address: erik.hjalmarsson@frb.gov; Österholm, Pär 3; Email Address: par.osterholm@nek.uu.se; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 2: Division of International Finance, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 3: Department of Economics, Uppsala University, Box 513, 751 20 Uppsala, Sweden; Issue Info: May2009, Vol. 33 Issue 5, p934; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC development; Thesaurus Term: COINTEGRATION; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONEY supply; Thesaurus Term: ECONOMIC indicators; Author-Supplied Keyword: Bonferroni tests; Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Expectations hypothesis; Author-Supplied Keyword: Near integration; Author-Supplied Keyword: Term premium; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.jbankfin.2008.10.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=36769752&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pounder, Laurie T1 - Consumption Response to Expected Future Income. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2009/05// M3 - Article SP - 1 EP - 35 AB - This paper shows empirical evidence in favor of forward-looking household consumption—that consumption today depends directly on household-specific ex-ante expectations of future income. This analysis is unique in using a direct consumption measure combined with an exante household-specific measure of expected future income, constructed from detailed survey and administrative data on Social Security, pensions, and retirement plans. Households with high expected future income spend more today than households that have lower future income but identical current income and net worth. Omitting household-specific future income can cause mis-estimation of key consumption questions. Furthermore, when all three resources for consumption (current income, net worth, and future income) are accounted for, the average propensity to spend out of current income is similar to predictions of optimal consumption under uncertainty in a dynamic stochastic model, although the propensities to spend out of accumulated net worth and expected future income are notably lower in the data than the optimal model. Finally, these data also provide evidence on the effect of risk on consumption while controlling for all three resources. Households with high measured risk aversion consume less out of future income. All households, on average, consume more out of the more predictable sources of future income, such as future Social Security benefits. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - INCOME KW - SOCIAL security KW - ECONOMIC security KW - PENSIONS KW - RETIREMENT income KW - GOVERNMENT insurance KW - FINANCIAL planning KW - OLD age assistance KW - RETIREMENT policies KW - consumption KW - permanent income hypothesis N1 - Accession Number: 42732414; Pounder, Laurie 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2009, p1; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: INCOME; Thesaurus Term: SOCIAL security; Thesaurus Term: ECONOMIC security; Thesaurus Term: PENSIONS; Thesaurus Term: RETIREMENT income; Thesaurus Term: GOVERNMENT insurance; Thesaurus Term: FINANCIAL planning; Thesaurus Term: OLD age assistance; Thesaurus Term: RETIREMENT policies; Author-Supplied Keyword: consumption; Author-Supplied Keyword: permanent income hypothesis; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 526111 Trusteed pension funds; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 37p; Illustrations: 10 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=42732414&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Campbell, Sean D. AU - Sharpe, Steven A. T1 - Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 2009/04// VL - 44 IS - 2 M3 - Article SP - 369 EP - 390 PB - Cambridge University Press SN - 00221090 AB - Previous empirical studies on the "rationality" of economic and financial forecasts generally test for generic properties such as bias or autocorrelated errors but provide only limited insight into the behavior behind inefficient forecasts. This paper tests for a specific form of forecast bias. In particular, we examine whether expert consensus forecasts of monthly economic releases are systematically biased toward the value of previous months' releases. Such a bias would be consistent with the anchoring and adjustment heuristic described by Tversky and Kahneman (1974) or could arise from professional forecasters' strategic incentives.1 We find broad-based and significant evidence for this form of bias, which in some cases results in sizable predictable forecast errors. To investigate whether market participants' expectations are influenced by this bias, we examine interest rate reactions to economic news. We find that bond yields react only to the residual, or unpredictable, component of the forecast error and not to the component induced by anchoring, suggesting that expectations of market participants anticipate this bias embedded in expert forecasts. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - BONDS (Finance) KW - RATE of return KW - EARNINGS forecasting KW - MARKET prices KW - MACROECONOMICS KW - MATHEMATICAL models KW - FINANCIAL market reaction KW - INTEREST rates KW - MARKET pricing KW - EXPECTANCY theories KW - ANCHORING effect KW - STATISTICAL bias N1 - Accession Number: 43509296; Campbell, Sean D. 1; Email Address: sean.d.campbell@frb.gov; Sharpe, Steven A. 1; Email Address: ssharpe@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551; Issue Info: Apr2009, Vol. 44 Issue 2, p369; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: BONDS (Finance); Thesaurus Term: RATE of return; Thesaurus Term: EARNINGS forecasting; Thesaurus Term: MARKET prices; Thesaurus Term: MACROECONOMICS; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: FINANCIAL market reaction; Thesaurus Term: INTEREST rates; Thesaurus Term: MARKET pricing; Thesaurus Term: EXPECTANCY theories; Thesaurus Term: ANCHORING effect; Subject Term: STATISTICAL bias; Number of Pages: 22p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=43509296&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bacchetta, Philippe AU - Mertens, Elmar AU - van Wincoop, Eric T1 - Predictability in financial markets: What do survey expectations tell us? JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2009/04// VL - 28 IS - 3 M3 - Article SP - 406 EP - 426 SN - 02615606 AB - Abstract: There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns. In this paper we investigate the link between the predictability of excess returns and expectational errors in a much broader set of financial markets, using data on survey expectations of market participants in the stock market, the foreign exchange market, the bond market and money markets in various countries. The results are striking. First, in markets where there is significant excess return predictability, expectational errors of excess returns are predictable as well, with the same sign and often even with similar magnitude. This is the case for foreign exchange, stock and bond markets. Second, in the only market where excess returns are generally not predictable, the money market, expectational errors are not predictable either. These findings suggest that an explanation for the predictability of excess returns must be closely linked to an explanation for the predictability of expectational errors. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange market KW - MONEY market KW - EFFICIENT market theory KW - MONETARY policy KW - Excess returns KW - Expectations KW - Predictability N1 - Accession Number: 37156900; Bacchetta, Philippe 1; Email Address: philippe.bacchetta@unil.ch; Mertens, Elmar 2; van Wincoop, Eric 3; Affiliations: 1: Faculty of Business and Economics, University of Lausanne, Swiss Finance Institute & CEPR, Extranef, CH-1015 Lausanne, Switzerland; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 3: Department of Economics, University of Virginia, NBER, 2015 Ivy Road, Charlottesville, VA 22904, USA; Issue Info: Apr2009, Vol. 28 Issue 3, p406; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: MONEY market; Thesaurus Term: EFFICIENT market theory; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: Excess returns; Author-Supplied Keyword: Expectations; Author-Supplied Keyword: Predictability; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jimonfin.2008.09.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=37156900&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cagetti, Marco AU - De Nardi, Mariacristina T1 - Estate Taxation, Entrepreneurship, and Wealth. JO - American Economic Review JF - American Economic Review Y1 - 2009/03// VL - 99 IS - 1 M3 - Article SP - 85 EP - 111 PB - American Economic Association SN - 00028282 AB - This paper studies the estate tax in a quantitative framework with business investment, borrowing constraints, estate transmission, and wealth inequality. We find that the estate tax has little effect on the saving and investment decisions of small businesses, but does distort the decisions of larger firms, thereby reducing aggregate output and savings. Removing such distortions by eliminating the estate tax does not necessarily imply that everyone would be better off. If other taxes were raised to reestablish fiscal balance, those at the top of the wealth distribution would experience a large welfare gain, but most of the population would lose. (JEL D31, E21, H2) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INHERITANCE & transfer tax KW - SAVING & investment KW - PUBLIC finance KW - BUSINESS enterprises -- Taxation KW - SMALL business KW - TAXATION KW - INVESTMENTS KW - TAXATION -- Law & legislation KW - INCOME distribution KW - WEALTH KW - INVESTMENT analysis KW - TAX rates & tables KW - INCOME tax -- Rates & tables KW - FISCAL policy KW - RICH people KW - UNITED States N1 - Accession Number: 37041156; Cagetti, Marco 1; De Nardi, Mariacristina 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 97, Washington, DC 20551.; 2: Federal Reserve Bank of Chicago, Research Department, 230 South LaSalle Street, Chicago, IL 60615, and National Bureau of Economic Research.; Issue Info: Mar2009, Vol. 99 Issue 1, p85; Thesaurus Term: INHERITANCE & transfer tax; Thesaurus Term: SAVING & investment; Thesaurus Term: PUBLIC finance; Thesaurus Term: BUSINESS enterprises -- Taxation; Thesaurus Term: SMALL business; Thesaurus Term: TAXATION; Thesaurus Term: INVESTMENTS; Thesaurus Term: TAXATION -- Law & legislation; Thesaurus Term: INCOME distribution; Thesaurus Term: WEALTH; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: TAX rates & tables; Thesaurus Term: INCOME tax -- Rates & tables; Thesaurus Term: FISCAL policy; Subject Term: RICH people; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 27p; Illustrations: 8 Charts, 10 Graphs; Document Type: Article L3 - 10.1257/aer.99.1.85 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=37041156&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beechey, Meredith AU - Österholm, Pär T1 - Time-varying inflation persistence in the Euro area JO - Economic Modelling JF - Economic Modelling Y1 - 2009/03// VL - 26 IS - 2 M3 - Article SP - 532 EP - 535 SN - 02649993 AB - Abstract: This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour. [Copyright &y& Elsevier] AB - Copyright of Economic Modelling is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NATIONAL currencies KW - MONETARY theory KW - INFLATION (Finance) KW - CURRENCY question KW - Central bank preferences KW - Monetary policy N1 - Accession Number: 36194502; Beechey, Meredith 1; Email Address: meredith.j.beechey@frb.gov; Österholm, Pär 2; Email Address: par.osterholm@konj.se; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th and C streets, Washington, DC 20551, USA; 2: National Institute of Economic Research, Box 3116, 103 62 Stockholm, Sweden; Issue Info: Mar2009, Vol. 26 Issue 2, p532; Thesaurus Term: NATIONAL currencies; Thesaurus Term: MONETARY theory; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CURRENCY question; Author-Supplied Keyword: Central bank preferences; Author-Supplied Keyword: Monetary policy; Number of Pages: 4p; Document Type: Article L3 - 10.1016/j.econmod.2008.11.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=36194502&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dokko, Jane K. T1 - Does the NEA Crowd Out Private Charitable Contributions to the Arts? JO - National Tax Journal JF - National Tax Journal Y1 - 2009/03// VL - 62 IS - 1 M3 - Article SP - 57 EP - 75 PB - National Tax Association SN - 00280283 AB - This paper investigates the mechanism by which the federal government's funding of the arts through the National Endowment for the Arts (NEA) displaces private charitable contributions to non-profit arts organizations. I estimate that private charitable contributions to arts organizations increased by 50 to 60 cents due to a major funding cut to the NEA during the mid-1990s. These increases, however, also coincided with, on average, a 25 cent increase in fund-raising expenditures by arts organizations for every dollar decrease in government grants. The estimate of crowding out found in this paper is relatively large, particularly for a study using a micro-data set. I argue that an appropriate interpretation of an estimate of a crowding-out parameter, in general, depends crucially on the context. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CHARITABLE uses, trusts, & foundations (Law) KW - ENDOWMENTS KW - FEDERAL government KW - PUBLIC spending KW - TAX exemption KW - TAX deductions KW - EDUCATION & state KW - UNITED States KW - NATIONAL Endowment for the Arts N1 - Accession Number: 38696468; Dokko, Jane K. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Mar2009, Vol. 62 Issue 1, p57; Thesaurus Term: CHARITABLE uses, trusts, & foundations (Law); Thesaurus Term: ENDOWMENTS; Thesaurus Term: FEDERAL government; Thesaurus Term: PUBLIC spending; Thesaurus Term: TAX exemption; Thesaurus Term: TAX deductions; Subject Term: EDUCATION & state; Subject: UNITED States ; Company/Entity: NATIONAL Endowment for the Arts; NAICS/Industry Codes: 813319 Other Social Advocacy Organizations; NAICS/Industry Codes: 813211 Grantmaking Foundations; NAICS/Industry Codes: 912910 Other provincial and territorial public administration; NAICS/Industry Codes: 923110 Administration of Education Programs; NAICS/Industry Codes: 913910 Other local, municipal and regional public administration; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 19p; Illustrations: 5 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=38696468&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur B. T1 - Ponds and Streams: Wealth and Income in the U.S., 1989 to 2007. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/03// M3 - Article SP - 1 EP - 87 AB - Much discussion treats the working definitions of wealth and income as if they were self-evident, but definitional choices can make substantial differences in the overall picture. To provide a clear basis on which to examine family wealth and income their interrelationship, this paper begins with a basic discussion of a range of possible measures of those concepts. Using the measures developed, the paper examines the distributions of wealth and income and their joint properties using data from the 1989-2007 waves of the Survey of Consumer Finances (SCF). Among other things, the data show a complicated pattern of shifts in the wealth distribution, with clear gains across the broad middle and at the top. For income, there is a more straightforward picture of rising inequality. Over this period, wealth as a fraction of income moved up across both the distributions of wealth and income. Nonetheless, their joint copula distributions (a type of distribution with uniform margins) do not show noticeable changes over this time. The consistent pattern is that very high wealth and income and very low wealth and income go together, but in between these poles, the relationship is fairly diffuse. The paper also presents information on the composition of wealth and income over the 18-year period; the general patterns of holdings across the distributions did not change markedly, but there were some important shifts. For wealth, debt increased as a share of assets across the wealth distribution, the share of principal residences rose mainly below the median of net worth, the share of tax-deferred retirement accounts rose and the share of other financial assets declined. For income, the clearest change was a general decline in the relative importance of capital income other than that from businesses. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCOME KW - INCOME distribution KW - PERSONAL finance KW - ASSETS (Accounting) KW - COPULAS (Mathematical statistics) KW - UNITED States N1 - Accession Number: 49059936; Kennickell, Arthur B. 1; Email Address: Arthur.Kennickell@frb.gov; Affiliations: 1: Chief, Microeconomic Surveys Section, Board of Governors of the Federal Reserve System, Mail Stop 153, Washington, DC 20551; Issue Info: 2009, p1; Thesaurus Term: INCOME; Thesaurus Term: INCOME distribution; Thesaurus Term: PERSONAL finance; Thesaurus Term: ASSETS (Accounting); Subject Term: COPULAS (Mathematical statistics); Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 89p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49059936&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gerardi, Kristopher S. AU - Lehnert, Andreas AU - Sherland, Shane M. AU - Willen, Paul S. T1 - Making Sense of the Subprime Crisis. JO - Working Paper Series (Federal Reserve Bank of Atlanta) JF - Working Paper Series (Federal Reserve Bank of Atlanta) Y1 - 2009/02/02/ IS - 2 M3 - Working Paper SP - 1 EP - 74 AB - This paper explores the question of whether market participants could have or should have anticipated the large increase in foreclosures that occurred in 2007 and 2008. Most of these foreclosures stemmed from loans originated in 2005 and 2006, leading many to suspect that lenders originated a large volume of extremely risky loans during this period. However, the authors show that while loans originated in this period did carry extra risk factors, particularly increased leverage, underwriting standards alone cannot explain the dramatic rise in foreclosures. Focusing on the role of house prices, the authors ask whether market participants underestimated the likelihood of a fall in house prices or the sensitivity of foreclosures to house prices. The authors show that, given available data, market participants should have been able to understand that a significant fall in prices would cause a large increase in foreclosures although loan-level (as opposed to ownership-level) models would have predicted a smaller rise than actually occurred. Examining analyst reports and other contemporary discussions of the mortgage market to see what market participants thought would happen, the authors find that analysts, on the whole, understood that a fall in prices would have disastrous consequences for the market but assigned a low probability to such an outcome. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Paper Series (Federal Reserve Bank of Atlanta) is the property of Federal Reserve Bank of Atlanta and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - FORECLOSURE KW - MORTGAGE loans KW - HOME prices KW - PRICE variance KW - HOUSING market KW - RESIDENTIAL real estate KW - HOUSING -- Finance KW - REAL property -- Finance KW - foreclosure KW - house prices KW - subprime KW - underwriting standards N1 - Accession Number: 36631431; Gerardi, Kristopher S. 1; Email Address: kristopher.gerardi@atl.frb.org Lehnert, Andreas 2; Email Address: andreas.lehnert@frb.gov Sherland, Shane M. 3; Email Address: shane.m.sherlund@frb.gov Willen, Paul S. 4; Email Address: paul.willen@bos.frb.org; Affiliation: 1: Research Economist and Assistant Policy Adviser, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, GA 30309-4470, 404-498-8561. 2: Chief, Household and Real Estate Finance Section, Board of Governors of the Federal Reserve System, 20th & C Streets, N.W., Washington, D.C. 20551, 202-452-3325. 3: Senior Economist, Household and Real Estate Finance Section, Board of Governors of the Federal Reserve System, 20th & C Streets, N.W., Washington, D.C. 20551, 202-452-3589. 4: Senior Economist and Policy Adviser, Federal Reserve Bank of Boston, 600 Atlantic Avenue, Boston, MA 02210, 617-973-3149.; Source Info: Feb2009, Issue 2, p1; Subject Term: FINANCIAL crises; Subject Term: FORECLOSURE; Subject Term: MORTGAGE loans; Subject Term: HOME prices; Subject Term: PRICE variance; Subject Term: HOUSING market; Subject Term: RESIDENTIAL real estate; Subject Term: HOUSING -- Finance; Subject Term: REAL property -- Finance; Author-Supplied Keyword: foreclosure; Author-Supplied Keyword: house prices; Author-Supplied Keyword: subprime; Author-Supplied Keyword: underwriting standards; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531311 Residential Property Managers; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 74p; Illustrations: 16 Charts, 15 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=36631431&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Hannan, Timothy H. AU - Prager, Robin A. T1 - The profitability of small single-market banks in an era of multi-market banking JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2009/02// VL - 33 IS - 2 M3 - Article SP - 263 EP - 271 SN - 03784266 AB - Abstract: This paper examines the relationship between the profitability of small single-market banks and the presence in the market of large banking organizations and banking organizations that operate primarily outside of the local banking market. We find that, in rural banking markets, the profitability of small single-market banks is significantly related to the presence of both large and small primarily-out-of-market banks. We also find that an increased presence of large or small primarily-out-of-market banks in rural banking markets reduces the positive effect of an increase in concentration on small single-market bank profits. This finding is consistent with theoretical predictions reported in the recent literature and has important implications for antitrust policy. In urban banking markets, we find little evidence of any relationship between the profitability of small single-market banks and the presence of large or primarily-out-of-market banks. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE profits KW - BANK profits KW - COST centers (Accounting) KW - BANKING research KW - BANKING industry -- Regional disparities KW - COMMUNITY banks KW - REGIONAL banks KW - UNIVERSAL banks KW - Banks KW - Competition KW - Pricing N1 - Accession Number: 35504642; Hannan, Timothy H. 1; Email Address: THannan@frb.gov; Prager, Robin A.; Email Address: Robin.Prager@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; Issue Info: Feb2009, Vol. 33 Issue 2, p263; Thesaurus Term: CORPORATE profits; Thesaurus Term: BANK profits; Thesaurus Term: COST centers (Accounting); Thesaurus Term: BANKING research; Thesaurus Term: BANKING industry -- Regional disparities; Thesaurus Term: COMMUNITY banks; Thesaurus Term: REGIONAL banks; Thesaurus Term: UNIVERSAL banks; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Competition; Author-Supplied Keyword: Pricing; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 9p; Document Type: Article L3 - 10.1016/j.jbankfin.2008.07.018 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35504642&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wachter, Jessica A. AU - Warusawitharana, Missaka T1 - Predictable returns and asset allocation: Should a skeptical investor time the market? JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2009/02// VL - 148 IS - 2 M3 - Article SP - 162 EP - 178 SN - 03044076 AB - Abstract: We investigate optimal portfolio choice for an investor who is skeptical about the degree to which excess returns are predictable. Skepticism is modeled as an informative prior over the of the predictive regression. We find that the evidence is sufficient to convince even an investor with a highly skeptical prior to vary his portfolio on the basis of the dividend-price ratio and the yield spread. The resulting weights are less volatile and deliver superior out-of-sample performance as compared to the weights implied by an entirely model-based or data-based view. [Copyright &y& Elsevier] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSET allocation KW - INVESTMENTS -- Mathematical models KW - MARKET timing KW - SPREAD (Finance) KW - ECONOMIC forecasting -- Mathematical models KW - MATHEMATICAL optimization KW - PORTFOLIO management (Investments) KW - PREDICTION models KW - WEIGHTING N1 - Accession Number: 36480924; Wachter, Jessica A. 1,2; Email Address: jwachter@wharton.upenn.edu; Warusawitharana, Missaka 3; Email Address: missaka.n.warusawitharana@frb.gov; Affiliations: 1: Department of Finance, The Wharton School, University of Pennsylvania, 2300 SH-DH, Philadelphia, PA, 19104, United States; 2: NBER, Cambridge, MA 02138, United States; 3: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Mail Stop 97, 20th and Constitution Ave, Washington DC, 20551, United States; Issue Info: Feb2009, Vol. 148 Issue 2, p162; Thesaurus Term: ASSET allocation; Thesaurus Term: INVESTMENTS -- Mathematical models; Thesaurus Term: MARKET timing; Thesaurus Term: SPREAD (Finance); Thesaurus Term: ECONOMIC forecasting -- Mathematical models; Thesaurus Term: MATHEMATICAL optimization; Thesaurus Term: PORTFOLIO management (Investments); Subject Term: PREDICTION models; Subject Term: WEIGHTING; NAICS/Industry Codes: 526917 Balanced funds / asset allocation funds; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jeconom.2008.10.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=36480924&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. T1 - Currency crashes and bond yields in industrial countries JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2009/02// VL - 28 IS - 1 M3 - Article SP - 161 EP - 181 SN - 02615606 AB - Abstract: This paper examines episodes of sudden large exchange rate depreciations (currency crashes) in industrial countries and characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash, bond yields tend to rise. Otherwise—and in every currency crash since 1985—bond yields tend to fall. Over the past 20 years, inflation rates have been remarkably stable in industrial countries after currency crashes. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BOND market KW - FOREIGN exchange rates KW - MONETARY policy KW - DEVELOPED countries KW - Depreciation KW - Exchange rate KW - Inflation KW - Interest rate N1 - Accession Number: 36189153; Gagnon, Joseph E. 1; Email Address: joseph.e.gagnon@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, 2000 C Street NW, Washington, DC 20551, USA; Issue Info: Feb2009, Vol. 28 Issue 1, p161; Thesaurus Term: BOND market; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONETARY policy; Subject: DEVELOPED countries; Author-Supplied Keyword: Depreciation; Author-Supplied Keyword: Exchange rate; Author-Supplied Keyword: Inflation; Author-Supplied Keyword: Interest rate; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jimonfin.2008.08.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=36189153&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Vigfusson, Robert J. AU - Sheets, Nathan AU - Gagnon, Joseph T1 - Exchange Rate Passthrough to Export Prices: Assessing Cross-Country Evidence. JO - Review of International Economics JF - Review of International Economics Y1 - 2009/02// VL - 17 IS - 1 M3 - Article SP - 17 EP - 33 PB - Wiley-Blackwell SN - 09657576 AB - A growing empirical literature reports evidence of a decline in exchange rate passthrough to import prices in a number of industrial countries. Our paper complements this literature by examining passthrough from the other side of the transaction; that is, we assess the exchange rate sensitivity of export prices (denominated in the exporter's currency). We find that the prices charged on exports to the United States are more responsive to the exchange rate than are export prices to other destinations, which is consistent with results in the literature that import price passthrough in the US market is relatively low. In addition, the exchange rate sensitivity of export prices over time has been significantly affected by country- and region-specific factors, including the Asian financial crisis (for emerging Asia), deepening integration with the United States (for Canada), and the effects of the 1992 ERM crisis (for the United Kingdom). [ABSTRACT FROM AUTHOR] AB - Copyright of Review of International Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - IMPORTS KW - EXPORTS KW - FINANCIAL crises KW - UNITED States KW - ASIA KW - CANADA KW - GREAT Britain N1 - Accession Number: 36606337; Vigfusson, Robert J. 1; Email Address: robert.j.vigfusson@frb.gov; Sheets, Nathan 1; Gagnon, Joseph 1; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: Feb2009, Vol. 17 Issue 1, p17; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: IMPORTS; Thesaurus Term: EXPORTS; Thesaurus Term: FINANCIAL crises; Subject: UNITED States; Subject: ASIA; Subject: CANADA; Subject: GREAT Britain; Number of Pages: 17p; Illustrations: 3 Charts, 2 Graphs; Document Type: Article L3 - 10.1111/j.1467-9396.2008.00801.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=36606337&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edge, Rochelle M. AU - Kiley, Michael T. AU - Laforte, Jean-Philippe T1 - A Comparison of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/02// M3 - Article SP - 1 EP - 52 AB - This paper considers the "real-time" forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model-the Federal Reserve Board's new Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 through 2005, thereby examining over 70 forecasts presented to the Federal Open Market Committee (FOMC). Our analysis builds on previous real-time forecasting exercises along two dimensions. First, we consider time-series models, a structural DSGE model that has been employed to answer policy questions quite different from forecasting, and the forecasts produced by the staff at the Federal Reserve Board. In addition, we examine forecasting performance of our DSGE model at a relatively detailed level by separately considering the forecasts for various components of consumer expenditures and private investment. The results provide significant support to the notion that richly specified DSGE models belong in the forecasting toolbox of a central bank. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC models KW - TIME series analysis KW - CONSUMPTION (Economics) KW - PRIVATE investments in public equity KW - STOCHASTIC systems KW - UNITED States KW - UNITED States. Federal Reserve Board KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 49059785; Edge, Rochelle M. 1; Email Address: rochelle.m.edge@frb.gov; Kiley, Michael T. 1; Email Address: michael.t.kiley@frb.gov; Laforte, Jean-Philippe 1; Email Address: jean-philippe.laforte@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2009, p1; Thesaurus Term: ECONOMIC models; Thesaurus Term: TIME series analysis; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PRIVATE investments in public equity; Subject Term: STOCHASTIC systems; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 54p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49059785&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ray, Sugata AU - Warusawitharana, Missaka T1 - An Efficiency Perspective on the Gains from Mergers and Asset Purchases. JO - B.E. Journal of Economic Analysis & Policy: Contributions to Economic Analysis & Policy JF - B.E. Journal of Economic Analysis & Policy: Contributions to Economic Analysis & Policy Y1 - 2009/01// VL - 9 IS - 1 M3 - Article SP - 1 EP - 25 SN - 15380645 AB - A rational, efficiency-based view of acquisitions implies that larger transactions generate greater gains for the acquirer and the seller. We test this prediction and find a positive relationship between acquirer abnormal returns and transaction size scaled by the acquirer size. This relationship holds for many classes of acquisitions, including asset purchases and mergers that target private firms. We find a similar relationship between total abnormal returns and relative transaction size. The results suggest that, in general, acquisitions help shift capital to more productive owners. Furthermore, we present evidence demonstrating that the average acquirer captures a significant portion of the total gains generated from an acquisition. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Economic Analysis & Policy: Contributions to Economic Analysis & Policy is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSOLIDATION & merger of corporations KW - INDUSTRIAL efficiency KW - CAPITAL KW - RATE of return KW - PRIVATE companies KW - ASSET acquisitions KW - acquisitions KW - Capital reallocation KW - efficiency gains N1 - Accession Number: 50123821; Ray, Sugata 1; Email Address: sugata.ray@ufl.edu; Warusawitharana, Missaka 2; Email Address: m1mnw00@frb.gov; Affiliations: 1: University of Florida; 2: Board of Governors of the Federal Reserve System; Issue Info: 2009, Vol. 9 Issue 1, preceding p1; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: CAPITAL; Thesaurus Term: RATE of return; Thesaurus Term: PRIVATE companies; Thesaurus Term: ASSET acquisitions; Author-Supplied Keyword: acquisitions; Author-Supplied Keyword: Capital reallocation; Author-Supplied Keyword: efficiency gains; Number of Pages: 27p; Illustrations: 9 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=50123821&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Hasan, Iftekhar AU - Zhou, Mingming T1 - Bank ownership and efficiency in China: What will happen in the world’s largest nation? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2009/01// VL - 33 IS - 1 M3 - Article SP - 113 EP - 130 SN - 03784266 AB - Abstract: China is reforming its banking system, partially privatizing and taking on minority foreign ownership of three of its dominant “Big Four” state-owned banks. This paper helps predict the effects by analyzing the efficiency of Chinese banks over 1994–2003. Findings suggest that Big Four banks are by far the least efficient; foreign banks are most efficient; and minority foreign ownership is associated with significantly improved efficiency. We present corroborating robustness checks and offer several credible mechanisms through which minority foreign owners may increase Chinese bank efficiency. These findings suggest that minority foreign ownership of the Big Four will likely improve performance significantly. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - BANKING research KW - FOREIGN banking industry KW - INTERNATIONAL banking industry KW - FOREIGN investments KW - CHINA KW - Banks KW - China KW - Efficiency KW - Foreign ownership N1 - Accession Number: 35504684; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Hasan, Iftekhar 3,4; Email Address: hasan@rpi.edu; Zhou, Mingming 5; Email Address: m.zhou@uaf.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 153, 20th and C Streets, NW, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Rensselaer Polytechnic Institute, Troy, NY 12180, USA; 4: Bank of Finland, Helsinki 00101, Finland; 5: School of Management, University of Alaska Fairbanks, Fairbanks, AK 99775, USA; Issue Info: Jan2009, Vol. 33 Issue 1, p113; Thesaurus Term: BANKING industry; Thesaurus Term: BANKING research; Thesaurus Term: FOREIGN banking industry; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: FOREIGN investments; Subject: CHINA; Author-Supplied Keyword: Banks; Author-Supplied Keyword: China; Author-Supplied Keyword: Efficiency; Author-Supplied Keyword: Foreign ownership; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jbankfin.2007.05.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35504684&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gerardi, Kristopher S. AU - Lehnert, Andreas AU - Sherland, Shane M. AU - Willen, Paul S. T1 - Public Policy Discussion Papers. JO - Research Review JF - Research Review Y1 - 2009/01//Jan-Jun2009 IS - 11 M3 - Article SP - 4 EP - 6 PB - Federal Reserve Bank of Boston SN - 15522814 AB - The article discusses a research on the possibility that financial analysts are able to foretell the large volume of losses in 2007 and 2008, from housing investment in the U.S. The researchers examined information on high-risk mortgage loans taken out in 2005 that gave a clue to the housing crisis. The financiers failed to forecast the decrease of house prices and the increase in the volume of borrowers who reneged on their loan payments due to the economic recession. KW - FINANCIAL planners KW - INVESTMENT advisors KW - BUSINESS losses KW - CAPITALISTS & financiers KW - MORTGAGE loans N1 - Accession Number: 44140043; Gerardi, Kristopher S. 1; Email Address: kristopher.gerardi@atl.frb.org Lehnert, Andreas 2; Email Address: ndreas.lehnert@frb.gov Sherland, Shane M.; Email Address: shane.m.sherlund@frb.gov Willen, Paul S.; Email Address: paul.willen@bos.frb.org; Affiliation: 1: Visiting scholar, Federal Reserve Bank of Boston 2: Board of Governors of the Federal Reserve System; Source Info: Jan-Jun2009, Issue 11, p4; Subject Term: FINANCIAL planners; Subject Term: INVESTMENT advisors; Subject Term: BUSINESS losses; Subject Term: CAPITALISTS & financiers; Subject Term: MORTGAGE loans; NAICS/Industry Codes: 541611 Administrative Management and General Management Consulting Services; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 3p; Illustrations: 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=44140043&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Follette, Glenn AU - Kusko, Andrea AU - Lutz, Byron T1 - State and Local Finances and the Macroeconomy: The High-Employment Budget and Fiscal Impetus. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2009/01// M3 - Article SP - 1 EP - 26 AB - We examine the interplay of the economy and state and local budgets by developing and examining two measures of fiscal policy: the high-employment budget and fiscal impetus. We find that a 1 percentage point increase in cyclical GDP results in a 0.1 percentage point increase in NIPA-based net saving through the automatic response of taxes and expenditures. State and local budget policies are found to be modestly procyclical. Stimulus to aggregate demand is about 0.2 percentage point less following a business cycle peak than it is during the period before the business cycle peak. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LOCAL finance KW - MACROECONOMICS KW - FISCAL policy KW - MONETARY policy KW - PUBLIC spending KW - GOVERNMENT spending policy KW - BUSINESS cycles KW - AGGREGATE demand (Economics) N1 - Accession Number: 49059335; Follette, Glenn; Email Address: glenn.follette@frb.gov; Kusko, Andrea; Email Address: andrea.kusko@frb.gov; Lutz, Byron 1; Email Address: byron.f.lutz@frb.gov; Affiliations: 1: Mail Stop 83, Board of Governors of the Federal Reserve System, Washington DC 20551.; Issue Info: 2009, p1; Thesaurus Term: LOCAL finance; Thesaurus Term: MACROECONOMICS; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: GOVERNMENT spending policy; Thesaurus Term: BUSINESS cycles; Thesaurus Term: AGGREGATE demand (Economics); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 27p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49059335&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. T1 - Currency Crashes in Industrial Countries: Much Ado About Nothing? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2009/01// M3 - Article SP - 1 EP - 54 AB - Sharp exchange rate depreciations, or currency crashes, are associated with poor economic outcomes in industrial countries only when they are caused by inflationary macroeconomic policies. Moreover, the poor outcomes are attributable to inflationary policies in general and not the currency crashes in particular. On the other hand, crashes caused by rising unemployment or external deficits have always had good economic consequences with stable or falling inflation rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - MONEY KW - INFLATION (Finance) KW - EMPLOYMENT (Economic theory) KW - VOLATILITY (Finance) KW - ECONOMIC impact KW - current account KW - depreciation KW - Exchange rate KW - inflation KW - unemployment N1 - Accession Number: 38021948; Gagnon, Joseph E. 1; Affiliations: 1: Visiting Associate Director, Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551 U.S.A.; Issue Info: 2009, p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONEY; Thesaurus Term: INFLATION (Finance); Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMIC impact; Author-Supplied Keyword: current account; Author-Supplied Keyword: depreciation; Author-Supplied Keyword: Exchange rate; Author-Supplied Keyword: inflation; Author-Supplied Keyword: unemployment; Number of Pages: 56p; Illustrations: 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=38021948&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Chabot, Benjamin AU - Kurz, Christopher AD - Yale University and NBER AD - Board of Governors of the Federal Reserve System T1 - That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907 PB - Economic Growth Center, Yale University, Working Papers Y1 - 2009/// SP - 34 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045559; Keywords: Capital markets, Home bias, History, Victorian overseas investment; Publication Type: Working Paper; Update Code: 200907 N2 - Why did Victorian Britain invest so much capital abroad? We collect over 500,000 monthly returns of British and foreign securities trading in London and the United States between 1866 and 1907. These heretofore-unknown data allow us to better quantify the historical benefits of international diversification and revisit the question of whether British Victorian investor bias starved new domestic industries of capital. We find no evidence of bias. A British investor who increased his investment in new British industry at the expense of foreign diversification would have been worse off. The addition of foreign assets significantly expanded the mean-variance frontier and resulted in utility gains equivalent to a meaningful increase in lifetime consumption. KW - Financial Markets and the Macroeconomy E44 KW - International Migration F22 KW - Portfolio Choice; Investment Decisions G11 KW - International Financial Markets G15 KW - Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913 N21 KW - Economic History: Financial Markets and Institutions: Europe: Pre-1913 N23 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 L3 - http://www.econ.yale.edu/growth_pdf/cdp972.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045559&site=ehost-live&scope=site UR - http://www.econ.yale.edu/growth_pdf/cdp972.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Kiley, Michael T. AU - Laforte, Jean-Philippe AD - Unlisted AD - Unlisted AD - Unlisted T1 - A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-10 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032786; Keywords: Economic forecasting; Time-series analysis; Macroeconomics; Publication Type: Working Paper; Update Code: 200905 N2 - This paper considers the "real-time" forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model--the Federal Reserve Board's new Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 through 2005, thereby examining over 70 forecasts presented to the Federal Open Market Committee (FOMC). Our analysis builds on previous real-time forecasting exercises along two dimensions. First, we consider time-series models, a structural DSGE model that has been employed to answer policy questions quite different from forecasting, and the forecasts produced by the staff at the Federal Reserve Board. In addition, we examine forecasting performance of our DSGE model at a relatively detailed level by separately considering the forecasts for various components of consumer expenditures and private investment. The results provide significant support to the notion that richly specified DSGE models belong in the forecasting toolbox of a central bank. L3 - http://www.federalreserve.gov/pubs/feds/2009/200910/200910pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032786&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200910/200910pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stahl, Jessica C. AD - Unlisted T1 - A dynamic analysis of consolidation in the broadcast television industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-48 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083168; Publication Type: Working Paper; Update Code: 201001 N2 - This paper estimates a dynamic oligopoly model in order to separately identify the demand-side and cost-side advantages of consolidation in the broadcast television industry. I exploit an exogenous change in regulation that led to significant industry consolidation. Using revenue and ownership data for broadcast stations over the past ten years, I estimate the effect of ownership changes on revenue. I recover costs by examining patterns in ownership changes that are left unexplained by revenue estimation. I model firms' purchasing decisions as a dynamic game, and estimate the game using a two-step estimation method recently developed by Bajari, Benkard & Levin (2007). This is the first paper to estimate a model of merger activity in a dynamic, strategic setting. I find that there are both revenue and cost advantages to consolidation, but they operate through different mechanisms. Access to a wider audience enables firms to increase per-station advertising revenue, while simply owning more stations enables firms to reduce per-station operating costs. A firm's ability to realize these benefits is affected by its stations' network affiliations, locations and viewers. L3 - http://www.federalreserve.gov/pubs/feds/2009/200948/200948pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083168&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200948/200948pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huang, Xin AU - Zhou, Hao AU - Zhu, Haibin AD - Unlisted AD - Unlisted AD - Unlisted T1 - A framework for assessing the systemic risk of major financial institutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-37 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083157; Keywords: Risk management; Banks and banking; Publication Type: Working Paper; Update Code: 201001 N2 - In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations estimated from high-frequency equity return data can significantly improve the accuracy of forecasted correlations. Our stress testing methodology, using an integrated micro-macro model, takes into account dynamic linkages between the health of major U.S. banks and macrofinancial conditions. Our results suggest that the theoretical insurance premium that would be charged to protect against losses that equal or exceed 15 percent of total liabilities of 12 major U.S. financial firms stood at $110 billion in March 2008 and had a projected upper bound of $250 billion in July 2008. L3 - http://www.federalreserve.gov/pubs/feds/2009/200937/200937pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083157&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200937/200937pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AU - Klee, Elizabeth AD - Unlisted AD - Unlisted T1 - A study of U.S. monetary policy implementation: demand for reserves on a period average basis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-22 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045614; Publication Type: Working Paper; Update Code: 200907 N2 - This paper provides new estimates of banks' demand for excess reserve balances on a period average basis. Consistent with theoretical work, we find that the demand for excess depends critically on uncertainty of flows in and out of reserve accounts. We also document the variability of demand for excess reserve balances by institution size, evaluate different models for forecasting demand for excess on a period average basis, and report the forecasting performance of each of these models. Finally, we present analysis of the period of financial turmoil seen over the year since August, 2007. L3 - http://www.federalreserve.gov/pubs/feds/2009/200922/200922pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045614&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200922/200922pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barr, Michael S. AU - Dokko, Jane K. AU - Keys, Benjamin J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - And banking for all? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-34 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1072466; Publication Type: Working Paper; Update Code: 200911 N2 - This paper presents data from a new survey of low- and moderate-income households in Detroit to examine bank account usage and alternative financial service (AFS) products. We find that for the vast majority of households, annual outlays on financial services for transactional and credit products are relatively small, around 1 percent of annual income. This estimate is lower than those extrapolated by previous work using the posted fees of financial services alone, suggesting that LMI households do not always choose the most expensive financial services option. This evidence is also consistent with LMI households substituting among an array of financial services from the mainstream and alternative financial services sector. Households with bank accounts are more economically active and have access to more forms of credit than unbanked households, resulting in greater use of financial services and higher total outlays. Results from the DAHFS study show permeability in the financial services decisions of LMI households. Namely, having a bank account does not preclude the use of AFS, being unbanked does not exclude households from using mainstream financial services, and contrary to popular belief, being unbanked is not a permanent financial outcome. Generally, results from the DAHFS study suggest that policies designed to expand bank account access alone are unlikely to improve financial outcomes among LMI households unless accompanied by changes in the functionality of mainstream banking products. L3 - http://www.federalreserve.gov/pubs/feds/2009/200934/200934pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1072466&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200934/200934pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AD - Unlisted T1 - Are Chinese exports sensitive to changes in the exchange rate? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 987 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089040; Publication Type: Working Paper; Update Code: 201003 N2 - This paper builds a model of two types of Chinese exports, those processed and assembled largely from imported inputs ("processed" exports) and "non-processed" exports. Based on this model, the sensitivity of Chinese exports to exchange rate changes is empirically examined. Unlike previous work, the estimation period includes the net real appreciation of the renminbi that has occurred over the past three years. The results show that greater exchange rate appreciation dampens export growth, both for non-processed and processed exports, with the estimated cumulative price elasticity being substantially greater than unity. When the source of the increase in the Chinese real exchange rate is appreciations against the currencies of other emerging Asian trading partners, the effect on processing exports is positive but insignificant, while the effect on non-processing exports is significantly negative. By contrast, when the source of the increase in the Chinese real exchange rate is appreciation against China's advanced-economy trading partners, the effects on both types of exports are negative. These results are consistent with the predictions of the theoretical model. Counterfactual simulations based on the estimated model strongly suggest that if the trade-weighted real renminbi had appreciated at an annual rate of 10 percent per quarter since mid-2005, Chinese real exports would have been roughly 30 percent lower today. Thus greater exchange rate flexibility could contribute to lowering China's huge trade surplus through restraining growth of exports. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/987/ifdp987.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089040&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/987/ifdp987.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huang, Xin AU - Zhou, Hao AU - Zhu, Haibin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-44 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083164; Publication Type: Working Paper; Update Code: 201001 N2 - This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as the insurance cost to protect against distressed losses in a banking system, is a risk-neutral concept of capital based on publicly available information that can be appropriately aggregated across different subsets. An application of our methodology to a portfolio of twenty-two major banks in Asia and the Pacific illustrates the dynamics of the spillover effects of the global financial crisis to the region. The increase in the perceived systemic risk, particularly after the failure of Lehman Brothers, was mainly driven by the heightened risk aversion and the squeezed liquidity. The analysis on the marginal contribution of individual banks to the systemic risk suggests that "too-big-to-fail" is a valid concern from a macroprudential perspective of bank regulation. L3 - http://www.federalreserve.gov/pubs/feds/2009/200944/200944pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083164&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200944/200944pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sun, Bo AD - Unlisted T1 - Asset returns with earnings management PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 988 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089041; Publication Type: Working Paper; Update Code: 201003 N2 - The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic revelations of the firm's underlying profitability. The return process generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering, asymmetric volatility, and increased idiosyncratic volatility. The calibration results further indicate that earnings management by individual firms does not only deliver the observed features in their own stocks, but can also be strong enough to generate market-wide patterns. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/988/ifdp988.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089041&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/988/ifdp988.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Szerszen, Pawel J. AD - Unlisted T1 - Bayesian analysis of stochastic volatility models with Levy jumps: application to risk analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-40 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083160; Publication Type: Working Paper; Update Code: 201001 N2 - In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Levy alpha-stable jumps. To be able to estimate the models with latent Levy alpha-stable jumps, I construct a new Markov chain Monte Carlo algorithm. I estimate all model specifications with S&P500 daily returns. I find that models with Levy alpha-stable jumps perform well in capturing return characteristics if diffusion is a source of stochastic volatility. Models with stochastic volatility from jumps and models with Poisson jumps cannot represent excess kurtosis and tails of return distribution. In density forecast and VaR analysis, the model with Levy alpha-stable jumps and joint stochastic volatility performs the best among all other specifications, since both diffusion and infinite activity jump part provide information about latent volatility. L3 - http://www.federalreserve.gov/pubs/feds/2009/200940/200940pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083160&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200940/200940pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baier, Scott AU - Clements, Mark AU - Griffiths, Charles AU - Ihrig, Jane AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Biofuels impact on crop and food prices: using an interactive spreadsheet PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 967 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032796; Keywords: Prices; Farm produce; Publication Type: Working Paper; Update Code: 200905 N2 - This paper examines the effect that biofuels production has had on commodity and global food prices. The innovative contribution of this paper is the interactive spreadsheet that allows the reader to choose the assumptions behind the estimates. By allowing the reader to choose the country, time period, supply and demand elasticities, and the size of indirect effects we explicitly illustrate the sensitivity of the estimated effect of biofuels production on prices. Our best estimates suggest that the increase in biofuels production over the past two years has had a sizeable impact on corn, sugar, barley and soybean prices, but a much smaller impact on global food prices.; Over the past two years (ending June 2008), we estimate that the increase in worldwide biofuels production pushed up corn, soybean and sugar prices by 27, 21 and 12 percentage points respectively. The countries that account for most of the upward pressure on these prices are the United States and Brazil. Our best estimates suggest that the increase in U.S. biofuels production (ethanol and biodiesel) pushed up corn prices by more than 22 percentage points and soybean prices (soybeans and soybean oil) by more than 15 percentage points, while the increase in EU biofuels production pushed corn and soybean prices up around 3 percentage points. Brazil's increase in sugar-based ethanol production accounts for the entire rise in the price of sugar.; Although biofuels had a noticeable impact on individual crop prices, they had a much smaller impact on global food prices. Our best estimate suggests that the increase in worldwide biofuels production over the past two years accounts for just over 12 percent of the rise in the IMF's food price index. The increase in U.S. biofuels production accounts for roughly 60 percent of this effect, while Brazil accounts for 14 percent and the EU accounts for 15 percent. The key take-away point is that nearly 90 percent of the rise in global food prices comes from factors other than biofuels. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/967/ifdp967.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032796&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/967/ifdp967.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, David AU - Faust, Jon AU - Rogers, John H. AU - Steverson, Kai AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Border prices and retail prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 972 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045623; Publication Type: Working Paper; Update Code: 200907 N2 - We analyze retail prices and at-the-dock (import) prices of specific items in the Bureau of Labor Statistics' (BLS) CPI and IPP databases, using both databases simultaneously to identify items that are identical in description at the dock and when sold at retail. This identification allows us to measure the distribution wedge associated with bringing traded goods from the point of entry into the United States to their retail outlet. We find that overall U.S. distribution wedges are 50-70%, around 10 to 20 percentage points higher than that reported in the literature. We discuss the implications of this for measuring the size of the "pure" tradeables sector, exchange rate pass-through, and real exchange rate determination. We find that distribution wedges are very stable over time but there is considerable variation across items. There is some variation across the country of origin for the imported item, for our major trading partners, but not as much as the cross-item variation. We also investigate the determinants of distribution wedges, finding that wedges do not vary systematically with exchange rates, but are related to other features of the micro data. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/972/ifdp972.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045623&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/972/ifdp972.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AU - Manchev, Peter AD - Unlisted AD - Unlisted T1 - Characteristic-based mean-variance portfolio choice PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 981 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083175; Keywords: Portfolio management; Publication Type: Working Paper; Update Code: 201001 N2 - We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single-characteristic strategies (e.g., momentum or value). In an empirical application to international stock return indexes, we show that the direct approach to estimating portfolio weights clearly beats a naive regression-based approach that models the conditional mean. However, a portfolio based on equal weights of the single-characteristic strategies performs about as well, and sometimes better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance analysis. The empirical results also highlight the potential for 'stock-picking' in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/981/ifdp981.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083175&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/981/ifdp981.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wei, Min AU - Wright, Jonathan AD - Unlisted AD - Unlisted T1 - Confidence intervals for long-horizon predictive regressions via reverse regressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-27 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045618; Publication Type: Working Paper; Update Code: 200907 N2 - Long-horizon predictive regressions in finance pose formidable econometric problems when estimated using the sample sizes that are typically available. A remedy that has been proposed by Hodrick (1992) is to run a reverse regression in which short-horizon returns are projected onto a long-run mean of some predictor. By covariance stationarity, the slope coefficient is zero in the reverse regression if and only if it is zero in the original regression, but testing the hypothesis in the reverse regression avoids small sample problems. Unfortunately this only allows us to test the null of no predictability. In this paper we show how to use the reverse regression to test other hypotheses about the slope coefficient in a long-horizon predictive regression, and to form confidence intervals for this coefficient. We show that this approach to inference works well in small samples. L3 - http://www.federalreserve.gov/pubs/feds/2009/200927/200927pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045618&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200927/200927pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pounder, Laurie AD - Unlisted T1 - Consumption response to expected future income PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 971 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045620; Publication Type: Working Paper; Update Code: 200907 N2 - This paper shows empirical evidence in favor of forward-looking household consumption--that consumption today depends directly on household-specific ex-ante expectations of future income. This analysis is unique in using a direct consumption measure combined with an ex-ante household-specific measure of expected future income, constructed from detailed survey and administrative data on Social Security, pensions, and retirement plans. Households with high expected future income spend more today than households that have lower future income but identical current income and net worth. Omitting household-specific future income can cause mis-estimation of key consumption questions. Furthermore, when all three resources for consumption (current income, net worth, and future income) are accounted for, the average propensity to spend out of current income is similar to predictions of optimal consumption under uncertainty in a dynamic stochastic model, although the propensities to spend out of accumulated net worth and expected future income are notably lower in the data than the optimal model. Finally, these data also provide evidence on the effect of risk on consumption while controlling for all three resources. Households with high measured risk aversion consume less out of future income. All households, on average, consume more out of the more predictable sources of future income, such as future Social Security benefits. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/971/ifdp971.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045620&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/971/ifdp971.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brevoort, Kenneth P. AD - Unlisted T1 - Credit card redlining revisited PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-39 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083159; Publication Type: Working Paper; Update Code: 201001 N2 - Using a proprietary dataset of credit bureau records, Cohen-Cole (2008) finds that banks set credit limits on revolving accounts based in part on the racial composition of the neighborhood in which each borrower resides. This paper evaluates the evidence presented in that working paper using the same proprietary database of credit bureau records. The replication effort presented in this paper suggests that decisions about how to calculate the variables used in that study may have resulted in the unnecessary exclusion of one-fifth of available observations from the estimation samples and may have increased the size of the reported effect by over 25 percent. Furthermore, this analysis suggests that when a control for neighborhood income is added to the estimations, the results presented as evidence of redlining activities disappear. L3 - http://www.federalreserve.gov/pubs/feds/2009/200939/200939pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083159&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200939/200939pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Currency crashes in industrial countries: much ado about nothing? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 966 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032795; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200905 N2 - Sharp exchange rate depreciations, or currency crashes, are associated with poor economic outcomes in industrial countries only when they are caused by inflationary macroeconomic policies. Moreover, the poor outcomes are attributable to inflationary policies in general and not the currency crashes in particular. On the other hand, crashes caused by rising unemployment or external deficits have always had good economic consequences with stable or falling inflation rates. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/966/ifdp966.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032795&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/966/ifdp966.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie AU - Dvorak, Tomas AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Decomposing the U.S. external returns differential PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 977 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083171; Keywords: Investments, Foreign; Portfolio management; Stocks; Publication Type: Working Paper; Update Code: 201001 N2 - We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor timing of foreign investors--caused primarily by deliberate trading, not a lack of portfolio rebalancing--contributes positively to the U.S. external returns differential. We find no evidence that the poor timing is driven by mechanical reserve accumulation by emerging market countries; rather, it is driven almost entirely by the poor timing of rich, developed (mainly European) countries. Finally, while poor foreign timing appears to be persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as well as the overall differential, are sometimes negative, sometimes positive, and usually indistinguishable from zero. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/977/ifdp977.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083171&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/977/ifdp977.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AD - Unlisted T1 - Demand-driven job separation: reconciling search models with the ins and outs of unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-24 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045613; Publication Type: Working Paper; Update Code: 200907 N2 - This paper presents a search model of unemployment with a new mechanism of job separation based on firms' demand constraints. The model is consistent with the cyclical behavior of labor market variables and can account for three stylized facts about unemployment that the Mortensen-Pissarides (1994) model has difficulties explaining jointly: (i) the unemployment-vacancy correlation is negative, (ii) the contribution of the job separation rate to unemployment fluctuations is small but non-trivial, (iii) movements in the job separation rate are sharp and short-lived while movements in the job finding rate are persistent. In addition, the model can rationalize two hitherto unexplained findings: why unemployment inflows were less important in the last two decades, and why the asymmetric behavior of unemployment weakened after 1985. L3 - http://www.federalreserve.gov/pubs/feds/2009/200924/200924pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045613&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200924/200924pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cordell, Larry AU - Dynan, Karen AU - Lehnert, Andreas AU - Liang, Nellie AU - Mauskopf, Eileen AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Designing loan modifications to address the mortgage crisis and the making home affordable program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-43 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083163; Publication Type: Working Paper; Update Code: 201001 N2 - Delinquencies on residential mortgages and home foreclosures have risen dramatically in the past couple of years. The mortgage losses triggered a broad-based financial crisis and severe recession, which, in turn, exacerbated the initial financial distress faced by homeowners. Although servicers increased their loss mitigation efforts as defaults began to mount, foreclosures continued to occur in cases where both the borrower and investor would be better off if such an outcome were avoided. The U.S. government has engaged in a number of initiatives to reduce such foreclosures. This paper examines the economic underpinnings of the Administration's loan modification program, the Home Affordable Modification Program (HAMP). We argue that HAMP should help many borrowers avoid foreclosure, as its key features--a standardized protocol, incentive fees for servicers, and a requirement that the first lien mortgage payment be reduced to 31 percent of gross income--alleviate some of the previous obstacles to successful modifications. That said, HAMP is not well-suited to address payment problems associated with job loss because the required modification in such cases would often be too costly to qualify for the program. In addition, the focus of the program on reducing the payments associated with the mortgage rather than the principal of the mortgage may limit its effectiveness when the homeowner's equity is sufficiently negative. In this case, recent government efforts to establish a protocol for short sales should be a useful tool in avoiding costly foreclosure. L3 - http://www.federalreserve.gov/pubs/feds/2009/200943/200943pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083163&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200943/200943pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prager, Robin A. AD - Unlisted T1 - Determinants of the locations of payday lenders, pawnshops and check-cashing outlets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-33 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061516; Publication Type: Working Paper; Update Code: 200909 N2 - A large and growing number of low-to-moderate income U.S. households rely upon alternative financial service providers (AFSPs) for a variety of credit products and transaction services, including payday loans, pawn loans, automobile title loans, tax refund anticipation loans and check-cashing services. The rapid growth of this segment of the financial services industry over the past decade has been quite controversial. One aspect of the controversy involves the location decisions of AFSPs. This study examines the determinants of the locations of three types of AFSPs--payday lenders, pawnshops, and check-cashing outlets. Using county-level data for the entire country, I find that the number of AFSP outlets per capita is significantly related to demographic characteristics of the county population (e.g., racial/ethnic composition, age, and education level), measures of the population's credit worthiness, and the stringency of state laws and regulations governing AFSPs. L3 - http://www.federalreserve.gov/pubs/feds/2009/200933/200933pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061516&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200933/200933pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher AU - Guerrieri, Luca AU - Kamin, Steven B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Did easy money in the dollar bloc fuel the global commodity boom? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 979 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083173; Keywords: Monetary policy; Petroleum products - Prices; Publication Type: Working Paper; Update Code: 201001 N2 - Among the various explanations for the runup in oil and commodity prices of recent years, one story focuses on the role of monetary policy in the United States and in developing economies. In this view, developing countries that peg their currencies to the dollar were forced to ease their monetary policies after reductions in U.S. interest rates, leading to economic overheating, excess demand for oil and other commodities, and rising commodity prices. We assess that hypothesis using the Federal Reserve staff's forward-looking, multicountry, dynamic general equilibrium model, SIGMA. We find that even if many developing country currencies were pegged to the dollar, an easing of U.S. monetary policy would lead to only a transitory runup in oil prices. Instead, strong economic growth in many developing economies, as well as shortfalls in oil production, better explain the sustained runup in oil prices observed until earlier this year. Moreover, a closer look at exchange rates and interest rates around the world suggests that the monetary policies of many developing economies, including in East Asia, are less closely influenced by U.S. policies than is frequently assumed. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/979/ifdp979.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083173&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/979/ifdp979.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - King, Thomas B. AU - Lewis, Kurt F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Distress in the financial sector and economic activity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-01 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014197; Publication Type: Working Paper; Update Code: 200902 N2 - This paper explores the relationship between the health of the financial sector and the rest of the economy. We develop an indicator of financial sector health using a distance-to-default measure based on a Merton-style option pricing model. Our measure spans over three decades and appears to capture periods when financial sector institutions were strong and when they were weak. We then use vector autoregressions to assess whether our indicator of financial-sector health affects the real economy, in particular non-residential investment. The results indicate that our measure has a considerable impact. Moreover, we find that this financial channel amplifies changes in investment resulting from shocks to non-financial firm profitability. L3 - http://www.federalreserve.gov/pubs/feds/2009/200901/200901pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014197&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200901/200901pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Diversification across characteristics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 986 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089039; Publication Type: Working Paper; Update Code: 201003 N2 - I study long-short portfolio strategies formed on seven different stock characteristics representing various measures of past returns, value, and size. Each individual characteristic results in a profitable portfolio strategy, but these single-characteristic strategies are all dominated by a diversified strategy that places equal weight on each of the single-characteristic strategies. The benefits of diversifying across characteristic-based long-short strategies are substantial and can be attributed to the mostly low, and sometimes substantially negative, correlation between the returns on the single-characteristic strategies. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/986/ifdp986.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089039&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/986/ifdp986.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AD - Unlisted T1 - Do constraints on market work hours change home production efforts? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-21 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045609; Publication Type: Working Paper; Update Code: 200907 N2 - We study variations in housework time and leisure consumption when workers are subject to labor market work hours constraints that prevent them from working the optimal number of hours. Using data from two large nationwide longitudinal surveys, we first document that such constraints are widespread--about 50 percent of all households in our sample had been bound by such constraints in at least one year, highlighting the significance of studying household behaviors in labor markets under binding constraints. Our analysis reveals strong heterogeneity and asymmetry in workers' reactions to this type of market constraint that are difficult to reconcile with standard preferences and home production technology. In particular, we find that the ceilings on market work hours induce workers to increase time spent on housework, including cooking, and to reduce vacation time. In contrast, floors on market work hours do not significantly affect time spent on housework, but may boost vacation time. On net, workers constrained by hours ceilings (floors) appear to have more (less) leisure time. Meanwhile, the response to hours ceilings are more pronounced among unmarried households. We also find some evidence that the magnitude of the effects of market hours constraints increases with the persistence of these constraints. Our results are robust to a number of variations in measurement metrics, econometric specifications, sample selection criteria, and data sources. We argue that the empirical results documented in this paper can be taken as additional moments conditions against which equilibrium models with home production are calibrated. L3 - http://www.federalreserve.gov/pubs/feds/2009/200921/200921abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045609&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200921/200921abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ball, Steffan G. AU - Low, Hamish W. AD - Unlisted AD - Unlisted T1 - Do self-insurance and disability insurance prevent consumption loss on disability? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-31 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061514; Publication Type: Working Paper; Update Code: 200909 N2 - In this paper we show the extent to which public insurance and self-insurance mitigate the cost of health shocks that limit the ability to work. We use consumption data from the UK to estimate the insurance provided by the government disability programme and account for the effectiveness of alternative self-insurance mechanisms. Individuals with a work-limiting health condition, but in receipt of disability insurance, have 7 percent lower consumption than those without such a condition. Self-insurance through savings and a working partner each provide some insurance benefit, improving outcomes from 2 percent to 4 percent. Reductions in the generosity of incapacity benefit after 1995 are associated with increases in the consumption loss associated with disability. L3 - http://www.federalreserve.gov/pubs/feds/2009/200931/200931pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061514&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200931/200931pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Korniotis, George M. AD - Unlisted T1 - Does speculation affect spot price levels? the case of metals with and without futures markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-29 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061512; Publication Type: Working Paper; Update Code: 200909 N2 - This paper finds no evidence that speculative activity in futures markets for industrial metals caused higher spot prices in recent years. The empirical analysis focuses on industrial metals with and without futures contracts and is organized around two key themes. First, I show that the comovement between metals with and without futures contracts has not weakened in recent years as speculative activity has risen. Specifically, the annual and quarterly price growth rates of the two metal categories have been positively correlated with their growth rates experiencing a structural shift by the end of 2002. This comovement is driven by economic fundamentals because world GDP growth is strongly correlated with metal price growth, especially after 2002. The structural change in 2002 is also consistent with supply and demand information found in industry newsletters. In the second set of results, I focus more directly on financial speculation and spot price inflation. I use the S&P Goldman-Sachs Commodity Index returns to proxy for the volume of speculative activity and I show that these returns are unrelated to metal prices. The final test follows storage models, which suggest that speculation can affect spot markets only if it leads to physical hoarding. Focusing on metals with established futures markets, I find no evidence of physical hoarding because inventory growth is found to be negatively correlated with price growth rates. L3 - http://www.federalreserve.gov/pubs/feds/2009/200929/200929pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061512&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200929/200929pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frydman, Carola AU - Molloy, Raven S. AD - Unlisted AD - Unlisted T1 - Does tax policy affect executive compensation? evidence from postwar tax reforms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-30 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061513; Publication Type: Working Paper; Update Code: 200909 N2 - Evidence since the 1980s suggests that the level and structure of executive compensation in U.S. public corporations are largely unresponsive to tax incentives. However, the relative tax advantage of different forms of pay has been relatively small during this period. Using a sample of top executives in large firms from 1946 to 2005, we find little response of salaries, qualified stock options, long-term incentive pay, or bonuses paid after retirement to changes in tax rates on labor income--even though tax rates were significantly higher and more heterogeneous across individuals in the first several decades following WWII. To explain this lack of response, we find suggestive evidence that concerns about within-firm equality may have limited firms' ability to differentiate top executives' compensation packages based on their marginal income tax rates. L3 - http://www.federalreserve.gov/pubs/feds/2009/200930/200930pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061513&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200930/200930pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lee, Soohyung AU - Malin, Benjamin A. AD - Unlisted AD - Unlisted T1 - Education's role in China's structural transformation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-41 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083161; Publication Type: Working Paper; Update Code: 201001 N2 - We explore education's role in improving the allocation of labor between China's agricultural and nonagricultural sectors and measure the portion of China's recent growth attributable to this channel. Building from micro-level estimates, we find that education's impact on labor reallocation between sectors accounts for about 9 percent of Chinese growth, whereas its impact on within-sector human capital growth explains only 2 percent. Our findings suggest that, when frictions cause large productivity gaps across sectors and returns to education are greater in higher-productivity sectors, education policy may be a useful tool for increasing efficiency. L3 - http://www.federalreserve.gov/pubs/feds/2009/200941/200941pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083161&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200941/200941pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benediktsdottir, Sigridur AU - Scotti, Chiara AD - Unlisted AD - Unlisted T1 - Exchange rates dependence: what drives it? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 969 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045619; Publication Type: Working Paper; Update Code: 200907 N2 - Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, we study the dependence structure of a number of exchange rate pairs against the dollar. We employ a conditional copula approach to recover the joint distributions for pairs of exchange rates and study both the correlation and the upper and lower tail dependence of these distributions. We analyze changes in dependence measures over time, and we investigate whether these measures are affected by the business cycle or interest rate differentials. Our results show that dependencies are indeed time-varying. We find that foreign and U.S. recessions affect the joint dependence structure and that currencies with higher interest rate differentials tend to move less closely together, not only on average (correlation), but also when extreme events occur (tails). L3 - http://www.federalreserve.gov/pubs/ifdp/2009/969/ifdp969.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045619&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/969/ifdp969.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sun, Bo AD - Unlisted T1 - Executive compensation and earnings management under moral hazard PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 985 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089038; Publication Type: Working Paper; Update Code: 201003 N2 - This paper analyzes executive compensation in a setting where managers may take a costly action to manipulate corporate performance, and whether managers do so is stochastic. We examine how the opportunity to manipulate affects the optimal pay contract, and establish necessary and sufficient conditions under which earnings management occurs. Our model provides a set of implications on the role earnings management plays in driving the time-series and cross-sectional variation of executive compensation. In addition, the model's predictions regarding the changes of earnings management and executive pay in response to corporate governance legislation are consistent with empirical observations. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/985/ifdp985.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089038&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/985/ifdp985.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Peneva, Ekaterina V. AD - Unlisted T1 - Factor intensity and price rigidity: evidence and theory PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-07 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032787; Keywords: Prices; Wages; Publication Type: Working Paper; Update Code: 200905 N2 - This paper establishes a new empirical finding: the degree of labor intensity and the degree of price flexibility are negatively correlated across industrial sectors. I model this in an economy with staggered nominal wage contracts and production sectors that differ in labor and capital intensities. Nominal disturbances affect capital-intensive and labor-intensive sectors asymmetrically: prices of labor-intensive goods change less than do prices of capital-intensive goods. In addition, when prices are costly to adjust, more firms in the capital-intensive sectors optimally choose to update their prices than firms in the labor-intensive sectors. Thus, varying factor intensity generates different degrees of price stickiness across sectors that face the same degree of wage rigidity. L3 - http://www.federalreserve.gov/pubs/feds/2009/200907/200907pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032787&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200907/200907pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AU - Suarez, Gustavo A. AD - Unlisted AD - Unlisted T1 - Firm volatility and banks: evidence from U.S. banking deregulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-46 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083166; Publication Type: Working Paper; Update Code: 201001 N2 - This paper exploits the staggered timing of state-level banking deregulation in the United States during the 1980s to study the causal effect of banking integration on the volatility of non-financial corporations. We find that firm-level employment, production, sales, and cash flows are less volatile after interstate banking deregulation, particularly for firms that have limited access to external finance. This finding suggests that bank-dependent firms exploit wider access to finance after deregulation to smooth out idiosyncratic shocks. In fact, short-term credit becomes less pro-cyclical after out-of-state bank entry is permitted. Finally, lower volatility in real-side variables after deregulation translates into lower idiosyncratic risk in stock returns. L3 - http://www.federalreserve.gov/pubs/feds/2009/200946/200946pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083166&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200946/200946pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pinto, Eugenio P. AD - Unlisted T1 - Firms' relative sensitivity to aggregate shocks and the dynamics of gross job flows PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-02 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014198; Publication Type: Working Paper; Update Code: 200902 N2 - We propose a measure for the importance of aggregate shocks for fluctuations in job flows at the firm level. Using data for the Portuguese economy, we find that large and old firms exhibit higher relative sensitivity to aggregate shocks and have a disproportional influence over the dynamics of aggregate job reallocation. In the overall economy, since large and old firms reallocate jobs less procyclically than small and young firms, job reallocation is less procyclical than if firm size and age classes were equally sensitive to aggregate shocks. A similar result applies in the manufacturing and the transportation and public utilities sectors. However, in the services and retail trade sectors the reallocation patterns are more similar across firm size and age, likely reflecting the expansion of existing and the creation of new industries. We conclude that large and old firms seem relatively more important to assess the state of the business cycle. L3 - http://www.federalreserve.gov/pubs/feds/2009/200902/200902pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200902/200902pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron F. AD - Unlisted T1 - Fiscal amenities, school finance reform and the supply side of the Tiebout market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-18 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045607; Publication Type: Working Paper; Update Code: 200907 N2 - This study asks if local governments which provide a high level of public services per tax dollar attract housing capital. The first portion of the paper examines large shifts in property tax burdens induced by an unusual school finance reform in the state of New Hampshire. The estimates suggest that, in most of the state, communities with a reduced tax burden experience a large increase in residential construction. In the area of the state near the region's primary urban center (Boston), however, the shock clears through a price adjustment--i.e. by capitalizing into property values. The differing responses are attributed to differing housing supply elasticities. Furthermore, the shock induced communities with a lowered tax burden to enact more stringent land use regulations. The second portion of the paper uses a national sample and exploits variation in education spending levels arising from 1980s era school finance reforms. The results confirm the findings from New Hampshire--fiscal amenities have a significant impact on the location of residential capital and the impact is largest outside of dense, urban areas. These results, which are interpreted through the lens of a simple theoretical model, have important implications for a host of issues, including the equity and efficiency of local public goods provision, assessing who bears the burden of local taxation, and land use issues such as the location and pace of residential development and the causes of land use regulation. L3 - http://www.federalreserve.gov/pubs/feds/2009/200918/200918pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045607&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200918/200918pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vidangos, Ivan AD - Unlisted T1 - Fluctuations in individual labor income: a panel VAR analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-09 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032789; Keywords: Income; Wages; Publication Type: Working Paper; Update Code: 200905 N2 - This paper studies variation in individual labor income over time using a panel vector autoregression (PVAR) in income, the wage rate, hours of work, and hours of unemployment. The framework is used to investigate how much of the residual variation in labor income is due to residual variation in the wage rate, work hours, and unemployment hours. I also explore the dynamic effects of unanticipated changes in each of the variables in the system, investigate their interactions, and assess their contribution to short-run and long-run income movements. The model is estimated on a sample of male household heads from the Panel Study of Income Dynamics (PSID). I find that innovations in the wage rate and work hours (conditional on unemployment) are about equally important in the short run. Wage innovations are very persistent, while the effect of changes in hours is mostly transitory. As a result, the wage rate is much more important in the determination of income movements in the long run. Innovations in unemployment have a relatively small, but very persistent effect on income which operates through the wage rate. L3 - http://www.federalreserve.gov/pubs/feds/2009/200909/200909pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032789&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200909/200909pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AU - Bridgman, Benjamin AU - Nalewaik, Jeremy AD - Unlisted AD - Unlisted AD - Unlisted T1 - Heterogeneous car buyers: a stylized fact PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-12 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032792; Keywords: Automobiles--Prices; Consumer behavior; Publication Type: Working Paper; Update Code: 200905 N2 - Using a new dataset, we document a systematic pattern in the demographic characteristics of car buyers over the model year: as vehicle prices fall over the model year, so do buyer incomes. This pattern is consistent with price-insensitive buyers purchasing early in the year, while others wait until prices decline, and suggests price skimming (i.e. intertemporal price discrimination). Such consumer heterogeneity over the model year raises questions for measuring quality improvements in new goods. L3 - http://www.federalreserve.gov/pubs/feds/2009/200912/200912pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032792&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200912/200912pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Household borrowing after personal bankruptcy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-17 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045606; Publication Type: Working Paper; Update Code: 200907 N2 - A large literature has examined factors leading to filing for personal bankruptcy, but little is known about household borrowing after bankruptcy. Using data from the Survey of Consumer Finances, we find that relative to comparable nonfilers, bankruptcy filers generally have more limited access to unsecured credit but borrow more secured debt post bankruptcy, and they pay higher interest rates on all types of debt. We also find that credit access and borrowing costs improve as more time passed since filing. However, filers experience renewed debt payment difficulties and accumulate less wealth, even many years after filing, suggesting that for many bankrupt households, debt discharges fail to generate an effective fresh start as intended by the law. Our estimate also provides empirical guidance for calibrating the equilibrium models of household credit. L3 - http://www.federalreserve.gov/pubs/feds/2009/200917/200917pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045606&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200917/200917pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sahm, Claudia R. AU - Shapiro, Matthew D. AU - Slemrod, Joel AD - Unlisted AD - Unlisted AD - Unlisted T1 - Household response to the 2008 tax rebates: survey evidence and aggregate implications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-45 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083165; Publication Type: Working Paper; Update Code: 201001 N2 - Only about one-fifth of respondents in the Reuters/University of Michigan survey report that the 2008 tax rebates led them to mostly increase spending, while over half said it would lead them to mostly pay off debt. Of those in the mostly-spend category, the response was swift, with over 80 percent reporting increasing their spending within three months of receiving their rebate. Older households, households with higher wealth and higher income, and those expecting future income growth were generally more likely to spend the rebates. A review of other surveys confirms the general pattern of results and suggests that small changes in survey design do not have a major effect on the distribution of responses.; The distribution of survey answers corresponds to an aggregate MPC after one year of about one-third. The paper combines this survey-based estimate of the MPC and the survey-based estimate of the timing of spending to show that the rebates help explain the aggregate movements in saving, spending, and debt in 2008. Because the rebate was large and distributed over a short period, we estimate that it had a non-trivial effect on total spending in the second and third quarters of 2008. Nonetheless, the results imply that the rebates provided only a modest stimulus to spending per dollar of rebate. L3 - http://www.federalreserve.gov/pubs/feds/2009/200945/200945pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083165&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200945/200945pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vidangos, Ivan AD - Unlisted T1 - Household welfare, precautionary saving, and social insurance under multiple sources of risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-14 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045611; Publication Type: Working Paper; Update Code: 200907 N2 - This paper assesses the quantitative importance of a number of sources of income risk for household welfare and precautionary saving. To that end I construct a lifecycle consumption model in which household income is subject to shocks associated with disability, health, unemployment, job changes, wages, work hours, and a residual component of household income. I use PSID data to estimate the key processes that drive and affect household income, and then use the consumption model to: (i) quantify the welfare value to consumers of providing full, actuarially fair insurance against each source of risk and (ii) measure the contribution of each type of shock to the accumulation of precautionary savings. I find that the value of fully insuring disability, health, and unemployment shocks is extremely small (well below 1/10 of 1 percent of lifetime consumption in the baseline model). The gains from insuring shocks to the wage and to the residual component of household income are significantly larger (above 1% and 2% of lifetime consumption, respectively). These two shocks account for more than 60% of precautionary wealth. L3 - http://www.federalreserve.gov/pubs/feds/2009/200914/200914pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045611&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200914/200914pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Trimbur, Thomas M. AD - Unlisted T1 - Improving real-time estimates of the output gap PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-32 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061515; Publication Type: Working Paper; Update Code: 200909 N2 - This paper investigates strategies for real-time estimation of the output gap. First, I examine estimates from univariate models with stochastic cycles. This corresponds to the use of model-based band-pass filters in real-time, and I find that the turning points in real-time and final output gap series match more closely for higher order models and that the revisions properties and real-time accuracy are more favorable. Second, I investigate the use of capacity utilization as an auxiliary indicator to improve on output gap estimates in real-time. I find that this bivariate approach leads to significant gains in the accuracy of real-time estimates and in the quality of revisions. L3 - http://www.federalreserve.gov/pubs/feds/2009/200932/200932pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061515&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200932/200932pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Inflation expectations, uncertainty, the Phillips Curve, and monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-15 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045612; Publication Type: Working Paper; Update Code: 200907 N2 - Inflation expectations play a central role in models of the Phillips curve. At long time horizons inflation expectations may reflect the credibility of a monetary authority's commitment to price stability. These observations highlight the importance of inflation expectations for monetary policy. These comments touch on three issues regarding inflation expectations: The evolving treatment of inflation expectations in empirical Phillips curve models; three recent models of information imperfections and inflation expectations; and potential policy implications of different models. L3 - http://www.federalreserve.gov/pubs/feds/2009/200915/200915pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045612&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200915/200915pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AD - Unlisted T1 - Information sharing and stock market participation: evidence from extended families PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-47 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083167; Publication Type: Working Paper; Update Code: 201001 N2 - Using the Panel Study of Income Dynamics, we document that, controlling for observable characteristics, household investors' likelihood of entering the stock market within the next five years is about 30 percent higher if their parents or children had entered the stock market during the previous five years. Because even family members who live far away from each other tend to communicate frequently, despite the fact that interactions among people living close geographically have declined with the rise of alternative social channels, we argue that these findings highlight the significance of information sharing regarding household financial decisions. In addition, focusing on the sequential patterns of stock market entry, we explicitly take into account the time needed for information to be shared and disseminated among family members. Our finding that one member's entry positively influences future entries of other family members at distinct stages of the life cycle allows us to largely rule out the hypothesis that the observed correlations in stock market entries are primarily caused by common preferences shared by family members. Furthermore, because we do not find similar sequential patterns in stock market exits, our results do not support the hypothesis of herding behavior. L3 - http://www.federalreserve.gov/pubs/feds/2009/200947/200947pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083167&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200947/200947pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prager, Robin A. AU - Manuszak, Mark D. AU - Kiser, Elizabeth K. AU - Borzekowski, Ron AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interchange fees and payment card networks: economics, industry developments, and policy issues PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-23 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045615; Publication Type: Working Paper; Update Code: 200907 N2 - In many countries around the world, electronic card-based payments have been replacing older types of payments at a rapid rate. In the United States, use of both debit cards and credit cards has been rising rapidly, while check volumes have been declining. The increased use of electronic payment methods has generated a number of public policy debates. One prominent debate concerns interchange fees. This paper is intended to provide background for understanding the interchange fee debate. The paper describes the operation of a typical payment card system, presents a summary of the economic theory underlying interchange fees, and discusses various developments in the U.S. payment cards industry, as well as legal and regulatory developments abroad. The paper concludes with a discussion and critical evaluation of a number of potential policy interventions. L3 - http://www.federalreserve.gov/pubs/feds/2009/200923/200923pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045615&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200923/200923pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheiner, Louise AD - Unlisted T1 - Intergenerational aspects of health care PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-38 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083158; Keywords: Older people; Medical economics; Publication Type: Working Paper; Update Code: 201001 N2 - The physical process of aging means that the use of health services varies significantly by age. This association between age and health care consumption raises a number of issues related to intergenerational and intragenerational equity, including the allocation of societal resources across age groups and the effects of population aging and health cost growth on public sector health care burdens and, hence, on intergenerational redistribution. This working paper (forthcoming as a chapter in the Oxford Handbook of Health Economics) provides a detailed look at the theoretical and empirical relationships between health spending and age, both in the US and internationally, and reviews the evidence on the intergenerational redistribution associated with public health spending over time. L3 - http://www.federalreserve.gov/pubs/feds/2009/200938/200938pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083158&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200938/200938pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Boz, Emine AU - Durdu, Ceyhun Bora AU - Li, Nan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Labor market search in emerging economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 989 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1089042; Publication Type: Working Paper; Update Code: 201003 N2 - This paper shows that labor markets of emerging economies are characterized by large fluctuations in wages while employment fluctuations are subdued. We find that a real business cycle model of a small open economy that embeds a Mortensen-Pissarides type of search-matching frictions can account for these aforementioned regularities. Moreover, the joint interaction of countercyclical interest rates and search-matching frictions can go a long way in accounting for higher consumption variability relative to output and countercyclical current account observed in emerging markets. Extending this baseline model to incorporate procyclical variations in the technical efficiency at which matches are generated, the model can match the unemployment variability observed in the data. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/989/ifdp989.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1089042&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/989/ifdp989.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Floetotto, Max AU - Jaimovich, Nir AU - Pruitt, Seth AD - Unlisted AD - Unlisted AD - Unlisted T1 - Markup variation and endogenous fluctuations in the price of investment goods PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 968 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032797; Publication Type: Working Paper; Update Code: 200905 N2 - The two sector model presented in this note suggests a simple structural decomposition of movements in the price of investment goods into exogenous and endogenous sources. The endogenous fluctuations arise in the presence of countercyclical markups which vary differently across the consumption and investment sectors. In turn, the movements in the markups are due to endogenous procyclical net business formation. The model, while being consistent with the countercyclicality of the price of investment goods, suggests that about a quarter of the movement in the price series can be attributed to this endogenous mechanism. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/968/ifdp968.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032797&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/968/ifdp968.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Altonji, Joseph AU - Smith, Anthony AU - Vidangos, Ivan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Modeling earnings dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-08 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032788; Keywords: Wages; Employment (Economic theory); Publication Type: Working Paper; Update Code: 200905 N2 - In this paper we use indirect inference to estimate a joint model of earnings, employment, job changes, wage rates, and work hours over a career. Our model incorporates duration dependence in several variables, multiple sources of unobserved heterogeneity, job-specific error components in both wages and hours, and measurement error. We use the model to address a number of important questions in labor economics, including the source of the experience profile of wages, the response of job changes to outside wage offers, and the effects of seniority on job changes. We provide estimates of the dynamic response of wage rates, hours, and earnings to various shocks and measure the relative contributions of the shocks to the variance of earnings in a given year and over a lifetime. We find that human capital accounts for most of the growth of earnings over a career although job seniority and job mobility also play significant roles. Unemployment shocks have a large impact on earnings in the short run as well a substantial long long-term effect that operates through the wage rate. Shocks associated with job changes and unemployment make a large contribution to the variance of career earnings and operate mostly through the job-specific error components in wages and hours. L3 - http://www.federalreserve.gov/pubs/feds/2009/200908/200908pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032788&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200908/200908pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dokko, Jane AU - Doyle, Brian AU - Kiley, Michael T. AU - Kim, Jinill AU - Sherlund, Shane AU - Sim, Jae AU - den Heuvel, Skander Van AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and the housing bubble PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-49 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083169; Publication Type: Working Paper; Update Code: 201001 N2 - We examine the role of monetary policy in the housing bubble. Our review examines the setting of monetary policy in the middle of this decade, the impetus from monetary policy to the housing market, and other factors that may have contributed to the run-up, and subsequent collapse, in house prices. L3 - http://www.federalreserve.gov/pubs/feds/2009/200949/200949pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083169&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200949/200949pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AU - Smith, Paul A. AD - Unlisted AD - Unlisted T1 - New evidence on 401(k) borrowing and household balance sheets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-19 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045608; Publication Type: Working Paper; Update Code: 200907 N2 - Despite news reports suggesting a rise in 401(k) borrowing in recent years, we find that the share of eligible households with 401(k) loans in the 2007 Survey of Consumer Finances was about 15 percent, roughly what it has been since 1995. We find that the best predictors of 401(k) borrowing appear to be the presence of liquidity or borrowing constraints and the size of 401(k) balances relative to income. Since the ongoing financial crisis has likely caused these factors to move in opposite directions, the predicted effect of the crisis on 401(k) borrowing is ambiguous. More fundamentally, we find that many loan-eligible households carry relatively expensive consumer debt that could be more economically financed via 401(k) borrowing. In the aggregate, we estimate that such households could have saved as much as $5 billion in 2007 by shifting expensive consumer debt to 401(k) loans. This would translate into annual savings of about $275 per household--roughly 20 percent of their overall interest costs--with larger reductions for households that carry consumer debt at high interest rates or who hold larger 401(k) balances. We posit that households might utilize 401(k) loans less than expected due to risk-aversion, self-control problems, and confusion about the potential gains, and suggest better financial education that clarifies the conditions under which 401(k) borrowing is advantageous. Finally, we note that allowing households to repay 401(k) loans gradually even after separation from their employers could improve household welfare by reducing the risks of 401(k) borrowing. L3 - http://www.federalreserve.gov/pubs/feds/2009/200919/200919pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045608&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200919/200919pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durdu, Ceyhun Bora AU - Mendoza, Enrique G. AU - Terrones, Marco E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - On the solvency of nations: are global imbalances consistent with intertemporal budget constraints? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 975 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061518; Publication Type: Working Paper; Update Code: 200909 N2 - Theory predicts that a nation's stochastic intertemporal budget constraint is satisfied if net foreign assets (NFA) are integrated of any finite order, or if net exports (NX) and NFA satisfy an error-correction specification with a residual integrated of any finite order. We test these conditions using data for 21 industrial and 29 emerging economies for the 1970-2004 period. The results show that, despite the large global imbalances of recent years, NFA and NX positions are consistent with external solvency. Country-specific unit root tests on NFA-GDP ratios suggest that nearly all of them are integrated of order 1. Pooled Mean Group error-correction estimation yields evidence of a statistically significant, negative response of the NX-GDP ratio to the NFA-GDP ratio that is largely homogeneous across countries. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/975/ifdp975.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061518&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/975/ifdp975.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kilian, Lutz AU - Vigfusson, Robert AD - Unlisted AD - Unlisted T1 - Pitfalls in estimating asymmetric effects of energy price shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 970 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061517; Keywords: Energy industries; Petroleum products; Publication Type: Working Paper; Update Code: 200909 N2 - A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in inconsistent parameter estimates, and that the implied impulse responses have been routinely computed incorrectly. As a result, the quantitative importance of unanticipated energy price increases for the U.S. economy has been exaggerated. In response to this problem, we develop alternative regression models and methods of computing responses to energy price shocks that yield consistent estimates regardless of the degree of asymmetry. We also introduce improved tests of the null hypothesis of symmetry in the responses to energy price increases and decreases. An empirical study reveals little evidence against the null hypothesis of symmetry in the responses to energy price shocks. Our analysis also has direct implications for the theoretical literature on the transmission of energy price shocks and for the debate about policy responses to energy price shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/970/ifdp970.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061517&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/970/ifdp970.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - Ponds and streams: wealth and income in the U.S., 1989 to 2007 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-13 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032791; Keywords: Wealth; Income distribution; Publication Type: Working Paper; Update Code: 200905 N2 - Much discussion treats the working definitions of wealth and income as if they were self-evident, but definitional choices can make substantial differences in the overall picture. To provide a clear basis on which to examine family wealth and income their interrelationship, this paper begins with a basic discussion of a range of possible measures of those concepts. Using the measures developed, the paper examines the distributions of wealth and income and their joint properties using data from the 1989-2007 waves of the Survey of Consumer Finances (SCF). Among other things, the data show a complicated pattern of shifts in the wealth distribution, with clear gains across the broad middle and at the top. For income, there is a more straightforward picture of rising inequality. Over this period, wealth as a fraction of income moved up across both the distributions of wealth and income. Nonetheless, their joint copula distributions (a type of distribution with uniform margins) do not show noticeable changes over this time. The consistent pattern is that very high wealth and income and very low wealth and income go together, but in between these poles, the relationship is fairly diffuse. The paper also presents information on the composition of wealth and income over the 18-year period; the general patterns of holdings across the distributions did not change markedly, but there were some important shifts. For wealth, debt increased as a share of assets across the wealth distribution, the share of principal residences rose mainly below the median of net worth, the share of tax-deferred retirement accounts rose and the share of other financial assets declined. For income, the clearest change was a general decline in the relative importance of capital income other than that from businesses. L3 - http://www.federalreserve.gov/pubs/feds/2009/200913/200913pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032791&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200913/200913pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Lopez-Salido, David AD - Unlisted AD - Unlisted T1 - Portfolio inertia and the equity premium PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 984 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083178; Publication Type: Working Paper; Update Code: 201001 N2 - We develop a DSGE model in which aggregate shocks induce endogenous movements in risk. The key feature of our model is that households rebalance their financial portfolio allocations infrequently, as they face a fixed cost of transferring cash across accounts. We show that the model can account for the mean returns on equity and the risk-free rate, and generates countercyclical movements in the equity premium that help explain the response of stock prices to monetary shocks. The model is consistent with empirical evidence documenting that unanticipated changes in monetary policy have important effects on equity prices through changes in risk. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/984/ifdp984.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083178&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/984/ifdp984.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AD - Unlisted T1 - Regression discontinuity estimates of the effects of the GSE act of 1992 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-03 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014194; Publication Type: Working Paper; Update Code: 200902 N2 - In this paper I estimate the effect of the Underserved Areas Goal (UAG) established under the "GSE Act", a 1992 law mandating that the housing government-sponsored enterprises Fannie Mae and Freddie Mac help promote credit access and homeownership opportunities for low-income households and in low-income and minority neighborhoods. I identify the goal's impact by taking advantage of a discontinuity in the census tract eligibility rule. Employing local linear and non-parametric regression discontinuity methods, I find that this goal has had a direct effect on GSE purchasing activity of 3-4% and increases overall GSE-eligible originations by 2-3% on average at the cutoff between 1997 and 2002. Changing eligibility status following the release of Census 2000 data provides another source of variation to identify the UAG's effect in 2005 and 2006, years of sharply increasing goals levels and years which have contributed heavily to current credit losses. I find that while the UAG affected GSE behavior in 2005 and 2006, GSE risk avoidance limited their response. Unlike previous research, I find no evidence that UAG-induced increases in GSE credit supply crowds-out FHA and subprime lending. L3 - http://www.federalreserve.gov/pubs/feds/2009/200903/200903pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014194&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200903/200903pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bils, Mark AU - Klenow, Peter J. AU - Malin, Benjamin A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Reset price inflation and the impact of monetary policy shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-16 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045605; Publication Type: Working Paper; Update Code: 200907 N2 - A standard state-dependent pricing model implies very limited scope for using active monetary policy to stabilize real activity. Two modeling strategies which expand the role of monetary policy are time-dependent pricing and strategic complementarities between price-setting firms. These mechanisms have telltale implications for the persistence and volatility of "reset price inflation." Reset price inflation is the rate of change of all desired prices (including for goods that have not changed price in the current period). Using the micro data underpinning the CPI, we construct an empirical measure of reset price inflation and use this measure to assess the validity of the modeling approaches. We find that time-dependent models imply unrealistically high persistence and stability of reset price inflation. This discrepancy is exacerbated by adding strategic complementarities, even under state-dependent pricing. A state-dependent model with no strategic complementarities aligns most closely with the CPI data. L3 - http://www.federalreserve.gov/pubs/feds/2009/200916/200916pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045605&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200916/200916pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shan, Hui AD - Unlisted T1 - Reversing the trend: the recent expansion of the reverse mortgage market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-42 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083162; Publication Type: Working Paper; Update Code: 201001 N2 - Reverse mortgages allow elderly homeowners to tap into their housing wealth without having to sell or move out of their homes. However, very few eligible homeowners have used reverse mortgages to achieve consumption smoothing until recently when the reverse mortgage market in the United States witnessed substantial growth. This paper examines 1989-2007 loan-level reverse mortgage data and presents a number of findings. First, I show that recent reverse mortgage borrowers are significantly different from earlier borrowers in many respects. Second, I find that borrowers who take the line-of-credit payment plan, single male borrowers, and borrowers with higher house values exit their homes sooner than other reverse mortgage borrowers. Third, I combine the reverse mortgage data with county-level house price data to show that elderly homeowners are more likely to purchase reverse mortgages when the local housing market is at its peak. This finding suggests that the 2000-05 housing market boom may be partially responsible for the rapid growth of reverse mortgage markets. Lastly, I show that the Federal Housing Administration (FHA) mortgage limits, which cap the amount of housing wealth that an eligible homeowner can borrow against, have no effect on the demand for reverse mortgages. The findings have important implications to both policy-making and the economics of housing and aging. L3 - http://www.federalreserve.gov/pubs/feds/2009/200942/200942pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083162&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200942/200942pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain AU - Chiquoine, Benjamin AU - Hjalmarsson, Erik AU - Vega, Clara AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Rise of the machines: algorithmic trading in the foreign exchange market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 980 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083174; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 201001 N2 - We study the impact that algorithmic trading, computers directly interfacing at high frequency with trading platforms, has had on price discovery and volatility in the foreign exchange market. Our dataset represents a majority of global interdealer trading in three major currency pairs in 2006 and 2007. Importantly, it contains precise observations of the size and the direction of the computer-generated and human-generated trades each minute. The empirical analysis provides several important insights. First, we find evidence that algorithmic trades tend to be correlated, suggesting that the algorithmic strategies used in the market are not as diverse as those used by non-algorithmic traders. Second, we find that, despite the apparent correlation of algorithmic trades, there is no evident causal relationship between algorithmic trading and increased exchange rate volatility. If anything, the presence of more algorithmic trading is associated with lower volatility. Third, we show that even though some algorithmic traders appear to restrict their activity in the minute following macroeconomic data releases, algorithmic traders increase their provision of liquidity over the hour following each release. Fourth, we find that non-algorithmic order flow accounts for a larger share of the variance in exchange rate returns than does algorithmic order flow. Fifth, we find evidence that supports the recent literature that proposes to depart from the prevalent assumption that liquidity providers in limit order books are passive. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/980/ifdp980.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083174&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/980/ifdp980.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chetty, Raj AU - Looney, Adam AU - Kroft, Kory AD - Unlisted AD - Unlisted AD - Unlisted T1 - Salience and taxation: theory and evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-11 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032790; Keywords: Taxation; Consumer behavior; Publication Type: Working Paper; Update Code: 200905 N2 - This paper presents evidence that consumers underreact to taxes that are not salient and characterizes the welfare consequences of tax policies when agents make such optimization errors. The empirical evidence is based on two complementary strategies. First, we conducted an experiment at a grocery store posting tax inclusive prices for 750 products subject to sales tax for a three week period. Scanner data show that this intervention reduced demand for the treated products by 8 percent. Second, we find that state-level increases in excise taxes (which are included in posted prices) reduce alcohol consumption significantly more than increases in sales taxes (which are added at the register and are hence less salient). We develop simple, empirically implementable formulas for the incidence and efficiency costs of taxation that account for salience effects as well as other optimization errors. Contrary to conventional wisdom, the formulas imply that the economic incidence of a tax depends on its statutory incidence and that a tax can create deadweight loss even if it induces no change in demand. Our method of welfare analysis yields robust results because it does not require specification of a positive theory for why agents fail to optimize with respect to tax policies. L3 - http://www.federalreserve.gov/pubs/feds/2009/200911/200911pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032790&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200911/200911pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Love, David A. AU - Smith, Paul A. AU - Wilcox, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Should risky firms offer risk-free DB pensions? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-20 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045610; Publication Type: Working Paper; Update Code: 200907 N2 - We develop a simple model of pension financing to study the effects of pension risk on shareholder value. In the model, firms minimize costs, total compensation must clear the labor market, and a government pension insurer guarantees a portion of promised benefits. We find that in the absence of mispriced pension insurance, the optimal pension strategy under most specifications is to immunize all sources of market risk. Mispriced pension insurance, however, gives firms the incentive to introduce risk into their pension promises, offering an explanation for some of the observed prevalence of risky pensions in the real world. L3 - http://www.federalreserve.gov/pubs/feds/2009/200920/200920pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045610&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200920/200920pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AU - Logan, Trevon D. AD - Unlisted AD - Unlisted T1 - South Africa's post-apartheid two-step: social demands versus macro stability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 974 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045622; Publication Type: Working Paper; Update Code: 200907 N2 - During Apartheid, there was little need for redistributional policies or to borrow for public works since the vast majority of the population was underserved. With the arrival of a representative democracy in 1994, however, South Africa faced a unique problem--providing new and improved public services for the majority of its citizens while at the same time ensuring that filling this void would not undermine macroeconomic stability. Over the past fifteen years, policy makers have achieved macrostability, but progress on social needs has been below expectations and South Africa continues to lag behind its peers. This paper reviews the progress made so far and examines the challenges ahead for the upcoming administration. Our analysis suggest an increase in skill formation as a possible solution to the policy dilemma of fulfilling the outsized social demands while maintaining macrostability. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/974/ifdp974.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045622&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/974/ifdp974.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Follette, Glenn AU - Kusko, Andrea AU - Lutz, Byron AD - Unlisted AD - Unlisted AD - Unlisted T1 - State and local finances and the macroeconomy: the high-employment budget and fiscal impetus PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-05 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014200; Publication Type: Working Paper; Update Code: 200902 N2 - We examine the interplay of the economy and state and local budgets by developing and examining two measures of fiscal policy: the high-employment budget and fiscal impetus. We find that a 1 percentage point increase in cyclical GDP results in a 0.1 percentage point increase in NIPA-based net saving through the automatic response of taxes and expenditures. State and local budget policies are found to be modestly pro-cyclical. Stimulus to aggregate demand is about 0.2 percentage point less following a business cycle peak than it is during the period before the business cycle peak. L3 - http://www.federalreserve.gov/pubs/feds/2009/200905/200905pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200905/200905pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ball, Steffan G. AD - Unlisted T1 - Stock market participation, portfolio choice and pensions over the life-cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-64 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014196; Publication Type: Working Paper; Update Code: 200902 N2 - The empirical evidence on stock market participation and portfolio choice defies the predictions of standard life-cycle theory. In this paper we develop and estimate a model of portfolio choice that can account for the limited stock market participation and substantial portfolio diversification seen in the data. We present three realistic extensions to the basic framework: per period fixed costs, public pension provision, and a small chance of a disastrous event in the stock market. The estimated model is able to explain observed patterns at reasonable wealth levels, while keeping to a fairly simple framework. We demonstrate that it is no longer necessary to assume counterfactual asset holdings, heterogeneity in preferences, or implausible parameter values, in order to match key financial statistics. L3 - http://www.federalreserve.gov/pubs/feds/2008/200864/200864pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014196&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2008/200864/200864pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Tax smoothing in frictional labor markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 965 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032794; Keywords: Labor market; Taxation; Publication Type: Working Paper; Update Code: 200905 N2 - We re-examine the optimality of tax smoothing from the point of view of frictional labor markets. Our central result is that whether or not this cornerstone optimal fiscal policy prescription carries over to an environment with labor market frictions depends crucially on the cyclical nature of labor force participation. If the participation rate is exogenous at business-cycle frequencies--as is typically assumed in the literature--we show it is not optimal to smooth tax rates on labor income in the face of business-cycle shocks. However, if households do optimize at the participation margin, then tax-smoothing is optimal despite the presence of matching frictions. To understand these results, we develop a concept of general-equilibrium efficiency in search-based environments, which builds on existing (partial-equilibrium) search-efficiency conditions. Using this concept, we develop a notion of search-based labor-market wedges that allows us to trace the source of the sharply-contrasting fiscal policy prescriptions to the value of adjusting participation rates. Our results demonstrate that policy prescriptions can be very sensitive to the cyclical nature of labor-force participation in search-based environments. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/965/ifdp965.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032794&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/965/ifdp965.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jaimovich, Nir AU - Pruitt, Seth AU - Siu, Henry E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The demand for youth: implications for the hours volatility puzzle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 964 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1032793; Keywords: Business cycles; Hours of labor; Publication Type: Working Paper; Update Code: 200905 N2 - The employment and hours worked of young individuals fluctuate much more over the business cycle than those of prime-aged individuals. Understanding the mechanism underlying this observation is key to explaining the volatility of aggregate hours over the cycle. We argue that the joint behavior of age-specific hours and wages in the U.S. data point to differences in the cyclical characteristics of labor demand. To articulate this view, we consider a production technology displaying capital-experience complementarity. We estimate the key parameters governing the degree of complementarity and show that the model can account for the behavior of age-specific hours and wages while generating a series of aggregate hours that is nearly as volatile as output. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/964/ifdp964.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1032793&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/964/ifdp964.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCabe, Patrick E. AD - Unlisted T1 - The economics of the mutual fund trading scandal PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-06 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014199; Publication Type: Working Paper; Update Code: 200902 N2 - I examine the economic incentives behind the mutual fund trading scandal, which made headlines in late 2003 with news that several asset management companies had arranged to allow abusive--and, in some cases, illegal--trades in their mutual funds. Most of the gains from these trades went to the traders who pursued market-timing and late-trading strategies. The costs were largely borne by buy-and-hold investors, and, eventually, by the management companies themselves.; A puzzle emerges when one examines the scandal from the perspective of those management companies. In the short run, they collected additional fee revenue from arrangements allowing abusive trades. When those deals were revealed, investors redeemed shares en masse and revenues plummeted; management companies clearly made poor decisions, ex post. However, my analysis indicates that those arrangements were also uneconomic, ex ante, because--even if the management companies had expected never to be caught--estimated revenue from the deals fell well short of the present value of expected lost revenues due to poor performance in abused funds.; Why some of the mutual fund industry's largest firms chose to collude with abusive traders remains something of a mystery. I explore several possible explanations, including owner-manager conflicts of interest within management companies (between their shareholders and the executives who benefitted from short-term asset growth), but none fully resolves the puzzle. Management companies' decisions to allow abuses that harmed themselves as well as mutual fund shareholders convey a broader lesson, that shareholders, customers, and fiduciary clients be cautious about relying too heavily on firms' own self-interest to govern their behavior. L3 - http://www.federalreserve.gov/pubs/feds/2009/200906/200906pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200906/200906pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Erceg, Christopher J. AU - Guerrieri, Luca AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effects of foreign shocks when interest rates are at zero PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 983 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083177; Keywords: Monetary policy; Liquidity (Economics); Publication Type: Working Paper; Update Code: 201001 N2 - In a two-country DSGE model, the effects of foreign demand shocks on the home country are greatly amplified if the home economy is constrained by the zero lower bound for policy interest rates. This result applies even to countries that are relatively closed to trade such as the United States. The duration of the liquidity trap is determined endogenously. Adverse foreign shocks can extend the duration of the liquidity trap, implying more contractionary effects for the home country; conversely, large positive shocks can prompt an early exit, implying effects that are closer to those when the zero bound constraint is not binding. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/983/ifdp983.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083177&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/983/ifdp983.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Liang, Nellie AU - Suarez, Gustavo A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The evolution of a financial crisis: panic in the asset-backed commercial paper market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-36 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083156; Keywords: Financial crises; Commercial paper; Publication Type: Working Paper; Update Code: 201001 N2 - The $350 billion contraction in the asset-backed commercial paper (ABCP) market in the last five months of 2007 played a central role in transforming concerns about the credit quality of mortgage-related assets into a global financial crisis. This paper attempts to better understand why the substantial contraction in ABCP occurred by measuring and analyzing runs on ABCP programs over the period from August 2007 through December 2007. While it has been suggested that commercial paper programs, like commercial banks, may be prone to runs, we are the first to conduct a comprehensive empirical analysis of runs in the ABCP market using a rich and novel issue-level data set for all ABCP programs in the U.S. market. A program is defined as being run when it does not issue new paper during a week despite having a substantial share of its outstandings scheduled to mature, and then continuing in a run until it issues. We find evidence of extensive runs: more than 100 programs (one-third of all ABCP programs) were in a run within weeks of the onset of the turmoil and the odds of subsequently leaving the run state were very low. We interpret this finding as an indication that the ABCP market was subject to a bank-like "panic." We also find that while runs were linked to credit and liquidity exposures of individual programs, runs were also related importantly to non-program specific variables in the first several weeks of the turmoil, indicating that runs were relatively indiscriminate during the early part of the panic. Thus the ABCP market may be inherently unstable and a source of systemic risk. L3 - http://www.federalreserve.gov/pubs/feds/2009/200936/200936pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083156&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200936/200936pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AU - Joo, Hyunsoo AU - Zhang, Zhiwei AD - Unlisted AD - Unlisted AD - Unlisted T1 - The impact of macroeconomic announcements on real time foreign exchange rates in emerging markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 973 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045621; Publication Type: Working Paper; Update Code: 200907 N2 - This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/973/ifdp973.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045621&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/973/ifdp973.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hamilton, James D. AU - Pruitt, Seth AU - Borger, Scott C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The market-perceived monetary policy rule PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 982 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083176; Keywords: Monetary policy - United States; Economic forecasting - United States; Publication Type: Working Paper; Update Code: 201001 N2 - We introduce a novel method for estimating a monetary policy rule using macroeconomic news. Market forecasts of both economic conditions and monetary policy are affected by news, and our estimation links the two effects. This enables us to estimate directly the policy rule agents use to form their expectations, and in so doing flexibly capture the particular dynamics of policy response. We find evidence that between 1994 and 2007 the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. In a standard model we show that output smoothing caused by a larger inflation response magnitude is offset by the more measured pace of response. Our response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/982/ifdp982.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083176&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/982/ifdp982.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Vigfusson, Robert AD - Unlisted AD - Unlisted T1 - The power of long-run structural VARs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 978 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083172; Keywords: Econometric models; Sampling (Statistics); Publication Type: Working Paper; Update Code: 201001 N2 - Are structural vector autoregressions (VARs) useful for discriminating between macro models? Recent assessments of VARs have shown that these statistical methods have adequate size properties. In other words, in simulation exercises, VARs will only infrequently reject the true data generating process. However, in assessing a statistical test, we often also care about power: the ability of the test to reject a false hypothesis. Much less is known about the power of structural VARs.; This paper attempts to fill in this gap by exploring the power of long-run structural VARs against a set of DSGE models that vary in degree from the true data generating process. We report results for two tests: the standard test of checking the sign on impact and a test of the shape of the response. For the models studied here, testing the shape is a more powerful test than simply looking at the sign of the response. In addition, relative to an alternative statistical test based on sample correlations, we find that the shape-based tests have greater power. Given the results on the power and size properties of long-run VARs, we conclude that these VARs are useful for discriminating between macro models. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/978/ifdp978.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083172&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/978/ifdp978.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arteta, Carlos AU - Kamin, Steven B. AU - Vitanza, Justin AD - Unlisted AD - Unlisted AD - Unlisted T1 - The puzzling peso PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 976 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083170; Keywords: Dollar, American; Foreign exchange rates; Publication Type: Working Paper; Update Code: 201001 N2 - In the past decade, some observers have noted an unusual aspect of the Mexican peso's behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso's correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country's currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, and perhaps more surprisingly, a country's currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso's unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/976/ifdp976.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083170&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/976/ifdp976.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nadauld, Taylor D. AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted T1 - The role of the securitization process in the expansion of subprime credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-28 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1061511; Publication Type: Working Paper; Update Code: 200909 N2 - We analyze the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and 2007. Our data set allows us to link loan-level data for over 6.7 million subprime loans to the securitization deals into which the loans were sold. We show that the securitization process, including the assignment of credit ratings, provided incentives for securitizing banks to purchase loans of poor credit quality in areas with high rates of house price appreciation. Increased demand from the secondary mortgage market for these types of loans appears to have facilitated easier credit in the primary mortgage market. To test this hypothesis, we identify an event which represents an external shock to the relative demand for subprime mortgages in the secondary market. We show that following the SEC's adoption of rules reducing capital requirements on certain broker dealers in 2004, five large deal underwriters disproportionately increased their purchasing activity relative to competing underwriters in ZIP codes with the highest realized rates of house price appreciation but lower average credit quality. We show that these loans subsequently defaulted at marginally higher rates. Finally, using the event as an instrument, we demonstrate a causal link between the demand for mortgages in the secondary mortgage market and the supply of subprime credit in the primary mortgage market. L3 - http://www.federalreserve.gov/pubs/feds/2009/200928/200928pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1061511&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200928/200928pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AD - Unlisted T1 - The Shimer puzzle and the identification of productivity shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-4 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014195; Publication Type: Working Paper; Update Code: 200902 N2 - Shimer (2005) argues that the Mortensen-Pissarides (MP) model of unemployment lacks an amplification mechanism because it generates less than 10 percent of the observed business cycle fluctuations in unemployment given labor productivity shocks of plausible magnitude. This paper argues that part of the problem lies with the identification of productivity shocks. Because of the endogeneity of measured labor productivity, filtering out the trend component as in Shimer (2005) may not correctly identify the shocks driving unemployment. Using a New-Keynesian framework to control for the endogeneity of productivity, this paper estimates that the MP model can account for a third, and possibly as much as 60 percent, of fluctuations in labor market variables. L3 - http://www.federalreserve.gov/pubs/feds/2009/200904/200904pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014195&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200904/200904pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AD - Unlisted T1 - The Shimer puzzle and the identification of productivity shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-04 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1083155; Keywords: Labor market; Unemployment; Labor productivity; Publication Type: Working Paper; Update Code: 201001 N2 - Shimer (2005) argues that the Mortensen-Pissarides (MP) model of unemployment lacks an amplification mechanism because it generates less than 10 percent of the observed business cycle fluctuations in unemployment given labor productivity shocks of plausible magnitude. This paper argues that part of the problem lies with the identification of productivity shocks. Because of the endogeneity of measured labor productivity, filtering out the trend component as in Shimer (2005) may not correctly identify the shocks driving unemployment. Using a New-Keynesian framework to control for the endogeneity of productivity, this paper estimates that the MP model can account for a third, and possibly as much as 60 percent, of fluctuations in labor market variables. L3 - http://www.federalreserve.gov/pubs/feds/2009/200904/200904pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1083155&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200904/200904pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wang, Jian AU - Wu, Jason J. AD - Unlisted AD - Unlisted T1 - The Taylor rule and forecast intervals for exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 963 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014205; Publication Type: Working Paper; Update Code: 200902 N2 - This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold. First, we find that in general, Taylor rule models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. This result is more pronounced at longer horizons. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark Taylor rule model is also found to perform better than the monetary and PPP models. Second, the inference framework proposed in this paper for forecast-interval evaluation, can be applied in a broader context, such as inflation forecasting, not just to the models and interval forecasting methods used in this paper. L3 - http://www.federalreserve.gov/pubs/ifdp/2009/963/ifdp963.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2009/963/ifdp963.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AD - Unlisted T1 - Vacancy posting, job separation and unemployment fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-35 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1072467; Publication Type: Working Paper; Update Code: 200911 N2 - This paper studies the relative importance of the two main determinants of cyclical unemployment fluctuations: vacancy posting and job separation. Using a matching function to model the flow of new jobs, I draw on Shimer's (2007) unemployment flow rates decomposition and find that job separation and vacancy posting respectively account for about 40 and 60 percent of unemployment's variance. When considering higher-order moments, I find that job separation contributes to about 60 percent of unemployment steepness asymmetry, a stylized fact of the jobless rate. Finally, while vacancy posting is, on average, the most important contributor of unemployment fluctuations, the opposite is true around business cycle turning points, when job separation is responsible for most of unemployment movements. L3 - http://www.federalreserve.gov/pubs/feds/2009/200935/200935pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1072467&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200935/200935pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AU - Wachter, Jessica A. AD - Unlisted AD - Unlisted T1 - What is the chance that the equity premium varies over time? evidence from predictive regressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-26 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045617; Publication Type: Working Paper; Update Code: 200907 N2 - We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. Departing from previous studies, we allow the regressor to be stochastic. When we apply our methods to the dividend-price ratio and payout yield, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time series of returns and predictor variables. We find that taking into account the stochastic properties of the regressor has a substantial impact on the investor's inference about returns. L3 - http://www.federalreserve.gov/pubs/feds/2009/200926/200926pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045617&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200926/200926pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AU - Klee, Elizabeth AD - Unlisted AD - Unlisted T1 - Whither the liquidity effect: the impact of Federal Reserve Open Market Operations in recent years PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2009-25 Y1 - 2009/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1045616; Publication Type: Working Paper; Update Code: 200907 N2 - Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the day of the maintenance period. In this paper, we examine the data over the recent period of increased Federal Reserve transparency and find that the liquidity effect stabilized across days of the maintenance period. Rather, the liquidity effect may be a function of the uncertainty about banks' end-of-day balances. Moreover, we find that increased transparency led to a larger liquidity effect on the days prior to an FOMC meeting. L3 - http://www.federalreserve.gov/pubs/feds/2009/200925/200925pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1045616&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2009/200925/200925pap.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Beechey, Meredith AU - Österholm, PÄr T1 - A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy. JO - Economic Record JF - Economic Record Y1 - 2008/12// VL - 84 IS - 267 M3 - Article SP - 449 EP - 465 PB - Wiley-Blackwell SN - 00130249 AB - This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Record is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BAYESIAN analysis KW - DOLLAR (United States currency) KW - CONSUMER price indexes KW - DEPRECIATION KW - FOREIGN exchange rates KW - FORECASTING KW - INFLATION (Finance) KW - ECONOMIC aspects KW - AUSTRALIA -- Economic aspects KW - AUSTRALIA N1 - Accession Number: 35538736; Beechey, Meredith 1; Österholm, PÄr 2; Email Address: par.osterholm@nek.uu.se; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 2: International Monetary Fund and Department of Economics, Uppsala University, Uppsala, Sweden; Issue Info: Dec2008, Vol. 84 Issue 267, p449; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: DOLLAR (United States currency); Thesaurus Term: CONSUMER price indexes; Thesaurus Term: DEPRECIATION; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FORECASTING; Thesaurus Term: INFLATION (Finance); Subject Term: ECONOMIC aspects; Subject Term: AUSTRALIA -- Economic aspects; Subject: AUSTRALIA; Number of Pages: 17p; Illustrations: 5 Charts, 8 Graphs; Document Type: Article L3 - 10.1111/j.1475-4932.2008.00510.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35538736&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ohanian, Lee AU - Raffo, Andrea AU - Rogerson, Richard T1 - Long-term changes in labor supply and taxes: Evidence from OECD countries, 1956–2004 JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2008/11// VL - 55 IS - 8 M3 - Article SP - 1353 EP - 1362 SN - 03043932 AB - Abstract: We document large differences in trend changes in hours worked across OECD countries between 1956 and 2004. We assess the extent to which these changes are consistent with the intratemporal first order condition from the neoclassical growth model, augmented with taxes on labor income and consumption expenditures. We find that the model can account for most of the trend changes in hours worked measured in the data. Differences in taxes explain much of the variation in hours worked both over time and across countries. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - NEOCLASSICAL school of economics KW - ECONOMIC development KW - ECONOMIC models KW - WORKING hours KW - ECONOMICS KW - WORKWEEK KW - LABOR time KW - TAXATION KW - E60 KW - Labor supply KW - Taxes KW - Wedges KW - ORGANISATION for Economic Co-operation & Development N1 - Accession Number: 35508677; Ohanian, Lee 1,2,3; Email Address: ohanian@econ.ucla.edu; Raffo, Andrea 4; Email Address: andrearaffo@hotmail.com; Rogerson, Richard 3,5; Affiliations: 1: University of California, Los Angeles, CA 90024, USA; 2: Federal Reserve Bank of Minneapolis, MN 55401, USA; 3: NBER, Boston, MA 02138, USA; 4: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 5: Arizona State University, AZ 85287, USA; Issue Info: Nov2008, Vol. 55 Issue 8, p1353; Thesaurus Term: MONETARY policy; Thesaurus Term: NEOCLASSICAL school of economics; Thesaurus Term: ECONOMIC development; Thesaurus Term: ECONOMIC models; Thesaurus Term: WORKING hours; Thesaurus Term: ECONOMICS; Thesaurus Term: WORKWEEK; Thesaurus Term: LABOR time; Thesaurus Term: TAXATION; Author-Supplied Keyword: E60; Author-Supplied Keyword: Labor supply; Author-Supplied Keyword: Taxes; Author-Supplied Keyword: Wedges ; Company/Entity: ORGANISATION for Economic Co-operation & Development; NAICS/Industry Codes: 919110 International and other extra-territorial public administration; NAICS/Industry Codes: 928120 International Affairs; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Document Type: Article L3 - 10.1016/j.jmoneco.2008.09.012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35508677&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Curcuru, Stephanie E. AU - Dvorak, Tomas AU - Warnock, Francis E. T1 - CROSS-BORDER RETURNS DIFFERENTIALS. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 2008/11// VL - 123 IS - 4 M3 - Article SP - 1495 EP - 1530 PB - Oxford University Press / USA SN - 00335533 AB - Using a monthly data set on the foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential for portfolio securities is far smaller than previously reported. Examining all U.S. claims and liabilities, we find that previous estimates of large differentials are biased upward. The bias owes to computing implied returns from an internally inconsistent data set of revised data; original data produce a much smaller differential. We also attempt to reconcile our findings with observed patterns of cumulated current account deficits, the net international investment position, and the net income balance. Overall, we find no evidence that the United States can count on earning substantially more on its claims than it pays on its liabilities. [ABSTRACT FROM AUTHOR] AB - Copyright of Quarterly Journal of Economics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - INVESTMENTS KW - CAPITALISTS & financiers KW - FOREIGN investments KW - SECURITIES trading KW - CORPORATE bonds KW - CAPITAL gains KW - FOREIGN source income KW - GROSS domestic product KW - DOLLAR (United States currency) KW - LIQUIDITY (Economics) KW - EQUITY KW - UNITED States N1 - Accession Number: 34922415; Curcuru, Stephanie E. 1; Dvorak, Tomas 2; Warnock, Francis E. 3,4,5,6; Affiliations: 1: BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM; 2: UNION COLLEGE; 3: DARDEN GRADUATE SCHOOL OF BUSINESS, UNIVERSITY OF VIRGINIA;; 4: INSTITUTE FOR INTERNATIONAL INTEGRATION STUDIES, TRINITY COLLEGE DUBLIN;; 5: GLOBALIZATION AND MONETARY POLICY INSTITUTE, FEDERAL RESERVE BANK OF DALLAS;; 6: NATIONAL BUREAU OF ECONOMIC RESEARCH; Issue Info: Nov2008, Vol. 123 Issue 4, p1495; Thesaurus Term: RATE of return; Thesaurus Term: INVESTMENTS; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: FOREIGN investments; Thesaurus Term: SECURITIES trading; Thesaurus Term: CORPORATE bonds; Thesaurus Term: CAPITAL gains; Thesaurus Term: FOREIGN source income; Thesaurus Term: GROSS domestic product; Thesaurus Term: DOLLAR (United States currency); Thesaurus Term: LIQUIDITY (Economics); Subject Term: EQUITY; Subject: UNITED States; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 36p; Illustrations: 8 Charts, 3 Graphs; Document Type: Article; Full Text Word Count: 13714 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34922415&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ericsson, Neil R. T1 - The Fragility of Sensitivity Analysis: An Encompassing Perspective. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/11// M3 - Article SP - 1 EP - 23 AB - Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL learners KW - FORECASTING KW - PROPERTY KW - ROBUST control KW - SENSITIVITY (Personality trait) KW - MODELS & modelmaking KW - encompassing KW - exogeneity KW - extreme bounds analysis KW - model averaging KW - parameter nonconstancy KW - pooling of forecasts KW - regime shifts KW - robustness KW - sensitivity analysis N1 - Accession Number: 35779965; Ericsson, Neil R. 1; Email Address: ericsson@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: 2008, preceding p1; Thesaurus Term: INDUSTRIAL learners; Thesaurus Term: FORECASTING; Thesaurus Term: PROPERTY; Subject Term: ROBUST control; Subject Term: SENSITIVITY (Personality trait); Subject Term: MODELS & modelmaking; Author-Supplied Keyword: encompassing; Author-Supplied Keyword: exogeneity; Author-Supplied Keyword: extreme bounds analysis; Author-Supplied Keyword: model averaging; Author-Supplied Keyword: parameter nonconstancy; Author-Supplied Keyword: pooling of forecasts; Author-Supplied Keyword: regime shifts; Author-Supplied Keyword: robustness; Author-Supplied Keyword: sensitivity analysis; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35779965&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Malin, Benjamin A. T1 - Hyperbolic discounting and uniform savings floors JO - Journal of Public Economics JF - Journal of Public Economics Y1 - 2008/10// VL - 92 IS - 10/11 M3 - Article SP - 1986 EP - 2002 SN - 00472727 AB - Abstract: Previous research suggests that, in partial equilibrium, individuals whose decision-making exhibits a present-bias – such as hyperbolic discounters who tend to over-consume – will be in favor of having a floor imposed on their savings. In this paper, I show it is quite difficult for the introduction of a savings floor to be Pareto improving in general equilibrium. Indeed, a necessary condition for the floor to be Pareto improving is that it is high enough to be binding for all individuals. Even in that case, because the equilibrium interest rate adjusts with the level of the savings floor, some individuals may prefer to commit to a future time path of consumption by facing a high interest rate (and no floor) rather than a high floor. An essential insight for understanding this result is to note that even those with little self-control (in an absolute sense) will choose to save a lot when the interest rate is high enough. [Copyright &y& Elsevier] AB - Copyright of Journal of Public Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DECISION making KW - EQUILIBRIUM (Economics) KW - INTEREST rates KW - CONSUMPTION (Economics) KW - Commitment KW - General equilibrium KW - Hyperbolic discounting N1 - Accession Number: 34743244; Malin, Benjamin A. 1; Email Address: benjamin.a.malin@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 97, 20th St. and Constitution Ave. NW, Washington, DC 20551, United States; Issue Info: Oct2008, Vol. 92 Issue 10/11, p1986; Thesaurus Term: DECISION making; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTEREST rates; Thesaurus Term: CONSUMPTION (Economics); Author-Supplied Keyword: Commitment; Author-Supplied Keyword: General equilibrium; Author-Supplied Keyword: Hyperbolic discounting; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jpubeco.2008.03.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34743244&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hui Shan T1 - Property Taxes and Elderly Mobility. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/10// M3 - Article SP - 1 EP - 47 AB - The recent housing market boom in the U.S. has caused sharp increases in residential property taxes. Housing-rich but income-poor elderly homeowners often complain about rising tax burdens, and anecdotal evidence suggests that some move to reduce their tax burden. There has been little systematic analysis, however, of the link between property tax levels and the mobility rate of elderly homeowners. This paper investigates this link using household-level panel data from the Health and Retirement Study (HRS) and a newly collected dataset on state-provided property tax relief programs. These relief programs generate variation in effective property tax burdens that is not due solely to arguably endogenous local community choices about taxes and expenditure programs. The findings provide evidence suggesting that higher property taxes raise mobility among elderly homeowners. The point estimates from instrumental variable estimation using relief programs to generate instruments suggest that a $100 increase in annual property taxes is associated with a 0.76 percentage point increase in the two-year mobility rate for homeowners over the age of 50. This is an eight percent increase from the baseline two-year mobility rate of nine percent. These results are robust to alternative specifications. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - RESIDENTIAL real estate KW - TAX assessment KW - CAPITAL levy KW - TAXATION KW - TAX & expenditure limitations KW - CORRELATION (Statistics) KW - OLDER people -- Orientation & mobility KW - HOMEOWNERS KW - UNITED States KW - Elderly mobility KW - Property tax KW - Property tax relief program N1 - Accession Number: 35909746; Hui Shan 1; Email Address: hui.shan@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: 2008, preceding p1; Thesaurus Term: HOUSING market; Thesaurus Term: RESIDENTIAL real estate; Thesaurus Term: TAX assessment; Thesaurus Term: CAPITAL levy; Thesaurus Term: TAXATION; Thesaurus Term: TAX & expenditure limitations; Thesaurus Term: CORRELATION (Statistics); Subject Term: OLDER people -- Orientation & mobility; Subject Term: HOMEOWNERS; Subject: UNITED States; Author-Supplied Keyword: Elderly mobility; Author-Supplied Keyword: Property tax; Author-Supplied Keyword: Property tax relief program; NAICS/Industry Codes: 531311 Residential Property Managers; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 48p; Illustrations: 7 Charts, 1 Map; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35909746&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hui Shan T1 - Property Taxes and Elderly Labor Supply. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/10// M3 - Article SP - 1 EP - 45 AB - The recent housing market boom in the U.S. has caused sharp increases in residential property taxes. Anecdotal evidence suggests that rising property taxes have induced elderly homeowners to increase their labor supply. This paper uses 1992-2004 panel data from the Health and Retirement Study (HRS) as well as a newly collected dataset on state-provided property tax relief programs to investigate the effect of property taxes on the labor supply of elderly homeowners. It is the first rigorous study on the link between property taxes and elderly labor supply. I examine both the extensive margin - whether elderly homeowners delay retirement or reenter the labor market in the face of rising property taxes, and the intensive margin - whether elderly homeowners work longer hours when property taxes increase. A simulated IV approach is used to address the potential endogeneity problem associated with property taxes. I find little evidence that property taxes have a significant impact on elderly homeowners' decisions to retire, to re-enter the labor force, or to increase working hours. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PROPERTY tax relief KW - TAX assessment KW - EFFECT of taxation on labor supply KW - TAXATION KW - LABOR economics KW - HOUSING market KW - LABOR mobility KW - OLDER people KW - HOMEOWNERS KW - UNITED States KW - Elderly KW - Labor supply KW - Property tax KW - Property tax relief programs N1 - Accession Number: 35909749; Hui Shan 1; Email Address: hui.shan@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: 2008, preceding p1; Thesaurus Term: PROPERTY tax relief; Thesaurus Term: TAX assessment; Thesaurus Term: EFFECT of taxation on labor supply; Thesaurus Term: TAXATION; Thesaurus Term: LABOR economics; Thesaurus Term: HOUSING market; Thesaurus Term: LABOR mobility; Subject Term: OLDER people; Subject Term: HOMEOWNERS; Subject: UNITED States; Author-Supplied Keyword: Elderly; Author-Supplied Keyword: Labor supply; Author-Supplied Keyword: Property tax; Author-Supplied Keyword: Property tax relief programs; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 46p; Illustrations: 9 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35909749&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Korniotis, George M. AU - Kumar, Alok T1 - Do Behavioral Biases Adversely Affect the Macro-Economy? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/10// M3 - Article SP - 1 EP - 54 AB - This study investigates whether the adverse effects of investors' behavioral biases extend beyond the domain of financial markets to the broad macro-economy. We focus on the risk sharing (or income smoothing) role of financial markets and demonstrate that risk sharing levels are higher in U.S. states in which investors have higher cognitive abilities and exhibit weaker behavioral biases. Further, states with better risk sharing opportunities achieve higher levels of risk sharing if investors in those states exhibit greater financial sophistication. Among the various determinants of risk sharing, behavioral factors have the strongest effects. The average level of risk sharing in states with unsophisticated investors (= 0.121) is less than half of the average risk sharing level in states with financially sophisticated investors (= 0.308). Collectively, our evidence indicates that the high risk sharing potential of financial markets is not fully realized because the aggregate behavioral biases of individual investors impede state-level risk sharing. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RISK sharing KW - RISK management in business KW - SECURITIES markets KW - MUTUAL funds KW - SYNDICATED loans KW - FINANCIAL risk management KW - CAPITALISTS & financiers KW - BEHAVIORAL assessment KW - U.S. states KW - behavioral biases KW - cognitive abilities KW - financial markets KW - income risk KW - investor sophistication KW - Risk sharing N1 - Accession Number: 35909744; Korniotis, George M. 1; Kumar, Alok 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Texas at Austin, McCombs School of Business; Issue Info: 2008, preceding p1; Thesaurus Term: RISK sharing; Thesaurus Term: RISK management in business; Thesaurus Term: SECURITIES markets; Thesaurus Term: MUTUAL funds; Thesaurus Term: SYNDICATED loans; Thesaurus Term: FINANCIAL risk management; Thesaurus Term: CAPITALISTS & financiers; Subject Term: BEHAVIORAL assessment; Subject Term: U.S. states; Author-Supplied Keyword: behavioral biases; Author-Supplied Keyword: cognitive abilities; Author-Supplied Keyword: financial markets; Author-Supplied Keyword: income risk; Author-Supplied Keyword: investor sophistication; Author-Supplied Keyword: Risk sharing; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 56p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35909744&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warusawitharana, Missaka T1 - Research and development, profits and firm value: A structuralestimation. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/10// M3 - Article SP - 1 EP - 42 AB - Is the return to private R&D as high as believed? This study identifies a flaw in the production function approach to estimating the return to R&D. I provide new estimates based on a structural estimation approach that incorporates uncertainty about the outcome from R&D. The results shed light on the rate of innovation, the impact of an innovation on profits, and the market value of the R&D stock. The parameter estimates imply a mean return to R&D of 3.7-5.5%, much lower than previous values. The analysis also demonstrates the unsuitability of using the return to R&D as a basis for policy decisions on tax subsidies to R&D. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESEARCH & development KW - MANAGEMENT science KW - MARK to market accounting KW - INNOVATION adoption KW - INNOVATION management KW - ESTIMATION theory KW - MARKET value KW - PRODUCTION (Economic theory) KW - MATHEMATICAL optimization KW - PRODUCTION possibility curve N1 - Accession Number: 35909752; Warusawitharana, Missaka 1; Email Address: m1mnw00@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Mail Stop 97, 20th Street and Constitution Avenue NW, Washington, DC 20551; Issue Info: 2008, preceding p1; Thesaurus Term: RESEARCH & development; Thesaurus Term: MANAGEMENT science; Thesaurus Term: MARK to market accounting; Thesaurus Term: INNOVATION adoption; Thesaurus Term: INNOVATION management; Thesaurus Term: ESTIMATION theory; Thesaurus Term: MARKET value; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: MATHEMATICAL optimization; Thesaurus Term: PRODUCTION possibility curve; NAICS/Industry Codes: 541712 Research and Development in the Physical, Engineering, and Life Sciences (except Biotechnology); NAICS/Industry Codes: 541711 Research and Development in Biotechnology; Number of Pages: 44p; Illustrations: 7 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35909752&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beechey, Meredith AU - Hjalmarsson, Erik AU - Österholm, Pär T1 - Testing the expectations hypothesis when interest rates are near integrated. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/10// M3 - Article SP - 1 EP - 33 AB - Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - ECONOMIC indicators KW - EMERGING markets KW - COINTEGRATION KW - DEMAND for money KW - MONETARY policy KW - INTEREST rate parity theorem KW - HYPOTHESIS KW - VECTOR analysis KW - Bonferroni tests KW - Cointegration KW - Expectations hypothesis KW - Near integration KW - Term premium N1 - Accession Number: 35233888; Beechey, Meredith 1; Email Address: meredith.j.beechey@frb.gov; Hjalmarsson, Erik 2; Email Address: erik.hjalmarsson@frb.gov; Österholm, Pär 3; Email Address: par.osterholm@nek.uu.se; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 2: Division of International Finance, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA; 3: Department of Economics, Uppsala University, Box 513, 751 20 Uppsala, Sweden; Issue Info: 2008, p1; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: EMERGING markets; Thesaurus Term: COINTEGRATION; Thesaurus Term: DEMAND for money; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rate parity theorem; Subject Term: HYPOTHESIS; Subject Term: VECTOR analysis; Author-Supplied Keyword: Bonferroni tests; Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Expectations hypothesis; Author-Supplied Keyword: Near integration; Author-Supplied Keyword: Term premium; Number of Pages: 33p; Illustrations: 1 Chart, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35233888&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bertaut, Carol C. T1 - Assessing the Potential for Further Foreign Demand for U.S. Assets: Has Financing U.S. Current Account Deficits Made Foreign Investors Overweight in U.S. Securities? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/10// M3 - Article SP - 1 EP - 54 AB - Since 2001, foreign investors have acquired roughly $5 trillion in U.S. securities - more than doubling their holdings of U.S. equities and bonds - as both official and private inflows have financed record U.S. current account deficits. Although the rapid growth of foreign holdings of U.S. securities raises concerns that foreign investors may have become too heavily weighted in U.S. assets, foreign investors have not in fact materially changed the relative allocations between U.S. and other foreign securities in their portfolios in recent years. Based on data from the most recent comprehensive surveys of foreign portfolio investment, the 2006 IMF Coordinated Portfolio Investment Surveys (CPIS), most foreign investors remain relatively more underweight in both U.S. equities and bonds than they do in foreign securities in general. Although the underweight position suggests that there remains potential for foreign investors to continue to acquire U.S. securities, econometric evidence indicates that the underweight position itself reflects a preference by foreign investors for securities of countries with which they have strong economic or cultural ties, consistent with recent research that suggests "location" or "information" preferences in both domestic and international portfolios. As securities markets abroad continue to deepen, such factors are likely to continue to attract investment from "nearby" markets, especially from European investors. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - CAPITALISTS & financiers KW - INTERNATIONAL economic assistance KW - SECURITIES industry KW - FUTURES market KW - FOREIGN exchange market KW - BUDGET deficits KW - EQUITY KW - UNITED States KW - bonds KW - equities KW - home bias KW - international portfolio allocation N1 - Accession Number: 35233885; Bertaut, Carol C. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: 2008, p1; Thesaurus Term: FOREIGN investments; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: INTERNATIONAL economic assistance; Thesaurus Term: SECURITIES industry; Thesaurus Term: FUTURES market; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: BUDGET deficits; Subject Term: EQUITY; Subject: UNITED States; Author-Supplied Keyword: bonds; Author-Supplied Keyword: equities; Author-Supplied Keyword: home bias; Author-Supplied Keyword: international portfolio allocation; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 928120 International Affairs; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 54p; Illustrations: 1 Chart, 7 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35233885&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 105550773 T1 - What is the difference? Evidence on the distribution of wealth, health, life expectancy, and health insurance coverage. AU - Kennickell AB Y1 - 2008/09/10/ N1 - Accession Number: 105550773. Language: English. Entry Date: 20090130. Revision Date: 20150711. Publication Type: Journal Article. Journal Subset: Biomedical; USA. NLM UID: 8215016. KW - Health Status KW - Insurance, Health KW - Life Expectancy KW - Adult KW - Aged KW - Demography KW - Female KW - Income KW - Male KW - Medical Practice, Evidence-Based KW - Medically Uninsured KW - Middle Age KW - Social Class KW - United States SP - 3927 EP - 3940 JO - Statistics in Medicine JF - Statistics in Medicine JA - STAT MED VL - 27 IS - 20 CY - Hoboken, New Jersey PB - John Wiley & Sons, Inc. SN - 0277-6715 AD - Microeconomic Surveys, Mail Stop 153, Federal Reserve Board, Washington, DC, USA. Arthur.Kennickell@frb.gov U2 - PMID: 18680166. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=rzh&AN=105550773&site=ehost-live&scope=site DP - EBSCOhost DB - rzh ER - TY - JOUR AU - Bucks, Brian AU - Pence, Karen T1 - Do borrowers know their mortgage terms? JO - Journal of Urban Economics JF - Journal of Urban Economics Y1 - 2008/09// VL - 64 IS - 2 M3 - Article SP - 218 EP - 233 SN - 00941190 AB - Abstract: We assess whether borrowers know their mortgage terms by comparing the distributions of these variables in the household-reported Survey of Consumer Finances (SCF) to the distributions in lender-reported data. We also examine the characteristics of SCF respondents who report not knowing these contract terms. Although most borrowers seem to know basic mortgage terms, borrowers with adjustable-rate mortgages appear likely to underestimate or to not know how much their interest rates could change. Borrowers who could experience large payment changes if interest rates rose are more likely to report not knowing these contract terms. Difficulties with gathering and processing information appear to be a factor in borrowers'' lack of knowledge. [Copyright &y& Elsevier] AB - Copyright of Journal of Urban Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - INTEREST rates KW - PAYMENT KW - CONTRACTS KW - INFORMATION processing KW - PRICE increases N1 - Accession Number: 34371105; Bucks, Brian 1; Email Address: brian.k.bucks@frb.gov; Pence, Karen; Email Address: karen.pence@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Street, Washington, DC 20551, USA; Issue Info: Sep2008, Vol. 64 Issue 2, p218; Thesaurus Term: MORTGAGE loans; Thesaurus Term: INTEREST rates; Thesaurus Term: PAYMENT; Thesaurus Term: CONTRACTS; Thesaurus Term: INFORMATION processing; Thesaurus Term: PRICE increases; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jue.2008.07.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34371105&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Follette, Glenn AU - Kusko, Andrea AU - Lutz, Byron T1 - State and Local Finances and the Macroeconomy: The High-Employment Budget and Fiscal Impetus. JO - National Tax Journal JF - National Tax Journal Y1 - 2008/09// VL - 61 IS - 3 M3 - Article SP - 531 EP - 545 PB - National Tax Association SN - 00280283 AB - We use two measures of fiscal policy—the high—employment budget and fiscal impetus-to examine the interplay of the macroeconomy and state and local government budgets. We find that each one percent increase in GDP raises state and local net saving (as measured in the NIPA) by 0.1 percent of GDP through the automatic cyclical response of taxes and expenditures. We also find that the sector's budget policies have been modestly pro-cyclical: The direct contribution to growth in real GDP has been about 0.2 percentage points smaller, on average, following business cycle peaks than it was before the peaks. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAXATION KW - FISCAL policy KW - PUBLIC finance KW - PUBLIC spending KW - TAX expenditures KW - GROSS domestic product KW - BUSINESS cycles KW - LOCAL budgets KW - ECONOMIC indicators N1 - Accession Number: 34991378; Follette, Glenn 1; Kusko, Andrea 1; Lutz, Byron 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: Sep2008, Vol. 61 Issue 3, p531; Thesaurus Term: TAXATION; Thesaurus Term: FISCAL policy; Thesaurus Term: PUBLIC finance; Thesaurus Term: PUBLIC spending; Thesaurus Term: TAX expenditures; Thesaurus Term: GROSS domestic product; Thesaurus Term: BUSINESS cycles; Thesaurus Term: LOCAL budgets; Thesaurus Term: ECONOMIC indicators; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 15p; Illustrations: 5 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34991378&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beechey, Meredith T1 - Lowering the Anchor: How the Bank of England's Inflation-Targeting Policies have Shaped Inflation Expectations and Perceptions of Inflation Risk. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/09// M3 - Article SP - 1 EP - 29 AB - Inflation targeting as practiced by the Bank of England has undergone several changes since its adoption in 1992, including redefinition of the goal, measures to increase transparency and the granting of independence to the central bank. These changes are likely to have affected long-run inflation expectations and perceptions of future inflation risk. To that end, this paper estimates a no-arbitrage, affine, factor model of the term structure of inflation compensation in the United Kingdom. The model yields time series of expected inflation and inflation risk premia at short and long horizons estimated in a theoretically consistent manner. The results reveal that long-run inflation expectations drifted down slowly during the first five years of inflation targeting, but inflation risk premia moved down abruptly only once the Bank of England was granted independence. This event, which arguably signalled more credible commitment by the central bank to its inflation anchor, appears to have been more important in shaping inflation expectations and perceptions of inflation risk than changes in the definition of the target or measures to increase transparency. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - INFLATION (Finance) KW - EFFECT of inflation on the banking industry KW - ECONOMIC forecasting KW - ECONOMIC indicators KW - LONG run (Economics) KW - TRANSPARENCY (Optics) KW - GREAT Britain KW - BANK of England N1 - Accession Number: 35910983; Beechey, Meredith 1; Email Address: meredith.j.beechey@frb.gov.; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2008, preceding p1; Thesaurus Term: BANKING industry; Thesaurus Term: INFLATION (Finance); Thesaurus Term: EFFECT of inflation on the banking industry; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: LONG run (Economics); Subject Term: TRANSPARENCY (Optics); Subject: GREAT Britain ; Company/Entity: BANK of England; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 30p; Illustrations: 2 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35910983&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nason, James M. AU - Rogersy, John H. T1 - Exchange Rates and Fundamentals: A Generalization. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/09// M3 - Article SP - 1 EP - 44 AB - Exchange rates have raised the ire of economists for more than 20 years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out of sample forecasts. Engel and West (2005) show that these failures can be explained by the standard-present value model (PVM) because it predicts random walk exchange rate dynamics if the discount factor approaches one and fundamentals have a unit root. This paper generalizes the Engel and West (EW) hypothesis to the larger class of open economy dynamic stochastic general equilibrium (DSGE) models. The EW hypothesis is shown to hold for a canonical open economy DSGE model. We show that all the predictions of the standard-PVM carry over to the DSGE-PVM. The DSGE-PVM also yields an unobserved components (UC) models that we estimate using Bayesian methods and a quarterly Canadian—U.S. sample. Bayesian model evaluation reveals that the data support a UC model that calibrates the discount factor to one implying the Canadian dollar—U.S. dollar exchange rate is a random walk dominated by permanent cross-country monetary and productivity shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - RANDOM walks (Mathematics) KW - BAYESIAN analysis KW - DEMAND functions (Economic theory) KW - ECONOMICS -- Mathematical models KW - PURCHASING power parity KW - INTEREST rate parity theorem KW - FOREIGN exchange KW - Bayesian model comparison KW - DSGE model KW - Exchange rates KW - present-value model and fundamentals KW - random walk KW - unobserved components model N1 - Accession Number: 34761735; Nason, James M. 1; Email Address: jim.nason@atl.frb.org; Rogersy, John H. 2; Email Address: john.h.rogers@frb.gov; Affiliations: 1: Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree St., N.E., Atlanta, GA 30309; 2: International Finance Division, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: 2008, preceding p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: RANDOM walks (Mathematics); Thesaurus Term: BAYESIAN analysis; Thesaurus Term: DEMAND functions (Economic theory); Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: PURCHASING power parity; Thesaurus Term: INTEREST rate parity theorem; Thesaurus Term: FOREIGN exchange; Author-Supplied Keyword: Bayesian model comparison; Author-Supplied Keyword: DSGE model; Author-Supplied Keyword: Exchange rates; Author-Supplied Keyword: present-value model and fundamentals; Author-Supplied Keyword: random walk; Author-Supplied Keyword: unobserved components model; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 45p; Illustrations: 9 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34761735&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beechey, Meredith AU - Österholm, Pär T1 - Revisiting the uncertain unit root in GDP and CPI: Testing for non-linear trend reversion JO - Economics Letters JF - Economics Letters Y1 - 2008/08// VL - 100 IS - 2 M3 - Article SP - 221 EP - 223 SN - 01651765 AB - Abstract: We test for the presence of a unit root in U.S. GDP and CPI, allowing for non-linear trend reversion under the alternative hypothesis. In contrast to most previous results, we find evidence in favour of trend stationarity for both variables. [Copyright &y& Elsevier] AB - Copyright of Economics Letters is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESEARCH KW - GROSS domestic product KW - ECONOMIC indicators KW - HYPOTHESIS KW - Exponential smooth transition KW - Unit-root test N1 - Accession Number: 32731506; Beechey, Meredith 1; Email Address: meredith.j.beechey@frb.gov; Österholm, Pär 2; Email Address: par.osterholm@nek.uu.se; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Sveriges Riksbank and Department of Economics, Uppsala University, Box 513, 751 20 Uppsala, Sweden; Issue Info: Aug2008, Vol. 100 Issue 2, p221; Thesaurus Term: RESEARCH; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMIC indicators; Subject Term: HYPOTHESIS; Author-Supplied Keyword: Exponential smooth transition; Author-Supplied Keyword: Unit-root test; Number of Pages: 3p; Document Type: Article L3 - 10.1016/j.econlet.2008.01.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32731506&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amel, Dean F. AU - Kennickell, Arthur B. AU - Moore, Kevin B. T1 - Banking Market Definition: Evidence from the Survey of Consumer Finances. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/08// M3 - Article SP - 1 EP - 24 AB - This paper uses data from the triennial waves of the Survey of Consumer Finances from 1992 to 2004 to examine changes in the use of financial services with implications for the definition of banking markets. Despite powerful technological and regulatory shifts over this period, households' banking markets overall remained largely local--the median distance to a provider of financial services remained under four miles. However, there has been rapid growth in the use of non-depository financial institutions over the period, particularly non-local ones. This increase occurred across a wide variety of demographic and other household classifications. The evidence on the clustering of financial services is mixed. Households showed a slightly greater tendency to buy multiple banking services from their primary provider of such services in 2004 than in 1992, while they also became much more likely to procure services from firms that were not their primary provider. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC surveys KW - BANKING industry KW - CUSTOMER satisfaction KW - CUSTOMER services KW - FINANCIAL services industry KW - EFFICIENT consumer response KW - FINANCIAL institutions KW - LENDER liability KW - MONEYLENDERS KW - HOUSEHOLD surveys N1 - Accession Number: 35910899; Amel, Dean F. 1; Kennickell, Arthur B. 1; Moore, Kevin B. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: 2008, preceding p1; Thesaurus Term: ECONOMIC surveys; Thesaurus Term: BANKING industry; Thesaurus Term: CUSTOMER satisfaction; Thesaurus Term: CUSTOMER services; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: EFFICIENT consumer response; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: LENDER liability; Thesaurus Term: MONEYLENDERS; Subject Term: HOUSEHOLD surveys; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 27p; Illustrations: 8 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35910899&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beltran, Daniel O. AU - Pounder, Laurie AU - Thomas, Charles T1 - Foreign Exposure to Asset-Backed Securities of U.S. Origin. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/08// M3 - Article SP - 1 EP - 27 AB - The financial turmoil which began in August 2007 originated, in part, because investors reassessed the quality of the assets underlying many asset-backed securities (ABS), particularly U.S. mortgages. The prominence of European banks in the early stages of the turmoil created the perception that foreigners held an outsized share of risky U.S. securities and prompted questions of why Europeans were so exposed. This paper evaluates that perception by quantifying foreign exposure to ABS with U.S. underlying collateral. Using the latest survey data on foreign portfolio holdings of U.S. securities, we find that the ultimate losses that foreigners could incur arising from U.S. underlying assets are small relative to most scale variables, although initial total mark-to-market losses are estimated to be significantly larger. Among other reasons for this difference between ultimate and initial losses, we demonstrate that the securitization chain can amplify mark-to-market price declines in the presence of uncertainty or illiquidity. Finally, we show that, relative to the size of the market, foreigners' holdings of U.S. mortgage-backed securities do not appear to be elevated compared with their holdings of other U.S. assets. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - ASSET-backed financing KW - CAPITALISTS & financiers KW - MORTGAGES KW - ECONOMIC bubbles KW - BANKING industry KW - DERIVATIVE securities KW - FINANCIAL services industry KW - UNITED States KW - ABS KW - Financial turmoil KW - Mark-to-Market KW - Securitization N1 - Accession Number: 34761726; Beltran, Daniel O. 1; Pounder, Laurie 1; Thomas, Charles 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2008, p1; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ASSET-backed financing; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: MORTGAGES; Thesaurus Term: ECONOMIC bubbles; Thesaurus Term: BANKING industry; Thesaurus Term: DERIVATIVE securities; Thesaurus Term: FINANCIAL services industry; Subject: UNITED States; Author-Supplied Keyword: ABS; Author-Supplied Keyword: Financial turmoil; Author-Supplied Keyword: Mark-to-Market; Author-Supplied Keyword: Securitization; NAICS/Industry Codes: 526981 Securitization vehicles; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 526913 Mortgage funds; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 27p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34761726&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oliner, Stephen D. AU - Sichel, Daniel E. AU - Stiroh, Kevin J. T1 - Explaining a productive decade JO - Journal of Policy Modeling JF - Journal of Policy Modeling Y1 - 2008/07// VL - 30 IS - 4 M3 - Article SP - 633 EP - 673 SN - 01618938 AB - This paper analyzes the sources of U.S. productivity growth in recent years using both aggregate and industry-level data. We confirm the central role for information technology (IT) in the productivity revival during 1995–2000 and show that IT played a significant, though smaller, role after 2000. Productivity growth after 2000 appears to have been boosted by industry restructuring and cost cutting in response to profit pressures, an unlikely source of future strength. In addition, the incorporation of intangible capital into the growth accounting framework takes some of the luster off the performance of labor productivity since 2000 and makes the gain during 1995–2000 look larger than in the official data. Finally, we examine the outlook for trend growth in labor productivity; our estimate, though subject to much uncertainty, is centered at a year, faster than the lackluster pace that prevailed before 1995 but somewhat slower than the 1995–2006 average. [Copyright &y& Elsevier] AB - Copyright of Journal of Policy Modeling is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL productivity KW - COMPUTER software development KW - ECONOMIC development -- Research KW - CORPORATE reorganizations KW - ECONOMICS -- Statistical methods KW - ECONOMIC aspects KW - UNITED States -- Economic conditions KW - UNITED States KW - Information technology KW - Intangible capital KW - Labor productivity KW - Productivity growth N1 - Accession Number: 33459868; Oliner, Stephen D. 1; Email Address: soliner@frb.gov Sichel, Daniel E. 1 Stiroh, Kevin J. 2; Affiliation: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA 2: Private sector, New York, NY 10045, USA; Source Info: Jul2008, Vol. 30 Issue 4, p633; Subject Term: INDUSTRIAL productivity; Subject Term: COMPUTER software development; Subject Term: ECONOMIC development -- Research; Subject Term: CORPORATE reorganizations; Subject Term: ECONOMICS -- Statistical methods; Subject Term: ECONOMIC aspects; Subject Term: UNITED States -- Economic conditions; Subject Term: UNITED States; Author-Supplied Keyword: Information technology; Author-Supplied Keyword: Intangible capital; Author-Supplied Keyword: Labor productivity; Author-Supplied Keyword: Productivity growth; NAICS/Industry Codes: 541514 Computer systems design and related services (except video game design and development); NAICS/Industry Codes: 541511 Custom Computer Programming Services; Number of Pages: 41p; Document Type: Article L3 - 10.1016/j.jpolmod.2008.04.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=33459868&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - NEWS AU - Levin, Andrew T. T1 - Commentary. JO - Review (00149187) JF - Review (00149187) Y1 - 2008/07//Jul/Aug2008 VL - 90 IS - 4 M3 - Editorial SP - 301 EP - 305 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The article presents the author's perspectives on the study by Lars Svensson and Noah Williams on addressing uncertainty in optimal monetary policy through experimentation using Markov jump linear-quadratic control algorithms in the U.S. He remarks that the study is an important contribution in analyzing Bayesian optimal monetary policy in an environment in which the central bank faces a set of competing models to update its probability assessments of the actual economic model. KW - MONETARY policy KW - MARKOV processes KW - ECONOMIC models KW - CENTRAL banking industry KW - UNITED States N1 - Accession Number: 33160156; Levin, Andrew T. 1; Affiliation: 1: Deputy Associate Director, Division of Monetary Affairs, Board of Governors of the Federal Reserve System; Source Info: Jul/Aug2008, Vol. 90 Issue 4, p301; Subject Term: MONETARY policy; Subject Term: MARKOV processes; Subject Term: ECONOMIC models; Subject Term: CENTRAL banking industry; Subject Term: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 5p; Document Type: Editorial UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=33160156&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - NEWS AU - Bernanke, Ben S. T1 - Monetary Policy Under Uncertainty. JO - Review (00149187) JF - Review (00149187) Y1 - 2008/07//Jul/Aug2008 VL - 90 IS - 4 M3 - Editorial SP - 410 EP - 415 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - The author reflects on the contributions of Bill Poole in the policy debate on monetary policy making under uncertainty. He remarks that Poole's theories on monetary policy have helped policymakers on how to make policy in an uncertain environment by taking into account a range of possible scenarios about the state or structure of the economy. He notes that the economy's structure and the inferences that the public will draw from policy actions are a pervasive features of monetary policymaking. KW - MONETARY policy KW - MONETARY systems KW - ECONOMIC policy KW - PUBLIC spending KW - FISCAL policy KW - POOLE, Bill N1 - Accession Number: 33160167; Bernanke, Ben S. 1; Affiliation: 1: Chairman of the Board of Governors of the Federal Reserve System; Source Info: Jul/Aug2008, Vol. 90 Issue 4, p410; Subject Term: MONETARY policy; Subject Term: MONETARY systems; Subject Term: ECONOMIC policy; Subject Term: PUBLIC spending; Subject Term: FISCAL policy; NAICS/Industry Codes: 921130 Public Finance Activities; People: POOLE, Bill; Number of Pages: 6p; Document Type: Editorial UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=33160167&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Poole, William T1 - Rules-of-Thumb for Guiding Monetary Policy. JO - Review (00149187) JF - Review (00149187) Y1 - 2008/07//Jul/Aug2008 VL - 90 IS - 4 M3 - Article SP - 447 EP - 497 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - This article was originally published in the Board of Governors of the Federal Reserve System Open Market Policies and Operating Procedures—Staff Studies, July 1971. It is reprinted here as an addendum to these conference proceedings. [ABSTRACT FROM AUTHOR] AB - Copyright of Review (00149187) is the property of Federal Reserve Bank of St. Louis and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL Reserve monetary policy KW - MONETARY policy KW - ECONOMIC policy KW - MONETARY systems KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 33160171; Poole, William 1; Affiliation: 1: Senior Economist in the Special Studies Section of the Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Source Info: Jul/Aug2008, Vol. 90 Issue 4, p447; Subject Term: FEDERAL Reserve monetary policy; Subject Term: MONETARY policy; Subject Term: ECONOMIC policy; Subject Term: MONETARY systems; Subject Term: UNITED States; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 51p; Illustrations: 11 Diagrams, 3 Charts, 7 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=33160171&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Bodenstein, Martin T1 - International asset markets and real exchange rate volatility JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2008/07// VL - 11 IS - 3 M3 - Article SP - 688 EP - 705 SN - 10942025 AB - Abstract: The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (Backus–Smith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financial contracts that provides a possible explanation of these two puzzles. The model performs better than a standard incomplete markets model with a single non-contingent bond unless very tight borrowing constraints are imposed in the latter. With limited enforcement for both domestic and international financial contracts, the model''s asset pricing implications are brought into line with the empirical evidence, albeit at the expense of raising real exchange rate volatility. [Copyright &y& Elsevier] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - VOLATILITY (Finance) KW - INTERNATIONAL finance KW - CONSUMPTION (Economics) KW - Asset prices KW - Backus–Smith puzzle KW - Limited enforcement KW - Real exchange rate KW - Risk-sharing N1 - Accession Number: 32560792; Bodenstein, Martin 1; Email Address: Martin.R.Bodenstein@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: Jul2008, Vol. 11 Issue 3, p688; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: CONSUMPTION (Economics); Author-Supplied Keyword: Asset prices; Author-Supplied Keyword: Backus–Smith puzzle; Author-Supplied Keyword: Limited enforcement; Author-Supplied Keyword: Real exchange rate; Author-Supplied Keyword: Risk-sharing; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.red.2007.12.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32560792&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Demers, Elizabeth AU - Vega, Clara T1 - Soft Information in Earnings Announcements: News or Noise? JO - INSEAD Working Papers Collection JF - INSEAD Working Papers Collection Y1 - 2008/06/23/ IS - 44 M3 - Article SP - 1 EP - 58 AB - This paper examines whether the "soft" information contained in the text of management's quarterly earnings press releases is incrementally informative over the company's reported "hard" earnings news. We use Diction, a textual-analysis program, to extract various dimensions of managerial net optimism from more than 20,000 corporate earnings announcements over the period 1998 to 2006 and document that unanticipated net optimism in managers' language affects announcement period abnormal returns and predicts postearnings announcement drift. We find that the market response varies by firm size, turnover, media and analyst coverage, and the extent to which the standard accounting model captures the underlying economics of the firm. We also show that the second moment of soft information, the level of certainty in the text, is an important determinant of contemporaneous idiosyncratic volatility, and it predicts future idiosyncratic volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of INSEAD Working Papers Collection is the property of INSEAD and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL statements KW - PRESS releases KW - CORPORATE profits KW - BUSINESS communication KW - VOLATILITY (Finance) KW - cheap talk KW - earnings announcements KW - earnings quality KW - information uncertainty KW - momentum KW - post-earnings drift KW - Soft information KW - voluntary disclosure N1 - Accession Number: 48585919; Demers, Elizabeth 1; Email Address: liz.demers@insead.edu; Vega, Clara 2; Email Address: clara.vega@frb.gov; Affiliations: 1: Assistant Professor of Accounting & Control at INSEAD, Boulevard de Constance, 77305 Fontainebleau Cedex; 2: Board of Governors, United States Federal Reserve System International Finance Division 20th Street & Constitution Avenue, NW Washington, DC 20551; Issue Info: 2008, Issue 44, p1; Thesaurus Term: FINANCIAL statements; Thesaurus Term: PRESS releases; Thesaurus Term: CORPORATE profits; Thesaurus Term: BUSINESS communication; Thesaurus Term: VOLATILITY (Finance); Author-Supplied Keyword: cheap talk; Author-Supplied Keyword: earnings announcements; Author-Supplied Keyword: earnings quality; Author-Supplied Keyword: information uncertainty; Author-Supplied Keyword: momentum; Author-Supplied Keyword: post-earnings drift; Author-Supplied Keyword: Soft information; Author-Supplied Keyword: voluntary disclosure; Number of Pages: 58p; Illustrations: 15 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=48585919&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. T1 - Exchange Rates and Fundamentals: A Generalization. JO - Working Paper Series (Federal Reserve Bank of Atlanta) JF - Working Paper Series (Federal Reserve Bank of Atlanta) Y1 - 2008/06/15/ IS - 16 M3 - Working Paper SP - 1 EP - 52 AB - The article discusses exchange rate models including the present value model (PVM) and dynamic stochastic general equilibrium (DSGE) models. It mentions of the hypothesis of Engel and West on open-economy DSGE models and shows how PVM predictions of exchange rate dynamics are carried over to DSGE PVM. Moreover, authors estimate unobserved components (UC) yielded from DSGE PVM through a Bayesian model evaluation. As a result, the Bayesian method of analyzing a quarterly Canadian-U.S. sample shows that their exchange rate is a random walk of monetary and productivity shocks of the country. KW - ECONOMIC development -- Mathematical models KW - FOREIGN exchange accounting KW - BAYESIAN analysis KW - RANDOM walks (Mathematics) KW - INVESTMENT analysis KW - STATISTICAL decision making KW - ECONOMICS -- Statistical methods KW - FOREIGN exchange rates KW - ECONOMIC models KW - Bayesian model comparison KW - DSGE model KW - exchange rates KW - present value model and fundamentals KW - random walk KW - unobserved components model N1 - Accession Number: 33930822; Nason, James M. 1; Email Address: jim.nason@atl.frb.org Rogers, John H. 2; Email Address: john.h.rogers@frb.gov; Affiliation: 1: Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, GA 30309 2: International Finance, Division, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, N.W., Washington, DC 20551, 202-452-2873; Source Info: Jun2008, Issue 16, p1; Subject Term: ECONOMIC development -- Mathematical models; Subject Term: FOREIGN exchange accounting; Subject Term: BAYESIAN analysis; Subject Term: RANDOM walks (Mathematics); Subject Term: INVESTMENT analysis; Subject Term: STATISTICAL decision making; Subject Term: ECONOMICS -- Statistical methods; Subject Term: FOREIGN exchange rates; Subject Term: ECONOMIC models; Author-Supplied Keyword: Bayesian model comparison; Author-Supplied Keyword: DSGE model; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: present value model and fundamentals; Author-Supplied Keyword: random walk; Author-Supplied Keyword: unobserved components model; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 52p; Illustrations: 9 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=33930822&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. T1 - Exchange Rates and Fundamentals: A Generalization. JO - Working Paper Series (Federal Reserve Bank of Atlanta) JF - Working Paper Series (Federal Reserve Bank of Atlanta) Y1 - 2008/06/15/ IS - 16 M3 - Working Paper SP - 1 EP - 52 AB - The article discusses exchange rate models including the present value model (PVM) and dynamic stochastic general equilibrium (DSGE) models. It mentions of the hypothesis of Engel and West on open-economy DSGE models and shows how PVM predictions of exchange rate dynamics are carried over to DSGE PVM. Moreover, authors estimate unobserved components (UC) yielded from DSGE PVM through a Bayesian model evaluation. As a result, the Bayesian method of analyzing a quarterly Canadian-U.S. sample shows that their exchange rate is a random walk of monetary and productivity shocks of the country. KW - ECONOMIC development -- Mathematical models KW - FOREIGN exchange accounting KW - BAYESIAN analysis KW - RANDOM walks (Mathematics) KW - INVESTMENT analysis KW - STATISTICAL decision making KW - ECONOMICS -- Statistical methods KW - FOREIGN exchange rates KW - ECONOMIC models KW - Bayesian model comparison KW - DSGE model KW - exchange rates KW - present value model and fundamentals KW - random walk KW - unobserved components model N1 - Accession Number: 33930822; Nason, James M. 1; Email Address: jim.nason@atl.frb.org; Rogers, John H. 2; Email Address: john.h.rogers@frb.gov; Affiliations: 1: Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, GA 30309; 2: International Finance, Division, Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, N.W., Washington, DC 20551, 202-452-2873; Issue Info: Jun2008, Issue 16, p1; Thesaurus Term: ECONOMIC development -- Mathematical models; Thesaurus Term: FOREIGN exchange accounting; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: RANDOM walks (Mathematics); Thesaurus Term: INVESTMENT analysis; Thesaurus Term: STATISTICAL decision making; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: ECONOMIC models; Author-Supplied Keyword: Bayesian model comparison; Author-Supplied Keyword: DSGE model; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: present value model and fundamentals; Author-Supplied Keyword: random walk; Author-Supplied Keyword: unobserved components model; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 52p; Illustrations: 9 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=33930822&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berkman, Steve AU - Boswell, Nancy Z. AU - Brüner, Franz H. AU - Gough, Mark AU - McCormick, John T. AU - Pedersen, Peter Egens AU - Ugaz, Jose AU - Zimmermann, Stephen T1 - The fight against corruption: international organizations at a cross-roads. JO - Journal of Financial Crime JF - Journal of Financial Crime Y1 - 2008/06// VL - 15 IS - 2 M3 - Article SP - 124 EP - 154 SN - 13590790 AB - The article presents an anti-corruption expert's personal assessments of the progress of international organizations in fighting corruption. It highlights a survey of the viewpoints of a number of anti-corruption experts who are able to offer a unique and distanced perspective on the key corruption-related issues and challenges facing international organizations. The survey results shows that international organizations are currently at a turning point in their individual and collective fight against corruption, and that international organizations must endure the corruption scandals that have plagued several organizations. It also offers information on how international organizations can address the challenges they are facing with regards to corruption. KW - INTERNATIONAL agencies KW - CORRUPTION KW - INTERNATIONAL cooperation KW - NEEDS assessment KW - INTERNATIONAL relations KW - INTERORGANIZATIONAL relations KW - INTERNATIONAL organization KW - SURVEYS -- Evaluation KW - SCANDALS KW - Corruption KW - Fraud KW - International banks KW - International organizations KW - Monetary policy N1 - Accession Number: 32631742; Berkman, Steve 1; Boswell, Nancy Z. 2; Brüner, Franz H. 3; Gough, Mark 4; McCormick, John T. 5; Email Address: john.t.mccormick@frb.gov; Pedersen, Peter Egens 6; Ugaz, Jose 7; Zimmermann, Stephen 8; Affiliations: 1: Leesburgh, Virginia, USA; 2: Transparency International-USA, Washington, DC, USA; 3: European Anti-Fraud Office (OLAF), Brussels, Belgium; 4: United Nations Investigation Division, Vienna International Centre, Vienna, Austria; 5: Board of Governors of the Federal Reserve System, Washington, DC, USA; 6: Svendborg, Denmark; 7: Benites, Forno & Ugaz Law Firms, Lima, Peru; 8: International American Development Bank Washington, DC, USA; Issue Info: 2008, Vol. 15 Issue 2, p124; Thesaurus Term: INTERNATIONAL agencies; Thesaurus Term: CORRUPTION; Thesaurus Term: INTERNATIONAL cooperation; Thesaurus Term: NEEDS assessment; Thesaurus Term: INTERNATIONAL relations; Thesaurus Term: INTERORGANIZATIONAL relations; Subject Term: INTERNATIONAL organization; Subject Term: SURVEYS -- Evaluation; Subject Term: SCANDALS; Author-Supplied Keyword: Corruption; Author-Supplied Keyword: Fraud; Author-Supplied Keyword: International banks; Author-Supplied Keyword: International organizations; Author-Supplied Keyword: Monetary policy; NAICS/Industry Codes: 911410 Foreign affairs; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 31p; Document Type: Article; Full Text Word Count: 15102 L3 - 10.1108/13590790810866863 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32631742&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. AD - Board of Governors of the Federal Reserve System T1 - Inflation Regimes and Inflation Expectations JO - Federal Reserve Bank of St. Louis Review JF - Federal Reserve Bank of St. Louis Review Y1 - 2008/05/02/Part 2 May-June 2008 VL - 90 IS - 3 SP - 229 EP - 243 SN - 00149187 N1 - Accession Number: 0992383; Keywords: Inflation; Monetary; Monetary Policy; Policy; Geographic Descriptors: Selected Countries; Publication Type: Journal Article; Update Code: 200809 N2 - This paper examines the formation of expectations about future inflation over long horizons. A key issue that agents must confront is the possibility that the economic policy framework--especially the monetary policy regime--could change at some future date. Agents are likely to base inferences about possible future regimes on experience over many years and decades past. This aspect of expectations formation may explain why inflation premiums in long-term bond yields are higher in countries with a long history of high inflation. KW - Price Level; Inflation; Deflation E31 KW - Monetary Policy E52 L3 - http://research.stlouisfed.org/publications/review/past/ UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0992383&site=ehost-live&scope=site UR - http://research.stlouisfed.org/publications/review/past/ DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Han, Song AU - Mulligan, Casey B. AD - Board of Governors of the Federal Reserve System AD - U Chicago T1 - Inflation and the Size of Government JO - Federal Reserve Bank of St. Louis Review JF - Federal Reserve Bank of St. Louis Review Y1 - 2008/05/02/Part 2 May-June 2008 VL - 90 IS - 3 SP - 245 EP - 267 SN - 00149187 N1 - Accession Number: 0992384; Keywords: Government; Inflation; Geographic Descriptors: Selected Countries; Publication Type: Journal Article; Update Code: 200809 N2 - It is commonly supposed in public and academic discourse that inflation and big government are related. The authors show that economic theory delivers such a prediction only in special cases. As an empirical matter, inflation is significantly positively related to the size of government mainly when periods of war and peace are compared. The authors find a weak positive peacetime time-series correlation between inflation and the size of government and a negative cross-country correlation of inflation with non-defense spending. KW - Price Level; Inflation; Deflation E31 KW - Structure, Scope, and Performance of Government H11 KW - National Government Expenditures and Related Policies: General H50 L3 - http://research.stlouisfed.org/publications/review/past/ UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0992384&site=ehost-live&scope=site UR - http://research.stlouisfed.org/publications/review/past/ DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Berger, David W. AU - Chaboud, Alain P. AU - Chernenko, Sergey V. AU - Howorka, Edward AU - Wright, Jonathan H. T1 - Order flow and exchange rate dynamics in electronic brokerage system data JO - Journal of International Economics JF - Journal of International Economics Y1 - 2008/05// VL - 75 IS - 1 M3 - Article SP - 93 EP - 109 SN - 00221996 AB - Abstract: We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a substantial association between interdealer order flow and exchange rate returns at horizons ranging from 1 min to two weeks, but find that the association is substantially weaker at longer horizons. We study the time-variation of the association between exchange rate returns and order flow both intradaily and over the long term, and show that the relationship appears to be stronger when market liquidity is lower. Overall, our study supports the view that liquidity effects play an important role in the relationship between order flow and exchange rate changes. This by no means rules out a role for order flow as a channel by which fundamental information is transmitted to the market, as we show that our findings are quite consistent with a recent model by Bacchetta and Van Wincoop (2006: Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review, 96, pp. 552–576.) that combines both liquidity and information effects. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - FOREIGN exchange KW - INTEREST rate parity theorem KW - RATES KW - Foreign exchange KW - High-frequency data KW - Micro exchange rate economics KW - News announcements KW - Order flow KW - Private information N1 - Accession Number: 32054794; Berger, David W. 1; Email Address: david.berger@yale.edu; Chaboud, Alain P. 2; Email Address: alain.p.chaboud@frb.gov; Chernenko, Sergey V. 3; Email Address: schernenko@hbs.edu; Howorka, Edward 4; Email Address: ehoworka@ebs.com; Wright, Jonathan H. 2; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: Department of Economics, Yale University, New Haven, CT 06520, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC, 20551, USA; 3: Harvard Business School, Boston, MA, 02163, USA; 4: EBS, 535 Madison Avenue, New York, NY 10022, USA; Issue Info: May2008, Vol. 75 Issue 1, p93; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange; Thesaurus Term: INTEREST rate parity theorem; Thesaurus Term: RATES; Author-Supplied Keyword: Foreign exchange; Author-Supplied Keyword: High-frequency data; Author-Supplied Keyword: Micro exchange rate economics; Author-Supplied Keyword: News announcements; Author-Supplied Keyword: Order flow; Author-Supplied Keyword: Private information; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jinteco.2007.10.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32054794&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Giannone, Domenico AU - Reichlin, Lucrezia AU - Small, David T1 - Nowcasting: The real-time informational content of macroeconomic data JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2008/05// VL - 55 IS - 4 M3 - Article SP - 665 EP - 676 SN - 03043932 AB - Abstract: A formal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized data-release dates, have a “jagged edge” across the most recent months. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - ECONOMIC forecasting KW - GROSS domestic product KW - ACCOUNTING KW - BUSINESS forecasting KW - BANKING industry -- Data processing KW - DATA analysis KW - INFORMATION resources management KW - DATABASE design KW - GROWTH rate KW - ECONOMIC indicators KW - FINANCIAL performance KW - MACROECONOMICS KW - Factor model KW - Forecasting KW - Monetary policy KW - Nowcast KW - Real-time data N1 - Accession Number: 33137981; Giannone, Domenico 1; Email Address: Domenico.giannone@ecb.int; Reichlin, Lucrezia 2; Small, David 3; Affiliations: 1: European Central Bank, ECARES and CEPR, Germany; 2: European Central Bank and CEPR, Germany; 3: Board of Governors of the Federal Reserve System, Germany; Issue Info: May2008, Vol. 55 Issue 4, p665; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: GROSS domestic product; Thesaurus Term: ACCOUNTING; Thesaurus Term: BUSINESS forecasting; Thesaurus Term: BANKING industry -- Data processing; Thesaurus Term: DATA analysis; Thesaurus Term: INFORMATION resources management; Thesaurus Term: DATABASE design; Thesaurus Term: GROWTH rate; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: FINANCIAL performance; Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: Factor model; Author-Supplied Keyword: Forecasting; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Nowcast; Author-Supplied Keyword: Real-time data; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 519190 All Other Information Services; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jmoneco.2008.05.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=33137981&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Burstein, Ariel AU - Kurz, Christopher AU - Tesar, Linda T1 - Trade, production sharing, and the international transmission of business cycles JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2008/05// VL - 55 IS - 4 M3 - Article SP - 775 EP - 795 SN - 03043932 AB - Abstract: Countries that are more engaged in production sharing exhibit higher bilateral manufacturing output correlations. We use data on trade flows between US multinationals and their affiliates as well as trade between the United States and Mexican maquiladoras to measure production-sharing trade and its link with the business cycle. We then develop a quantitative model of international business cycles that generates a positive link between the extent of vertically integrated production-sharing trade and internationally synchronized business cycles. A key assumption in the model is a relatively low elasticity of substitution between home and foreign inputs in the production of the vertically integrated good. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - INDUSTRIAL productivity KW - ECONOMICS KW - INTERNATIONAL business enterprises KW - PRODUCTION (Economic theory) KW - BUSINESS conditions KW - BALANCE of trade KW - OVERPRODUCTION KW - ECONOMIC activity KW - MANUFACTURING industries KW - ECONOMIC aspects KW - MEXICO KW - UNITED States KW - Business cycles KW - F4 KW - Maquiladora KW - Multinational KW - Production sharing N1 - Accession Number: 33138001; Burstein, Ariel 1; Kurz, Christopher 2; Tesar, Linda 3; Email Address: ltesar@umich.edu; Affiliations: 1: UCLA and NBER, USA; 2: Board of Governors of the Federal Reserve System, USA; 3: Department of Economics, University of Michigan, 611 Tappan Street, Ann Arbor, MI 48109, USA and NBER; Issue Info: May2008, Vol. 55 Issue 4, p775; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: ECONOMICS; Thesaurus Term: INTERNATIONAL business enterprises; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: BUSINESS conditions; Thesaurus Term: BALANCE of trade; Thesaurus Term: OVERPRODUCTION; Thesaurus Term: ECONOMIC activity; Thesaurus Term: MANUFACTURING industries; Subject Term: ECONOMIC aspects; Subject: MEXICO; Subject: UNITED States; Author-Supplied Keyword: Business cycles; Author-Supplied Keyword: F4; Author-Supplied Keyword: Maquiladora; Author-Supplied Keyword: Multinational; Author-Supplied Keyword: Production sharing; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jmoneco.2008.03.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=33138001&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kurt F. Lewis T1 - The Two-Period Rational Inattention Model: Accelerations and Analyses. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/05// M3 - Article SP - 1 EP - 20 AB - This paper demonstrates the properties of and a solution method for the more general two-period Rational Inattention model of Sims (2006). It is shown that the corresponding optimization problem is convex and can be solved very quickly. This paper also demonstrates a computational tool well- suited to solving Rational Inattention models and further illustrates a critique raised in Sims (2006) regarding Rational Inattention models whose solutions assume parametric formulations rather than solve for their optimally-derived, non-parametric counterparts. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MATHEMATICAL optimization KW - SIMULATION methods & models KW - MATHEMATICAL models KW - PARAMETER estimation KW - SIMS (Information retrieval system) KW - Information-Processing Constraints KW - Numerical Optimization KW - Rational Inattention N1 - Accession Number: 35912688; Kurt F. Lewis 1; Email Address: kurt.f.lewis@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: 2008, p1; Thesaurus Term: MATHEMATICAL optimization; Thesaurus Term: SIMULATION methods & models; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: PARAMETER estimation; Subject Term: SIMS (Information retrieval system); Author-Supplied Keyword: Information-Processing Constraints; Author-Supplied Keyword: Numerical Optimization; Author-Supplied Keyword: Rational Inattention; Number of Pages: 21p; Illustrations: 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35912688&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ammer, John AU - Holland, Sara B. AU - Smith, David C. AU - Warnock, Francis E. T1 - Why Do U.S. Cross-Listings Matter? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/05// M3 - Article SP - 1 EP - 33 AB - This paper investigates the underlying determinants of home bias using a comprehensive sample of U.S. investor holdings of foreign stocks. We document that U.S. cross-listings are economically important, as U.S. ownership in a foreign firm roughly doubles upon cross-listing in the United States. We explore the cross-sectional variation in this "cross-listing effect" and show that increases in U.S. investment are largest in firms from weak accounting backgrounds and in firms that are otherwise informationally opaque, indicating that U.S. investors value the improvements in disclosure associated with cross-listing. We confirm that relative equity valuations rise for cross-listed stocks, and provide evidence suggesting that valuation increases are due in part to increases in U.S. shareholder demand and in part to the fact that the equities become more attractive to non-U.S. shareholders. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKS (Finance) KW - STOCK transfer KW - DEBT-to-equity ratio KW - STOCKHOLDERS KW - CAPITALISTS & financiers KW - INVESTMENTS KW - VALUATION KW - BUSINESS enterprises KW - UNITED States KW - Corporate Governance KW - Financial Disclosure KW - Home Bias KW - Portfolio Choice N1 - Accession Number: 33004833; Ammer, John 1; Holland, Sara B. 2; Smith, David C. 3; Warnock, Francis E. 4; Affiliations: 1: Division of International Finance of the Board of Governors of the Federal Reserve System; 2: Haas School of Business, University of California at Berkeley; 3: McIntire School of Commerce, University of Virginia; 4: Darden Graduate School of Business Administration, University of Virginia; Issue Info: 2008, p1; Thesaurus Term: STOCKS (Finance); Thesaurus Term: STOCK transfer; Thesaurus Term: DEBT-to-equity ratio; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: INVESTMENTS; Thesaurus Term: VALUATION; Thesaurus Term: BUSINESS enterprises; Subject: UNITED States; Author-Supplied Keyword: Corporate Governance; Author-Supplied Keyword: Financial Disclosure; Author-Supplied Keyword: Home Bias; Author-Supplied Keyword: Portfolio Choice; NAICS/Industry Codes: 541990 All Other Professional, Scientific, and Technical Services; Number of Pages: 33p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=33004833&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Klee, Elizabeth T1 - How people pay: Evidence from grocery store data JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2008/04// VL - 55 IS - 3 M3 - Article SP - 526 EP - 541 SN - 03043932 AB - Empirical evidence based on grocery store transaction data shows that consumer payment behavior at the point of sale is important for understanding models of money demand. There are statistically significant effects of transaction costs, opportunity costs, and product characteristics on the choice of payment instrument, which then, in turn, affect money demand. These results emphasize the overlap between the work of empirical researchers in payment choice and theoretical modelers of monetary economics and should inform both literatures. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PAYMENT KW - GROCERY industry KW - DEMAND for money KW - OPPORTUNITY costs KW - CONSUMER behavior KW - TRANSACTION costs KW - MONEY supply KW - CONSUMER goods KW - LIQUIDITY (Economics) KW - QUANTITY theory of money KW - CAPITAL investments -- Mathematical models KW - MONETARY policy KW - MATHEMATICAL models KW - ECONOMIC aspects KW - Consumer behavior KW - Media of exchange KW - Monetary and payment economics N1 - Accession Number: 32053630; Klee, Elizabeth 1; Email Address: elizabeth.klee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 59, 20th and C Streets, Washington, DC 20551, USA; Issue Info: Apr2008, Vol. 55 Issue 3, p526; Thesaurus Term: PAYMENT; Thesaurus Term: GROCERY industry; Thesaurus Term: DEMAND for money; Thesaurus Term: OPPORTUNITY costs; Thesaurus Term: CONSUMER behavior; Thesaurus Term: TRANSACTION costs; Thesaurus Term: MONEY supply; Thesaurus Term: CONSUMER goods; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: QUANTITY theory of money; Thesaurus Term: CAPITAL investments -- Mathematical models; Thesaurus Term: MONETARY policy; Thesaurus Term: MATHEMATICAL models; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Consumer behavior; Author-Supplied Keyword: Media of exchange; Author-Supplied Keyword: Monetary and payment economics; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 445110 Supermarkets and Other Grocery (except Convenience) Stores; NAICS/Industry Codes: 424490 Other Grocery and Related Products Merchant Wholesalers; NAICS/Industry Codes: 424410 General Line Grocery Merchant Wholesalers; NAICS/Industry Codes: 413110 General-line food merchant wholesalers; Number of Pages: 16p; Document Type: Article L3 - 10.1016/j.jmoneco.2008.01.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32053630&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mills, David C. AU - Nesmith, Travis D. T1 - Risk and concentration in payment and securities settlement systems JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2008/04// VL - 55 IS - 3 M3 - Article SP - 542 EP - 553 SN - 03043932 AB - What drives the intraday patterns of settlement in payment and securities settlement systems? Using a model of the strategic interaction of participants in these systems to capture some stylized facts about the Federal Reserve's Fedwire funds and securities systems, this paper identifies three factors that influence a participant's decision on when to send transactions intraday: cost of intraday liquidity, extent of settlement risk, and system design. With these factors, the model can make predictions regarding the impact of policy on the concentration of transactions, amount of intraday overdrafts, central bank credit exposure, costs to system participants, and other risks. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PAYMENT systems KW - TRANSACTION costs KW - SYSTEMS design KW - CENTRAL banking industry KW - OVERDRAFT banking KW - COLLECTING of accounts KW - TRANSACTION cost theory of the firm KW - LIQUIDITY (Economics) KW - LINES of credit KW - FEDERAL Reserve monetary policy KW - ELECTRONIC funds transfers KW - ECONOMIC aspects KW - Bank behavior KW - Interbank payments KW - Securities settlement KW - Strategic games KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 32053631; Mills, David C.; Email Address: david.c.mills@frb.gov; Nesmith, Travis D. 1; Email Address: travis.d.nesmith@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, MS 188, Washington, DC 20551, USA; Issue Info: Apr2008, Vol. 55 Issue 3, p542; Thesaurus Term: PAYMENT systems; Thesaurus Term: TRANSACTION costs; Thesaurus Term: SYSTEMS design; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: OVERDRAFT banking; Thesaurus Term: COLLECTING of accounts; Thesaurus Term: TRANSACTION cost theory of the firm; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: LINES of credit; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: ELECTRONIC funds transfers; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Bank behavior; Author-Supplied Keyword: Interbank payments; Author-Supplied Keyword: Securities settlement; Author-Supplied Keyword: Strategic games ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 561440 Collection Agencies; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 12p; Document Type: Article L3 - 10.1016/j.jmoneco.2008.01.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=32053631&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lehnert, Andreas AU - Passmore, Wayne AU - Sherlund, Shane T1 - GSEs, Mortgage Rates, and Secondary Market Activities. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 2008/04// VL - 36 IS - 3 M3 - Article SP - 343 EP - 363 SN - 08955638 AB - Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) that securitize mortgages and issue mortgage-backed securities (MBS). In addition, the GSEs are active participants in the secondary mortgage market on behalf of their own investment portfolios. Because these portfolios have grown quite large, portfolio purchases (in addition to MBS issuance) are often thought to be an important force in the mortgage market. Using monthly data from 1993 to 2005 we estimate a VAR model of the relationship between GSE secondary market activities and mortgage interest rate spreads. We find that GSE portfolio purchases have no significant effects on either primary or secondary mortgage rate spreads. Further, we examine GSE activities and mortgage rate spreads in the wake of the 1998 debt crisis, and find that GSE portfolio purchases did little to affect mortgage rates. This empirical finding is robust to alternative identification assumptions and to alternative model and variable specifications. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT-sponsored enterprises KW - MORTGAGE rates KW - SECONDARY markets KW - MORTGAGE-backed securities KW - INVESTMENTS KW - SECURITIES markets KW - MORTGAGES KW - BUSINESS enterprises KW - FINANCIAL institutions KW - Financial stability KW - G18 KW - G21 KW - Government-sponsored enterprises KW - H81 KW - Mortgage finance N1 - Accession Number: 30105480; Lehnert, Andreas 1; Email Address: andreas.lehnert@frb.gov; Passmore, Wayne 1; Email Address: wayne.passmore@frb.gov; Sherlund, Shane 1; Email Address: shane.m.sherlund@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System , Washington USA; Issue Info: Apr2008, Vol. 36 Issue 3, p343; Thesaurus Term: GOVERNMENT-sponsored enterprises; Thesaurus Term: MORTGAGE rates; Thesaurus Term: SECONDARY markets; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: INVESTMENTS; Thesaurus Term: SECURITIES markets; Thesaurus Term: MORTGAGES; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: FINANCIAL institutions; Author-Supplied Keyword: Financial stability; Author-Supplied Keyword: G18; Author-Supplied Keyword: G21; Author-Supplied Keyword: Government-sponsored enterprises; Author-Supplied Keyword: H81; Author-Supplied Keyword: Mortgage finance; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 21p; Illustrations: 2 Charts, 5 Graphs; Document Type: Article L3 - 10.1007/s11146-007-9047-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=30105480&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - CORSETTI, GIANCARLO AU - DEDOLA, LUCA AU - LEDUC, SYLVAIN T1 - International Risk Sharing and the Transmission of Productivity Shocks. JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 2008/04// VL - 75 IS - 2 M3 - Article SP - 443 EP - 473 PB - Oxford University Press / USA SN - 00346527 AB - This paper shows that standard international business cycle models can be reconciled with the empirical evidence on the lack of consumption risk sharing. First, we show analytically that with incomplete asset markets productivity disturbances can have large uninsurable effects on wealth, depending on the value of the trade elasticity and shock persistence. Second, we investigate these findings quantitatively in a model calibrated to the U.S. economy. With the low trade elasticity estimated via a method of moments procedure, the consumption risk of productivity shocks is magnified by high terms of trade and real exchange rate (RER) volatility. Strong wealth effects in response to shocks raise the demand for domestic goods above supply, crowding out external demand and appreciating the terms of trade and the RER. Building upon the literature on incomplete markets, we then show that similar results are obtained when productivity shocks are nearly permanent, provided the trade elasticity is set equal to the high values consistent with micro-estimates. Under both approaches the model accounts for the low and negative correlation between the RER and relative (domestic to foreign) consumption in the data—the “Backus–Smith puzzle”. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL business enterprises KW - RISK sharing KW - BUSINESS cycles KW - CONSUMPTION (Economics) -- Mathematical models KW - FOREIGN exchange rates KW - VOLATILITY (Finance) KW - ECONOMICS in literature KW - HEDGING (Finance) KW - ECONOMIC models KW - ASSETS (Accounting) KW - MARKETS KW - ECONOMIC aspects KW - UNITED States N1 - Accession Number: 31147746; CORSETTI, GIANCARLO 1; DEDOLA, LUCA 2; LEDUC, SYLVAIN 3; Affiliations: 1: European University Institute and CEPR; 2: European Central Bank and CEPR; 3: Board of Governors of the Federal Reserve System; Issue Info: Apr2008, Vol. 75 Issue 2, p443; Thesaurus Term: INTERNATIONAL business enterprises; Thesaurus Term: RISK sharing; Thesaurus Term: BUSINESS cycles; Thesaurus Term: CONSUMPTION (Economics) -- Mathematical models; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMICS in literature; Thesaurus Term: HEDGING (Finance); Thesaurus Term: ECONOMIC models; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: MARKETS; Subject Term: ECONOMIC aspects; Subject: UNITED States; Number of Pages: 31p; Illustrations: 3 Charts, 2 Graphs; Document Type: Article L3 - 10.1111/j.1467-937X.2008.00475.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=31147746&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haltmaier, Jane T1 - Predicting Cycles in Economic Activity. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2008/04// M3 - Article SP - 1 EP - 49 AB - Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - ECONOMIC activity KW - ECONOMICS -- Research KW - ECONOMIC forecasting KW - ECONOMIC indicators KW - DISTRIBUTION (Probability theory) KW - ESTIMATION theory KW - ECONOMIC recovery KW - PREDICTION theory KW - business cycles KW - economic indicators KW - forecasting KW - turning points N1 - Accession Number: 31931994; Haltmaier, Jane 1; Email Address: Jane.T.Haltmaier@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: 2008, p1; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: DISTRIBUTION (Probability theory); Thesaurus Term: ESTIMATION theory; Thesaurus Term: ECONOMIC recovery; Subject Term: PREDICTION theory; Author-Supplied Keyword: business cycles; Author-Supplied Keyword: economic indicators; Author-Supplied Keyword: forecasting; Author-Supplied Keyword: turning points; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 49p; Illustrations: 46 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=31931994&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dokko, Jane K. T1 - Does the NEA Crowd Out Private Charitable Contributions to the Arts? JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/03// M3 - Article SP - 1 EP - 46 AB - In this paper, I extend a theoretical model of the crowding out hypothesis, whereby government contributions to a public good displace private giving, in order to illustrate how dollar-for-dollar crowding out is possible even when individuals regard their own contributions and government grants as imperfect substitutes. I estimate that private charitable contributions to arts organizations increased by 60 cents to a dollar due to a major funding cut to the National Endowment for the Arts (NEA) during the mid-1990s. These increases, however, also coincided with, on average, a 25 cent increase in fund-raising expenditures by arts organizations for every dollar decrease in government grants. The estimate of crowding out found in this paper is large, particularly for a study using a micro-data set. I argue that an appropriate interpretation of an estimate of a crowding out parameter, in general, depends crucially on the context. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CHARITABLE giving KW - SUPPORT services (Management) KW - PUBLIC spending KW - GRANTS in aid (Public finance) KW - FUNDRAISING KW - TAX exemption KW - HERMENEUTICS KW - NATIONAL Endowment for the Arts N1 - Accession Number: 35911257; Dokko, Jane K. 1; Email Address: jane.k.dokko@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2008, p1; Thesaurus Term: CHARITABLE giving; Thesaurus Term: SUPPORT services (Management); Thesaurus Term: PUBLIC spending; Thesaurus Term: GRANTS in aid (Public finance); Thesaurus Term: FUNDRAISING; Thesaurus Term: TAX exemption; Subject Term: HERMENEUTICS ; Company/Entity: NATIONAL Endowment for the Arts; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 813211 Grantmaking Foundations; NAICS/Industry Codes: 813210 Grant-making and giving services; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 561110 Office Administrative Services; NAICS/Industry Codes: 561210 Facilities Support Services; NAICS/Industry Codes: 561490 Other business support services; NAICS/Industry Codes: 561499 All Other Business Support Services; Number of Pages: 47p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35911257&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warusawitharana, Missaka T1 - Corporate asset purchases and sales: Theory and evidence JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2008/02// VL - 87 IS - 2 M3 - Article SP - 471 EP - 497 SN - 0304405X AB - Abstract: Purchases and sales of operating assets by firms generated $162 billion for shareholders over the past 20 years. This contrasts sharply with the evidence on mergers. This paper characterizes the behavior of value-maximizing firms, which could grow organically, purchase existing assets, or sell assets. The approach yields an endogenous selection model that links asset purchases and sales to fundamental properties of the firm. Empirical tests confirm the predictions of the model. In particular, return on assets and size strongly predict when firms purchase or sell assets, and the transaction size covaries with the value of capital employed by the firm. These findings indicate that corporate asset purchases and sales are consistent with efficient investment decisions. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSETS (Accounting) KW - OPERATING costs KW - STOCKHOLDERS KW - CONSOLIDATION & merger of corporations KW - EMPIRICAL research KW - CORPORATIONS -- Valuation KW - SAVING & investment KW - SALES KW - CAPITAL KW - ANALYSIS of covariance KW - TRANSACTION cost theory of the firm KW - ENDOGENOUS growth (Economics) KW - STOCKHOLDERS wealth KW - Acquisitions KW - Asset sales KW - Selection models KW - Tobin's Q N1 - Accession Number: 28609988; Warusawitharana, Missaka 1; Email Address: m1mnw00@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Feb2008, Vol. 87 Issue 2, p471; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: OPERATING costs; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: EMPIRICAL research; Thesaurus Term: CORPORATIONS -- Valuation; Thesaurus Term: SAVING & investment; Thesaurus Term: SALES; Thesaurus Term: CAPITAL; Thesaurus Term: ANALYSIS of covariance; Thesaurus Term: TRANSACTION cost theory of the firm; Thesaurus Term: ENDOGENOUS growth (Economics); Thesaurus Term: STOCKHOLDERS wealth; Author-Supplied Keyword: Acquisitions; Author-Supplied Keyword: Asset sales; Author-Supplied Keyword: Selection models; Author-Supplied Keyword: Tobin's Q; Number of Pages: 27p; Document Type: Article L3 - 10.1016/j.jfineco.2007.02.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28609988&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - CARPENTER, SETH AU - DEMIRALP, SELVA T1 - The Liquidity Effect in the Federal Funds Market: Evidence at the Monthly Frequency. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2008/02// VL - 40 IS - 1 M3 - Article SP - 1 EP - 24 PB - Wiley-Blackwell SN - 00222879 AB - In this paper, we argue that much of the research into the link between money and interest rates suffers from misspecification. The measure of money and the measure of interest rates are not always well matched. In examining the transmission of monetary policy, we show that using an appropriate measure of money, Federal Reserve balances, and the appropriate interest rate, the federal funds rate, a clear liquidity effect exists. Furthermore, we explain how a lack of a clear institutional understanding may have contributed to the finding of a “liquidity puzzle” in the past. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL funds market (U.S.) KW - LIQUIDITY (Economics) KW - INTEREST rates KW - MONETARY policy KW - UNITED States KW - E43 KW - E52 KW - E58 KW - federal funds market KW - liquidity effect KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 28651500; CARPENTER, SETH 1; DEMIRALP, SELVA 2; Affiliations: 1: * Seth Carpenter is Assistant Director, Division of Monetary Affairs, Board of Governors of the Federal Reserve System ( E-mail: ).; 2: † Selva Demiralp is Assistant Professor, Department of Economics, Koç University ( E-mail: ).; Issue Info: Feb2008, Vol. 40 Issue 1, p1; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: INTEREST rates; Thesaurus Term: MONETARY policy; Subject: UNITED States; Author-Supplied Keyword: E43; Author-Supplied Keyword: E52; Author-Supplied Keyword: E58; Author-Supplied Keyword: federal funds market; Author-Supplied Keyword: liquidity effect ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 24p; Illustrations: 2 Charts, 13 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2008.00102.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28651500&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Roush, Jennifer E. T1 - The "Growing Pains" of TIPS Issuance. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2008/02// M3 - Article SP - 1 EP - 19 AB - This paper provides updated calculations of the relative cost to the U.S. Treasury of previously issued TIPS by comparing the payment stream on each security to that of hypothetical nominal counterpart. While the costs of the program (so measured) are large, totaling $5 to $8 billion to date, I show that they owe largely to market illiquidity in the early years of the program. Indeed, absent these market growing pains, the program would have yielded a substantial net savings to the government as investors were willing to pay a premium to insure against inflation risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - CAPITALISTS & financiers KW - LIQUIDITY (Economics) KW - FINANCE KW - ECONOMIC policy KW - PAYMENT KW - MONEY supply KW - UNITED States KW - UNITED States. Dept. of the Treasury N1 - Accession Number: 35910931; Roush, Jennifer E. 1; Email Address: Jennifer.roush@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2008, p1; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: FINANCE; Thesaurus Term: ECONOMIC policy; Thesaurus Term: PAYMENT; Thesaurus Term: MONEY supply; Subject: UNITED States ; Company/Entity: UNITED States. Dept. of the Treasury; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35910931&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Klapper, Leora F. AU - Martinez Peria, Maria Soledad AU - Zaidi, Rida T1 - Bank ownership type and banking relationships JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2008/01// VL - 17 IS - 1 M3 - Article SP - 37 EP - 62 SN - 10429573 AB - Abstract: We formulate and test hypotheses about the role of bank ownership type—foreign, state-owned, and private domestic banks—in banking relationships. Our application uses data from India, an important developing nation. The empirical results are consistent with all of our hypotheses with regard to foreign banks. First, these banks tend to establish relationships with relatively transparent firms. Second, firms that have relationships with foreign banks are more likely to enter into multiple banking relationships and to maintain a larger number of such relationships. Finally, firms banking with foreign banks are more likely than others to diversify relationships across bank ownership types. The data are also consistent with the hypotheses that firms with relationships with state-owned banks are relatively unlikely to maintain multiple banking relationships, tend to interact with a smaller number of banks, and less often diversify across ownership types. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRIVATE banks KW - FOREIGN banking industry KW - INTERNATIONAL banking industry KW - INDIA KW - Banks KW - Government policies KW - International N1 - Accession Number: 27691987; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Klapper, Leora F. 3; Email Address: lklapper@worldbank.org; Martinez Peria, Maria Soledad 3; Email Address: mmartinezperia@worldbank.org; Zaidi, Rida 4; Email Address: rz213@hermes.cam.ac.uk; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Development Research Group, The World Bank, Washington, DC 20433, USA; 4: Wolfson College, University of Cambridge, Cambridge CB3 9BB, UK; Issue Info: Jan2008, Vol. 17 Issue 1, p37; Thesaurus Term: PRIVATE banks; Thesaurus Term: FOREIGN banking industry; Thesaurus Term: INTERNATIONAL banking industry; Subject: INDIA; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Government policies; Author-Supplied Keyword: International; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 26p; Document Type: Article L3 - 10.1016/j.jfi.2006.11.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27691987&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Arteta, Carlos AU - Hale, Galina T1 - Sovereign debt crises and credit to the private sector JO - Journal of International Economics JF - Journal of International Economics Y1 - 2008/01// VL - 74 IS - 1 M3 - Article SP - 53 EP - 69 SN - 00221996 AB - Abstract: We use micro-level data to analyze emerging markets'' private sector access to international debt markets during sovereign debt crises. We find that these crises are systematically accompanied by a decline in foreign credit to domestic private firms, both during debt renegotiations and for over two years after restructuring agreements are reached. This decline is large, statistically significant, and robust. We find that this effect is concentrated in the non-financial sector and is different for firms in the exporting and in the non-exporting sectors. We also find that the magnitude of the effect depends on the type of debt restructuring agreement. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEBT KW - FINANCE KW - LOANS KW - PRIVATE sector KW - Credit constraints KW - Credit rationing KW - Debt crisis KW - F32 KW - F34 KW - G32 KW - International capital flows KW - Sovereign debt N1 - Accession Number: 28113058; Arteta, Carlos 1; Hale, Galina 2; Email Address: galina.b.hale@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, Federal Reserve Board, MS 24, 20th and C Streets, NW, Washington, DC 20551, United States; 2: Federal Reserve Bank of San Francisco, 101 Market St., MS 1130, San Francisco, CA 94105, United States; Issue Info: Jan2008, Vol. 74 Issue 1, p53; Thesaurus Term: DEBT; Thesaurus Term: FINANCE; Thesaurus Term: LOANS; Thesaurus Term: PRIVATE sector; Author-Supplied Keyword: Credit constraints; Author-Supplied Keyword: Credit rationing; Author-Supplied Keyword: Debt crisis; Author-Supplied Keyword: F32; Author-Supplied Keyword: F34; Author-Supplied Keyword: G32; Author-Supplied Keyword: International capital flows; Author-Supplied Keyword: Sovereign debt; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jinteco.2007.05.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28113058&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Love, David A. AU - Smith, Paul A. AU - McNair, Lucy C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - A new look at the wealth adequacy of older U.S. households PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-20 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971197; Publication Type: Working Paper; Update Code: 200805 N2 - We construct two measures of the current wealth adequacy of older U.S. households using the 1998--2006 waves of the Health and Retirement Study (HRS). The first is the ratio of "comprehensive wealth"--defined as net worth plus the expected value of future income streams--to the wealth that would be needed to generate expected poverty-line income in future years. By this measure, we find that the median older U.S. household is reasonably well situated, with a "poverty ratio" of about 3.9 in 2006. However, we find that about 18 percent of households have less wealth than would be needed to generate 150 percent of poverty-line income over their expected future lifetimes. Our second measure is the ratio of the annuitized value of comprehensive resources to pre-retirement earnings. This measure identifies a median "replacement rate" of about 105 percent, with about 13 percent of households experiencing replacement rates of less than 50 percent. Comparing the leading edge of the baby boomers in 2006 to households of the same age in 1998, we find that the baby boomers show slightly less wealth, in real terms, than their elders did, and single boomers show a bit higher incidence of "inadequacy" than did their elders. Nonetheless, the median single boomer appears to have adequate resources. Moreover, we find a rising age profile of annualized wealth, even within households over time and after controlling for other factors, suggesting that older households are not spending their wealth as quickly as their survival probabilities are falling. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971197&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eitelman, Paul AU - Vitanza, Justin AD - Unlisted AD - Unlisted T1 - A non-random walk revisited: short- and long-term memory in asset prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 956 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006379; Publication Type: Working Paper; Update Code: 200812 N2 - In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies. Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets. We also make a methodological contribution. Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe. Tests that reject the null hypothesis tend to do so across any reasonable choice in lag. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006379&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mandoza, Enrique G. AU - Yue, Vivian Z. AD - Unlisted AD - Unlisted T1 - A solution to the default risk-business cycle disconnect PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 924 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971202; Publication Type: Working Paper; Update Code: 200805 N2 - Models of business cycles in emerging economies explain the negative correlation between country spreads and output by modeling default risk as an exogenous interest rate on working capital. Models of strategic default explain the cyclical properties of sovereign spreads by assuming an exogenous output cost of default with special features, and they underestimate debt-output ratios by a wide margin. This paper proposes a solution to this default risk-business cycle disconnect based on a model of sovereign default with endogenous output dynamics. The model replicates observed V-shaped output dynamics around default episodes, countercyclical sovereign spreads, and high debt ratios, and it also matches the variability of consumption and the countercyclical fluctuations of net exports. Three features of the model are key for these results: (1) working capital loans pay for imported inputs; (2) imported inputs support more efficient factor allocations than when these inputs are produced internally; and (3) default on the foreign obligations of firms and the government occurs simultaneously. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971202&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AD - Unlisted T1 - Alternatives for distressed banks and the panics of the Great Depression PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-07 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959389; Publication Type: Working Paper; Update Code: 200803 N2 - Several studies have explored whether the banking panics of the Great Depression caused some institutions to fail that might otherwise have survived. This paper adopts a different approach and investigates whether the panics resulted in the failure and liquidation of banks that might otherwise have been able to pursue a less disruptive resolution strategies such as merging with another institution or suspending operations and recapitalizing. Using data on individual state-chartered banks, I find that many of the banks that failed during the panics appear to have been at least as financially sound as banks that were able to use alternative resolution strategies. This result supports the idea that the disruptions caused by the banking panics may have exacerbated the economic downturn. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959389&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AU - Terrones, Marco E. AD - Unlisted AD - Unlisted T1 - An anatomy of credit booms: evidence from macro aggregates and micro data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 936 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988932; Publication Type: Working Paper; Update Code: 200809 N2 - This paper proposes a methodology for measuring credit booms and uses it to identify credit booms in emerging and industrial economies over the past four decades. In addition, we use event study methods to identify the key empirical regularities of credit booms in macroeconomic aggregates and micro-level data. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations, widening external deficits and managed exchange rates. Micro data show a strong association between credit booms and firm-level measures of leverage, firm values, and external financing, and bank-level indicators of banking fragility. Credit booms in industrial and emerging economies show three major differences: (1) credit booms and the macro and micro fluctuations associated with them are larger in emerging economies, particularly in the nontradables sector; (2) not all credit booms end in financial crises, but most emerging markets crises were associated with credit booms; and (3) credit booms in emerging economies are often preceded by large capital inflows but not by financial reforms or productivity gains. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988932&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith J. AU - Johannsen, Benjamin K. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are long-run inflation expectations anchored more firmly in the Euro area than in the United States? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-23 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978150; Publication Type: Working Paper; Update Code: 200807 N2 - This paper compares the recent evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters. Survey data indicate that long-run inflation expectations are reasonably well-anchored in both economies, but also reveal substantially greater dispersion across forecasters' long-horizon projections of U.S. inflation. Daily data on inflation swaps and nominal-indexed bond spreads--which gauge compensation for expected inflation and inflation risk--also suggest that long-run inflation expectations are more firmly anchored in the euro area than in the United States. In particular, surprises in macroeconomic data releases have significant effects on U.S. forward inflation compensation, even at long horizons, whereas macroeconomic news only influences euro area inflation compensation at short horizons. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978150&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AD - Unlisted T1 - Assessing the potential for further foreign demand for U.S. assets: has financing U.S. current account deficits made foreign investors overweight in U.S. securities? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 950 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006372; Publication Type: Working Paper; Update Code: 200812 N2 - Since 2001, foreign investors have acquired roughly $5 trillion in U.S. securities--more than doubling their holdings of U.S. equities and bonds--as both official and private inflows have financed record U.S. current account deficits. Although the rapid growth of foreign holdings of U.S. securities raises concerns that foreign investors may have become too heavily weighted in U.S. assets, foreign investors have not in fact materially changed the relative allocations between U.S. and other foreign securities in their portfolios in recent years. Based on data from the most recent comprehensive surveys of foreign portfolio investment, the 2006 IMF Coordinated Portfolio Investment Surveys (CPIS), most foreign investors remain relatively more underweight in both U.S. equities and bonds than they do in foreign securities in general. Although the underweight position suggests that there remains potential for foreign investors to continue to acquire U.S. securities, econometric evidence indicates that the underweight position itself reflects a preference by foreign investors for securities of countries with which they have strong economic or cultural ties, consistent with recent research that suggests "location" or "information" preferences in both domestic and international portfolios. As securities markets abroad continue to deepen, such factors are likely to continue to attract investment from "nearby" markets, especially from European investors. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006372&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AD - Unlisted T1 - Bank integration and financial constraints: evidence from U.S. firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 925 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971203; Publication Type: Working Paper; Update Code: 200805 N2 - This paper uses data on publicly-traded firms in the U.S. to analyze the effect of interstate bank integration on the financial constraints borrowers face. A firm-level investment equation is estimated in order to test if bank integration reduces the sensitivity of capital expenditures to the level of internal funds. The staggered deregulation of cross-state bank acquisitions that took place in the U.S. between 1978 and 1994 helps estimate the model. Integration decreases financing constraints for bank-dependent firms. The change in firms' access to external finance is explained by an increase in the share of locally headquartered geographically diversified banks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971203&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Kennickell, Arthur B. AU - Moore, Kevin B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Banking market definition: evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-35 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988924; Publication Type: Working Paper; Update Code: 200809 N2 - This paper uses data from the triennial waves of the Survey of Consumer Finances from 1992 to 2004 to examine changes in the use of financial services with implications for the definition of banking markets. Despite powerful technological and regulatory shifts over this period, households' banking markets overall remained largely local--the median distance to a provider of financial services remained under four miles. However, there has been rapid growth in the use of non-depository financial institutions over the period, particularly non-local ones. This increase occurred across a wide variety of demographic and other household classifications. The evidence on the clustering of financial services is mixed. Households showed a slightly greater tendency to buy multiple banking services from their primary provider of such services in 2004 than in 1992, while they also became much more likely to procure services from firms that were not their primary provider. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988924&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AU - Smith, Paul A. AD - Unlisted AD - Unlisted T1 - Borrowing from yourself: 401(k) loans and household balance sheets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-42 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006344; Keywords: 401(k) plans; Consumption (Economics); Publication Type: Working Paper; Update Code: 200812 N2 - We examine 401(k) borrowing since 1992 and identify a puzzle: despite potential gains from borrowing against 401(k) assets instead of from other sources, most eligible households eschew 401(k) loans, including many who carry relatively expensive balances on credit cards and auto loans. We estimate that households with access to 401(k) loans could have saved about $3.3 billion in 2004--about $200 per household--by shifting debt to 401(k) loans. We find that liquidity constrained households are most likely to borrow against their accounts; however, the fastest growth has been among higher income, less liquidity constrained households. From 1992 to 2004, we do not find significantly different growth in wealth between households eligible for loans and those ineligible for loans. The recent tightening of terms and standards in mortgage and consumer lending has likely increased 401(k) borrowing, which could improve household balance sheets, if handled correctly. However, the improvement could be short-lived if the economic downturn leads to reduced contributions or significantly higher 401(k) loan defaults. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006344&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Don AD - Unlisted T1 - Challenges in macro-finance modeling PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-06 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959388; Publication Type: Working Paper; Update Code: 200803 N2 - This paper discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro-finance models into pure latent-factor models ("internal basis models") and models which have observed macroeconomic variables as state variables ("external basis models"), and examine the underlying assumptions behind these models. Particular attention is paid to the issue of unspanned short-run fluctuations in macro variables and their potentially adverse effect on the specification of external basis models. I also discuss the challenge of addressing features like structural breaks and time-varying inflation uncertainty. Empirical difficulties in the estimation and evaluation of macro-finance models are also discussed in detail. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959388&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Competitive search equilibrium in a DSGE model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 929 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971207; Publication Type: Working Paper; Update Code: 200805 N2 - We show how to implement a competitive search equilibrium in a fully-specified DSGE environment. Competitive search, an equilibrium concept well-understood in labor market theory, offers an alternative to the commonly-used Nash bargaining in search-based macro models. Our simulation-based results show that business cycle fluctuations under competitive search equilibrium are virtually identical to those under Nash bargaining for a broad range of calibrations of Nash bargaining power. We also prove that business cycle fluctuations under competitive search equilibrium are exactly identical to those under Nash bargaining restricted to the popularly-used Hosios condition for search efficiency. This latter result extends the efficiency properties of competitive search equilibrium to a DSGE environment. Our results thus provide a foundation for researchers interested in studying business cycle fluctuations using search-based environments to claim that the sometimes-awkward assumption of bargaining per se does not obscure interpretation of results. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971207&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Constructive data mining: modeling argentine broad money demand PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 943 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006364; Keywords: Money supply; Demand for money; Publication Type: Working Paper; Update Code: 200812 N2 - This paper assesses the empirical merits of PcGets and Autometrics--two recent algorithms for computer-automated model selection--using them to improve upon Kamin and Ericsson's (1993) model of Argentine broad money demand. The selected model is an economically sensible and statistically satisfactory error correction model, in which cointegration between money, inflation, the interest rate, and exchange rate depreciation depends on the inclusion of a "ratchet" variable that captures irreversible effects of inflation. Short-run dynamics differ markedly from the long run. Algorithmically based model selection complements opportunities for the researcher to contribute value added in the empirical analysis. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006364&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - Consumer switching costs and firm pricing: evidence from bank pricing of deposit accounts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-32 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988921; Publication Type: Working Paper; Update Code: 200809 N2 - This paper employs extensive information on bank deposit rates and county migration patterns to test for pricing relationships implied by the existence of switching costs. While these relationships are derived formally, the intuition for them can be readily stated. Because some areas experience more in-migration than others, banks, in addressing the trade-off between attracting new customers and exploiting old ones, offer higher deposit rates in areas (and at times) experiencing more in-migration. Further, because out-migration implies that on average a locked-in customer will not be with the bank as many periods, greater out-migration should change the bank's assessment of this trade-off such that the bank will offer lower deposit rates in areas (and during periods) exhibiting greater out-migration, all else equal. Also, because this effect of out-migration logically depends on the existence and extent of in-migration, an interaction effect is implied. Evidence strongly supporting these implied relationships is reported. Other tests of the implications of switching costs in the banking industry are also conducted. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988921&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose M. AU - Purnanandam, Amiyatosh AU - Rajan, Uday AD - Unlisted AD - Unlisted AD - Unlisted T1 - Corporate hedging, investment and value PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-16 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971193; Publication Type: Working Paper; Update Code: 200805 N2 - We consider the effect of hedging with foreign currency derivatives on Brazilian firms in the period 1997 through 2004, a period that includes the Brazilian currency crisis of 1999. We find that, derivative users have valuations that are 6.7-7.8% higher than non-user firms. Hedging with currency derivatives allows firms to sustain larger capital investments, and also removes the sensitivity of investment to internally generated funds. Thus, it mitigates the underinvestment friction of Froot, Scharfstein, and Stein (1993), at a time when capital in the economy as a whole is scarce. We further show that hedging increases the foreign currency debt capacity of a firm, and that foreign debt is a cheaper source of capital than domestic debt during our period of study. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971193&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Correa, Ricardo AD - Unlisted T1 - Cross-border bank acquisitions: Is there a performance effect? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 922 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971200; Publication Type: Working Paper; Update Code: 200805 N2 - This paper uses a unique database that includes deal and bank balance sheet information for 220 cross-border acquisitions between 1994 and 2003 to analyze the characteristics and performance effects of international takeovers on target banks. A discrete choice estimation shows that banks are more likely to get acquired in a cross-border deal if they are large, bad performers, in a small country, and when the banking sector is concentrated. Post-acquisition performance for target banks does not improve in the first two years relative to domestically-owned financial institutions. This result is explained by a decrease in the banks' net interest margin in developed countries and an increase in overhead costs in emerging economies. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971200&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Dvorak, Tomas AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cross-border returns differentials PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 921 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971198; Keywords: Investments; Balance of payments; Publication Type: Working Paper; Update Code: 200805 N2 - Were the U.S. to persistently earn substantially more on its foreign investments ("U.S. claims") than foreigners earn on their U.S. investments ("U.S. liabilities"), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, using a monthly dataset on the foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential for portfolio securities is near zero, far smaller than previously reported. Examining all U.S. claims and liabilities (portfolio securities as well as direct investment and banking), we find that previous estimates of large differentials are biased upward. The bias owes to computing implied returns from an internally inconsistent dataset of revised data; original data produce a much smaller differential. We also attempt to reconcile our finding of a near zero returns differential with observed patterns of cumulated current account deficits, the net international investment position, and the net income balance. Overall, we find no evidence that the U.S. can count on earning substantially more on its claims than it pays on its liabilities. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971198&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Thomas, Charles P. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Current account sustainability and relative reliability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 947 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006367; Keywords: International finance; International trade; Publication Type: Working Paper; Update Code: 200812 N2 - The sustainability of the large and persistent U.S. current account deficits is one of the biggest issues currently being confronted by international macroeconomists. Some very plausible theories suggest that the substantial global imbalances can continue in a benign manner, other equally plausible theories predict a disorderly resolution, and in general it is very difficult to discern between competing theories. To inform the debates, we view competing theories through the perspective of the relative reliability of the data the theories rely on. Our analysis of the dark matter theory is cursory; from a relative reliability perspective, it fails as it is built on the assumption that an item that is largely unmeasured is the most accurate component of the entire set of international accounts. Similarly, the best data currently available suggest that U.S. returns differentials are much smaller than implied by the exorbitant privilege theory. Our analysis opens up questions about potential inconsistencies in the international accounts, which we address by providing rough estimates of various holes in the accounts. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006367&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark A. AU - King, Thomas B. AU - Lewis, Kurt F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Distress in the financial sector and economic activity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-43 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006346; Keywords: Financial markets; Financial institutions; Publication Type: Working Paper; Update Code: 200812 N2 - This paper explores the relationship between the health of the financial sector and the rest of the economy. We develop an index of financial sector health using a distance-to-default measure based on a Merton-style option pricing model. Our index spans over three decades and appears to capture periods when financial sector institutions were strong and when they were weak. We then use vector autoregressions to assess whether our index of financial-sector health affects the real economy, in particular non-residential investment. The results indicate that our index has a considerable impact. Moreover, we find that this financial channel amplifies changes in investment resulting from shocks to non-financial firm profitability. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006346&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Korniotis, George M. AU - Kumar, Alok AD - Unlisted AD - Unlisted T1 - Do behavioral biases adversely affect the macro-economy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-49 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006352; Publication Type: Working Paper; Update Code: 200812 N2 - This study investigates whether the adverse effects of investors' behavioral biases extend beyond the domain of financial markets to the broad macro-economy. We focus on the risk sharing (or income smoothing) role of financial markets and demonstrate that risk sharing levels are higher in U.S. states in which investors have higher cognitive abilities and exhibit weaker behavioral biases. Further, states with better risk sharing opportunities achieve higher levels of risk sharing if investors in those states exhibit greater financial sophistication. Among the various determinants of risk sharing, behavioral factors have the strongest effects. The average level of risk sharing in states with unsophisticated investors (= 0.121) is less than half of the average risk sharing level in states with financially sophisticated investors (= 0.308). Collectively, our evidence indicates that the high risk sharing potential of financial markets is not fully realized because the aggregate behavioral biases of individual investors impede state-level risk sharing. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006352&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Do differences in financial development explain the global pattern of current account imbalances? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 923 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971201; Publication Type: Working Paper; Update Code: 200805 N2 - This paper addresses the popular view that differences in financial development explain the pattern of global current account imbalances. One strain of thinking explains the net flow of capital from developing to industrial economies on the basis of the industrial economies' more advanced financial systems and correspondingly more attractive assets. A related view addresses why the United States has attracted the lion's share of capital flows from developing to industrial economies; it stresses the exceptional depth, breadth, and safety of U.S. financial markets.; In this paper we empirically test these hypotheses. Building on Chinn and Prasad (2003) and Gruber and Kamin (2007), we assess econometrically whether different measures of financial development explain the net flow of capital from developing to industrial economies, as well as the concentration of those flows toward the United States. We also assess whether differences in asset returns, an alternative measure of the attractiveness of financial assets, can explain the international pattern of capital flows.; We find little evidence that differences in financial development help to explain the global pattern of current account imbalances. The measures of financial development generally do not explain either the net flow of capital from developing to industrial economies or, more specifically, the large U.S. current account deficits. Lower bond yields have been generally associated with lower current account balances (e.g., larger deficits) in industrial countries. However, U.S. bond yields have not been significantly lower than in other industrial economies, nor have expected equity earnings yields. This suggests, contrary to conventional wisdom, that U.S. financial assets have not been demonstrably more attractive than those of other industrial economies, and hence cannot explain the large U.S. deficit.; Finally, we consider the alternative but related hypothesis that spending in the United States was uniquely responsive to the lower cost of credit stemming from capital inflows from developing countries, thus accounting for the outsized U.S. deficit. However, we found this hypothesis also to be weak, as household saving rates have declined throughout the industrial economies, not just in the United States. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971201&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kilian, Lutz AU - Vega, Clara AD - Unlisted AD - Unlisted T1 - Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 957 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006375; Publication Type: Working Paper; Update Code: 200812 N2 - Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since exactly identifying assumptions are inherently untestable, this approach in practice has required an act of faith in the empirical plausibility of the delay restriction used for identification. An alternative view that would invalidate such models is that energy prices respond instantaneously to macroeconomic news, implying that energy prices should be ordered last in recursively identified VAR models. In this paper, we propose a formal test of the identifying assumption that energy prices are predetermined with respect to U.S. macroeconomic aggregates. Our test is based on regressing cumulative changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and supporting the use of delay restrictions for identification. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006375&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Vega, Clara AU - Wongswan, Jon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do fundamentals explain the internationaliImpact of U.S. interest rates? evidence at the firm level PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 952 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006373; Publication Type: Working Paper; Update Code: 200812 N2 - This paper analyzes the impact of U.S. monetary policy announcement surprises on U.S. and foreign firm-level equity prices. We find that U.S. monetary policy has important influences on foreign equity prices on average, but with considerable variation across firms. We have found that this differing response reflects a range of factors, including the extent of a foreign firm's exposure to U.S. demand, its dependence on external financing, the behavior of interest rates in its home country, and its sensitivity to portfolio adjustment by U.S. investors. The cross-firm variation in the response is correlated with the firm's CAPM beta; but it cannot fully explain this variation. More generally, we see these results as shedding some additional light on the nature and extent of the monetary and financial linkages between the United States and the rest of the world. In particular, since we are able to explain differences across foreign firms' responses through established theories of monetary transmission, our results are consistent with the surprisingly large average foreign response to U.S. rates reflecting fundamentals, rather than an across-the-board behavioral over-reaction. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006373&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rice, Tara AU - Strahan, Philip E. AD - Unlisted AD - Unlisted T1 - Does credit supply affect small-firm finance? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-54 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006357; Publication Type: Working Paper; Update Code: 200812 N2 - States were granted authority to limit interstate branching following passage of Federal legislation in 1994, relaxing restrictions on geographical expansion by banks. We show that differences in state's branching restrictions affect credit supply. In states more open to branching, small firms borrow at interest rates 25 to 45 basis points lower than firms operating in less open states. Firms in open states also are more likely to borrow from banks. Despite this evidence that interstate branch openness expands credit supply, we find no effect of variation in state restrictions on branching on small-firm borrowing or other indicators of credit constraints. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006357&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brevoort, Kenneth P. AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - Does distance matter in banking? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-34 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988923; Publication Type: Working Paper; Update Code: 200809 N2 - Deregulation and technological change have reduced the transactions costs that led to the dominance of local financial service suppliers, leading some to question if distance still matters in banking. This debate has been particularly acute in small business banking, where transactions costs are believed to be particularly high. This paper provides a detailed review of the literature on distance in banking markets, highlighting the reasons why geographic proximity is believed to be important and examining the changes that may have affected its importance. Relying on new data from the 2003 Survey of Small Business Finances, we examine how distances between small firms and their financial service suppliers changed over the 1993-2003 decade. Our analysis reveals that distances increased, though the extent varied substantially across financial services and supplier types. Generally, increases were observed in the early half of the decade, while distances declined in the following five years. There was also a trend towards less in person interaction between small firms and their suppliers of financial services. Nevertheless, most relationships remained local, with a median distance of 5 miles in 2003. The results suggest that distance, while perhaps not as tyrannical as in the past, remains an important factor in banking. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988923&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dokko, Jane K. AD - Unlisted T1 - Does the NEA crowd out private charitable contributions to the arts? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-10 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971187; Publication Type: Working Paper; Update Code: 200805 N2 - In this paper, I extend a theoretical model of the crowding out hypothesis, whereby government contributions to a public good displace private giving, in order to illustrate how dollar-for-dollar crowding out is possible even when individuals regard their own contributions and government grants as imperfect substitutes. I estimate that private charitable contributions to arts organizations increased by 60 cents to a dollar due to a major funding cut to the National Endowment for the Arts (NEA) during the mid-1990s. These increases, however, also coincided with, on average, a 25 cent increase in fund-raising expenditures by arts organizations for every dollar decrease in government grants. The estimate of crowding out found in this paper is large, particularly for a study using a micro-data set. I argue that an appropriate interpretation of an estimate of a crowding out parameter, in general, depends crucially on the context. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971187&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-40 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006343; Publication Type: Working Paper; Update Code: 200812 N2 - We estimate the nondefault component of corporate bond yield spreads and examine its relationship with bond liquidity. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of credit default swaps spreads. With swap rate as the risk free rate, the estimated nondefault component is generally moderate but statistically significant for AA-, A-, and BBB-rated bonds and increasing in this order. With Treasury rate as the risk free rate, the estimated nondefault component is the largest in basis points for BBB-rated bonds but, as a fraction of yield spreads, it is the largest for AAA-rated bonds. We find a positive and significant relationship between the nondefault component and illiquidity for investment-grade bonds but no significant relationship for speculative-grade bonds. In addition, the nondefault component comoves with macroeconomic conditions--negatively with the Treasury term structure and positively with the stock market implied volatility. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006343&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Boz, Emine AU - Daude, Christian AU - Durdu, Ceyhun Bora AD - Unlisted AD - Unlisted AD - Unlisted T1 - Emerging market business cycles revisited: learning about the trend PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 927 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971205; Publication Type: Working Paper; Update Code: 200805 N2 - The data reveal that emerging markets do not differ from developed countries with regards to the variance of permanent TFP shocks relative to transitory. They do differ, however, in the degree of uncertainty agents face when formulating expectations. Based on these observations, we build an equilibrium business cycle model in which the agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks. When formulating expectations, they assign some probability to TFP shocks being permanent even when they are purely transitory. This is sufficient for the model to produce "permanent-like" effects in response to transitory shocks. The imperfect information model calibrated to Mexico predicts a higher variability of consumption relative to output and a strongly negative correlation between the trade balance and output, without the predominance of trend shocks. The same model assuming perfect information and calibrated to Canada accounts for developed country business cycle regularities. The estimated relative variance of trend shocks in these two models is similar. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971205&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durdu, Ceyhun Bora AU - Sayan, Serdar AD - Unlisted AD - Unlisted T1 - Emerging market business cycles with remittance fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 946 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006371; Keywords: Business cycles; Publication Type: Working Paper; Update Code: 200812 N2 - This paper analyzes the implications of remittance fluctuations for various macroeconomic variables and Sudden Stops. The paper employs a quantitative two-sector model of a small open economy with financial frictions calibrated to Mexican and Turkish economies, two major recipients, whose remittance receipts feature opposite cyclical characteristics. We find that remittances dampen the business cycles in Mexico, whereas they amplify the cycles in Turkey. Their quantitative effects in the long run, approximated by the stochastic steady state are mild. In the short run, however, remittances have quantitatively large impacts on the economy, when the economy is borrowing constrained. This is because agents in the economy cannot adjust their precautionary wealth to sudden tightening in credit, hence, fluctuations in remittances get magnified through an endogenous debt-deflation mechanism. Our findings suggest that procyclical (or countercyclical) remittances can play a significant deepening (or mitigating) role for Sudden Stops. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006371&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernandes, Nuno AU - Lel, Ugur AU - Miller, Darius P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Escape from new york: the market impact of SEC Rule 12h-6 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 945 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006370; Keywords: International finance; Publication Type: Working Paper; Update Code: 200812 N2 - We examine the stock market impact of SEC Rule 12h-6 which eased the ability of foreign firms to deregister with the SEC and as a result terminate their U.S. disclosure obligations under the 1934 Securities Exchange Act. We document that the market reacted negatively to the ability of firms from weak disclosure and governance countries to more easily opt out of the stringent U.S. reporting and legal environment. Our findings suggest that shareholders of non-U.S firms place significant value on U.S. securities regulations, especially when the home country investor protections are weak. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006370&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Estimating the common trend rate of inflation for consumer prices and consumer prices excluding food and energy prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-38 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988927; Publication Type: Working Paper; Update Code: 200809 N2 - I examine the common trend in inflation for consumer prices and consumer prices excluding prices of food and energy. Both the personal consumption expenditure (PCE) indexes and the consumer price indexes (CPI) are examined. The statistical model employed is a bivariate integrated moving average process; this model extends a univariate model that fits the data on inflation very well. The bivariate model forecasts as well as the univariate models. The results suggest that the relationship between overall consumer prices, consumer prices excluding the prices of food and energy, and the common trend has changed significantly over time. In the 1970s and early 1980s, movements in overall prices and prices excluding food and energy prices both contained information about the trend; in recent data, the trend is best gauged by focusing solely on prices excluding food and energy prices. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988927&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Draper, David AD - Unlisted AD - Unlisted T1 - Estimating the parameters of a small open economy DSGE model: identifiability and inferential validity PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 955 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006378; Publication Type: Working Paper; Update Code: 200812 N2 - This paper estimates the parameters of a stylized dynamic stochastic general equilibrium model using maximum likelihood and Bayesian methods, paying special attention to the issue of weak parameter identification. Given the model and the available data, the posterior estimates of the weakly identified parameters are very sensitive to the choice of priors. We provide a set of tools to diagnose weak identification, which include surface plots of the log-likelihood as a function of two parameters, heat plots of the log-likelihood as a function of three parameters, Monte Carlo simulations using artificial data, and Bayesian estimation using three sets of priors. We find that the policy coefficients and the parameter governing the elasticity of labor supply are weakly identified by the data, and posterior predictive distributions remind us that DSGE models may make poor forecasts even when they fit the data well. Although parameter identification is model- and data-specific, the lack of identification of some key structural parameters in a small-scale DSGE model such as the one we examine should raise a red flag to researchers trying to estimate--and draw valid inferences from--large-scale models featuring many more parameters. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006378&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Exchange rates and fundamentals: a generalization PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 948 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006368; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200812 N2 - Exchange rates have raised the ire of economists for more than 20 years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out of sample forecasts. Engel and West (2005) show that these failures can be explained by the standard-present value model (PVM) because it predicts random walk exchange rate dynamics if the discount factor approaches one and fundamentals have a unit root. This paper generalizes the Engel and West (EW) hypothesis to the larger class of open economy dynamic stochastic general equilibrium (DSGE) models. The EW hypothesis is shown to hold for a canonical open economy DSGE model. We show that all the predictions of the standard-PVM carry over to the DSGE-PVM. The DSGE-PVM also yields an unobserved components (UC) models that we estimate using Bayesian methods and a quarterly Canadian-U.S. sample. Bayesian model evaluation reveals that the data support a UC model that calibrates the discount factor to one implying the Canadian dollar-U.S. dollar exchange rate is a random walk dominated by permanent cross-country monetary and productivity shocks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006368&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berrospide, Jose AD - Unlisted T1 - Exchange rates, optimal debt composition, and hedging in small open economies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-18 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971195; Publication Type: Working Paper; Update Code: 200805 N2 - This paper develops a model of the firm's choice between debt denominated in local currency and that denominated in foreign currency in a small open economy characterized by exchange rate risk and hedging possibilities. The model shows that the currency composition of debt and the level of hedging are endogenously determined as optimal firms' responses to a tradeoff between the lower cost of borrowing in foreign debt and the higher risk of such borrowing due to exchange rate uncertainty. Both the composition of debt and the level of hedging depend on common factors such as foreign exchange rate risk and the probability of financial default, interest rates, the size of firms' net worth, and the costs of managing exchange rate risk. Results of the model are broadly consistent with the lending and hedging behavior of the corporate sector in small open economies that recently experienced currency crises. In particular, unlike the predictions of previous work in the literature on currency crises, the model can explain why the collapse of the fixed exchange rate regime in Brazil, in early 1999, caused no major change in the currency composition of debt of the corporate sector. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971195&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amromin, Gene AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-17 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971194; Publication Type: Working Paper; Update Code: 200805 N2 - Data obtained from special questions on the Michigan Survey of Consumer Attitudes over several years are used to analyze stock market beliefs and portfolio choices of household investors. Consistent with other survey results, expected future returns appear to be extrapolated from past realized returns. The data also indicate that expected risk and return are strongly influenced by economic prospects. When investors believe macroeconomic conditions are more expansionary, they tend to expect both higher returns and lower volatility, which implies that household Sharpe ratios are procyclical. Separately, perceived risk in equity returns is found to be strongly influenced by household investor characteristics, consistent with documented behavioral biases. These expectations reported by respondents are given credence by the finding that the proportion of equity holdings in respondent portfolios tends to be higher for those who report higher expected returns and lower uncertainty. Finally, the finding of procyclical expected returns holds up when we instead condition on conventional business cycle proxies such as the dividend yield and CAY, which yields a stark contrast with the inferences from studies based on actual returns. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971194&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Expected consumption growth from cross-country surveys: implications for assessing international capital markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 949 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006369; Keywords: Capital market; Econometric models; International finance; Publication Type: Working Paper; Update Code: 200812 N2 - Survey data show that the expected growth rates of consumption across countries vary widely and are not highly correlated. This data contradicts the simplest of open-economy models in which there is a freely traded non-state-contingent bond and purchasing power parity holds. We explore two alternative explanations for the finding: that households in each country in effect face different ex ante real interest rates or that there are significant credit constraints, so that expected consumption growth rates are driven largely by expected income growth. The empirical evidence strongly supports the latter hypothesis. These findings challenge the modeling of consumption that is at the heart of many, if not most, macroeconomic models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006369&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pinto, Eugenio AD - Unlisted T1 - Firm dynamics with infrequent adjustment and learning PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-14 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971192; Publication Type: Working Paper; Update Code: 200805 N2 - We propose an explanation for the rapid post-entry growth of surviving firms found in recent studies. At the core of our theory is the interaction between adjustment costs and learning by entering firms about their efficiency. We show that linear adjustment costs, i.e., proportional costs, create incentives for firms to enter smaller and for successful firms to grow faster after entry. Initial uncertainty about profitability makes entering firms prudent since they want to avoid incurring superfluous costs on jobs that prove to be excessive ex post. Because higher adjustment costs imply less pruning of inefficient firms and faster growth of surviving firms, the contribution of survivors to growth in a cohort's average size increases. For the cohort of 1988 entrants in the Portuguese economy, we conclude that survivors' growth is the main factor behind growth in the cohort's average size. However, initial selection is higher and the survivors' contribution to growth is smaller in services than in manufacturing. An estimation of the model shows that the proportional adjustment cost is the key parameter to account for the high empirical survivors' contribution. In addition, firms in manufacturing learn relatively less initially about their efficiency and are subject to larger adjustment costs than firms in services. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971192&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Daniel, Betty C. AU - Shiamptanis, Christos AD - Unlisted AD - Unlisted T1 - Fiscal policy in the European Monetary Union PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 961 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014204; Publication Type: Working Paper; Update Code: 200902 N2 - A country entering the EMU surrenders its monetary policy, and its debt becomes denominated in terms of a currency over which it has no direct control. A country's promise to uphold the fiscal limits in the Maastricht Treaty and the Stability and Growth Pact is implicitly a promise not to allow its fiscal stance to deteriorate to a position in which it places pressure on the central bank to forgo its price level target to finance fiscal deficits. Violation of these limits has raised questions about potential fiscal encroachment on the monetary authority's freedom to determine the price level. We specify a simple model of fiscal policy in which the fiscal authority faces an upper bound on the size of its primary surplus. Policy is determined by a fiscal rule, specified as an error correction model, in which the primary surplus responds to debt and a target variable. We show that for the monetary authority to have the freedom to control price, the primary surplus must respond strongly enough to lagged debt. Using panel techniques that allow for unit roots and for heterogeneity and cross-sectional dependence across countries, we estimate the coefficients of the error correction model for the primary surplus in a panel of ten EMU countries over the period 1970-2006. The group mean estimate for the coefficient on lagged debt is consistent with the hypothesis that the monetary authority can control the price level in the EMU, independent of fiscal influence. L3 - http://www.federalreserve.gov/pubs/ifdp/2008/961/ifdp961.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2008/961/ifdp961.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coronado, Julia AU - Mitchell, Olivia S. AU - Sharpe, Steven A. AU - Nesbitt, S. Blake AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Footnotes aren't enough: the impact of pension accounting on stock values PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-04 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959386; Publication Type: Working Paper; Update Code: 200803 N2 - Some research has suggested that companies with defined benefit (DB) pensions are sometimes significantly misvalued by the market. This is because the measures of pension cost and pension net liabilities embedded in financial statements, taken at face value, can provide a very misleading picture of pension finances. The more pertinent information on pension finances is relegated to footnotes, but this might not receive much attention from portfolio managers. But dramatic swings in the financial conditions of large DB plans around the turn of the decade focused widespread attention on pension accounting practices, and dissatisfaction with current accounting standards has recently prompted the Financial Accounting Standards Board (FASB) to take up a project revamp DB pension accounting. Arguably, the increased attention should have made investors wise to the informational problems, thereby eliminating systematic mispricing in recent years. We test this proposition and conclude that investors continued to misvalue DB pensions, inducing sizable valuation errors in the stock of many companies. Our findings suggest that FASB's current reform efforts could substantially aid the market's ability to value firms with DB pensions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959386&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Pounder, Laurie AU - Thomas, Charles AD - Unlisted AD - Unlisted AD - Unlisted T1 - Foreign exposure to asset-backed securities of U.S. origin PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 939 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988935; Publication Type: Working Paper; Update Code: 200809 N2 - The financial turmoil which began in August 2007 originated, in part, because investors reassessed the quality of the assets underlying many asset-backed securities (ABS), particularly U.S. mortgages. The prominence of European banks in the early stages of the turmoil created the perception that foreigners held an outsized share of risky U.S. securities and prompted questions of why Europeans were so exposed. This paper evaluates that perception by quantifying foreign exposure to ABS with U.S. underlying collateral. Using the latest survey data on foreign portfolio holdings of U.S. securities, we find that the ultimate losses that foreigners could incur arising from U.S. underlying assets are small relative to most scale variables, although initial total mark-to-market losses are estimated to be significantly larger. Among other reasons for this difference between ultimate and initial losses, we demonstrate that the securitization chain can amplify mark-to-market price declines in the presence of uncertainty or illiquidity. Finally, we show that, relative to the size of the market, foreigners' holdings of U.S. mortgage-backed securities do not appear to be elevated compared with their holdings of other U.S. assets. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988935&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kotter, Jason AU - Lel, Ugur AD - Unlisted AD - Unlisted T1 - Friends or foes? The stock price impact of sovereign wealth fund investments and the price of keeping secrets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 940 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988936; Publication Type: Working Paper; Update Code: 200809 N2 - This paper examines the stock price impact of 163 announcements of Sovereign Wealth Fund (SWF) investments. We document an average positive risk-adjusted return of 2.1 percent for target firms during two days surrounding SWF acquisition announcements. The announcement effect is both statistically and economically significant. A multivariate analysis shows that the degree of transparency of SWF activities is an important determinant of the market reaction, and both the SWF and the existing shareholders of the target firm benefit from improved SWF disclosure. In addition, target firms' profitability, growth, and governance do not change significantly in the three-year period following the SWF investment relative to a control sample. These results are robust to a battery of tests. Overall, our findings suggest that SWF investments convey a positive signal to market participants about the target firm, increased SWF transparency is enjoyed by both the SWF and existing shareholders, and SWFs are passive investors. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988936&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhutta, Neil AD - Unlisted T1 - Giving credit where credit is due? the Community Reinvestment Act and mortgage lending in lower-income neighborhoods PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-61 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014193; Keywords: Mortgage loans; Community Reinvestment Act of 1977; Publication Type: Working Paper; Update Code: 200902 N2 - I identify and quantify the mortgage supply effect of the Community Reinvestment Act (CRA), a law mandating that banks help provide credit in lower-income neighborhoods, by exploiting a discontinuity in the selection rule determining which census tracts CRA targets. Using a comprehensive source of micro data on MSA mortgage applications, I find that CRA affects bank lending primarily in large MSA's, where banks are most scrutinized. The analysis indicates that CRA's effect on bank originations was about 4% between 1994 and 1996, and expanded to 8% in 1997-2002, consistent with the timing of a reform strengthening CRA. I provide some evidence that marginal loans go to atypical, potentially higher-risk borrowers. The results also indicate net "crowd-in": lending to targeted tracts by unregulated institutions rises in post-reform years, in particular to those areas that have had relatively low home purchase volume in the recent past, consistent with a model of information externalities in credit markets. Finally, using changes in tract eligibility status following the release of Census 2000 data as an additional source of variation, I find that CRA increased bank lending to newly targeted tracts in large MSA's by 4-5% in 2004 and 2005. L3 - http://www.federalreserve.gov/pubs/feds/2008/200861/200861pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014193&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2008/200861/200861pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Falato, Antonio AD - Unlisted T1 - Happiness maintenance and asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-19 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971196; Publication Type: Working Paper; Update Code: 200805 N2 - This paper constructs a simple dynamic asset pricing model which incorporates recent evidence on the influence of immediate emotions on risk preferences. Investors derive direct utility from both consumption and financial wealth and, consistent with the happiness maintenance feature documented by Isen (1999) and others, become more cautious toward their wealth in good times. Mild pro-cyclical changes in risk aversion over wealth cause large pro-cyclical fluctuations in the current price-dividend ratio which, due to general equilibrium restrictions, translate into counter-cyclical variation in the current consumption-wealth ratio and, in turn, in expected future returns. With a realistic consumption growth process and reasonable preference parameters, the model generates a sizable equity premium, a low and stable risk-free rate, volatile and predictable stock returns, and price-dividend and Sharpe ratios in line with the data. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971196&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beltran, Daniel O. AU - Das, Kuntal K. AU - Fairlie, Robert W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Home computers and educational outcomes: evidence from the NLSY97 and CPS PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 958 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006380; Publication Type: Working Paper; Update Code: 200812 N2 - Although computers are universal in the classroom, nearly twenty million children in the United States do not have computers in their homes. Surprisingly, only a few previous studies explore the role of home computers in the educational process. Home computers might be very useful for completing school assignments, but they might also represent a distraction for teenagers. We use several identification strategies and panel data from the two main U.S. datasets that include recent information on computer ownership among children--the 2000-2003 CPS Computer and Internet Use Supplements (CIUS) matched to the CPS Basic Monthly Files and the National Longitudinal Survey of Youth 1997--to explore the causal relationship between computer ownership and high school graduation and other educational outcomes. Teenagers who have access to home computers are 6 to 8 percentage points more likely to graduate from high school than teenagers who do not have home computers after controlling for individual, parental, and family characteristics. We generally find evidence of positive relationships between home computers and educational outcomes using several identification strategies, including controlling for typically unobservable home environment and extracurricular activities in the NLSY97, fixed effects models, instrumental variables, and including future computer ownership and falsification tests. Home computers may increase high school graduation by reducing non-productive activities, such as truancy and crime, among children in addition to making it easier to complete school assignments. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006380&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Martin, Robert F. AD - Unlisted T1 - Housing market risks in the United Kingdom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 954 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006374; Publication Type: Working Paper; Update Code: 200812 N2 - House prices in the United Kingdom rose rapidly in recent years. The run-up, larger than any other in U.K. history, leveled off early last year. House prices are currently declining at rates faster than those seen in the early 1990's downturn. The housing downturn, however, is far from complete. Using the price-rent ratio as a guide, house prices are likely to fall at least a further 30 percent before leveling off. Given the historic links between housing and real activity, the downturn is likely to be associated with very slow growth. Going forward, we recommend the price-rent ratio as the appropriate measure of housing valuation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006374&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris A. AU - Martin, Robert F. AD - Unlisted AD - Unlisted T1 - Housing, home production, and the equity and value premium puzzles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 931 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978154; Publication Type: Working Paper; Update Code: 200807 N2 - We test if a standard representative agent model with a home-production sector can resolve the equity premium or value premium puzzles. In this model, agents value market consumption and a home consumption good that is produced as an aggregate of the stock of housing, home labor, and a labor-augmenting technology shock. We construct the unobserved quantity of the home consumption good by combining observed data with restrictions of the model. We test the first-order conditions of the model using GMM. The model is rejected by the data; it cannot explain either the historical equity premium or the value premium. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978154&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Kamin, Steven B. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - How long can the unsustainable U.S. current account deficit be sustained? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 935 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988931; Publication Type: Working Paper; Update Code: 200809 N2 - This paper addresses three questions about the prospects for the U.S. current account deficit. Is it sustainable in the long term? If not, how long will it take for measures of external debt and debt service to reach levels that could prompt some pullback by global investors? And if and when such levels are breached, how readily would asset prices respond and the current account start to narrow? To address these questions, we start with projections of a detailed partial-equilibrium model of the U.S. balance of payments. Based on plausible assumptions of the key drivers of the U.S. external balance, they indicate that the current account deficit will resume widening and the negative NIIP/GDP ratio will continue to expand. However, our projections suggest that even by the year 2020, the negative NIIP/GDP ratio will be no higher than it is in several industrial economies today, and U.S. net investment income payments will remain very low. The share of U.S. claims in foreigners' portfolios will likely rise, but not to an obviously worrisome extent. All told, it seems likely it would take many years for the U.S. debt to cumulate to a level that would test global investors' willingness to extend financing.; Finally, we explore the historical responsiveness of asset prices and the current account in industrial economies to measures of external imbalances and debt. We find little evidence that, as countries' net indebtedness rises, the developments needed to correct the current account--including changes in growth rates, asset prices, or exchange rates--materialize all that rapidly.; We would emphasize that these findings do not imply that U.S. current account adjustment is necessarily many years away, as any number of factors could trigger such adjustment. Our point is rather that international balance sheet considerations likely are not sufficient, by themselves, to require external adjustment any time soon. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988931&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkelmans, Leon W. AD - Unlisted T1 - Imperfect information and monetary models: multiple shocks and their consequences PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-58 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006362; Publication Type: Working Paper; Update Code: 200812 N2 - This paper examines the role of multiple aggregate shocks in monetary models with imperfect information. Because agents can draw mistaken inferences about which shock has occurred, the existence of multiple aggregate shocks profoundly influences macroeconomic dynamics. In particular, after a contractionary monetary shock these models can generate an initial increase in inflation (the "price puzzle") and a delayed disinflation (a "hump"). A conservative numerical illustration exhibits these patterns. In addition, the model shows that increased price flexibility is potentially destabilizing. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006362&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont K. AD - Unlisted T1 - Insider rates vs. outsider rates in lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-36 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988925; Publication Type: Working Paper; Update Code: 200809 N2 - The presence of private information about a firm can affect the competition among potential lenders. In the Sharpe (1990) model of information asymmetry among lenders (with the von Thadden (2004) correction), an uninformed outside bank faces a winner's curse when competing with an informed inside bank. This paper examines the model's prediction for observed interest rates at an inside vs. outside bank. Although the outside bank wins more bad firms than the inside bank, the winner's curse also causes the outside rate conditional on firm type to be lower in expectation than the inside rate conditional on firm type. I show analytically that the expected interest rate at the outsider can be either higher or lower than the expected interest rate at the insider, depending on the net of these two effects. Under the assumption that the banks split the firms in a tie bid, a numerical solution shows that the outside expected interest rate is higher than the inside expected interest rate for high quality borrower pools, but the outside expected interest rate is lower for low quality borrower pools. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988925&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Gust, Christopher AU - Lopez-Salido, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - International competition and inflation: a New Keynesian perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 918 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959399; Publication Type: Working Paper; Update Code: 200803 N2 - We develop and estimate an open economy New Keynesian Phillips curve (NKPC) in which variable demand elasticities give rise to changes in desired markups in response to changes in competitive pressure from abroad. A parametric restriction on our specification yields the standard NKPC, in which the elasticity is constant, and there is no role for foreign competition to influence domestic inflation. By comparing the unrestricted and restricted specifications, we provide evidence that foreign competition plays an important role in accounting for the behavior of inflation in the traded goods sector. Our estimates suggest that foreign competition has lowered domestic goods inflation about 1 percentage point over the 2000-2006 period. Our results also provide evidence against demand curves with a constant elasticity in the context of models of monopolistic competition. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959399&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Interpreting long-horizon estimates in predictive regressions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 928 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971206; Publication Type: Working Paper; Update Code: 200805 N2 - This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-run estimator, given the short-run estimate, is no longer degenerate and the expected pattern of coefficient estimates across horizons differs from that under the null. Importantly, however, under the alternative, highly endogenous regressors, such as the dividend-price ratio, tend to deviate much less than exogenous regressors, such as the short interest rate, from the pattern expected under the null, making it more difficult to distinguish between the null and the alternative. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971206&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chiquoine, Benjamin AU - Hjalmarsson, Erik AD - Unlisted AD - Unlisted T1 - Jackknifing stock return predictions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 932 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978155; Publication Type: Working Paper; Update Code: 200807 N2 - We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates. The jackknifing method is very general, as well as simple to implement, and can be applied to models with multiple predictors and overlapping observations. Unlike most previous work on inference in predictive regressions, no specific assumptions regarding the data generating process for the predictors are required. A set of Monte Carlo experiments show that the method works well in finite samples and the empirical section finds that out-of-sample forecasts based on the jackknifed estimates tend to outperform those based on the plain OLS estimates. The improved forecast ability also translates into economically relevant welfare gains for an investor who uses the predictive regression, with jackknifed estimates, to time the market. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978155&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-15 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971191; Publication Type: Working Paper; Update Code: 200805 N2 - This paper proposes a simple generalization of the classical measurement error model, introducing new measurement errors that subtract signal from the true variable of interest, in addition to the usual classical measurement errors (CME) that add noise. The effect on OLS regression of these lack of signal errors (LoSE) is opposite the conventional wisdom about CME: while CME in the explanatory variables causes attenuation bias, LoSE in the dependent variable, not the explanatory variables, causes a similar bias under some conditions. In addition, LoSE in the dependent variable shrinks the variance of the regression residuals, making inference potentially misleading. The paper provides evidence that LoSE is an important source of error in US macroeconomic quantity data such as GDP growth, illustrates downward bias in regressions of GDP growth on asset prices, and provides recommendations for econometric practice. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971191&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feigenbaum, James AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Lifecycle dynamics of income uncertainty and consumption PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-27 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978147; Publication Type: Working Paper; Update Code: 200807 N2 - Uninsurable income risk is often cited as an explanation for empirical deviations from the Lifecycle/Permanent-Income Hypothesis such as the observation that the life-cycle profile of mean consumption is hump-shaped. Most methods used for estimating income uncertainty essentially measure the cross-sectional variance of a subpopulation rather than the true uncertainty or riskiness perceived by consumers. In this paper, we employ a nonparametric approach to estimate idiosyncratic income uncertainty. We measure income uncertainties as the variance of income forecasting errors at different ages and over different time horizons. The estimated life-cycle income uncertainty profile is U-shaped and generally implies a lower degree of income uncertainty relative to the previous literature. We subsequently use these nonparametric estimates to calibrate a (time-inconsistent) lifecycle model to assess whether a consumption hump can be generated by precautionary saving given more robust measures of income uncertainty. We show that, with plausible risk aversion coefficient and discounting factors and an endogenous, rarely active borrowing limit, our refined measure of income uncertainty is large enough to generate a significant consumption hump that peaks around age 55 and closely matches with the observed magnitude of the consumption hump. We also notice that the variation in the volatility of income shocks with respect to both age and forecast horizon has a significant impact on the size and peak age of the consumption hump. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978147&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith J. AD - Unlisted T1 - Lowering the anchor: how the Bank of England's inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-44 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006347; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200812 N2 - Inflation targeting as practiced by the Bank of England has undergone several changes since its adoption in 1992, including redefinition of the goal, measures to increase transparency and the granting of independence to the central bank. These changes are likely to have affected long-run inflation expectations and perceptions of future inflation risk. To that end, this paper estimates a no-arbitrage, affine, factor model of the term structure of inflation compensation in the United Kingdom. The model yields time series of expected inflation and inflation risk premia at short and long horizons estimated in a theoretically consistent manner. The results reveal that long-run inflation expectations drifted down slowly during the first five years of inflation targeting, but inflation risk premia moved down abruptly only once the Bank of England was granted independence. This event, which arguably signalled more credible commitment by the central bank to its inflation anchor, appears to have been more important in shaping inflation expectations and perceptions of inflation risk than changes in the definition of the target or measures to increase transparency. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006347&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AU - Steinman, Jason AD - Unlisted AD - Unlisted T1 - Market conditions and hedge fund survival PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-28 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978151; Publication Type: Working Paper; Update Code: 200807 N2 - As the hedge fund industry has grown, there has been increased concern that, during sharp market moves, hedge fund failures could exacerbate the deterioration in financial conditions and deepen a crisis. However, there has not been much formal analysis regarding the impact of financial market conditions on hedge fund survival. To help fill this gap, this paper examines the relationship between financial market conditions and the likelihood of hedge fund failure after controlling for performance and other characteristics. The analysis is conducted using data on individual funds and industry aggregates. We find that market returns and volatility influence fund failures, although the impact depends on the funds' investment strategies. The results of the analysis are then used to predict hedge fund failures based on actual market returns and on stress scenarios. We find that the hedge fund industry is generally robust to different shocks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978151&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thomas, Charles P. AU - Marquez, Jaime AU - Fahle, Sean AD - Unlisted AD - Unlisted AD - Unlisted T1 - Measuring U.S. international relative prices: a WARP view of the world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 917 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959398; Publication Type: Working Paper; Update Code: 200803 N2 - In this paper we construct a new measure of U.S. prices relative to those of its trading partners and use it to reexamine the behavior of U.S. net exports. Our measure differs from existing measures of the dollar's real effective exchange rate (REER) in that it explicitly incorporates both the difference in price levels between the United States and developing economies and the growing importance of these developing economies in world trade. Unlike existing REERs, our measure shows that relative U.S. prices have increased significantly over the past 15 years. In terms of simple correlations, the relationship between our measure of relative prices and U.S. net exports is much more coherent than that between existing REERs and net exports. To explore this relationship further, we use our measure to construct an index of foreign prices relevant for U.S. export volumes and reexamine several export equations. We find that export equations with the new index dominate those with previous measures in terms of in-sample fit, out-of-sample fit, and parameter constancy. In addition, we find that with the new index of foreign prices the estimated elasticity of U.S. exports with respect to foreign income is a good bit higher than the unitary elasticity found in previous studies using other price measures. This has implications for U.S. current account adjustment. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959398&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Monetary policy actions and long-run inflation expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-03 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959385; Publication Type: Working Paper; Update Code: 200803 N2 - The degree to which inflation expectations are anchored at long horizons is important for many issues in macroeconomics and finance. There has been little research examining observable measures of long-run inflation expectations. We investigate the evolution of survey measures of long-run inflation expectations in the United States. Our analysis emphasizes the role of a time-varying inflation objective of monetary policymakers. This focus makes monetary policy actions a key determinant of long-run inflation expectations. Our results have important implications for work on inflation dynamics, monetary policy rules, the costs of disinflation, and the term structure of interest rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959385&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Strum, Brad E. AD - Unlisted T1 - Monetary policy in a forward-looking input-output economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-33 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988922; Publication Type: Working Paper; Update Code: 200809 N2 - This paper examines the implications for monetary policy of sticky prices in both final and intermediate goods in a New Keynesian model. Both optimal policy under commitment and discretionary policy, which is the minimization of a simple loss function, are studied. Consumer utility losses under alternative simple loss functions are compared, including their robustness to model and shock misperceptions, and parameter uncertainty. Targeting inflation in both consumer and intermediate goods performs better than targeting a single price index; price-level targeting of both consumer and intermediate goods prices performs significantly better. Moreover, targeting prices in both sectors yields superior robustness properties. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988922&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AU - Juneja, Sandeep AD - Unlisted AD - Unlisted T1 - Nested simulation in portfolio risk measurement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-21 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978142; Publication Type: Working Paper; Update Code: 200807 N2 - Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator. Finally, we introduce a jackknife procedure for bias reduction and a dynamic allocation scheme for improved efficiency. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978142&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bastani, Houtan AU - Guerrieri, Luca AD - Unlisted AD - Unlisted T1 - On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 920 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971199; Keywords: Econometric models; Equilibrium (Economics); Publication Type: Working Paper; Update Code: 200805 N2 - A key application of automatic differentiation (AD) is to facilitate numerical optimization problems. Such problems are at the core of many estimation techniques, including maximum likelihood. As one of the first applications of AD in the field of economics, we used Tapenade to construct derivatives for the likelihood function of any linear or linearized general equilibrium model solved under the assumption of rational expectations. We view our main contribution as providing an important check on finite-difference (FD) numerical derivatives. We also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and without the aid of automatic derivatives. We find that the convergence rate of our optimization algorithm can increase substantially when we use AD derivatives. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971199&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Optimal fiscal and monetary policy in customer markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 919 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959400; Publication Type: Working Paper; Update Code: 200803 N2 - A growing body of evidence suggests that ongoing relationships between consumers and firms may be important for understanding price dynamics. We investigate whether the existence of such customer relationships has important consequences for the conduct of both long-run and short-run policy. Our central result is that when consumers and firms are engaged in long-term relationships, the optimal rate of price inflation volatility is very low even though all prices are completely flexible. This finding is in contrast to those obtained in first-generation Ramsey models of optimal fiscal and monetary policy, which are based on Walrasian markets. Echoing the basic intuition of models based on sticky prices, unanticipated inflation in our environment causes a type of relative price distortion across markets. Such distortions stem from fundamental trading frictions that give rise to long-lived customer relationships and makes pursuing inflation stability optimal. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959400&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Erceg, Christopher J. AU - Guerrieri, Luca AD - Unlisted AD - Unlisted AD - Unlisted T1 - Optimal monetary policy with distinct core and headline inflation rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 941 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988937; Publication Type: Working Paper; Update Code: 200809 N2 - In a stylized DSGE model with an energy sector, the optimal policy response to an adverse energy supply shock implies a rise in core inflation, a larger rise in headline inflation, and a decline in wage inflation. The optimal policy is well-approximated by policies that stabilize the output gap, but also by a wide array of "dual mandate" policies that are not overly aggressive in stabilizing core inflation. Finally, policies that react to a forecast of headline inflation following a temporary energy shock imply markedly different effects than policies that react to a forecast of core, with the former inducing greater volatility in core inflation and the output gap. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988937&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barr, Michael S. AU - Dokko, Jane K. AD - Unlisted AD - Unlisted T1 - Paying to save: tax withholding and asset allocation among low- and moderate-income taxpayers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-11 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971188; Publication Type: Working Paper; Update Code: 200805 N2 - We analyze the phenomenon that low- and moderate-income (LMI) tax filers exhibit a "preference for over-withholding" their taxes, a measure we derive from a unique set of questions administered in a dataset of 1,003 households, which we collected through the Survey Research Center at the University of Michigan. We argue that the relationship between their withholding preference and portfolio allocation across liquid and illiquid assets is consistent with models with present-biased preferences, and that individuals exhibit self-control problems when making their consumption and saving decisions. Our results support a model in which individuals use commitment devices to constrain their consumption. Using data on other tax-filing behaviors, we also show that mental accounting and loss aversion explanations for tax filers' "preference for over-withholding" are unlikely to explain the patterns in the data. Present-biasedness and dynamic inconsistency among LMI tax filers have important implications for saving policies and tax administration. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971188&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Debortoli, Davide AU - Nunes, Ricardo AD - Unlisted AD - Unlisted T1 - Political disagreement, lack of commitment and the level of debt PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 938 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988933; Publication Type: Working Paper; Update Code: 200809 N2 - We analyze how public debt evolves when successive policymakers have different policy goals and cannot make credible commitments about their future policies. We consider several cases to be able to disentangle and quantify the respective effects of imperfect commitment and political disagreement. Absent political turnover, imperfect commitment drives the long-run level of debt to zero. With political disagreement, debt is a sizeable fraction of GDP and increasing in the degree of polarization among parties, no matter the degree of commitment. The frequency of political turnover does not produce quantitatively relevant effects. These results are consistent with much of the existing empirical evidence. Finally, we find that in the presence of political disagreement the welfare gains of building commitment are lower. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988933&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - Predicting cycles in economic activity PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 926 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971204; Publication Type: Working Paper; Update Code: 200805 N2 - Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971204&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Predicting global stock returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 933 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988929; Keywords: Stocks - Rate of return; Forecasting; Econometric models; Publication Type: Working Paper; Update Code: 200809 N2 - I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies. In addition, I develop new methods for predictive regressions with panel data. Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed. The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets. In contrast, no strong or consistent evidence of predictability is found when considering the earnings- and dividend-price ratios as predictors. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988929&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnichon, Regis AD - Unlisted T1 - Productivity, aggregate demand and unemployment fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-47 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006351; Publication Type: Working Paper; Update Code: 200812 N2 - This paper presents new empirical evidence on the cyclical behavior of US unemployment that poses a challenge to standard search and matching models. The correlation between cyclical unemployment and the cyclical component of labor productivity switched sign in the mid 80s: from negative it became positive, while standard search models imply a negative correlation. I argue that the inconsistency arises because search models do not allow output to be demand determined in the short run, and I present a search model with nominal rigidities that can rationalize the empirical findings. In addition, I show that the interaction of hiring frictions and nominal frictions can generate a new propagation mechanism absent in standard New-Keynesian models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006351&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shan, Hui AD - Unlisted T1 - Property taxes and elderly labor supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-51 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006354; Publication Type: Working Paper; Update Code: 200812 N2 - The recent housing market boom in the U.S. has caused sharp increases in residential property taxes. Anecdotal evidence suggests that rising property taxes have induced elderly homeowners to increase their labor supply. This paper uses 1992-2004 panel data from the Health and Retirement Study (HRS) as well as a newly collected dataset on state-provided property tax relief programs to investigate the effect of property taxes on the labor supply of elderly homeowners. It is the first rigorous study on the link between property taxes and elderly labor supply. I examine both the extensive margin - whether elderly homeowners delay retirement or reenter the labor market in the face of rising property taxes, and the intensive margin - whether elderly homeowners work longer hours when property taxes increase. A simulated IV approach is used to address the potential endogeneity problem associated with property taxes. I find little evidence that property taxes have a significant impact on elderly homeowners' decisions to retire, to re-enter the labor force, or to increase working hours. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006354&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shan, Hui AD - Unlisted T1 - Property taxes and elderly mobility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-50 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006353; Publication Type: Working Paper; Update Code: 200812 N2 - The recent housing market boom in the U.S. has caused sharp increases in residential property taxes. Housing-rich but income-poor elderly homeowners often complain about rising tax burdens, and anecdotal evidence suggests that some move to reduce their tax burden. There has been little systematic analysis, however, of the link between property tax levels and the mobility rate of elderly homeowners. This paper investigates this link using household-level panel data from the Health and Retirement Study (HRS) and a newly collected dataset on state-provided property tax relief programs. These relief programs generate variation in effective property tax burdens that is not due solely to arguably endogenous local community choices about taxes and expenditure programs. The findings provide evidence suggesting that higher property taxes raise mobility among elderly homeowners. The point estimates from instrumental variable estimation using relief programs to generate instruments suggest that a $100 increase in annual property taxes is associated with a 0.76 percentage point increase in the two-year mobility rate for homeowners over the age of 50. This is an eight percent increase from the baseline two-year mobility rate of nine percent. These results are robust to alternative specifications. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006353&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Hanweck, Gerald A. AD - Unlisted AD - Unlisted T1 - Recent trends in the number and size of bank branches: an examination of likely determinants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-02 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959384; Publication Type: Working Paper; Update Code: 200803 N2 - In this paper, we examine the role of market characteristics in explaining the much discussed phenomenon of growth in the number of banking institution branches over time, and the much less discussed phenomenon of decline in the size of the average branch. We note first that substitution of bank branches in the US for thrift branches accounts for much of the sharp rise observed for bank branches over time. Using a panel data set that consists of over 2,000 markets observed from 1988 to 2004, we report a number of findings regarding the market characteristics that are associated with the number of branches (of both commercial banks and savings associations) in a market and the average employment size of those branches. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959384&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AD - Unlisted T1 - Research and development, profits and firm value: a structural estimation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-52 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006349; Publication Type: Working Paper; Update Code: 200812 N2 - Is the return to private R&D as high as believed? This study identifies a flaw in the production function approach to estimating the return to R&D. I provide new estimates based on a structural estimation approach that incorporates uncertainty about the outcome from R&D. The results shed light on the rate of innovation, the impact of an innovation on profits, and the market value of the R&D stock. The parameter estimates imply a mean return to R&D of 3.7-5.5%, much lower than previous values. The analysis also demonstrates the unsuitability of using the return to R&D as a basis for policy decisions on tax subsidies to R&D. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006349&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baum-Snow, Nathaniel AU - Lutz, Byron AD - Unlisted AD - Unlisted T1 - School desegregation, school choice and changes in residential location patterns by race PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-57 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006363; Publication Type: Working Paper; Update Code: 200812 N2 - This paper examines the residential location and school choice responses to desegregation of large public school districts. Unique data and variation in the timing of desegregation orders facilitate the analysis. The 16 percent decline in white public enrollment due to desegregation primarily led to migration to suburban districts in the South and increased private enrollment in other regions. Desegregation caused black public enrollment to increase by 20 percent outside the South largely due to population changes. The spatial distributions of responses by race to desegregation orders closely match those predicted by a model of residential location and private school choice. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006363&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kumhof, Michael AU - Nunes, Ricardo AU - Yakadina, Irina AD - Unlisted AD - Unlisted AD - Unlisted T1 - Simple monetary rules under fiscal dominance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 937 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988934; Publication Type: Working Paper; Update Code: 200809 N2 - This paper asks whether an aggressive monetary policy response to inflation is feasible in countries that suffer from fiscal dominance, as long as monetary policy also responds to fiscal variables. We find that if nominal interest rates are allowed to respond to government debt, even aggressive rules that satisfy the Taylor principle can produce unique equilibria. But following such rules results in extremely volatile inflation. This leads to very frequent violations of the zero lower bound on nominal interest rates that make such rules infeasible. Even within the set of feasible rules the optimal response to inflation is highly negative, and more aggressive inflation fighting is inferior from a welfare point of view. The welfare gain from responding to fiscal variables is minimal compared to the gain from eliminating fiscal dominance. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988934&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Demers, Elizabeth AU - Vega, Clara AD - Unlisted AD - Unlisted T1 - Soft information in earnings announcements: news or noise? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 951 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006376; Publication Type: Working Paper; Update Code: 200812 N2 - This paper examines whether the "soft" information contained in the text of management's quarterly earnings press releases is incrementally informative over the company's reported "hard" earnings news. We use Diction, a textual-analysis program, to extract various dimensions of managerial net optimism from more than 20,000 corporate earnings announcements over the period 1998 to 2006 and document that unanticipated net optimism in managers' language affects announcement period abnormal returns and predicts post-earnings announcement drift. We find that it takes longer for the market to understand the implications of soft information than those of hard information. We also find that the market response varies by firm size, turnover, media and analyst coverage, and the extent to which the standard accounting model captures the underlying economics of the firm. We also show that the second moment of soft information, the level of certainty in the text, is an important determinant of contemporaneous idiosyncratic volatility, and it predicts future idiosyncratic volatility. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006376&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huang, Jing-zhi AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Specification analysis of structural credit risk models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-55 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006361; Publication Type: Working Paper; Update Code: 200812 N2 - In this paper we conduct a specification analysis of structural credit risk models, using term structure of credit default swap (CDS) spreads and equity volatility from high-frequency return data. Our study provides consistent econometric estimation of the pricing model parameters and specification tests based on the joint behavior of time-series asset dynamics and cross-sectional pricing errors. Our empirical tests reject strongly the standard Merton (1974) model, the Black and Cox (1976) barrier model, and the Longstaff and Schwartz (1995) model with stochastic interest rates. The double exponential jump-diffusion barrier model (Huang and Huang, 2003) improves significantly over the three models. The best model is the stationary leverage model of Collin-Dufresne and Goldstein (2001), which we cannot reject in more than half of our sample firms. However, our empirical results document the inability of the existing structural models to capture the dynamic behavior of CDS spreads and equity volatility, especially for investment grade names. This points to a potential role of time-varying asset volatility, a feature that is missing in the standard structural models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006361&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AU - Hazelwood, Lieu N. AU - Wolken, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Starting small and ending big--the effect of monetary incentives on response rates in the 2003 Survey of Small Business Finances: an observational experiment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-26 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978146; Publication Type: Working Paper; Update Code: 200807 N2 - In 2003, the Survey of Small Business Finances (SSBF), conducted by the Federal Reserve Board, implemented the use of incentives to increase response rates. This study examines the effects of some of the characteristics of the implementation--such as level of effort, time in queue, and consecutively-increasing incentive amounts--on unit response. Our estimates suggest that as the number of days increase between the initial screener and main interview, the probability of completion decreases. Similarly, as the number of days increases between each consecutive incentive offer the probability of completion decreases. Additional effort, as measured by additional calls, increases the probability of completion. Finally, each consecutive offer after the initial offer decreases the probability of completion. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978146&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mayer, Chris AU - Pence, Karen AD - Unlisted AD - Unlisted T1 - Subprime mortgages: what, where, and to whom? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-29 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978152; Publication Type: Working Paper; Update Code: 200807 N2 - We explore the types of data used to characterize risky subprime lending and consider the geographic dispersion of subprime lending. First, we describe the strengths and weaknesses of three different datasets on subprime mortgages using information from LoanPerformance, HUD, and HMDA. These datasets embody different definitions of subprime mortgages. We show that estimates of the number of subprime originations are somewhat sensitive to which types of mortgages are categorized as subprime. Second, we describe what parts of the country and what sorts of neighborhoods had more subprime originations in 2005, and how these patterns differed for purchase and refinance mortgages. Subprime originations appear to be heavily concentrated in fast-growing parts of the country with considerable new construction, such as Florida, California, Nevada, and the Washington DC area. These locations saw house prices rise at faster-than-average rates relative to their own history and relative to the rest of the country. However, this link between construction, house prices, and subprime lending is not universal, as other markets with high house price growth such as the Northeast did not see especially high rates of subprime usage. Subprime loans were also heavily concentrated in Zip codes with more residents in the moderate credit score category and more black and Hispanic residents. Areas with lower income and higher unemployment had more subprime lending, but these associations are smaller in magnitude. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978152&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AD - Unlisted T1 - Sudden stops, financial crises and leverage: a Fisherian deflation of Tobin's Q PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 960 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014202; Publication Type: Working Paper; Update Code: 200902 N2 - This paper shows that the quantitative predictions of a DSGE model with an endogenous collateral constraint are consistent with key features of the emerging markets' Sudden Stops. Business cycle dynamics produce periods of expansion during which the ratio of debt to asset values raises enough to trigger the constraint. This sets in motion a deflation of Tobin's Q driven by Irving Fisher's debt-deflation mechanism, which causes a spiraling decline in credit access and in the price and quantity of collateral assets. Output and factor allocations decline because the collateral constraint limits access to working capital financing. This credit constraint induces significant amplification and asymmetry in the responses of macro-aggregates to shocks. Because of precautionary saving, Sudden Stops are low probability events nested within normal cycles in the long run. L3 - http://www.federalreserve.gov/pubs/ifdp/2008/960/ifdp960.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2008/960/ifdp960.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Van den Heuvel, Skander J. AD - Unlisted T1 - Temporal risk aversion and asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-37 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988926; Publication Type: Working Paper; Update Code: 200809 N2 - Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may find persistent shocks to consumption less desirable than uncorrelated fluctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset prices. The innovation is to work with expected utility preferences that (i) are not time-separable, (ii) exhibit temporal risk aversion, (iii) separate risk aversion from the intertemporal elasticity of substitution, (iv) separate short-run from long-run risk aversion and (v) yield stationary asset pricing implications in the context of an endowment economy. Closed form solutions are derived for the equity premium and the risk free rate. The equity premium depends only on a parameter indexing long-run risk aversion. The risk-free rate instead depends primarily on a separate parameter indexing the desire to smooth consumption over time and the rate of time preference. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988926&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Term premiums and inflation uncertainty: empirical evidence from an international panel dataset PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-25 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978145; Publication Type: Working Paper; Update Code: 200807 N2 - This paper provides cross-country empirical evidence on term premia, inflation uncertainty, and their relationship. It has three components. First, I construct a panel of zero-coupon nominal government bond yields spanning ten countries and eighteen years. From these, I construct forward rates and decompose these into expected future short-term interest rates and term premiums, using both statistical methods (an affine term structure model) and using surveys. Second, I construct alternative measures of time-varying inflation uncertainty for these countries, using actual inflation data and survey expectations. I discuss some possible determinants of inflation uncertainty. Finally, I use panel data methods to investigate the relationship between term premium estimates and inflation uncertainty measures, and find a strong positive relationship. The economic determinants of term premia remain mysterious; but this evidence points to uncertainty about intermediate-to long-run inflation rates being a substantial part of the explanation for why yield curves slope up. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978145&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith AU - Hjalmarsson, Erik AU - Osterholm, Par AD - Unlisted AD - Unlisted AD - Unlisted T1 - Testing the expectations hypothesis when interest rates are near integrated PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 953 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006377; Publication Type: Working Paper; Update Code: 200812 N2 - Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006377&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roush, Jennifer E. AD - Unlisted T1 - The 'growing pains' of TIPS issuance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-08 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959390; Publication Type: Working Paper; Update Code: 200803 N2 - This paper provides updated calculations of the relative cost to the U.S. Treasury of previously issued TIPS by comparing the payment stream on each security to that of hypothetical nominal counterpart. While the costs of the program (so measured) are large, totaling $5 to $8 billion to date, I show that they owe largely to market illiquidity in the early years of the program. Indeed, absent these market growing pains, the program would have yielded a substantial net savings to the government as investors were apparently willing to pay a substantial premium to insure against inflation risk. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959390&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AU - Millar, Jonathan AD - Unlisted AD - Unlisted T1 - The Asian financial crisis, uphill flow of capital, and global imbalances: evidence from a micro study PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 942 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006366; Keywords: Financial crises - Asia; Publication Type: Working Paper; Update Code: 200812 N2 - This study assesses the role of the Asian financial crisis of the late 1990s in the emergence and persistence of the large current account surpluses across non-China emerging Asia, which have been a significant counterpart to the U.S. current account deficit. Using panel data encompassing nearly 3,750 firms, we trace the current account surpluses to a marked and broad-based decline in corporate expenditures on fixed investment in the aftermath of the crisis that cuts across a wide spectrum of countries, industries, and firms. The lower corporate spending in turn depressed aggregate investment rates, widened the saving-investment gap, and allowed the region to turn into a net exporter of capital. We then consider the factors behind this reduction in postcrisis corporate investment. While weaker firm-level fundamentals in the postcrisis period seem to explain part of the drop in investment rates, ongoing re-structuring owing to large debts accumulated and excess investment undertaken in the run-up to the crisis has been the main source of restraint postcrisis corporate investment. The results suggest that even after a decade, the effect of the financial crisis is still affecting corporate investment decisions in emerging Asia, and that as the restructuring completes its course, investment rates will likely rise to contribute to a gradual reduction in the region's current account surpluses. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006366&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AU - Wascher, William AD - Unlisted AD - Unlisted T1 - The causes and consequences of economic restructuring: evidence from the early 21st century PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-41 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006345; Publication Type: Working Paper; Update Code: 200812 N2 - A number of industries underwent large and permanent reductions in employment growth at the beginning of this decade, a process we label as restructuring. We describe how restructuring occurred and what its consequences were for the economy. In particular, we find that restructuring stemmed largely from relative demand shocks (though technology shocks were important in some industries) and that elevated levels of permanent job destruction and permanent layoffs were distinguishing features of industries subject to restructuring. In addition, most workers displaced in restructuring industries relocated to other sectors. While this process of reallocation led to large increases in productivity (and a reduction in labor's share) in industries shedding workers, it also resulted in prolonged periods of unemployment for displaced workers. Moreover, relocating workers suffered sizable reductions in earnings, consistent with substantial losses in their specific human capital. Putting these pieces together, we estimate the cost of restructuring to have been between 1/2 and 1 percent of aggregate income per year. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006345&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron F. AD - Unlisted T1 - The connection between house price appreciation and property tax revenues PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-48 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006348; Publication Type: Working Paper; Update Code: 200812 N2 - This paper explores two aspects of the connection between property tax revenues and house prices. First, I estimate the elasticity of property tax revenues with respect to house prices. This elasticity does not necessarily equal one as governments may adjust effective tax rates to offset changes in property values. Second, I examine the timing of the relationship. Institutional features of the property tax make it unlikely that changes in house prices will immediately influence tax revenues. The results suggest that the elasticity eventually equals 0.4 and that it takes three years for house price changes to impact tax revenues. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006348&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shan, Hui AD - Unlisted T1 - The effect of capital gains taxation on home sales: evidence from the Taxpayer Relief Act of 1997 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-53 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006356; Publication Type: Working Paper; Update Code: 200812 N2 - The Taxpayer Relief Act of 1997 (TRA97) significantly changed the tax treatment of housing capital gains in the United States. Before 1997, homeowners were subject to capital gains taxation when they sold their houses unless they purchased replacement homes of equal or greater value. Since 1997, homeowners can exclude $500,000 of capital gains when they sell their houses. Such drastic changes provide a good opportunity to study the lock-in effect of capital gains taxation on home sales. Using ZIP-code level housing price indexes and sales on single-family houses data from 1982 to 2006 in 16 affluent towns within the Boston metropolitan area, this paper finds that TRA97 reversed the lock-in effect of capital gains taxes on houses with low and moderate capital gains. However, TRA97 may have generated an unintended lock-in effect on houses with capital gains over the maximum exclusion amount. In addition, this paper exploits legislative changes in capital gains tax rate to estimate the tax elasticity of home sales during the post-TRA97 period. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006356&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chu, Chenghuan Sean AD - Unlisted T1 - The effect of satellite entry on product quality for cable television PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-12 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971189; Publication Type: Working Paper; Update Code: 200805 N2 - In vertically differentiated markets, the effects of firm entry are contingent upon whether incumbent firms can respond to entry by adjusting product quality in addition to simply lowering prices. Using market-level data, I estimate a structural model of supply and demand for subscription television that takes into account the endogeneity of quality choice. Using counterfactual analysis, I decompose the effect of satellite entry on existing cable into two components: the conventional price response and the effect of endogenous quality adjustments (measured by changes in programming content). Consistent with the empirical observation that cable prices rose during the 1990s and early 2000s "in spite of" increasing competition, I find that raising both price and quality for the most comprehensive subscription package--i.e., competing "head-to-head"--is the rational response to entry by cable systems in markets with relatively homogeneous consumer types. Elsewhere, incumbents respond less aggressively and relegate themselves to being the low-end provider. When an entrant credibly commits to serving consumers with the highest preferences for quality, competition over both price and quality lowers the welfare gains due to entry, relative to pure price competition. In particular, head-to-head competition results in "crowding" of quality choices toward the high end of the market and inefficiently low product differentiation. In such cases, consumers with weak quality preferences may actually become worse off following entry. The evidence also suggests that the observed degradation of the lowest-quality cable tier in many markets during this time period--while commonly seen as an attempt to evade price regulation--may actually have been welfare-enhancing. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971189&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dokko, Jane K. AD - Unlisted T1 - The effect of taxation on lifecycle labor supply: results from a quasi-experiment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-24 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978144; Publication Type: Working Paper; Update Code: 200807 N2 - In predicting the magnitude of the labor supply response to taxation, the standard lifecycle labor supply model distinguishes between unanticipated and anticipated changes in the after-tax return to working. Exploiting age-eligibility rules for claiming a dependent on a tax return facilitates a comparison of the labor supply outcomes of households who are equivalent but for the tax schedule they face. I find that the quasi-random assignment to a tax schedule without an age-eligible dependent corresponds to a decrease in mothers' labor supply by about 40 hours per year and to no discernible effect for fathers. While having an age-ineligible dependent results in a 0.5 percentage point, or 0.3%, average decrease in a household's net-of-tax rate, further analysis of average tax rates suggests that the variation in marginal tax rates does not fully explain mothers' labor supply responses. This finding militates against interpreting this large response as an intertemporal elasticity and subsequently presents a puzzle for the lifecycle labor supply model. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978144&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prager, Robin A. AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - The evolving relationship between community banks and small businesses: evidence from the Surveys of Small Business Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-60 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006360; Publication Type: Working Paper; Update Code: 200812 N2 - This paper uses data from the Federal Reserve Board's 1998 and 2003 Surveys of Small Business Finances (SSBFs) to examine the evolving relationship between community banks and small businesses. The SSBFs provide extensive data on the types of financial services used by small businesses and the sources of those services. These data allow us to answer a number of interesting questions regarding small business usage of community banks, including the following: To what extent do small businesses rely on community banks as providers of at least some financial services? What types of financial services are small businesses most likely to obtain from a community bank? What types of small businesses are most likely to obtain some or all of their financial services from a community bank? How have the answers to these questions changed between 1998 and 2003? In addition to providing detailed descriptions of the patterns of community bank usage observed in the data, we develop a simple reduced form model that uses both firm and local banking market characteristics to explain these patterns. We test a number of hypotheses regarding the extent to which community banks and larger banks differ with respect to the types of financial services provided to small businesses and the types of firms served. Finally, we discuss the implications of our findings for the future of community banking. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006360&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - The fragility of sensitivity analysis: an encompassing perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 959 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014201; Keywords: Econometric models; Sensitivity theory (Mathematics); Publication Type: Working Paper; Update Code: 200902 N2 - Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts. L3 - http://www.federalreserve.gov/pubs/ifdp/2008/959/ifdp959.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2008/959/ifdp959.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith J. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - The high-frequency impact of news on long-term yields and forward rates: Is it real? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-39 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988928; Publication Type: Working Paper; Update Code: 200809 N2 - This paper uses high-frequency intradaily data to estimate the effects of macroeconomic news announcements on yields and forward rates on nominal and index-linked bonds, and on inflation compensation. To our knowledge, it is the first study in the macro announcements literature to use intradaily real yield data, which allow us to parse the effects of news announcements on real rates and inflation compensation far more precisely than we can using daily data. Long-term nominal yields and forward rates are very sensitive to macroeconomic news announcements. We find that inflation compensation is sensitive to announcements about price indices and monetary policy. However, for news announcements about real economic activity, such as nonfarm payrolls, the vast majority of the sensitivity is concentrated in real rates. Accordingly, we conclude that most of the sizeable impact of news about real economic activity on the nominal term structure of interest rates represents changes in expected future real short-term interest rates and/or real risk premia rather than changes in expected future inflation and/or inflation risk premia. This suggests that explanations for the puzzling sensitivity of long-term nominal rates need to look beyond just inflation expectations and toward models that encompass uncertainty about the long-run real rate of interest. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988928&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AU - Korniotis, George M. AD - Unlisted AD - Unlisted T1 - The human capital that matters: expected returns and the income of affluent households PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-09 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959391; Publication Type: Working Paper; Update Code: 200803 N2 - We implement the human capital CAPM (HCAPM) using the income growth of high income households, rather than aggregate income growth, to proxy the return to human capital (HCRT). We find that identifying the HCRT with the income growth of affluent households, those who are most likely to hold stocks, substantially improves the performance of the HCAPM. Specifically, the pricing errors, R-square's, average returns on factor mimicking portfolios, and performance relative to other macro-finance models uniformly improve as the HCRT is identified with the income growth of successively more affluent households. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959391&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cordell, Larry AU - Dynan, Karen AU - Lehnert, Andreas AU - Liang, Nellie AU - Mauskopf, Eileen AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The incentives of mortgage servicers: myths and realities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-46 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006355; Keywords: Mortgage loans; Subprime mortgage; Publication Type: Working Paper; Update Code: 200812 N2 - As foreclosure initiations have soared over the past couple of years, many have questioned whether mortgage servicers have the right incentives to work out troubled subprime mortgages so that borrowers can avoid foreclosure and remain in their homes. Some critics claim that because servicers, unlike investors, do not bear the losses associated with foreclosure, they have little incentive to modify troubled loans by reducing interest rates or principal, or by extending the term. Our analysis suggests that while servicers have substantially improved borrower outreach and increased loss mitigation efforts, some foreclosures still occur where both borrower and investor would benefit if such an outcome were avoided. We discuss servicers' incentives and the obstacles to working out delinquent mortgages. We find that loss mitigation is costly for servicers, in large part because servicers currently lack adequate staff and technology; unfortunately, servicers have few financial incentives to expand capacity. Two additional factors appear to be damping workouts of nonprime loans, the group that has seen the largest increase in delinquencies. First, affordable solutions are more difficult to achieve for borrowers with these loans than for those with prime mortgages. Second, these loans are generally funded by private-label mortgage backed securities, for which investors provide little or no guidance to servicers about what modifications are appropriate. More generally, investors are wary that modifications might turn out to be unsuccessful, thus delaying and increasing ultimate losses. Given the significant deadweight losses incorporated in recent quarters' loss rates of 50 percent or more, we present options for further improving servicer performance. We discuss supporting further industry efforts to expand borrower outreach and establish servicing guidelines, educating investors, paying servicers fees for appropriate loan workouts, and improving measures of servicer performance. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006355&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sherlund, Shane M. AD - Unlisted T1 - The jumbo-conforming spread: a semiparametric approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-01 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959383; Publication Type: Working Paper; Update Code: 200803 N2 - This paper estimates the jumbo-conforming spread using data from the Federal Housing Finance Board's Monthly Interest Rate Survey from January 1993 to June 2007. Importantly, this paper augments the typical parametric approach by adding state-level foreclosure laws and ZIP-level demographic variables to the model, estimating the effects of loan size and loan-to-value ratio on mortgage rates nonparametrically, and including geographic location as a control for some potentially unobserved borrower and market characteristics that might vary over geography, such as credit scores, debt-to-income ratios, and house price volatility. A partial local linear regression approach is used to estimate the jumbo-conforming spread, on the premise that loans similar to each other in terms of loan size, loan-to-value ratio, or geographic location might also be similar in other, unobservable borrower and market characteristics. I find estimates of the jumbo-conforming spread of 13 to 24 basis points--50 to 24 percent smaller since about 1996, when credit scores became widely used in mortgage underwriting, than estimates from a commonly used parametric model. I therefore attribute the difference in estimates to credit quality and other unobserved characteristics, among other potential explanations, making these controls an important issue in estimating the jumbo-conforming spread. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959383&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Debortoli, Davide AU - Nunes, Ricardo AD - Unlisted AD - Unlisted T1 - The macroeconomic effect of external pressures on monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 944 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006365; Keywords: Monetary policy; Banks and banking, Central; Publication Type: Working Paper; Update Code: 200812 N2 - Central banks, whether independent or not, may occasionally be subject to external pressures to change policy objectives. We analyze the optimal response of central banks to such pressures and the resulting macroeconomic consequences. We consider several alternative scenarios regarding policy objectives, the degree of commitment and the timing of external pressures. The possibility to adopt " more liberal" objectives in the future increases current inflation through an accommodation effect. Simultaneously, the central bank tries to anchor inflation by promising to be even " more conservative" in the future. The immediate effect is an output contraction, the opposite of what the pressures to adopt " more liberal" objectives may be aiming. We also discuss the opposite case, where objectives may become " more conservative" in the future, which may be the relevant case for countries considering the adoption of inflation targeting. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006365&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sherlund, Shane M. AD - Unlisted T1 - The past, present, and future of subprime mortgages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-63 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014191; Keywords: Subprime mortgage; Default (Finance); Publication Type: Working Paper; Update Code: 200902 N2 - This paper models the historical default and prepayment behavior for subprime mortgages using data on securitized mortgages originated from 2000 to 2007. I find that more recently originated subprime loans are more likely to default, well ahead of their first mortgage rate resets, and less likely to prepay (i.e., refinance). This rise in mortgage defaults stems largely from unprecedented declines in house prices, along with slack underwriting and tight credit market conditions. I estimate a competing hazards model to quantify the effects of (1) house price appreciation, (2) underwriting standards, (3) mortgage rate resets, and (4) household cash flow shocks, such as job loss and oil price increases, on the likelihood of borrowers with subprime mortgages to default or prepay. Ultimately, I find that borrower leverage is one of the most important factors explaining both default and prepayment for borrowers with subprime mortgages. Then, using several different assumptions about the future path of house prices, I simulate potential trajectories for subprime mortgage defaults between 2008 and 2010. Further, I explore the short-term sensitivities of default and prepayment to house prices and various mortgage characteristics. L3 - http://www.federalreserve.gov/pubs/feds/2008/200863/200863pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014191&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2008/200863/200863pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tutino, Antonella AD - Unlisted T1 - The rigidity of choice: Lifecycle savings with information-processing limits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-62 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014192; Keywords: Consumption (Economics); Consumer behavior; Saving and investment; Publication Type: Working Paper; Update Code: 200902 N2 - This paper studies the implications of information-processing limits on the consumption and savings behavior of households through time. It presents a dynamic model in which consumers rationally choose the size and scope of the information they want to process concerning their financial possibilities, constrained by a Shannon channel. The model predicts that people with higher degrees of risk aversion rationally choose more information. This happens for precautionary reasons since, with finite processing rate, risk averse consumers prefer to be well informed about their financial possibilities before implementing a consumption plan. Moreover, numerical results show that consumers with processing capacity constraints have asymmetric responses to shocks, with negative shocks producing more persistent effects than positive ones. This asymmetry results in more savings. I show that the predictions of the model can be effectively used to study the impact of tax reforms on consumers spending. L3 - http://www.federalreserve.gov/pubs/feds/2008/200862/200862pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014192&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2008/200862/200862pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mayer, Christopher J. AU - Pence, Karen M. AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The rise in mortgage defaults PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-59 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006359; Publication Type: Working Paper; Update Code: 200812 N2 - The main factors underlying the rise in mortgage defaults appear to be declines in house prices and deteriorated underwriting standards, in particular an increase in loan-to-value ratios and in the share of mortgages with little or no documentation of income. Contrary to popular perception, the growth in unconventional mortgages products, such as those with prepayment penalties, interest-only periods, and teaser interest rates, does not appear to be a significant factor in defaults through mid-2008 because borrowers who had problems with these products could refinance into different mortgages. However, as markets realized the extent of the poor underwriting, underwriting standards tightened and borrowers began to face difficulties refinancing; this dynamic suggests that these unconventional products could pose problems going forward. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006359&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AU - Sack, Brian AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The TIPS yield curve and inflation compensation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-05 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959387; Publication Type: Working Paper; Update Code: 200803 N2 - For over ten years, the U.S. Treasury has issued index-linked debt. Federal Reserve Board staff have fitted a yield curve to these indexed securities at the daily frequency from the start of 1999 to the present. This paper describes the methodology that is used and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation (or breakeven inflation rates) to be computed. We discuss the interpretation of inflation compensation and its relationship to inflation expectations and uncertainty, offering some empirical evidence that these measures are affected by an inflation risk premium that varies considerably at high frequency. In addition, we also find evidence that inflation compensation was held down in the early years of the sample by a premium associated with the illiquidity of TIPS at the time. We hope that the TIPS yield curve and inflation compensation data, which are posted here and will be updated periodically, will provide a useful tool to applied economists. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959387&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Love, David A. AU - Palumbo, Michael G. AU - Smith, Paul A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The trajectory of wealth in retirement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-13 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0971190; Publication Type: Working Paper; Update Code: 200805 N2 - As the baby boomers begin to retire, a great deal remains unknown about the evolution of wealth toward the end of life. In this paper, we develop a new measure of household resources that converts total financial, nonfinancial, and annuitized assets into an expected annual amount of wealth per person. We use this measure, which we call "annualized comprehensive wealth," to investigate spend-down behavior among older households in the Health and Retirement Study. Our analysis indicates that, in (real) dollar terms, the median household's wealth declines more slowly than its remaining life expectancy, so that real annualized wealth actually tends to rise with age over retirement. Comparing the estimated age profiles for annualized wealth with profiles simulated from several different life cycle models, we find that a model that takes into account uncertain longevity, uncertain medical expenses, and (for higher-income retirees) intended bequests lines up best with the HRS data. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0971190&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lewis, Kurt F. AD - Unlisted T1 - The two-period rational inattention model: accelerations and analyses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-22 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978143; Publication Type: Working Paper; Update Code: 200807 N2 - This paper demonstrates the properties of and a solution method for the more general two-period Rational Inattention model of Sims (2006). It is shown that the corresponding optimization problem is convex and can be solved very quickly. This paper also demonstrates a computational tool well-suited to solving Rational Inattention models and further illustrates a critique raised in Sims (2006) regarding Rational Inattention models whose solutions assume parametric formulations rather than solve for their optimally-derived, non-parametric counterparts. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978143&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mach, Traci L. AU - Holmes, John A. AD - Unlisted AD - Unlisted T1 - The use of alternative employment arrangements by small businesses: evidence from the 2003 Survey of Small Business Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-45 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006350; Keywords: Employment; Publication Type: Working Paper; Update Code: 200812 N2 - According to the CPS, employees in alternative work arrangements make up over 10 percent of U.S. workers. Because of the pervasiveness of these types of arrangements, it is important to understand why firms are choosing to use them. Using data from the 2003 Survey of Small Business Finances, we model the firm's decision to use alternative employment arrangements using a large representative sample of small businesses in the U.S. In general, our results are similar to previous establishment-level studies that have examined the use of these types of employment arrangements. However, many of these previous studies have been narrow in scope because of data limitations. We find evidence to support each of the following hypotheses: 1) firms may be using alternative employment arrangements (AEA) in an attempt to generate cost savings by substituting standard employees with AEA employees when internal wages and benefit costs are high; 2) firms may be using AEA to meet irregular product demand constraints; and 3) firms may be using AEA to take advantage of economies of scale for certain tasks or services. Additionally, we present some additional findings that add to the relatively limited establishment level literature on alternative employment arrangements. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006350&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - Kim, Don H. AU - Wei, Min AD - Unlisted AD - Unlisted AD - Unlisted T1 - Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-30 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978148; Publication Type: Working Paper; Update Code: 200807 N2 - We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~ 1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978148&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AD - Unlisted T1 - Trade elasticity of substitution and equilibrium dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 934 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0988930; Publication Type: Working Paper; Update Code: 200809 N2 - The empirical literature provides a wide range of estimates for trade elasticities at the aggregate level. Furthermore, recent contributions in international macroeconomics suggest that low (implied) values of the trade elasticity of substitution may play an important role in understanding the disconnect between international prices and real variables. However, a standard model of the international business cycle displays multiple locally isolated equilibria if the trade elasticity of substitution is sufficiently low. The main contribution of this paper is to compute and characterize some dynamic properties of these equilibria. While multiple steady states clearly signal equilibrium multiplicity in the dynamic setup, this is not a necessary condition. Solutions based on log-linearization around a deterministic steady state are of limited to no help in computing the true dynamics. However, the log-linear solution can hint at the presence of multiple dynamic equilibria. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0988930&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AU - Orphanides, Athanasios AD - Unlisted AD - Unlisted T1 - Uncertainty and disagreement in economic forecasting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-56 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1006358; Publication Type: Working Paper; Update Code: 200812 N2 - Using the probabilistic responses from the Survey of Professional Forecasters, we study the evolution of uncertainty and disagreement associated with inflation forecasts in the United States since 1968. We compare and contrast alternative measures summarizing the distributions of mean forecasts and forecast uncertainty across individuals at an approximate one-year-ahead horizon. In light of the heterogeneity in individual uncertainty reflected in the survey responses, we provide quarterly estimates for both average uncertainty and disagreement regarding uncertainty. We propose direct estimation of parametric distributions characterizing the uncertainty across individuals in a manner that mitigates errors associated with rounding and approximation of responses when individual uncertainty is small. Our results indicate that higher average expected inflation is associated with both higher average inflation uncertainty and greater disagreement about the inflation outlook. Disagreement about the mean forecast, however, may be a weak proxy for forecast uncertainty. We also examine the relationship of these measures with the term premia embedded in the term-structure of interest rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1006358&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pruitt, Seth AD - Unlisted T1 - Uncertainty over models and data: the rise and fall of American inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 962 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014203; Publication Type: Working Paper; Update Code: 200902 N2 - An economic agent who is uncertain of her model updates her beliefs in response to the data. The updating is sensitive to measurement error which, in many cases of macroeconomic interest, is apparent from the process of data revision. I make this point through simple illustrations and then analyze a recent model of the Federal Reserve's role in U.S. inflation. The existing model succeeds at fitting inflation to optimal policy, but fails to link inflation to the economic trade-off at the heart of the story. I modify the model to account for data uncertainty and find that doing so ameliorates the existing problems. This suggests that the Fed's model uncertainty is largely overestimated by ignoring data uncertainty. Consequently, now there is an explanation for the rise and fall in inflation: the concurrent rise and fall in the perceived Philips curve trade-off. L3 - http://www.federalreserve.gov/pubs/ifdp/2008/962/ifdp962.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2008/962/ifdp962.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Holland, Sara B. AU - Smith, David C. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Why do U.S. cross-listings matter? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 930 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978153; Publication Type: Working Paper; Update Code: 200807 N2 - This paper investigates the underlying determinants of home bias using a comprehensive sample of U.S. investor holdings of foreign stocks. We document that U.S. cross-listings are economically important, as U.S. ownership in a foreign firm roughly doubles upon cross-listing in the United States. We explore the cross-sectional variation in this "cross-listing effect" and show that increases in U.S. investment are largest in firms from weak accounting backgrounds and in firms that are otherwise informationally opaque, indicating that U.S. investors value the improvements in disclosure associated with cross-listing. We confirm that relative equity valuations rise for cross-listed stocks, and provide evidence suggesting that valuation increases are due in part to increases in U.S. shareholder demand and in part to the fact that the equities become more attractive to non-U.S. shareholders. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978153&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Don H. AD - Unlisted T1 - Zero bound, option-implied PDFs, and term structure models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2008-31 Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0978149; Publication Type: Working Paper; Update Code: 200807 N2 - This paper points out that several known ways of modeling non-negative nominal interest rates lead to different implications for the risk-neutral distribution of the short rate that can be checked with options data. In particular, Black's boundary models ("interest rates as options") imply a probability density function (pdf) that contains a Dirac delta function and a cumulative distribution function (cdf) that is nonzero at the zero boundary, while models like the CIR and positive-definite quadratic-Gaussian (QG) models have a zero cdf at the boundary. Eurodollar futures options data are found to favor Black's boundary models: the CIR/QG models, even multifactor versions, have difficulty capturing option prices accurately not only in low interest rate environments but also in higher interest rate environments, and data in early 2008 provide an almost tangible signature of the Dirac delta function in Black's boundary pdf models. Options data also contradict the prediction of well-known models whose cdf is zero at the zero boundary, namely that the risk-neutral pdf is always positively skewed. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0978149&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Mishkin, Frederic S. T1 - Inflation Dynamics. JO - International Finance JF - International Finance Y1 - 2007///Winter2007 VL - 10 IS - 3 M3 - Article SP - 317 EP - 334 PB - Wiley-Blackwell SN - 13670271 AB - This paper first outlines the key stylized facts about changes in inflation dynamics in recent years: (1) inflation persistence has declined, (2) the Phillips-curve has flattened and (3) inflation has become less responsive to other shocks. These changes in inflation dynamics are interpreted as resulting from an anchoring of inflation expectations as a result of better monetary policy. The paper then goes on to draw implications for monetary policy from this interpretation, as well as implications for inflation forecasts. [ABSTRACT FROM AUTHOR] AB - Copyright of International Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - PHILLIPS curve KW - ECONOMICS KW - MONEY KW - MONETARY policy KW - MONEY supply KW - ECONOMIC policy KW - ECONOMIC indicators N1 - Accession Number: 28024778; Mishkin, Frederic S. 1; Email Address: frederic.mishkin@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Winter2007, Vol. 10 Issue 3, p317; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INFLATION (Finance); Thesaurus Term: PHILLIPS curve; Thesaurus Term: ECONOMICS; Thesaurus Term: MONEY; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEY supply; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMIC indicators; Number of Pages: 18p; Illustrations: 3 Graphs; Document Type: Article L3 - 10.1111/j.1468-2362.2007.00205.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28024778&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Black, Lamont AU - Hancock, Diana AU - Passmore, Wayne T1 - Bank Core Deposits and the Mitigation of Monetary Policy. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2007/12// M3 - Article SP - 1 EP - 34 AB - We consider the business strategy of some banks that provide relationship loans (where they have loan origination and monitoring advantages relative to capital markets) with core deposit funding (where they can pass along the benefit of a sticky price on deposits). These "traditional banks" tend to lend out less than the deposits they take in, so they have a "buffer stock" of core deposits. This buffer stock of core deposits can be used to mitigate the full effect of tighter monetary policy on their bank-dependent borrowers. In this manner, the business strategy of "traditional banks" acts as a "core deposit mitigation channel" to provide funds to bank-dependent borrowers when there are monetary shocks. In effect, there is no bank lending channel of monetary policy associated with these traditional banks. In contrast, other banks mainly rely on managed liabilities that are priced at market rates. These banks do not have to shift from insured deposits to managed liabilities in response to tighter monetary policy. At the margin, their loans are already funded with managed liabilities. For these banks as well, there is no unique bank lending channel of monetary policy. The only banks that are likely to raise loan rates substantially in response to an increase in the federal funds rate are banks with a high proportion of relationship loans that are close to a loan-to-core deposit ratio of one. These banks must substitute higher cost nondeposit liabilities, which have an external finance premium, for core deposits, which do not because of deposit insurance. Some of these banks may also face higher marginal costs as their loan-to-core deposit ratio approaches one because of the costs associated with lending to default-prone relationship borrowers. It is among these banks (which we refer to as high relationship lenders), and only these banks, that we find evidence of a bank lending channel - they significantly reduce lending in response to a monetary contraction. Importantly, these banks hold only a small fraction of U.S. banking assets. Thus, in the United States, the bank lending channel seems limited in scope and importance, mainly because so few banks that specialize in relationship lending switch from core deposits to managed liabilities in response to changes in interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - RELATIONSHIP banking KW - DEPOSIT banking KW - DEPOSIT insurance KW - MONETARY policy KW - MONEYLENDERS KW - ASSET management KW - LOANS KW - UNITED States N1 - Accession Number: 35912772; Black, Lamont 1; Hancock, Diana 1; Passmore, Wayne 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20511; Issue Info: 2007, p1; Thesaurus Term: BANKING industry; Thesaurus Term: RELATIONSHIP banking; Thesaurus Term: DEPOSIT banking; Thesaurus Term: DEPOSIT insurance; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEYLENDERS; Thesaurus Term: ASSET management; Thesaurus Term: LOANS; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 524128 Other Direct Insurance (except Life, Health, and Medical) Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; Number of Pages: 46p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35912772&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oliner, Stephen D. AU - Sichel, Daniel E. AU - Stiroh, Kevin J. T1 - Explaining a Productive Decade. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2007/12// M3 - Article SP - 1 EP - 95 AB - This paper analyzes the sources of U.S. productivity growth in recent years using both aggregate and industry-level data. We confirm the central role for information technology (IT) in the productivity revival during 1995-2000 and show that IT played a significant, though smaller, role after 2000. Productivity growth after 2000 appears to have been boosted by industry restructuring and cost cutting in response to profit pressures, an unlikely source of future strength. In addition, the incorporation of intangible capital into the growth accounting framework takes some of the luster off the performance of labor productivity since 2000 and makes the gain during 1995-2000 look larger than in the official data. Finally, we examine the outlook for trend growth in labor productivity; our estimate, though subject to much uncertainty, is centered at 2-1/4 percent a year, faster than the lackluster pace that prevailed before 1995 but somewhat slower than the 1995-2006 average. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFORMATION technology KW - INDUSTRIAL productivity KW - COST effectiveness KW - LABOR productivity KW - PERFORMANCE standards KW - LABOR KW - BUSINESS development KW - UNITED States N1 - Accession Number: 35912763; Oliner, Stephen D. 1; Sichel, Daniel E. 1; Stiroh, Kevin J. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of New York; Issue Info: 2007, p1; Thesaurus Term: INFORMATION technology; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: COST effectiveness; Thesaurus Term: LABOR productivity; Thesaurus Term: PERFORMANCE standards; Thesaurus Term: LABOR; Thesaurus Term: BUSINESS development; Subject: UNITED States; Number of Pages: 98p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=35912763&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2007-14035-002 AN - 2007-14035-002 AU - Hogarth, Jeanne M. T1 - Sins, sinners, data, and details, commentary by Jeanne M. Hogarth. JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2007///Win 2007 VL - 41 IS - 2 SP - 214 EP - 216 CY - United Kingdom PB - Blackwell Publishing SN - 0022-0078 SN - 1745-6606 AD - Hogarth, Jeanne M. N1 - Accession Number: 2007-14035-002. Partial author list: First Author & Affiliation: Hogarth, Jeanne M.; Consumer Education & Research, Consumer & Community Affairs, Federal Reserve Board, Washington, DC, US. Other Publishers: Wiley-Blackwell Publishing Ltd. Release Date: 20080114. Correction Date: 20151207. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Comment/Reply. Language: English. Major Descriptor: Consumer Surveys; Data Collection; Methodology. Minor Descriptor: Conformity (Personality); Ethnic Identity; Race (Anthropological); Data Sets. Classification: Consumer Psychology (3900). Population: Human (10). References Available: Y. Page Count: 3. Issue Publication Date: Win 2007. AB - Comments on an article by Suzanne Lindamood, Shermand D. Hanna and Lan Bi (see record [rid]2007-14035-001[/rid]). The authors have written an article that invites us all to reflect on the standards and reputation of the field of consumer research. As I read the article, I believe they raised two main issues--how careful we are in our data analysis and how careful we are in reporting our results. Their comments apply not only specifically to the Survey of Consumer Finances (SCF) but also more generally to all data sets and research reporting--for anyone to skip reading this article just because they do not use the SCF would be a serious sin of omission, to say the least. There are some problems raised by the authors that are endogenous to the type of models we build--our unit of analysis may be the household, but many of the control measures we want to use are specific to an individual within the household. The solution to this, as pointed out by the authors, is to clearly define our measures and use the appropriate terms in our writing. For me, the main message of the article is that it is all about respect--respecting the data and respecting the reader. If we as researchers keep this in mind, everything else will fall into place. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - Survey of Consumer Finances data sets KW - consumer finances KW - race KW - ethnicity KW - conformity KW - methodological issues KW - 2007 KW - Consumer Surveys KW - Data Collection KW - Methodology KW - Conformity (Personality) KW - Ethnic Identity KW - Race (Anthropological) KW - Data Sets KW - 2007 DO - 10.1111/j.1745-6606.2007.00075_2.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2007-14035-002&site=ehost-live&scope=site UR - jeanne.m.hogarth@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Bertaut, Carol C. AU - Tryon, Ralph W. T1 - Monthly Estimates of U.S. Cross-border Securities Positions. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2007/11// M3 - Article SP - 2 EP - 52 AB - This paper reports monthly estimates of U.S. cross-border securities positions obtained by combining the (now) annual TIC surveys with monthly transactions data adjusted for various differences in the two reporting standards. Our approach is similar to that of Thomas, Warnock and Wongswan (2004), but in addition to having a somewhat larger dataset we are able to make some simplifications to the numerical procedure used and we incorporate additional adjustments to the transactions data. This paper describes the procedure used and presents the monthly results. In addition, we discuss how the procedure can be extended to extrapolate holdings estimates beyond the most recent survey values. We focus primarily on U.S. liabilities to foreign holders, because more data is available than for U.S. claims, but we show how our methodology can be applied to U.S. claims as well. We also provide some guidance on how the changes in estimated holdings can be decomposed into flows, valuation changes, and other factors. Time series of estimates of holdings, by country, are available for download. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - SECURITIES markets KW - SECURITIES trading KW - INTERNATIONAL finance KW - FEDERAL Reserve banks KW - DEBT-to-equity ratio KW - VALUATION KW - COMMODITY exchanges KW - UNITED States KW - Cross-border Securities Holdings KW - International Investment Position KW - Treasury International Capital N1 - Accession Number: 29982406; Bertaut, Carol C. 1; Tryon, Ralph W. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: 2007, p2; Thesaurus Term: FOREIGN investments; Thesaurus Term: SECURITIES markets; Thesaurus Term: SECURITIES trading; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: DEBT-to-equity ratio; Thesaurus Term: VALUATION; Thesaurus Term: COMMODITY exchanges; Subject: UNITED States; Author-Supplied Keyword: Cross-border Securities Holdings; Author-Supplied Keyword: International Investment Position; Author-Supplied Keyword: Treasury International Capital; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 541990 All Other Professional, Scientific, and Technical Services; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 51p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=29982406&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, Robert M. AU - Sickles, Robin C. T1 - Semiparametric Efficient Distribution Free Estimation of Panel Models. JO - Communications in Statistics: Theory & Methods JF - Communications in Statistics: Theory & Methods Y1 - 2007/10// VL - 36 IS - 13 M3 - Article SP - 2425 EP - 2442 SN - 03610926 AB - This article generalizes results from Park et al. (1998) and Adams et al. (1999) on semiparametric efficient estimation of panel models. The form of semiparametric efficient estimators depends on the statistical assumptions imposed. Normality assumptions on the transitory error are sometimes inappropriate. We relax the normality assumption used in the articles above to derive more general semiparametric efficient estimators. These estimators are illustrated in a Monte Carlo simulation and an analysis of banking productivity. [ABSTRACT FROM AUTHOR] AB - Copyright of Communications in Statistics: Theory & Methods is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ESTIMATION theory KW - REGRESSION analysis KW - BANKING industry KW - ECONOMETRICS KW - MATHEMATICAL analysis KW - ROBUST control KW - Banking efficiency KW - Efficient estimation KW - Information bound KW - Panel models KW - Semiparametric estimation N1 - Accession Number: 26774444; Adams, Robert M. 1; Sickles, Robin C. 2; Email Address: rsickles@rice.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C., USA; 2: Department of Economics, Rice University, Houston, Texas, USA; Issue Info: Oct2007, Vol. 36 Issue 13, p2425; Thesaurus Term: ESTIMATION theory; Thesaurus Term: REGRESSION analysis; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMETRICS; Thesaurus Term: MATHEMATICAL analysis; Subject Term: ROBUST control; Author-Supplied Keyword: Banking efficiency; Author-Supplied Keyword: Efficient estimation; Author-Supplied Keyword: Information bound; Author-Supplied Keyword: Panel models; Author-Supplied Keyword: Semiparametric estimation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 18p; Illustrations: 7 Charts; Document Type: Article L3 - 10.1080/03610920701215563 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26774444&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCracken, Michael W. T1 - Asymptotics for out of sample tests of Granger causality JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2007/10// VL - 140 IS - 2 M3 - Article SP - 719 EP - 752 SN - 03044076 AB - Abstract: This paper presents analytical, Monte Carlo and empirical evidence concerning out-of-sample tests of Granger causality. The environment is one in which the relative predictive ability of two nested parametric regression models is of interest. Results are provided for three statistics: a regression-based statistic suggested by Granger and Newbold [1977. Forecasting Economic Time Series. Academic Press Inc., London], a t-type statistic comparable to those suggested by Diebold and Mariano [1995, Comparing Predictive Accuracy. Journal of Business and Economic Statistics, 13, 253–263] and West [1996. Asymptotic Inference About Predictive Ability, Econometrica, 64, 1067–1084], and an F-type statistic akin to Theil''s U. Since the asymptotic distributions under the null are nonstandard, tables of asymptotically valid critical values are provided. Monte Carlo evidence supports the theoretical results. An empirical example evaluates the predictive content of the Chicago Fed National Activity Index for growth in Industrial Production and core PCE-based inflation. [Copyright &y& Elsevier] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ESTIMATION theory KW - DISTRIBUTION (Probability theory) KW - REGRESSION analysis KW - ECONOMICS -- Statistical methods KW - ECONOMIC forecasting KW - ECONOMETRICS KW - C12 KW - C32 KW - C52 KW - C53 KW - Forecast evaluation KW - Granger causality KW - Hypothesis testing KW - Model selection N1 - Accession Number: 26151664; McCracken, Michael W. 1; Email Address: michael.w.mccracken@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and Constitution N.W., Washington, DC 20551, USA; Issue Info: Oct2007, Vol. 140 Issue 2, p719; Thesaurus Term: ESTIMATION theory; Thesaurus Term: DISTRIBUTION (Probability theory); Thesaurus Term: REGRESSION analysis; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMETRICS; Author-Supplied Keyword: C12; Author-Supplied Keyword: C32; Author-Supplied Keyword: C52; Author-Supplied Keyword: C53; Author-Supplied Keyword: Forecast evaluation; Author-Supplied Keyword: Granger causality; Author-Supplied Keyword: Hypothesis testing; Author-Supplied Keyword: Model selection; Number of Pages: 34p; Document Type: Article L3 - 10.1016/j.jeconom.2006.07.020 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26151664&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - James, John A. AU - Palumbo, Michael G. AU - Thomas, Mark T1 - Consumption smoothing among working-class American families before social insurance. JO - Oxford Economic Papers JF - Oxford Economic Papers Y1 - 2007/10// VL - 59 IS - 4 M3 - Article SP - 606 EP - 640 SN - 14643812 AB - This paper examines the saving decisions of a large sample of turn-of-the-century working-class American families. We decompose each family's reported income into permanent and transitory components and then estimate marginal propensities to save from each component. Marginal propensities to save out of transitory income are large relative to the propensities based on permanent income, though the former lie much below one and the latter much above zero, remarkably similar to results based on contemporary data sets. Smoothing appears to have been primarily at medium rather than low frequencies, more consistent with precautionary than with life-cycle motives. [ABSTRACT FROM AUTHOR] AB - Copyright of Oxford Economic Papers is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAVING & investment KW - INCOME distribution KW - PROPENSITY to save KW - SOCIAL security KW - COST & standard of living KW - CONSUMPTION (Economics) KW - SUPPLY & demand KW - WORKING class families KW - UNITED States N1 - Accession Number: 27475341; James, John A. 1; Palumbo, Michael G. 2; Thomas, Mark 3; Email Address: mt4w@virginia.edu; Affiliations: 1: Department of Economics, University of Virginia; 2: Board of Governors of the Federal Reserve System; 3: Department of History, University of Virginia, PO Box 400180, Randall Hall, Charlottesville, VA 22904, USA; Issue Info: Oct2007, Vol. 59 Issue 4, p606; Thesaurus Term: SAVING & investment; Thesaurus Term: INCOME distribution; Thesaurus Term: PROPENSITY to save; Thesaurus Term: SOCIAL security; Thesaurus Term: COST & standard of living; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: SUPPLY & demand; Subject Term: WORKING class families; Subject: UNITED States; Number of Pages: 35p; Illustrations: 5 Charts, 2 Graphs; Document Type: Article L3 - 10.1093/oep/gpm007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27475341&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gibson, Michael S. T1 - Credit Derivatives and Risk Management. JO - Economic Review (07321813) JF - Economic Review (07321813) Y1 - 2007///2007 4th Quarter VL - 92 IS - 4 M3 - Article SP - 25 EP - 41 SN - 07321813 AB - In this article, the author documents the striking growth of credit derivatives in the U.S. According to the author, market participants--including commercial banks, investment banks and investors-- drive the growth. He discusses a number of the ways that credit derivatives can be useful for risk management. He also explores some significant risk-management challenges posed by credit derivatives. He claims that many of the challenges reflect the immaturity of the credit derivatives market. The author suggests that market participants must address the challenges for the credit derivatives market to develop and mature. KW - CREDIT derivatives KW - RISK management in business KW - MERCHANT banks KW - INVESTMENT banking KW - CAPITALISTS & financiers KW - DERIVATIVE securities KW - SECURITIES markets KW - UNITED States N1 - Accession Number: 28453540; Gibson, Michael S. 1; Affiliation: 1: Deputy associate director, Division of Research and Statistics, Board of Governors of the Federal Reserve System; Source Info: 2007 4th Quarter, Vol. 92 Issue 4, p25; Subject Term: CREDIT derivatives; Subject Term: RISK management in business; Subject Term: MERCHANT banks; Subject Term: INVESTMENT banking; Subject Term: CAPITALISTS & financiers; Subject Term: DERIVATIVE securities; Subject Term: SECURITIES markets; Subject Term: UNITED States; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 17p; Illustrations: 10 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=28453540&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Roush, Jennifer E. T1 - The expectations theory works for monetary policy shocks JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2007/09// VL - 54 IS - 6 M3 - Article SP - 1631 EP - 1643 SN - 03043932 AB - In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails conditional on aggregate supply shocks that prompt an immediate jump in prices. It also finds that policy responses to movements in the term structure play an important role in uncovering evidence for the theory as predicted by McCallum [1994. Monetary policy and the term structure of interest rates. NBER Working Paper Series, no. 4938]. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - RATIONAL expectations (Economic theory) KW - CONSUMPTION (Economics) -- Mathematical models KW - ECONOMIC forecasting KW - MONETARY theory KW - SUPPLY & demand KW - RESEARCH KW - INTEREST rates KW - ECONOMICS -- Statistical methods KW - PRICE increases KW - AUTOREGRESSION (Statistics) KW - POLICY analysis KW - C11 KW - C32 KW - E43 KW - E44 KW - E52 KW - Identification KW - Monetary policy KW - Simultaneity KW - Structural vector autoregression KW - Term structure N1 - Accession Number: 26151618; Roush, Jennifer E. 1; Email Address: jennifer.roush@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep2007, Vol. 54 Issue 6, p1631; Thesaurus Term: MONETARY policy; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: CONSUMPTION (Economics) -- Mathematical models; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONETARY theory; Thesaurus Term: SUPPLY & demand; Thesaurus Term: RESEARCH; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: PRICE increases; Subject Term: AUTOREGRESSION (Statistics); Subject Term: POLICY analysis; Author-Supplied Keyword: C11; Author-Supplied Keyword: C32; Author-Supplied Keyword: E43; Author-Supplied Keyword: E44; Author-Supplied Keyword: E52; Author-Supplied Keyword: Identification; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Simultaneity; Author-Supplied Keyword: Structural vector autoregression; Author-Supplied Keyword: Term structure; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jmoneco.2006.06.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26151618&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. T1 - Productive Capacity, Product Varieties, and the Elasticities Approach to the Trade Balance. JO - Review of International Economics JF - Review of International Economics Y1 - 2007/09// VL - 15 IS - 4 M3 - Article SP - 639 EP - 659 PB - Wiley-Blackwell SN - 09657576 AB - Most macroeconomic models imply that faster income growth tends either to lower a country’s trade balance by raising its imports with little change to its exports or to reduce its terms of trade in order to maintain balanced trade. Krugman (1989 ) proposed a model in which countries grow by producing new varieties of goods. In his model, faster-growing countries are able to export these new goods and maintain balanced trade without suffering any deterioration in their terms of trade. This paper analyzes the growth of US imports from different source countries and finds strong support for Krugman’s model. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of International Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BALANCE of trade KW - INTERNATIONAL trade KW - IMPORTS KW - INTERNATIONAL competition KW - BALANCE of payments KW - UNITED States N1 - Accession Number: 26334673; Gagnon, Joseph E. 1; Email Address: joseph.e.gagnon@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 2000 C Street NW,Washington, DC 20551, USA; Issue Info: Sep2007, Vol. 15 Issue 4, p639; Thesaurus Term: BALANCE of trade; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: IMPORTS; Thesaurus Term: INTERNATIONAL competition; Thesaurus Term: BALANCE of payments; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 21p; Illustrations: 3 Charts, 4 Graphs; Document Type: Article L3 - 10.1111/j.1467-9396.2007.00696.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26334673&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - MINIANE, JACQUES AU - ROGERS, JOHN H. T1 - Capital Controls and the International Transmission of U.S. Money Shocks. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/08// VL - 39 IS - 5 M3 - Article SP - 1003 EP - 1035 PB - Wiley-Blackwell SN - 00222879 AB - We assess whether capital controls effectively insulate countries from U.S. monetary shocks, examining a large range of country experiences in a unified estimation framework. We estimate the effect of identified U.S. monetary shocks on the exchange rate and foreign country interest rates, and test whether countries with less open capital accounts exhibit systematically smaller responses. We find essentially no evidence of this. Other country factors such as the exchange rate regime or degree of dollarization explain more of the cross-country differences in responses. The significant differences in responses we do find are more pronounced at short horizons. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INTEREST rates KW - INTERNATIONAL economic integration KW - INTERNATIONAL markets KW - FOREIGN exchange rates KW - UNITED States -- Foreign economic relations KW - UNITED States KW - capital mobility KW - F32 KW - F34 KW - foreign shocks N1 - Accession Number: 25882153; MINIANE, JACQUES 1; ROGERS, JOHN H. 2; Affiliations: 1: * Jacques Miniane is from the International Monetary Fund ( E-mail: ); 2: † John H. Rogers is from Board of Governors of the Federal Reserve System ( E-mail: ).; Issue Info: Aug2007, Vol. 39 Issue 5, p1003; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rates; Thesaurus Term: INTERNATIONAL economic integration; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: FOREIGN exchange rates; Subject Term: UNITED States -- Foreign economic relations; Subject: UNITED States; Author-Supplied Keyword: capital mobility; Author-Supplied Keyword: F32; Author-Supplied Keyword: F34; Author-Supplied Keyword: foreign shocks; Number of Pages: 33p; Illustrations: 10 Charts, 7 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2007.00056.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=25882153&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kroszner, Randall S. T1 - The Changing Dynamics of Inflation. JO - Business Economics JF - Business Economics Y1 - 2007/07// VL - 42 IS - 3 M3 - Article SP - 7 EP - 13 PB - Palgrave Macmillan Ltd. SN - 0007666X AB - Inflation in the United States and elsewhere has become lower and more stable over the past two decades. It is likely that monetary policy has played an important role in this change in inflation dynamics by creating expectations of stability. This paper traces the evolution of the role of expectations in thinking about inflation, the supporting evidence over the past two decades, and role of central banks in influencing expectations. Increased global integration has magnified these effects. However, the importance of factors other than monetary policy implies that policymakers must consider a wide range of information before acting. Moreover, expectations of inflation stability cannot be taken for granted; and policymakers must be vigilant against complacency. [ABSTRACT FROM AUTHOR] AB - Copyright of Business Economics is the property of Palgrave Macmillan Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - CENTRAL banking industry KW - EFFECT of inflation on the banking industry KW - FINANCE KW - MONETARY policy KW - UNITED States N1 - Accession Number: 26363373; Kroszner, Randall S. 1; Affiliations: 1: Member, Board of Governors, United States Federal Reserve System; Issue Info: Jul2007, Vol. 42 Issue 3, p7; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: EFFECT of inflation on the banking industry; Thesaurus Term: FINANCE; Thesaurus Term: MONETARY policy; Subject: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 7p; Document Type: Article; Full Text Word Count: 5057 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26363373&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. T1 - Obstacles to a global banking system: “Old Europe” versus “New Europe” JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2007/07// VL - 31 IS - 7 M3 - Article SP - 1955 EP - 1973 SN - 03784266 AB - Abstract: “Old Europe” – the developed nations of continental Europe – averages only about 15% foreign bank ownership, whereas “New Europe” – the transition nations of Eastern Europe – averages about 70%. Similar findings hold elsewhere in the world – developed nations tend to have much lower foreign bank ownership shares than developing nations. We examine the causes of the differences within Europe with an eye toward more general conclusions. Our findings suggest that the low foreign bank shares in “Old Europe” – and perhaps developed nations more generally – may primarily result from net comparative disadvantages for foreign banks and relatively high implicit government entry barriers. The high foreign penetration in “New Europe” – and perhaps developing nations more generally – may be due to net comparative advantages for foreign banks and low government entry barriers, particularly in nations that reduced their state bank ownership. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL banking industry KW - STATE banks KW - COMPARATIVE advantage (International trade) KW - BANK holding companies KW - EUROPE, Western -- Economic conditions -- 1945- KW - EUROPE, Eastern -- Economic conditions -- 1989- KW - EUROPE, Western KW - EUROPE, Eastern KW - Banks KW - Cross-border KW - Europe KW - F23 KW - G21 KW - G28 KW - Globalization KW - L10 N1 - Accession Number: 25343049; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets. NW, Mail Stop 153, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; Issue Info: Jul2007, Vol. 31 Issue 7, p1955; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: STATE banks; Thesaurus Term: COMPARATIVE advantage (International trade); Thesaurus Term: BANK holding companies; Subject Term: EUROPE, Western -- Economic conditions -- 1945-; Subject Term: EUROPE, Eastern -- Economic conditions -- 1989-; Subject: EUROPE, Western; Subject: EUROPE, Eastern; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Cross-border; Author-Supplied Keyword: Europe; Author-Supplied Keyword: F23; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: Globalization; Author-Supplied Keyword: L10; NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jbankfin.2007.01.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=25343049&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Levin, Andrew AU - Yun, Tack T1 - Reconsidering the natural rate hypothesis in a New Keynesian framework JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2007/07// VL - 54 IS - 5 M3 - Article SP - 1344 EP - 1365 SN - 03043932 AB - This paper formulates a stylized New Keynesian model in which each individual firm can select the frequency of its price adjustments. The endogeneity of contract duration has a dramatic impact on the magnitude of the aggregate effects of steady-state inflation. With a plausible calibration of the magnitude of menu costs and other structural parameters, this model predicts a relationship between steady-state inflation and the frequency of price adjustment that is reasonably close to the empirical findings of cross-country studies. Furthermore, at moderate inflation rates, steady-state inflation generates relative price distortions that have a non-trivial impact on aggregate output, but this impact wanes and eventually disappears at much higher annual inflation rates because the frequency of price adjustment approaches that of the flexible-price economy. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - KEYNESIAN economics KW - ECONOMICS KW - INFLATION (Finance) KW - COST KW - ECONOMIC models KW - BUSINESS enterprises KW - ECONOMIC aspects KW - E31 KW - E52 KW - Endogenous contract duration KW - Indexation KW - Natural rate hypothesis N1 - Accession Number: 26151628; Levin, Andrew 1; Yun, Tack; Email Address: tack.yun@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Jul2007, Vol. 54 Issue 5, p1344; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: ECONOMICS; Thesaurus Term: INFLATION (Finance); Thesaurus Term: COST; Thesaurus Term: ECONOMIC models; Thesaurus Term: BUSINESS enterprises; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: E31; Author-Supplied Keyword: E52; Author-Supplied Keyword: Endogenous contract duration; Author-Supplied Keyword: Indexation; Author-Supplied Keyword: Natural rate hypothesis; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jmoneco.2007.06.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26151628&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. AU - Chaboud, Alain P. T1 - What Can the Data Tell Us about Carry Trades in Japanese Yen? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2007/07// M3 - Article SP - 1 EP - 29 AB - This paper examines the available data that may shed light on the carry trade in Japanese yen. We define an individual or a sector to be engaged in the carry trade if it has a short position in yen and a long position in other currencies. The tendency of large yen movements to be skewed toward appreciations is consistent with the existence of substantial carry positions, and other evidence from market prices provides some modest support for an effect from the carry trade. Data on bank loans and bond holdings by currency reveal a large apparent yen carry position of the Japanese official sector and modest carry positions in the Japanese and foreign banking sectors. The Japanese private non-banking sector has a large long foreign-currency position, but does not have a short yen position, and is thus not engaged in the yen carry trade in the aggregate. However, it is possible that exporters and investors in Japan use the derivatives markets to hedge some of their long foreign-currency exposure, with the private non-banking sector outside of Japan (including most hedge funds) likely to be taking on most of the associated carry exposure. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL institutions KW - YEN (Japanese currency) KW - MONEY market KW - HEDGE funds KW - MARKET prices KW - COMMERCIAL credit KW - SMALL business loans KW - FOREIGN banking industry KW - JAPAN KW - foreign exchange KW - hedge fund KW - interest rate parity N1 - Accession Number: 28529523; Gagnon, Joseph E. 1; Chaboud, Alain P. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2007, preceding p1; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: YEN (Japanese currency); Thesaurus Term: MONEY market; Thesaurus Term: HEDGE funds; Thesaurus Term: MARKET prices; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: SMALL business loans; Thesaurus Term: FOREIGN banking industry; Subject: JAPAN; Author-Supplied Keyword: foreign exchange; Author-Supplied Keyword: hedge fund; Author-Supplied Keyword: interest rate parity; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28529523&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Han, Song AU - Li, Wenli T1 - Fresh Start or Head Start? The Effects of Filing for Personal Bankruptcy on Work Effort. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2007/06// VL - 31 IS - 2/3 M3 - Article SP - 123 EP - 152 SN - 09208550 AB - The key feature of the modern US personal bankruptcy law is to provide debtors a financial fresh start through debt discharge. It has long been believed that the primary goal of the discharge policy is to preserve human capital by maintaining incentives to work. We provide the first test of this fresh start argument by estimating the effect of personal bankruptcy filing on work effort using data from the Panel Study of Income Dynamics. Our econometric approach controls for the endogenous self-selection of bankruptcy filing. We find that filing for bankruptcy does not have a positive impact on annual work hours for bankrupt households, a result mainly due to the wealth effects of debt discharge. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKRUPTCY KW - DISCHARGE of debt KW - HUMAN capital KW - BUSINESS failures KW - WEALTH management services KW - ECONOMETRICS KW - D14 KW - fresh start KW - J22 KW - K35 KW - labor supply KW - Personal bankruptcy KW - wealth effect N1 - Accession Number: 26090257; Han, Song 1; Email Address: Song.Han@frb.gov; Li, Wenli 2; Email Address: Wenli.li@phil.frb.org; Affiliations: 1: Division of Research and Statistics, Stop 89 , Board of Governors of the Federal Reserve System , Washington 20551 USA; 2: Department of Research , Federal Reserve Bank of Philadelphia , Ten Independence Mall Philadelphia 19106 USA; Issue Info: Jun2007, Vol. 31 Issue 2/3, p123; Thesaurus Term: BANKRUPTCY; Thesaurus Term: DISCHARGE of debt; Thesaurus Term: HUMAN capital; Thesaurus Term: BUSINESS failures; Thesaurus Term: WEALTH management services; Thesaurus Term: ECONOMETRICS; Author-Supplied Keyword: D14; Author-Supplied Keyword: fresh start; Author-Supplied Keyword: J22; Author-Supplied Keyword: K35; Author-Supplied Keyword: labor supply; Author-Supplied Keyword: Personal bankruptcy; Author-Supplied Keyword: wealth effect; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 30p; Illustrations: 10 Charts, 2 Graphs; Document Type: Article L3 - 10.1007/s10693-006-0001-0 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26090257&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gruber, Joseph W. AU - Kamin, Steven B. T1 - Explaining the global pattern of current account imbalances JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2007/06// VL - 26 IS - 4 M3 - Article SP - 500 EP - 522 SN - 02615606 AB - Abstract: We assess some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years, particularly the large U.S. current account deficit and the large surpluses of the Asian developing economies. Adopting a panel-regression approach, as in Chinn and Prasad (2003. Medium-term determinants of current accounts in industrial and developing countries: an empirical exploration. Journal of International Economics 59, 47–76), we find that the Asian surpluses are well explained by a model that incorporates, in addition to standard determinants, the impact of financial crises on current accounts. However, our model, even when augmented by measures of institutional quality, fails to explain the large U.S. current account deficit. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SECURITIES markets KW - FINANCIAL crises KW - BUSINESS cycles KW - UNITED States KW - Capital flows KW - Current account KW - Financial crisis N1 - Accession Number: 25104363; Gruber, Joseph W.; Email Address: joseph.w.gruber@frb.gov; Kamin, Steven B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, International Finance Division, Washington DC 20551, USA; Issue Info: Jun2007, Vol. 26 Issue 4, p500; Thesaurus Term: SECURITIES markets; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BUSINESS cycles; Subject: UNITED States; Author-Supplied Keyword: Capital flows; Author-Supplied Keyword: Current account; Author-Supplied Keyword: Financial crisis; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jimonfin.2007.03.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=25104363&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERGER, ALLEN N. AU - DICK, ASTRID A. T1 - Entry into Banking Markets and the Early-Mover Advantage. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/06// VL - 39 IS - 4 M3 - Article SP - 775 EP - 807 PB - Wiley-Blackwell SN - 00222879 AB - Using a sample for 1972–2002 with over 10,000 bank entries into local markets, we find a market share advantage for early entrants. In particular, the earlier a bank enters, the larger is its market share relative to other banks, controlling for firm, market, and time effects, with a market share advantage for early movers between 1 and 15 percentage points, depending on the order of entry. The strongest early-mover advantage is for banks that were in our sample in 1972 and survive into the 1990s. Moreover, early entrants appear to have such hold in the market by strategically investing in larger branch networks. Even controlling for the potential survivorship bias, we find that a bank's share decreases by 0.1 percentage points for a change in its order of entry from nth to ( n+ 1)th. High growth markets show a smaller difference between late and early movers, consistent with a larger fraction of consumers yet to be locked in with a bank in these markets. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - MARKET entry KW - MARKET share KW - CORPORATIONS -- Growth KW - ECONOMIC aspects KW - EVALUATION KW - COMPETITION KW - banks KW - firm strategy KW - first-mover advantage KW - G2 KW - L1 KW - market entry KW - market structure N1 - Accession Number: 25317631; BERGER, ALLEN N. 1; DICK, ASTRID A. 2; Affiliations: 1: * Allen N. Berger is at the Board of Governors of the Federal Reserve System, Washington, D.C., and at Wharton Financial Institutions Center, Philadelphia ( E-mail: ).; 2: † Astrid A. Dick is at INSEAD Business School, Fontainebleau, France ( E-mail: ).; Issue Info: Jun2007, Vol. 39 Issue 4, p775; Thesaurus Term: BANKING industry; Thesaurus Term: MARKET entry; Thesaurus Term: MARKET share; Thesaurus Term: CORPORATIONS -- Growth; Subject Term: ECONOMIC aspects; Subject Term: EVALUATION; Subject Term: COMPETITION; Author-Supplied Keyword: banks; Author-Supplied Keyword: firm strategy; Author-Supplied Keyword: first-mover advantage; Author-Supplied Keyword: G2; Author-Supplied Keyword: L1; Author-Supplied Keyword: market entry; Author-Supplied Keyword: market structure; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 33p; Illustrations: 13 Charts; Document Type: Article L3 - 10.1111/j.1538-4616.2007.00046.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=25317631&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Williams, John C. T1 - Inflation Targeting under Imperfect Knowledge. JO - FRBSF Economic Letter JF - FRBSF Economic Letter Y1 - 2007/05/05/2007 Economic Review VL - 2007 M3 - Article SP - 1 EP - 23 PB - Federal Reserve Bank of San Francisco SN - 0890927X AB - The article examines the role of key elements of the inflation targeting framework in the context of an economy where economic agents have an imperfect understanding of the macroeconomic landscape. To emphasize the concept of inflation targeting, the authors cite the monetary policy of the U.S. They conclude that simple difference rules at inflation expectations to the central bank's goal achieve superior stabilization of inflation and economic activity. KW - INFLATION (Finance) KW - ECONOMIC policy KW - CENTRAL banking industry KW - MACROECONOMICS KW - MONETARY policy KW - ECONOMIC activity N1 - Accession Number: 25313789; Orphanides, Athanasios 1 Williams, John C. 2; Affiliation: 1: Senior Adviser, Board of Governors of the Federal Reserve System 2: Senior Vice President, Advisor Federal Reserve Bank of San Francisco; Source Info: 2007 Economic Review, Vol. 2007, p1; Subject Term: INFLATION (Finance); Subject Term: ECONOMIC policy; Subject Term: CENTRAL banking industry; Subject Term: MACROECONOMICS; Subject Term: MONETARY policy; Subject Term: ECONOMIC activity; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 23p; Illustrations: 2 Charts, 17 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=25313789&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Gürkaynak, Refet S. AU - Levin, Andrew T. AU - Marder, Andrew N. AU - Swanson, Eric T. T1 - Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere. JO - FRBSF Economic Letter JF - FRBSF Economic Letter Y1 - 2007/05/05/2007 Economic Review VL - 2007 M3 - Article SP - 25 EP - 47 PB - Federal Reserve Bank of San Francisco SN - 0890927X AB - The article examines the success of inflation targeting in anchoring long-term inflation expectations in three Western Hemisphere countries including Canada, Chile, and the U.S. Using the bond yield data, the authors compared the behavior of long-term nominal and indexed bond yields in response to the economic growth in these countries. The result suggested that the presence of inflation can play an important role in anchoring inflation expectation in emerging market economies. KW - INFLATION (Finance) KW - INFLATION-indexed bonds KW - CAPITALISM KW - ECONOMIC indicators KW - EMERGING markets KW - WESTERN Hemisphere N1 - Accession Number: 25313790; Gürkaynak, Refet S. 1 Levin, Andrew T. 2 Marder, Andrew N. Swanson, Eric T. 3; Affiliation: 1: Assistant Professor, Bilkent University 2: Assistant Director, Section Chief, Board of Governors of the Federal Reserve System 3: Research Advisor Federal Reserve Bank of San Francisco; Source Info: 2007 Economic Review, Vol. 2007, p25; Subject Term: INFLATION (Finance); Subject Term: INFLATION-indexed bonds; Subject Term: CAPITALISM; Subject Term: ECONOMIC indicators; Subject Term: EMERGING markets; Subject Term: WESTERN Hemisphere; Number of Pages: 27p; Illustrations: 7 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=25313790&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Faust, Jon AU - Rogers, John H. AU - Wang, Shing-Yi B. AU - Wright, Jonathan H. T1 - The high-frequency response of exchange rates and interest rates to macroeconomic announcements JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2007/05// VL - 54 IS - 4 M3 - Article SP - 1051 EP - 1068 SN - 03043932 AB - The joint movements of exchange rates and U.S. and foreign term structures over short-time windows around macro announcements are studied using a 14-year span of high-frequency data. In order to evaluate whether the joint effects can be reconciled with conventional theory, the implications of these joint movements for changes in expected future exchange rates and changes in foreign exchange risk premia are deduced. For several real macro announcements, a stronger than expected release appreciates the dollar today, and must either (i) lower the risk premium for holding foreign currency rather than dollars, or (ii) imply net expected dollar depreciation over the ensuing decade. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS -- Research KW - FOREIGN exchange rates KW - INTEREST rates KW - MACROECONOMICS KW - MONETARY policy KW - FOREIGN exchange KW - RISK premiums KW - FOREIGN exchange rate risk KW - C22 KW - Data releases KW - Exchange rates KW - F31 KW - Overshooting KW - Uncovered interest parity N1 - Accession Number: 24867413; Faust, Jon 1; Rogers, John H. 1; Email Address: John.H.Rogers@frb.gov; Wang, Shing-Yi B. 2; Wright, Jonathan H. 3; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Department of Economics, Yale University, USA; 3: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: May2007, Vol. 54 Issue 4, p1051; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INTEREST rates; Thesaurus Term: MACROECONOMICS; Thesaurus Term: MONETARY policy; Thesaurus Term: FOREIGN exchange; Thesaurus Term: RISK premiums; Thesaurus Term: FOREIGN exchange rate risk; Author-Supplied Keyword: C22; Author-Supplied Keyword: Data releases; Author-Supplied Keyword: Exchange rates; Author-Supplied Keyword: F31; Author-Supplied Keyword: Overshooting; Author-Supplied Keyword: Uncovered interest parity; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.jmoneco.2006.05.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24867413&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Campbell, Sean D. T1 - Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2007/04// VL - 25 IS - 2 M3 - Article SP - 191 EP - 200 SN - 07350015 AB - I examine the extent to which the large decline in observed real output volatility, that is, the great moderation, can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability using forecasts of future real output growth from tile Survey of Professional Forecasters (SPF). The results indicate that both predictability and uncertainty have declined over the great moderation. The results indicate that measuring the decline in macroeconomic uncertainty with the volatility of shocks from a fixed-parameter autoregressive model overstates the decline in uncertainty by between 20% and 25%. I examine how this overstatement affects predictions of the equity premium in the consumption capital asset pricing model (CCAPM), and I relate the decline in predictability to a significant change in the relationship between SPF forecasts and key measures of current macroeconomic performance. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - VOLATILITY (Finance) KW - ECONOMIC forecasting KW - REGRESSION analysis KW - ECONOMIC models KW - UNCERTAINTY KW - Great moderation KW - Predictability KW - Uncertainty KW - Volatility N1 - Accession Number: 24808652; Campbell, Sean D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Apr2007, Vol. 25 Issue 2, p191; Thesaurus Term: MACROECONOMICS; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: REGRESSION analysis; Thesaurus Term: ECONOMIC models; Subject Term: UNCERTAINTY; Author-Supplied Keyword: Great moderation; Author-Supplied Keyword: Predictability; Author-Supplied Keyword: Uncertainty; Author-Supplied Keyword: Volatility; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24808652&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kroszner, Randall S. AU - Laeven, Luc AU - Klingebiel, Daniela T1 - Banking crises, financial dependence, and growth JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2007/04// VL - 84 IS - 1 M3 - Article SP - 187 EP - 228 SN - 0304405X AB - Abstract: This paper contributes to the literature that analyzes the mechanisms linking financial shocks and real activity. In particular, we investigate the growth impact of banking crises on industries with different levels of dependence on external finance. If banks are the key institutions allowing credit constraints to be relaxed, then a sudden loss of these intermediaries in a system in which such intermediaries are important should have a disproportionately contractionary impact on the sectors that flourished due to their reliance on banks. Using data from 38 developed and developing countries that experienced financial crises during the last quarter century, we find that those sectors that are highly dependent on external finance tend to experience a substantially greater contraction of value added during a banking crisis in countries with deeper financial systems than in countries with shallower financial systems. Our results do not suggest, however, that on net the externally dependent firms fare worse in deep financial systems. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCE KW - BANKING industry KW - FINANCIAL crises KW - ECONOMICS -- Research KW - VALUE added (Marketing) KW - INTERNATIONAL finance KW - DEVELOPING countries KW - ECONOMIC aspects KW - Banking and financial crises KW - Credit channel KW - Financial development KW - Financing constraints KW - G21 KW - O16 N1 - Accession Number: 24546845; Kroszner, Randall S. 1; Laeven, Luc 2,3; Email Address: llaeven@imf.org; Klingebiel, Daniela 4; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551, USA; 2: International Monetary Fund, 700 19th Street, NW, Washington, DC 20431, USA; 3: CEPR, 90-98 Goswell Road, London, EC1 V 7RR, United Kingdom; 4: World Bank, 1818 H Street, NW, Washington, DC 20433, USA; Issue Info: Apr2007, Vol. 84 Issue 1, p187; Thesaurus Term: FINANCE; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL crises; Thesaurus Term: ECONOMICS -- Research; Thesaurus Term: VALUE added (Marketing); Thesaurus Term: INTERNATIONAL finance; Subject Term: DEVELOPING countries; Subject Term: ECONOMIC aspects; Author-Supplied Keyword: Banking and financial crises; Author-Supplied Keyword: Credit channel; Author-Supplied Keyword: Financial development; Author-Supplied Keyword: Financing constraints; Author-Supplied Keyword: G21; Author-Supplied Keyword: O16; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 42p; Document Type: Article L3 - 10.1016/j.jfineco.2006.05.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24546845&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Dvorak, Tomas AU - Warnock, Francis E. T1 - The Stability of Large External Imbalances: The Role of Returns Differentials. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2007/04// M3 - Working Paper SP - 1 EP - 50 AB - Were the U.S. to persistently earn substantially more on its foreign investments (‘U.S. claims’) than foreigners earn on their U.S. investments (‘U.S. liabilities’), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, utilizing data on the actual foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential of U.S. claims over U.S. liabilities is essentially zero. Ending our sample in 2005, the differential is positive, whereas through 2004 it is negative; in both cases the differential is statistically indecipherable from zero. Moreover, were it not for the poor timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to the subsequent underperformance (or strong performance) of equities, the returns differential would be even lower. Thus, in the context of equity and bond portfolios we find no evidence that the U.S. can count on earning more on its claims than it pays on its liabilities. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - INTERNATIONAL economic relations KW - INTERNATIONAL finance KW - CORPORATE tax planning KW - CAPITAL movements KW - FINANCE KW - INVESTMENTS KW - TAX havens KW - UNITED States KW - current account imbalances KW - international investment N1 - Accession Number: 27407935; Curcuru, Stephanie E. 1; Dvorak, Tomas 2; Warnock, Francis E. 3; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Union College; 3: Darden Graduate School of Business, University of Virginia Institute for International Integration Studies, Trinity College Dublin National Bureau of Economic Research; Issue Info: 2007, p1; Thesaurus Term: FOREIGN investments; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: CORPORATE tax planning; Thesaurus Term: CAPITAL movements; Thesaurus Term: FINANCE; Thesaurus Term: INVESTMENTS; Thesaurus Term: TAX havens; Subject: UNITED States; Author-Supplied Keyword: current account imbalances; Author-Supplied Keyword: international investment; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 50p; Illustrations: 9 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27407935&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kroszner, Randall S. T1 - THE CONQUEST OF WORLDWIDE INFLATION: CURRENCY COMPETITION AND ITS IMPLICATIONS FOR INTEREST RATES AND THE YIELD CURVE. JO - CATO Journal JF - CATO Journal Y1 - 2007///Spring/Summer2007 VL - 27 IS - 2 M3 - Article SP - 135 EP - 147 PB - Cato Institute SN - 02733072 AB - The article argues that globalization, deregulation and financial innovation, as well as experiences of high inflation in the 1980s, have fostered currency competition that has led to improved central bank performance, and the conquest of worldwide inflation. A worldwide decline in inflation in the 1990s was a result of the increased competition among currencies, which, in effect, allowed improvements in central bank independence, governance and credibility. From the average 7% inflation rate in the 1980s this has fallen to 2% in the 2000s. KW - INFLATION (Finance) KW - GLOBALIZATION KW - MONEY KW - CENTRAL banking industry KW - DEREGULATION KW - ECONOMIC aspects KW - COMPETITION N1 - Accession Number: 26266303; Kroszner, Randall S. 1; Affiliation: 1: Member of Board of Governors of the Federal Reserve System; Source Info: Spring/Summer2007, Vol. 27 Issue 2, p135; Subject Term: INFLATION (Finance); Subject Term: GLOBALIZATION; Subject Term: MONEY; Subject Term: CENTRAL banking industry; Subject Term: DEREGULATION; Subject Term: ECONOMIC aspects; Subject Term: COMPETITION; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=26266303&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kroszner, Randall S. T1 - THE CONQUEST OF WORLDWIDE INFLATION: CURRENCY COMPETITION AND ITS IMPLICATIONS FOR INTEREST RATES AND THE YIELD CURVE. JO - CATO Journal JF - CATO Journal Y1 - 2007///Spring/Summer2007 VL - 27 IS - 2 M3 - Article SP - 135 EP - 147 PB - Cato Institute SN - 02733072 AB - The article argues that globalization, deregulation and financial innovation, as well as experiences of high inflation in the 1980s, have fostered currency competition that has led to improved central bank performance, and the conquest of worldwide inflation. A worldwide decline in inflation in the 1990s was a result of the increased competition among currencies, which, in effect, allowed improvements in central bank independence, governance and credibility. From the average 7% inflation rate in the 1980s this has fallen to 2% in the 2000s. KW - INFLATION (Finance) KW - GLOBALIZATION KW - MONEY KW - CENTRAL banking industry KW - DEREGULATION KW - ECONOMIC aspects KW - COMPETITION N1 - Accession Number: 26266303; Kroszner, Randall S. 1; Affiliations: 1: Member of Board of Governors of the Federal Reserve System; Issue Info: Spring/Summer2007, Vol. 27 Issue 2, p135; Thesaurus Term: INFLATION (Finance); Thesaurus Term: GLOBALIZATION; Thesaurus Term: MONEY; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: DEREGULATION; Subject Term: ECONOMIC aspects; Subject Term: COMPETITION; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26266303&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GERTLER, MARK AU - GILCHRIST, SIMON AU - NATALUCCI, FABIO M. T1 - External Constraints on Monetary Policy and the Financial Accelerator. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/03// VL - 39 IS - 2/3 M3 - Article SP - 295 EP - 330 PB - Wiley-Blackwell SN - 00222879 AB - We develop a small open economy macroeconomic model where financial conditions influence aggregate behavior. Our goal is to explore the connection between the exchange rate regime and financial distress. We first show that a calibrated version of the model captures well the behavior of the Korean economy during its financial crisis period of 1997–98. In particular, the model accounts for the sharp increase in lending rates and the large drop in output, employment, investment, and measured productivity. The financial market frictions play an important role, further, explaining roughly half the decline in overall economic activity. We then perform some counterfactual exercises to illustrate how the fixed exchange rate regime likely exacerbated the crisis by tying the hands of monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CURRENCY crises KW - FOREIGN exchange rates KW - FINANCIAL crises KW - CENTRAL banking industry KW - KOREA (South) -- Economic conditions -- 1960-1988 KW - KOREA KW - E5 KW - exchange rate policy KW - F3 KW - F4 KW - financial crises N1 - Accession Number: 24814560; GERTLER, MARK 1; GILCHRIST, SIMON 2; NATALUCCI, FABIO M. 3; Affiliations: 1: *New York University and NBER (E-mail: ); 2: †Boston University and NBER (E-mail: ); 3: ‡Board of Governors of the Federal Reserve System (E-mail: ).; Issue Info: Mar2007, Vol. 39 Issue 2/3, p295; Thesaurus Term: CURRENCY crises; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FINANCIAL crises; Thesaurus Term: CENTRAL banking industry; Subject Term: KOREA (South) -- Economic conditions -- 1960-1988; Subject: KOREA; Author-Supplied Keyword: E5; Author-Supplied Keyword: exchange rate policy; Author-Supplied Keyword: F3; Author-Supplied Keyword: F4; Author-Supplied Keyword: financial crises; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 36p; Illustrations: 2 Charts, 9 Graphs; Document Type: Article L3 - 10.1111/j.0022-2879.2007.00027.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24814560&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERGER, ALLEN N. AU - DICK, ASTRID A. AU - GOLDBERG, LAWRENCE G. AU - WHITE, LAWRENCE J. T1 - Competition from Large, Multimarket Firms and the Performance of Small, Single-Market Firms: Evidence from the Banking Industry. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/03// VL - 39 IS - 2/3 M3 - Article SP - 331 EP - 368 PB - Wiley-Blackwell SN - 00222879 AB - We offer and test two competing hypotheses for the consolidation trend in banking using U.S. banking industry data over the period 1982–2000. Under the efficiency hypothesis, technological progress improved the performance of large, multimarket firms relative to small, single-market firms, whereas under the hubris hypothesis, consolidation was largely driven by corporate hubris. Our results are consistent with an empirical dominance of the efficiency hypothesis over the hubris hypothesis—on net, technological progress allowed large, multimarket banks to compete more effectively against small, single-market banks in the 1990s than in the 1980s. We also isolate the extent to which technological progress occurred through scale versus geographic effects and how they affected the performance of small, single-market banks through revenues versus costs. The results may shed light as well on some of the research and policy issues related to community banking. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - ECONOMIES of scale KW - RETAIL banking KW - CONSOLIDATION & merger of corporations KW - BIG business KW - BUSINESS enterprises -- Size KW - bank size KW - banks KW - community banking KW - G21 KW - G28 KW - L11 KW - multimarket banks KW - O33 KW - technological progress N1 - Accession Number: 24814559; BERGER, ALLEN N. 1; DICK, ASTRID A. 2; GOLDBERG, LAWRENCE G. 3; WHITE, LAWRENCE J. 4; Affiliations: 1: *Board of Governors of the Federal Reserve System, Wharton Financial Institutions Center, Philadelphia (E-mail: ); 2: †Federal Reserve Bank of New York (E-mail: ); 3: ‡Department of Finance, University of Miami (deceased); 4: §Stern School of Business, New York University (E-mail: ).; Issue Info: Mar2007, Vol. 39 Issue 2/3, p331; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMIES of scale; Thesaurus Term: RETAIL banking; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: BIG business; Thesaurus Term: BUSINESS enterprises -- Size; Author-Supplied Keyword: bank size; Author-Supplied Keyword: banks; Author-Supplied Keyword: community banking; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: L11; Author-Supplied Keyword: multimarket banks; Author-Supplied Keyword: O33; Author-Supplied Keyword: technological progress; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522130 Credit Unions; Number of Pages: 38p; Illustrations: 5 Charts; Document Type: Article L3 - 10.1111/j.0022-2879.2007.00028.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24814559&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCARTHY, JONATHAN AU - ZAKRAJŠEK, EGON T1 - Inventory Dynamics and Business Cycles: What Has Changed? JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/03// VL - 39 IS - 2/3 M3 - Article SP - 591 EP - 613 PB - Wiley-Blackwell SN - 00222879 AB - To what extent can information-technology led improvements in inventory management account for the apparent moderation of economic fluctuations in the United States since the mid-1980s? We argue that changes in inventory dynamics played a reinforcing—rather than a leading—role in the reduction of output volatility. Since the mid-1980s, inventory dynamics have changed in a manner consistent with a faster resolution of inventory imbalances. However, these changes appear to be a consequence of changes in the response of industry-level sales and aggregate economic activity to monetary policy shocks. Our results suggest that it is the interaction between the changes in inventory behavior at the industry level and the macroeconomic environment—where the latter likely includes changes in the conduct of monetary policy and the responses of the economy to policy disturbances—rather than any single factor, that has contributed importantly to the observed decline in economic volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS domestic product KW - MONETARY policy KW - MACROECONOMICS KW - MANUFACTURING industries KW - INVENTORY management systems KW - INFORMATION technology KW - BUSINESS cycles KW - UNITED States KW - D24 KW - E22 KW - E32 KW - GDP volatility KW - inventory dynamics KW - monetary policy N1 - Accession Number: 24814550; McCARTHY, JONATHAN 1; ZAKRAJŠEK, EGON 2; Affiliations: 1: *Research Department, Federal Reserve Bank of New York, New York E-mail: ); 2: †Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington DC (E-mail: ).; Issue Info: Mar2007, Vol. 39 Issue 2/3, p591; Thesaurus Term: GROSS domestic product; Thesaurus Term: MONETARY policy; Thesaurus Term: MACROECONOMICS; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: INVENTORY management systems; Thesaurus Term: INFORMATION technology; Thesaurus Term: BUSINESS cycles; Subject: UNITED States; Author-Supplied Keyword: D24; Author-Supplied Keyword: E22; Author-Supplied Keyword: E32; Author-Supplied Keyword: GDP volatility; Author-Supplied Keyword: inventory dynamics; Author-Supplied Keyword: monetary policy; Number of Pages: 23p; Illustrations: 6 Charts, 2 Graphs; Document Type: Article L3 - 10.1111/j.0022-2879.2007.00037.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24814550&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ferreira, Daniel AU - Rezende, Marcelo T1 - Corporate strategy and information disclosure. JO - RAND Journal of Economics (Wiley-Blackwell) JF - RAND Journal of Economics (Wiley-Blackwell) Y1 - 2007/03// VL - 38 IS - 1 M3 - Article SP - 164 EP - 184 PB - Wiley-Blackwell SN - 07416261 N1 - Accession Number: 90776009; Ferreira, Daniel 1; Rezende, Marcelo 2; Affiliations: 1: *London School of Economics and Political Science, CEPR and ECGI; d.ferreira@lse.ac.uk.; 2: **Board of Governors of the Federal Reserve System; marcelo.rezende@frb.gov.; Issue Info: 2007, Vol. 38 Issue 1, p164; Number of Pages: 21p; Document Type: Article L3 - 10.1111/j.1756-2171.2007.tb00050.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=90776009&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - LAFORTE, JEAN-PHILIPPE T1 - Pricing Models: A Bayesian DSGE Approach for the U.S. Economy. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/02/02/Feb2007 Supplement VL - 39 M3 - Article SP - 127 EP - 154 PB - Wiley-Blackwell SN - 00222879 AB - This paper compares and estimates three pricing mechanisms in the context of a small DSGE model of the U.S. economy. We interpret our results as favoring the pricing mechanism presented in Wolman (1999 Wolman model) over the New Keynesian model with indexation (Gali and Gertler 1999, Smets and Wouters 2004a) and the sticky information model of Mankiw and Reis (2002). The key factor that explains the performance of the Wolman model is that the data reject the key assumption of the New Keynesian model that the firm's probability of price change is constant over time and independent of the contract's vintage. Our results also show that incorporating indexation in the New Keynesian model represents a poor expedient in matching the autocorrelation function of the inflation process over the last 20 years. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BAYESIAN analysis KW - CORRELATION (Statistics) KW - KEYNESIAN economics KW - ECONOMICS -- Mathematical models KW - MATHEMATICAL models KW - ECONOMIC indicators KW - RESEARCH KW - STUDY & teaching KW - Bayesian analysis KW - C11 KW - C52 KW - DSGE models KW - E31 KW - inflation persistence N1 - Accession Number: 24075311; LAFORTE, JEAN-PHILIPPE 1; Affiliations: 1: * Jean-Philippe Laforte is an Economist in the Macroeconomic and Quantitative Studies Section at the Board of Governors of the Federal Reserve System (E-mail: ).; Issue Info: Feb2007 Supplement, Vol. 39, p127; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: KEYNESIAN economics; Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: RESEARCH; Subject Term: STUDY & teaching; Author-Supplied Keyword: Bayesian analysis; Author-Supplied Keyword: C11; Author-Supplied Keyword: C52; Author-Supplied Keyword: DSGE models; Author-Supplied Keyword: E31; Author-Supplied Keyword: inflation persistence; Number of Pages: 28p; Illustrations: 5 Charts, 3 Graphs; Document Type: Article L3 - 10.1111/j.1538-4616.2007.00018.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24075311&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - RUDD, JEREMY AU - WHELAN, KARL T1 - Modeling Inflation Dynamics: A Critical Review of Recent Research. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/02/02/Feb2007 Supplement VL - 39 M3 - Article SP - 155 EP - 170 PB - Wiley-Blackwell SN - 00222879 AB - In recent years, a broad academic consensus has arisen that favors using rational expectations sticky-price models to capture inflation dynamics. We review the principal conclusions of this literature concerning: (1) the ability of these models to fit the data; (2) the importance of rational forward-looking expectations in price setting; and (3) the appropriate measure of inflationary pressures. We argue that existing models fail to provide a useful empirical description of the inflation process. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Wiley-Blackwell) is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PHILLIPS curve KW - RATIONAL expectations (Economic theory) KW - ECONOMICS -- Mathematical models KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - E31 KW - Phillips curve KW - rational expectations KW - sticky prices N1 - Accession Number: 24075310; RUDD, JEREMY 1; WHELAN, KARL 2; Affiliations: 1: *Senior Economist in the Division of Research and Statistics, Board of Governors of the Federal Reserve System (E-mail: ).; 2: †Deputy Head in the Economic Analysis and Research Department, Central Bank and Financial Services Authority of Ireland (E-mail: ).; Issue Info: Feb2007 Supplement, Vol. 39, p155; Thesaurus Term: PHILLIPS curve; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INFLATION (Finance); Author-Supplied Keyword: E31; Author-Supplied Keyword: Phillips curve; Author-Supplied Keyword: rational expectations; Author-Supplied Keyword: sticky prices; Number of Pages: 16p; Illustrations: 2 Charts, 1 Graph; Document Type: Article L3 - 10.1111/j.1538-4616.2007.00019.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24075310&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - KOHN, DONALD L. T1 - Inflation Modeling: A Policymaker's Perspective. JO - Journal of Money, Credit & Banking (Wiley-Blackwell) JF - Journal of Money, Credit & Banking (Wiley-Blackwell) Y1 - 2007/02/02/Feb2007 Supplement VL - 39 M3 - Article SP - 181 EP - 186 PB - Wiley-Blackwell SN - 00222879 AB - The article reflects on inflation modeling, offering a historical perspective. The author discusses how far policymakers' understanding of the inflation process has come since Milton Friedman's 1968 address to the American Economic Association, in which he states that any trade-off between inflation and unemployment is only temporary because of the dynamic nature of expectations. The article discusses several techniques that economists have developed to control inflation, such as raising nominal interest rates more than one for one in response to inflationary movements. KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - ECONOMISTS KW - MONETARY policy KW - RESEARCH KW - HISTORY KW - AMERICAN Economic Association KW - FRIEDMAN, Milton, 1912-2006 N1 - Accession Number: 24075308; KOHN, DONALD L. 1; Affiliations: 1: *Board of Governors of the Federal Reserve System, at the Quantitative Evidence on Price Determination Conference, Martin Building, Washington, D.C. (E-mail: ).; Issue Info: Feb2007 Supplement, Vol. 39, p181; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMISTS; Thesaurus Term: MONETARY policy; Thesaurus Term: RESEARCH; Subject Term: HISTORY ; Company/Entity: AMERICAN Economic Association DUNS Number: 053432811; People: FRIEDMAN, Milton, 1912-2006; Number of Pages: 6p; Document Type: Article L3 - 10.1111/j.1538-4616.2007.00021.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24075308&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Williams, John C. T1 - Inflation Targeting under Imperfect Knowledge. JO - Economic Review (03630021) JF - Economic Review (03630021) Y1 - 2007/01// M3 - Article SP - 1 EP - 23 PB - Federal Reserve Bank of San Francisco SN - 03630021 AB - A central tenet of inflation targeting is that establishing and maintaining well-anchored inflation expectations are essential. In this paper, we reexamine the role of key elements of the inflation targeting framework towards this end, in the context of an economy where economic agents have an imperfect understanding of the macroeconomic landscape within which the public forms expectations and policymakers must formulate and implement monetary policy. Using an estimated model of the U.S. economy, we show that monetary policy rules that would perform well under the assumption of rational expectations can perform very poorly when we introduce imperfect knowledge. We then examine the performance of an easily implemented policy rule that incorporates three key characteristics of inflation targeting: transparency, commitment to maintaining price stability, and close monitoring of inflation expectations, and find that all three play an important role in assuring its success. Our analysis suggests that simple difference rules in the spirit of Knut Wicksell excel at tethering inflation expectations to the central bank's goal and in so doing achieve superior stabilization of inflation and economic activity in an environment of imperfect knowledge. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Review (03630021) is the property of Federal Reserve Bank of San Francisco and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - ECONOMIC models KW - MONETARY policy KW - ECONOMIC activity KW - UNITED States N1 - Accession Number: 25142690; Orphanides, Athanasios 1 Williams, John C. 2; Affiliation: 1: Senior Adviser, Board of Governors of the Federal Reserve System 2: Senior Vice President and Advisor, Federal Reserve Bank of San Francisco; Source Info: 2007, p1; Subject Term: INFLATION (Finance); Subject Term: ECONOMIC models; Subject Term: MONETARY policy; Subject Term: ECONOMIC activity; Subject Term: UNITED States; Number of Pages: 23p; Illustrations: 2 Charts, 17 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=25142690&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Gürkaynak, Refet S. AU - Levin, Andrew T. AU - Marder, Andrew N. AU - Swanson, Eric T. T1 - Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere. JO - Economic Review (03630021) JF - Economic Review (03630021) Y1 - 2007/01// M3 - Article SP - 25 EP - 47 PB - Federal Reserve Bank of San Francisco SN - 03630021 AB - We investigate the extent to which long-run inflation expectations are well anchored in three Western Hemisphere countries--Canada, Chile, and the United States--using a high-frequency event-study analysis. Specifically, we use daily data on far-ahead forward inflation compensation--the difference between forward rates on nominal and inflation-indexed bonds--as an indicator of financial market perceptions of inflation risk and the expected level of inflation at long horizons. For the United States, we find that far-ahead forward inflation compensation has reacted significantly to macroeconomic data releases, suggesting that long-run inflation expectations have not been completely anchored. In contrast, the Canadian inflation compensation data have exhibited significantly less sensitivity to Canadian and U.S. macroeconomic news, suggesting that inflation targeting in Canada has helped to anchor long-run inflation expectations in that country. Finally, while the requisite data for Chile are available for only a limited sample period (2002-2005), our results are consistent with the hypothesis that inflation targeting in Chile has helped anchor long-run inflation expectations in that country as well. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Review (03630021) is the property of Federal Reserve Bank of San Francisco and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - ECONOMIC forecasting KW - INFLATION risk KW - MACROECONOMICS KW - WESTERN Hemisphere N1 - Accession Number: 25142691; Gürkaynak, Refet S. 1 Levin, Andrew T. 2 Marder, Andrew N. 3 Swanson, Eric T. 4; Affiliation: 1: Assistant Professor, Bilkent University 2: Assistant Director and Section Chief, Board of Governors of the Federal Reserve System 3: Princeton University 4: Research Advisor, Federal Reserve Bank of San Francisco; Source Info: 2007, p25; Subject Term: INFLATION (Finance); Subject Term: ECONOMIC forecasting; Subject Term: INFLATION risk; Subject Term: MACROECONOMICS; Subject Term: WESTERN Hemisphere; Number of Pages: 23p; Illustrations: 7 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=25142691&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Pingle, Jonathan F. T1 - A note on measuring internal migration in the United States JO - Economics Letters JF - Economics Letters Y1 - 2007/01// VL - 94 IS - 1 M3 - Article SP - 38 EP - 42 SN - 01651765 AB - Abstract: Census Bureau estimates of annual interstate migration indicate that internal migration in the U.S. has declined steadily since the 1950s. However, as this paper shows, that decline is largely due to the reduction in the relative size of the military. [Copyright &y& Elsevier] AB - Copyright of Economics Letters is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMIGRATION & immigration KW - MILITARY officers KW - ACCULTURATION KW - UNITED States KW - Current Population Survey KW - Migration KW - R23 KW - UNITED States. Bureau of the Census N1 - Accession Number: 23513789; Pingle, Jonathan F. 1; Email Address: Jonathan.F.Pingle@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20051, United States; Issue Info: Jan2007, Vol. 94 Issue 1, p38; Thesaurus Term: EMIGRATION & immigration; Subject Term: MILITARY officers; Subject Term: ACCULTURATION; Subject: UNITED States; Author-Supplied Keyword: Current Population Survey; Author-Supplied Keyword: Migration; Author-Supplied Keyword: R23 ; Company/Entity: UNITED States. Bureau of the Census; Number of Pages: 5p; Document Type: Article L3 - 10.1016/j.econlet.2006.07.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23513789&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Rosen, Richard J. AU - Udell, Gregory F. T1 - Does market size structure affect competition? The case of small business lending JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2007/01// VL - 31 IS - 1 M3 - Article SP - 11 EP - 33 SN - 03784266 AB - Abstract: Market size structure refers to the distribution of shares of different size classes of local market participants, where the sizes are inclusive of assets both within and outside the local market. We apply this new measure of market structure in two empirical analyses of the US banking industry to address concerns regarding the effects of the consolidation in banking. Our quantity analysis of the likelihood that small businesses borrow from large versus small banks and our small business loan price analysis that includes market size structure as well as conventional measures yield very different findings from most of the literature on bank size and small business lending. Our results do not suggest a significant net advantage or disadvantage for large banks in small business lending overall, or in lending to informationally opaque small businesses in particular. We argue that the prior research that excluded market size structure may be misleading and offer some likely explanations of why our results differ. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- United States KW - INDUSTRIAL organization (Economic theory) KW - SMALL business KW - BANK mergers KW - CONSOLIDATION & merger of corporations KW - SMALL business loans KW - COMMUNITY banks KW - Banks KW - G21 KW - G28 KW - G34 KW - L11 KW - Loan prices KW - Mergers KW - Relationship lending KW - Size structure KW - Small business N1 - Accession Number: 23447497; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Rosen, Richard J. 2,3; Email Address: rrosen@frbchi.org; Udell, Gregory F. 4; Email Address: gudell@indiana.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Federal Reserve Bank of Chicago, Chicago, IL 60604, USA; 4: Kelley School of Business, Indiana University, Bloomington, IN 47405, USA; Issue Info: Jan2007, Vol. 31 Issue 1, p11; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: SMALL business; Thesaurus Term: BANK mergers; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: SMALL business loans; Thesaurus Term: COMMUNITY banks; Author-Supplied Keyword: Banks; Author-Supplied Keyword: G21; Author-Supplied Keyword: G28; Author-Supplied Keyword: G34; Author-Supplied Keyword: L11; Author-Supplied Keyword: Loan prices; Author-Supplied Keyword: Mergers; Author-Supplied Keyword: Relationship lending; Author-Supplied Keyword: Size structure; Author-Supplied Keyword: Small business; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jbankfin.2005.10.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23447497&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Klee, Elizabeth AU - Kornhauser, Lewis T1 - Comparisons of the Incentive for Insolvency under Different Legal Regimes. JO - Journal of Legal Studies (0047-2530) JF - Journal of Legal Studies (0047-2530) Y1 - 2007/01// VL - 36 IS - 1 M3 - Article SP - 141 EP - 170 SN - 00472530 AB - This paper compares the effects of joint and several liability on capital and production decisions with the effects of several-only liability in the context of hazardous-waste generation. Our main result shows that increased potential liability causes firms to decrease asset exposure but may also lead firms to create less waste. First, we find that both several-only and joint and several liability induce firms to go bankrupt more often and create more waste than is socially optimal. Then we find that, for a given level of funds, joint and several liability induces firms to go bankrupt more often and to create more waste than does several-only liability. This implies that society will be responsible for a larger share of cleanup under joint and several liability than under several-only liability. Finally, we show that firms with potentially higher liabilities for cleanup will raise fewer funds, creating ‘smaller’ firms and thus the possibility of less waste generated overall. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Legal Studies (0047-2530) is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCENTIVES in industry KW - BANKRUPTCY KW - HAZARDOUS wastes KW - ECONOMIC policy KW - HAZARDOUS waste site remediation KW - BUSINESS enterprises N1 - Accession Number: 23933670; Klee, Elizabeth 1; Kornhauser, Lewis 2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; 2: Alfred B. Engelberg Professor of Law, New York University School of Law; Issue Info: Jan2007, Vol. 36 Issue 1, p141; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: BANKRUPTCY; Thesaurus Term: HAZARDOUS wastes; Thesaurus Term: ECONOMIC policy; Thesaurus Term: HAZARDOUS waste site remediation; Thesaurus Term: BUSINESS enterprises; NAICS/Industry Codes: 562910 Remediation Services; NAICS/Industry Codes: 562112 Hazardous Waste Collection; NAICS/Industry Codes: 562211 Hazardous Waste Treatment and Disposal; NAICS/Industry Codes: 562110 Waste collection; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23933670&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Frame, W. Scott T1 - Small Business Credit Scoring and Credit Availability. JO - Journal of Small Business Management JF - Journal of Small Business Management Y1 - 2007/01// VL - 45 IS - 1 M3 - Article SP - 5 EP - 22 PB - Wiley-Blackwell SN - 00472778 AB - U.S. commercial banks are increasingly using small business credit-scoring models to underwrite small business credits. The paper discusses this lending technology, evaluates the research findings on the effects of this technology on small business credit availability, and links these findings to a number of research and policy issues. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Small Business Management is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business loans KW - COMMERCIAL credit KW - FINANCIAL institutions KW - CREDIT scoring systems KW - BUSINESS -- Research KW - EVALUATION KW - SOCIAL science research N1 - Accession Number: 23481488; Berger, Allen N. 1; Frame, W. Scott; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Jan2007, Vol. 45 Issue 1, p5; Thesaurus Term: SMALL business loans; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: BUSINESS -- Research; Subject Term: EVALUATION; Subject Term: SOCIAL science research; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 18p; Illustrations: 1 Chart; Document Type: Article L3 - 10.1111/j.1540-627X.2007.00195.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23481488&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gallin, Joshua AU - Verbrugge, Randal AD - Board of Governors of the Federal Reserve System AD - U.S. Bureau of Labor Statistics T1 - Improving the CPI's Age-Bias Adjustment: Leverage, Disaggregation and Model Averaging PB - U.S. Bureau of Labor Statistics, Working Papers: 410 Y1 - 2007/// SP - 39 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0938894; Keywords: Depreciation, Hedonics, Model Averaging, Inflation, CPI Bias; Publication Type: Working Paper; Update Code: 200711 N2 - As a rental unit ages, its quality typically falls; a failure to correct for this would result in downward bias in the CPI. We investigate the BLS age bias imputation and explore two potential categories of error: approximations related to the construction of the age bias factor, and model mis-specification. We find that, as long as one stays within the context of the current official regression specification, the approximation errors are innocuous. On the other hand, we find that the official regression specification--which is more or less of the form commonly used in the hedonic rent literature--is severely deficient in its ability to match the conditional log-rent vs. age relationship in the data, and performs poorly in out-of-sample tests. It is straightforward to improve the specification in order to address these deficiencies. However, basing estimates upon a single regression model is risky. Age-bias adjustment inherently suffers from a general problem facing some types of hedonic-based adjustments, which is related to model uncertainty. In particular, age-bias adjustment relies upon specific coefficient estimates, but there is no guarantee that the true marginal influence of a regressor is being estimated in any given model, since one cannot guarantee that the Gauss-Markov conditions hold. To address this problem, we advocate the use of model averaging, which is a method that minimizes downside risks related to model misspecification and generates more reliable coefficient estimates. Thus, after selecting several appropriate models, we estimate age-bias factors by taking a trimmed average over the factors derived from each model. We argue that similar methods may be readily implemented by statistical agencies (even very small ones) with little additional effort. We find that, in 2004 data, BLS age-bias factors were too small, on average, by nearly 40%. Since the age bias term itself is rather small, the implied downward-bias of the aggregate indexes is modest. On the other hand, errors in particular metropolitan areas were much larger, with annual downward-bias as large as 0.6%. KW - Price Level; Inflation; Deflation E31 KW - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access C81 KW - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access C82 KW - Housing Supply and Markets R31 KW - Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand R21 KW - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence O47 L3 - http://www.bls.gov/ore/pdf/ec070100.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0938894&site=ehost-live&scope=site UR - http://www.bls.gov/ore/pdf/ec070100.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce AU - Pingle, Jonathan AD - Unlisted AD - Unlisted T1 - A cohort-based model of labor force participation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-09 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908951; Publication Type: Working Paper; Update Code: 200706 N2 - The probability that an individual participates in the labor force declines precipitously beyond age 50. This feature of labor supply suggests that ongoing shifts in the age distribution of the population will put substantial downward pressure on the aggregate labor force participation rate. However, the aggregate rate is also influenced by trends within age groups. Neglecting to model both within-group influences and shifting population shares will doom any estimate of aggregate labor supply. We develop a model that identifies birth cohorts' propensities to participate, uses these propensities to derive age-specific trends in participation rates, and explicitly incorporates the influence of shifting population shares in estimating aggregate labor force participation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908951&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kurz-Kim, Jeong-Ryeol AU - Loretan, Mico AD - Unlisted AD - Unlisted T1 - A note on the coefficient of determination in models with infinite variance variables PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 895 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926932; Keywords: Regression analysis; Publication Type: Working Paper; Update Code: 200709 N2 - Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite-variance variables, we examine the statistical properties of the coefficient of determination in models with alpha-stable variables. If the regressor and error term share the same index of stability alpha<2, the coefficient of determination has a nondegenerate asymptotic distribution on the entire [0, 1] interval, and the density of this distribution is unbounded at 0 and 1. We provide closed-form expressions for the cumulative distribution function and probability density function of this limit random variable. In contrast, if the indices of stability of the regressor and error term are unequal, the coefficient of determination converges in probability to either 0 or 1, depending on which variable has the smaller index of stability. In an empirical application, we revisit the Fama-MacBeth two-stage regression and show that in the infinite-variance case the coefficient of determination of the second-stage regression converges to zero in probability even if the slope coefficient is nonzero. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926932&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheiner, Louise AU - Sichel, Daniel AU - Slifman, Lawrence AD - Unlisted AD - Unlisted AD - Unlisted T1 - A primer on the macroeconomic implications of population aging PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-01 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890643; Keywords: Population aging - United States; Cost and standard of living; Publication Type: Working Paper; Update Code: 200703 N2 - The composition of the U.S. population will change significantly in coming decades as the decline in fertility rates following the baby boom, coupled with increasing longevity, leads to an older population. This demographic shift will likely have a dramatic effect on the long-run prospects for living standards. Moreover, as has been widely discussed in the media and by policymakers, population aging also has significant implications for social programs for the elderly, such as Social Security and Medicare. In this paper, we discuss the consequences of population aging from a macroeconomic perspective and consider alternative paths the economy could follow in response to population aging. The choices society makes among those alternatives will be closely linked to decisions about how to reform entitlement programs for the elderly. The fundamental conclusion of our study is that, barring a significant increase in labor force participation, population aging will lead to a reduction in per capita consumption relative to a baseline in which the demographic composition of the population does not change. The size of any consumption reduction depends critically on whether the adjustment happens sooner or later and on whether the labor force participation of the elderly changes. Important policy questions, then, are whose consumption path falls, by how much, when, and by what means? Decisions about Social Security and Medicare reform are integrally bound up with these fundamental policy questions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890643&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AU - Osterholm, Par AD - Unlisted AD - Unlisted T1 - A residual-based cointegration test for near unit root variables PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 907 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946840; Publication Type: Working Paper; Update Code: 200712 N2 - Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni method is used to address the uncertainty regarding the exact degree of persistence in the process. We thus provide a method for valid inference in multivariate near unit root processes where standard cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results. Empirical illustrations are given by: (i) a re-examination of the Fisher hypothesis, and (ii) a test of the validity of the cointegrating relationship between aggregate consumption, asset holdings, and labor income, which has attracted a great deal of attention in the recent finance literature. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946840&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hazelwood, Lieu N. AU - Mach, Traci L. AU - Wolken, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Alternative methods of unit nonresponse weighting adjustments: an application from the 2003 Survey of Small Business Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-10 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908952; Publication Type: Working Paper; Update Code: 200706 N2 - The 2003 Survey of Small Business Finances (SSBF) screening interview had significant unit nonresponse and therefore some type of nonresponse adjustment was deemed necessary. The approach used in the 2003 survey differed from that used in previous surveys. The current paper examines the impact of this technique on weights, point estimates and variance of the estimates by comparing the approach ultimately implemented for the 2003 survey to alternative approaches. The results using the 2003 SSBF hybrid method are very similar to the traditional weighting class method and the propensity stratification methods. Even though the hybrid technique did in some instances increase the variance of the weights over the traditional weighting class adjustment method, the differences were quite small. In addition the hybrid method decreased the variance for the weights as well as the some of the point estimates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908952&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ray, Sugata AU - Warusawitharana, Missaka AD - Unlisted AD - Unlisted T1 - An efficiency perspective on the gains from mergers and asset purchases PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-39 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931499; Publication Type: Working Paper; Update Code: 200710 N2 - A simple efficiency-based view states that acquisitions shift assets to more productive owners. This implies that expected returns from acquisitions increase with transaction value. We propose using the sensitivity of abnormal returns to scaled transaction value as a measure of efficiency gains. Using this method, we find that the average acquirer obtains an increase of 3% - 5% in the value of the acquired assets. However, efficiency gains vary sharply across acquirer and deal characteristics. We find statistical significance for interactions of relative value and variables known to affect acquirer normal returns. The inclusion of the interaction term sometimes drives away the significance of the variable of interest. These results suggest that improving productivity via capital reallocation plays an important role in understanding acquirer returns from acquisitions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931499&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Anchoring bias in consensus forecasts and its effect on market prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-12 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908953; Publication Type: Working Paper; Update Code: 200706 N2 - Previous empirical studies that test for the "rationality" of economic and financial forecasts generally test for generic properties such as bias or autocorrelated errors, and provide limited insight into the behavior behind inefficient forecasts. In this paper we test for a specific behavioral bias--the anchoring bias described by Tversky and Kahneman (1974). In particular, we examine whether expert consensus forecasts of monthly economic releases from Money Market Services surveys from 1990-2006 have a tendency to be systematically biased toward the value of previous months' data releases. We find broad-based and significant evidence for the anchoring hypothesis; consensus forecasts are biased towards the values of previous months' data releases, which in some cases results in sizable predictable forecast errors. Then, to investigate whether the market participants anticipate the bias, we examine the response of interest rates to economic news. We find that bond yields react only to the residual, or unpredictable, component of the surprise and not to the expected piece of the forecast error apparently induced by anchoring. This suggests market participants anticipate the anchoring bias embedded in expert forecasts. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908953&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clark, Todd E. AU - McCracken, Michael W. AD - Unlisted AD - Unlisted T1 - Averaging forecasts from VARs with uncertain instabilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-42 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931502; Publication Type: Working Paper; Update Code: 200710 N2 - A body of recent work suggests commonly-used VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, different observation windows for estimation, (over-) differencing, intercept correction, stochastically time-varying parameters, break dating, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each individual method could be useful, the uncertainty inherent in any single representation of instability could mean that combining forecasts from the entire range of VAR estimates will further improve forecast accuracy. Focusing on models of U.S. output, prices, and interest rates, this paper examines the effectiveness of combination in improving VAR forecasts made with real-time data. The combinations include simple averages, medians, trimmed means, and a number of weighted combinations, based on: Bates-Granger regressions, factor model estimates, regressions involving forecast quartiles, Bayesian model averaging, and predictive least squares-based weighting. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models as benchmarks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931502&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tschirhart, John AU - O'Brien, James AU - Moise, Michael AU - Yang, Emily AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Bank commercial loan fair value practices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-29 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926922; Publication Type: Working Paper; Update Code: 200709 N2 - Recent accounting changes, for the first time, permit the use of fair value in the primary financial statements for held-to-maturity (HTM) bank loans. While the use of fair value has historically attracted significant discussion and debate, there is little information in the public domain on how banks would measure fair value or use it in loan management. This study presents and analyzes results from in-depth discussions with seven large internationally-active banks on their fair value use and measurement for HTM commercial loans and commitments. The objectives of the discussions and those of the study are to: identify the extent to which fair value is used for HTM commercial loan facilities and how it is used; describe valuation methodologies used and consider the roles of market price sources and modeling and their relative importance in fair value estimation; consider model validation and price verification; draw conclusions as permitted and suggest areas for future research. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926922&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Black, Lamont AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Bank core deposits and the mitigation of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-65 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959394; Publication Type: Working Paper; Update Code: 200803 N2 - We consider the business strategy of some banks that provide relationship loans (where they have loan origination and monitoring advantages relative to capital markets) with core deposit funding (where they can pass along the benefit of a sticky price on deposits). These "traditional banks" tend to lend out less than the deposits they take in, so they have a "buffer stock" of core deposits. This buffer stock of core deposits can be used to mitigate the full effect of tighter monetary policy on their bank-dependent borrowers. In this manner, the business strategy of "traditional banks" acts as a "core deposit mitigation channel" to provide funds to bank-dependent borrowers when there are monetary shocks. In effect, there is no bank lending channel of monetary policy associated with these traditional banks.; In contrast, other banks mainly rely on managed liabilities that are priced at market rates. These banks do not have to shift from insured deposits to managed liabilities in response to tighter monetary policy. At the margin, their loans are already funded with managed liabilities. For these banks as well, there is no unique bank lending channel of monetary policy.; The only banks that are likely to raise loan rates substantially in response to an increase in the federal funds rate are banks with a high proportion of relationship loans that are close to a loan-to-core deposit ratio of one. These banks must substitute higher cost nondeposit liabilities, which have an external finance premium, for core deposits, which do not because of deposit insurance. Some of these banks may also face higher marginal costs as their loan-to-core deposit ratio approaches one because of the costs associated with lending to default-prone relationship borrowers. It is among these banks (which we refer to as high relationship lenders), and only these banks, that we find evidence of a bank lending channel--they significantly reduce lending in response to a monetary contraction. Importantly, these banks hold only a small fraction of U.S. banking assets. Thus, in the United States, the bank lending channel seems limited in scope and importance, mainly because so few banks that specialize in relationship lending switch from core deposits to managed liabilities in response to changes in interest rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959394&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Bargaining, fairness, and price rigidity in a DSGE environment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 900 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931507; Publication Type: Working Paper; Update Code: 200710 N2 - A growing body of evidence suggests that an important reason why firms do not change prices nearly as much as standard theory predicts is out of concern for disrupting ongoing customer relationships because price changes may be viewed as "unfair". Existing models that try to capture this concern regarding price-setting are all based on goods markets that are fundamentally Walrasian. In Walrasian goods markets, transactions are spot, making the idea of ongoing customer relationships somewhat difficult to understand. We develop a simple dynamic general equilibrium model of a search-based goods market to make precise the notion of a customer as a repeat buyer at a particular location. In this environment, the transactions price plays a distributive role as well as an allocative role. We exploit this distributive role of prices to explore how concerns for fairness influence price dynamics. Using pricing schemes with bargaining-theoretic foundations, we show that the particular way in which a "fair" outcome is determined matters for price dynamics. The most stark result we find is that complete price stability can arise endogenously. There are issues about which models based on standard Walrasian goods markets are silent. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931507&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Bond risk premia and realized jump volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-22 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921040; Publication Type: Working Paper; Update Code: 200707 N2 - We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term structure of forward rates nearly doubles the R square of the regression. Our market jump volatility measure is based on the realized jumps identified from high-frequency stock market returns using the bi-power variation technique. The significant enhancement of bond return predictability is robust to different forecasting horizons, to using non-overlapping returns and to the choice of different window sizes in computing the jump volatility. This market jump volatility factor also crowds out the price-dividend ratio in explaining much of the countercyclical movement in bond risk premia. We argue that this finding provides support for the unspanned stochastic volatility hypothesis according to which the conditional distribution of excess bond returns is affected by state variables that are not in the span of the term structure of yields and forward rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921040&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Choice of mortgage contracts: evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-50 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939006; Publication Type: Working Paper; Update Code: 200711 N2 - This study revisits the empirical question of the determinants of the choice between fixed and adjustable-rate mortgages using more comprehensive data from the Survey of Consumer Finances (SCF) that overcome some of the data limitations in previous studies. The results from a Logit model of mortgage choice indicate that pricing variables and affordability are important considerations. We also find that factors such as mobility expectations, income volatility, and attitudes toward financial risk largely influence mortgage choice, with more risk-averse borrowers preferring fixed-rate mortgages. For households that are less risk averse, the mortgage type choice decision is less sensitive to pricing variables and income volatility, and affordability factors are not significant. These findings provide empirical support that underscore the importance of attitudes toward risks in mortgage choice. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939006&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clark, Todd E. AU - McCracken, Michael W. AD - Unlisted AD - Unlisted T1 - Combining forecasts from nested models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-43 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931503; Publication Type: Working Paper; Update Code: 200710 N2 - Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but as the sample size grows, the data generating process converges to the restricted model. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. Monte Carlo and empirical analyses verify the practical effectiveness of our combination approach. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931503&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McElroy, Tucker S. AU - Trimbur, Thomas M. AD - Unlisted AD - Unlisted T1 - Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-68 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959397; Publication Type: Working Paper; Update Code: 200803 N2 - This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation. We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary, and provide several illustrations, including a new class of continuous-lag Butterworth filters for trend and cycle estimation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959397&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warusawitharana, Missaka AD - Unlisted T1 - Corporate asset purchases and sales: theory and evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-27 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921043; Publication Type: Working Paper; Update Code: 200707 N2 - Purchases and sales of operating assets by firms generated $162 billion for shareholders over the past 20 years. This contrasts sharply with the evidence on mergers. This paper characterizes the behavior of value-maximizing firms, which may grow organically, purchase existing assets or sell assets. The approach yields an endogenous selection model that links asset purchases and sales to fundamental properties of the firm. Empirical tests confirm the predictions of the model. In particular, return on assets and size strongly predict when firms purchase or sell assets, and the transaction size covaries with the value of capital employed by the firm. These findings indicate that corporate asset purchases and sales are consistent with efficient investment decisions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921043&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Backus, David AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - Cracking the conundrum PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-46 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939002; Publication Type: Working Paper; Update Code: 200711 N2 - From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this "conundrum." The most likely, in our view, is a fall in the term premium, probably associated with some combination of diminished macroeconomic uncertainty and financial market volatility, more predictable monetary policy, and the state of the business cycle. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939002&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Credit derivatives and risk management PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-47 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939003; Publication Type: Working Paper; Update Code: 200711 N2 - The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A commercial bank can use credit derivatives to manage the risk of its loan portfolio. An investment bank can use credit derivatives to manage the risks it incurs when underwriting securities. An investor, such as an insurance company, asset manager, or hedge fund, can use credit derivatives to align its credit risk exposure with its desired credit risk profile.> However, credit derivatives pose risk management challenges of their own. I discuss five of these challenges. Credit derivatives can transform credit risk in intricate ways that may not be easy to understand. They can create counterparty credit risk that itself must be managed. Complex credit derivatives rely on complex models, leading to model risk. Credit rating agencies interpret this complexity for investors, but their ratings can be misunderstood, creating rating agency risk. The settlement of a credit derivative contract following a default can have its own complications, creating settlement risk. For the credit derivatives market to continue its rapid growth, market participants must meet these risk management challenges. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939003&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Levin, Andrew T. AU - Yun, Tack AD - Unlisted AD - Unlisted AD - Unlisted T1 - Diagnosing and treating bifurcations in perturbation analysis of dynamic macro models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-14 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908954; Publication Type: Working Paper; Update Code: 200706 N2 - In perturbation analysis of nonlinear dynamic systems, the presence of a bifurcation implies that the first-order behavior of the economy cannot be characterized solely in terms of the first-order derivatives of the model equations. In this paper, we use two simple examples to illustrate how to detect the existence of a bifurcation. Following the general approach of Judd (1998), we then show how to apply l'Hospital's rule to characterize the solution of each model in terms of its higher-order derivatives. We also show that in some cases the bifurcation can be eliminated through renormalization of model variables; furthermore, renormalization may yield a more accurate first-order solution than applying l'Hospital's rule to the original formulation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908954&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AU - Li, Geng AD - Unlisted AD - Unlisted T1 - Do high debt payments hinder household consumption smoothing? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-52 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939008; Publication Type: Working Paper; Update Code: 200711 N2 - Recently, U.S. households have committed a rising share of disposable personal income to required principal and interest payments on household debt. Studies of the direct link between the household debt service ratio (DSR) and consumption show mixed results--perhaps because debt may instead alter the relationship between consumption and income. We explore this possibility by comparing the consumption smoothing behavior of households over the DSR distribution. We find that a high DSR alone does not indicate higher sensitivity of consumption to a change in income. However, we find evidence that the DSR may help identify borrowing constrained households. In particular, the consumption of households with low liquid assets and high DSRs is more sensitive than the consumption of other low liquid asset households. Although this effect of high DSR is not precisely estimated, it is large and robust to changes in the specification, suggesting that more work is warranted. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939008&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Love, David A. AU - Smith, Paul A. AU - McNair, Lucy C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do households have enough wealth for retirement? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-17 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908956; Publication Type: Working Paper; Update Code: 200706 N2 - Dramatic structural changes in the U.S. pension system, along with the impending wave of retiring baby boomers, have given rise to a broad policy discussion of the adequacy of household retirement wealth. We construct a uniquely comprehensive measure of wealth for households aged 51 and older in 2004 that includes expected wealth from Social Security, defined benefit pensions, life insurance, annuities, welfare payments, and future labor earnings. Abstracting from the uncertainty surrounding asset returns, length of life and medical expenses, we assess the adequacy of wealth using two expected values: an annuitized value of comprehensive wealth and the ratio of comprehensive wealth to the actuarial present value of future poverty lines. We find that most households in these older cohorts can expect to have sufficient total resources to finance adequate consumption throughout retirement, taking as given expected lifetimes and current Social Security benefits. We find a median annuity value of wealth equal to $32,000 per person per year in expected value and a median ratio of comprehensive wealth to poverty-line wealth of 3.56. About 12 percent of households, however, do not have sufficient wealth to finance consumption equal to the poverty line over their expected lifetimes, even after including the value of Social Security and welfare benefits, and an additional 9 percent can expect to be relatively close to the poverty line. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908956&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Kiley, Michael T. AU - Laforte, Jean-Philippe AD - Unlisted AD - Unlisted AD - Unlisted T1 - Documentation of the Research and Statistics Division's estimated DSGE model of the U.S. economy: 2006 version PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-53 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939009; Publication Type: Working Paper; Update Code: 200711 N2 - This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project (the Federal Reserve Board's Estimated, Dynamic, Optimization-based--FRB/EDO--model project) in the Macroeconomic and Quantitative Studies section of the Federal Reserve Board aimed at developing a DSGE model that can be used to address practical policy questions and the model documented here is the version that was current at the end of 2006. The paper discusses the model's specification, estimated parameters, and key properties. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939009&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smith, Paul AU - Love, David AD - Unlisted AD - Unlisted T1 - Does health affect portfolio choice? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-45 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939001; Publication Type: Working Paper; Update Code: 200711 N2 - Previous studies find a strong and positive empirical connection between health status and the share of risky assets held in household portfolios. But is this relationship truly causal, in the sense that households respond to changes in health by altering their portfolio allocation, or does it simply reflect unobserved differences across households? We find that most of the variation by health is on the extensive margin of stock ownership (rather than the marginal allocation conditional on ownership), which more plausibly points to non-causal explanations. Moreover, we find that any link between health and risky assets depends crucially on the econometric treatment of unobserved heterogeneity. Once we account adequately for unobserved household differences, there is no longer a statistically significant relationship between any of our health measures and household portfolio decisions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939001&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arellano, Cristina AU - Heathcote, Jonathan AD - Unlisted AD - Unlisted T1 - Dollarization and financial integration PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 890 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921044; Keywords: Dollarization; Publication Type: Working Paper; Update Code: 200707 N2 - How does a country's choice of exchange rate regime impact its ability to borrow from abroad? We build a small open economy model in which the government can potentially respond to shocks via domestic monetary policy and by international borrowing. We assume that debt repayment must be incentive compatible when the default punishment is equivalent to permanent exclusion from debt markets. We compare a floating regime to full dollarization. We find that dollarization is potentially beneficial, even though it means the loss of the monetary instrument, precisely because this loss can strengthen incentives to maintain access to debt markets. Given stronger repayment incentives, more borrowing can be supported, and thus dollarization can increase international financial integration. This prediction of theory is consistent with the experiences of El Salvador and Ecuador, which recently dollarized, as well as with that of highly-indebted countries like Italy which adopted the Euro as part of Economic and Monetary Union. In each case, spreads on foreign currency government debt declined substantially around the time of regime change. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921044&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bjelland, Melissa AU - Fallick, Bruce AU - Haltiwanger, John AU - McEntarfer, Erika AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Employer-to-employer flows in the United States: estimates using linked employer-employee data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-30 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926923; Publication Type: Working Paper; Update Code: 200709 N2 - We use administrative data linking workers and firms to study employer-to-employer flows. After discussing how to identify such flows in quarterly data, we investigate their basic empirical patterns. We find that the pace of employer-to-employer flows is high, representing about 4 percent of employment and 30 percent of separations each quarter. The pace of employer-to-employer flows is highly procyclical, and varies systematically across worker, job and employer characteristics. Our findings regarding job tenure and earnings dynamics suggest that for those workers moving directly to new jobs, the new jobs are generally better jobs; however, this pattern is highly procyclical. There are rich patterns in terms of origin and destination of industries. We find somewhat surprisingly that more than half of the workers making employer-to-employer transitions switch even broadly-defined industries (NAICS super-sectors). UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926923&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Estimating probabilities of recession in real time Using GDP and GDI PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-07 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908948; Publication Type: Working Paper; Update Code: 200706 N2 - This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. In addition, the paper shows that the definition of a low-growth phase in the Markov switching models has changed over the past couple of decades. The models increasingly define this phase as an extended period of around zero rather than negative growth, diverging somewhat from the traditional definition of a recession. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908948&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AU - Millar, Jonathan AD - Unlisted AD - Unlisted T1 - Estimating the long-run user cost elasticity for a small open economy: evidence using data from South Africa PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-25 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921041; Publication Type: Working Paper; Update Code: 200707 N2 - This paper estimates the long run elasticity of the demand for fixed nonresidential capital (both equipment and structures) to changes in its user cost using a quarterly panel of two-digit manufacturing data from South Africa from 1970 to 2001. Using a difference specification that does not rely on cointegration, we find highly significant estimates of the user cost elasticity on the order of -0.80. These estimates contrast sharply with many previous studies that obtained small and/or statistically insignificant estimates of the user cost elasticity using U.S. data. This discrepancy may owe to the possibility that the capital demand curve is better identified in a small open economy because shocks to capital supply are more likely to be exogenous. The economic embargo imposed on South Africa from 1985 to 1993 forced its economy to become more closed and therefore provides a unique natural experiment to assess this conjecture. Estimates of the user cost elasticity over this period are small and statistically insignificant, similar to the findings of previous studies where the user cost was likely endogenous. These findings underscore the importance of identification in estimating the user cost elasticity of capital demand. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921041&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vigfusson, Robert J. AU - Sheets, Nathan AU - Gagnon, Joseph AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exchange rate pass-through to export prices: assessing some cross-country evidence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 902 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931509; Publication Type: Working Paper; Update Code: 200710 N2 - A growing body of empirical work has found evidence of a decline in exchange rate pass-through to import prices in a number of industrial countries. Our paper complements this work by examining pass-through from the other side of the transaction; that is, we assess the exchange rate sensitivity of export prices (denominated in the exporter's currency). We first sketch out a streamlined analytical model that highlights some key factors that determine pass-through. Using this model as reference, we find that the prices charged on exports to the United States are more responsive to the exchange rate than is the case for export prices to other destinations, which is consistent with results in the literature suggesting that import price pass-through in the U.S. market is relatively low. We also find that moves in the exchange rate sensitivity of export prices over time have been significantly affected by country and region-specific factors, including the Asian financial crisis (for emerging Asia), deepening integration with the United States (for Canada), and the effects of the 1992 ERM crisis (for the United Kingdom). UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931509&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frydman, Carola AU - Saks, Raven E. AD - Unlisted AD - Unlisted T1 - Executive compensation: a new view from a long-term perspective, 1936-2005 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-35 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926928; Publication Type: Working Paper; Update Code: 200709 N2 - We analyze the long-run trends in executive compensation using a new panel dataset of top executives in large firms from 1936 to 2005. In sharp contrast to the well-known steep upward trajectory of pay of the past 30 years, the median real value of compensation was remarkably flat from the late 1940s to the mid-1970s, highlighting a weak relationship between compensation and aggregate firm size. While this correlation has changed considerably over the century, the cross-sectional relationship between pay and firm size has remained stable. Another surprising finding is that the sensitivity of changes in an executive's wealth to firm performance was not inconsequentially small for most of our sample period. Thus, recent years were not the first time when compensation arrangements served to align managerial incentives with those of shareholders. Overall, these trends pose a challenge to several common explanations for the recent surge in executive pay. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926928&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bollerslev, Tim AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Expected stock returns and variance risk premia PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-11 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908950; Publication Type: Working Paper; Update Code: 200706 N2 - We find that the difference between implied and realized variances, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio, the dividend yield, the default spread, and the consumption-wealth ratio (CAY). Moreover, combining the variance risk premium with the P/E ratio results in an R [superscript 2] for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of "model-free", as opposed to standard Black-Scholes, implied variances, and realized variances constructed from high-frequency intraday, as opposed to daily, data. Our findings suggest that temporal variation in risk and risk-aversion both play an important role in determining stock market returns. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908950&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oliner, Stephen D. AU - Sichel., Daniel E. AU - Stiroh, Kevin J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Explaining a productive decade PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-63 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959392; Publication Type: Working Paper; Update Code: 200803 N2 - This paper analyzes the sources of U.S. productivity growth in recent years using both aggregate and industry-level data. We confirm the central role for information technology (IT) in the productivity revival during 1995-2000 and show that IT played a significant, though smaller, role after 2000. Productivity growth after 2000 appears to have been boosted by industry restructuring and cost cutting in response to profit pressures, an unlikely source of future strength. In addition, the incorporation of intangible capital into the growth accounting framework takes some of the luster off the performance of labor productivity since 2000 and makes the gain during 1995-2000 look larger than in the official data. Finally, we examine the outlook for trend growth in labor productivity; our estimate, though subject to much uncertainty, is centered at 2-1/4 percent a year, faster than the lackluster pace that prevailed before 1995 but somewhat slower than the 1995-2006 average. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959392&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ellul, Andrew AU - Guntay, Levent AU - Lel, Ugur AD - Unlisted AD - Unlisted AD - Unlisted T1 - External governance and debt agency costs of family firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 908 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946841; Publication Type: Working Paper; Update Code: 200712 N2 - We investigate the impact of family blockholders on the firm's debt agency costs under different investor protection environments. On one hand, families--through their undiversified investments, inter-generation presence, and reputation concerns--can mitigate debt agency costs. On the other hand, families--through their unique power position that can lead to private benefits extraction and higher bankruptcy risk--can exacerbate debt agency costs. The actual impact can go either way and what matters should be the creditors' protection environment. Using international bond issues from 1995 to 2000 for 1,072 international firms originating from 24 different countries, we find that family firms originating from low investor protection environments suffer from higher debt costs compared to non-family firms, while family firms originating from high investor protection environments benefit from lower debt costs compared to non-family firms. We find no impact from non-family blockholdings. These results are robust to various specifications and confirmed by an out-of-sample test using bonds issued by U.S. and foreign firms listed in the U.S. originating from 27 different countries. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946841&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frame, W. Scott AU - Hancock, Diana AU - Passmore, Wayne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Federal Home Loan Bank advances and commercial bank portfolio composition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-31 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926924; Publication Type: Working Paper; Update Code: 200709 N2 - The primary mission of the 12 cooperatively owned Federal Home Loan Banks (FHLBs) is to provide their members financial products and services to assist and enhance member housing finance. In this paper, we consider the role of the FHLBs' traditional product--"advances," or collateralized loans to members--in stabilizing commercial bank members' residential mortgage lending activities.; Our theoretical model shows that using membership criteria (such as a minimum of 10 percent of the portfolio being in mortgage-related assets) or using mortgage-related assets as collateral does not ensure that FHLB advances will be put to use for stabilizing members' financing of housing. Indeed, our model demonstrates that advances--a relatively low cost managed liability--are most likely to influence lending only when such liabilities are used to finance "relationship" loans (i.e., loans to bank-dependent borrowers) that will be held on a bank's balance sheet and are least likely to influence lending for loans where the loan rate is heavily influenced by securitization activities, like mortgages.; Using panel vector autoregression (VAR) techniques, we estimate recent dynamic responses of U.S. bank portfolios to FHLB advance shocks, to bank lending shocks, and to macroeconomic shocks. Our empirical findings are consistent with the predictions of our theoretical model. First, recent bank portfolio responses to FHLB advance shocks are of similar magnitude for mortgages, for commercial and industrial loans, and for other real estate loans. This suggests that advances are just as likely to fund other types of bank credit as to fund single-family mortgages. Second, unexpected changes in all types of bank lending are accommodated using FHLB advances. Third, FHLB advances do not appear to reduce variability in bank residential mortgage lending resulting from macroeconomic shocks. However, some banks appear to have used FHLB advances to reduce variability in commercial and industrial lending in response to such macroeconomic shocks. Thus, relatively low cost managed liabilities may be used to finance "relationship" borrowers (which are typically business borrowers, rather than residential mortgage borrowers), although this use for advances appears to have diminished over time. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926924&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - King, Thomas B. AU - Levin, Andrew T. AU - Perli, Roberto AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial market perceptions of recession risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-57 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939013; Publication Type: Working Paper; Update Code: 200711 N2 - Over the Great Moderation period in the United States, we find that corporate credit spreads embed crucial information about the one-year-ahead probability of recession, as evidenced by both in- and out-of-sample fit. Furthermore, the incidence of "false positive" predictions of recession is dramatically reduced by utilizing a bivariate model that includes a measure of credit spreads along with the slope of the yield curve; indeed, these bivariate models provide much better forecasting performance than any combination of univariate models. We also find that optimal (Bayesian) model combination strongly dominates simple averaging of model forecasts in predicting recessions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939013&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clark, Todd E. AU - McCracken, Michael W. AD - Unlisted AD - Unlisted T1 - Forecasting with small macroeconomic VARs in the presence of instabilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-41 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931501; Publication Type: Working Paper; Update Code: 200710 N2 - Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest rates. However, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be used to improve their forecast accuracy. These include using different observation windows for estimation, intercept correction, time-varying parameters, break dating, Bayesian shrinkage, model averaging, etc. This paper compares the effectiveness of such methods in real time forecasting. We use forecasts from univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931501&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain AU - Chiquoine, Benjamin AU - Hjalmarsson, Erik AU - Loretan, Mico AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 905 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946838; Publication Type: Working Paper; Update Code: 200712 N2 - Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select the sampling frequency, we find that one can sample FX returns as frequently as once every 15 to 20 seconds without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U.S. macroeconomic announcements, and as frequently as once every 40 seconds on announcement days. With a simple realized kernel estimator, the sampling frequencies can be increased to once every 2 to 5 seconds for FX returns and to about once every 30 to 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much higher than those often recommended in the empirical literature on realized volatility in equity markets. We suggest that the generally superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946838&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reifschneider, David AU - Tulip, Peter AD - Unlisted AD - Unlisted T1 - Gauging the uncertainty of the economic outlook from historical forecasting errors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-60 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946837; Publication Type: Working Paper; Update Code: 200712 N2 - Participants in meetings of the Federal Open Market Committee (FOMC) regularly produce individual projections of real activity and inflation that are published in summary form. These summaries indicate participants' views about the most likely course for the macroeconomy but, by themselves, are not enough to gauge the full range of possible outcomes--that is, the uncertainty surrounding the outlook. To this end, FOMC participants will now provide qualitative assessments of how they view the degree of current uncertainty relative to that which prevailed on average in the past. This paper discusses a method for gauging the average magnitude of historical uncertainty using information on the predictive accuracy of a number of private and government forecasters. The results suggest that, if past performance is a reasonable guide to the accuracy of future forecasts, considerable uncertainty surrounds all macroeconomic projections, including those of FOMC participants. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946837&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Habit persistence, non-separability between consumption and leisure, or rule-of thumb consumers: which accounts for the predictability of consumption growth? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-48 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939004; Publication Type: Working Paper; Update Code: 200711 N2 - Consumption growth is predictable, a basic violation of the permanent-income hypothesis. This paper examines three possible explanations: rule-of-thumb behavior, in which households allow consumption to track per-period income flows rather than permanent income; habit persistence; and non-separability in preferences over consumption and leisure. The data appear most consistent with non-separable preferences over consumption and leisure. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939004&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mishkin, Frederic S. AD - Unlisted T1 - Housing and the monetary transmission mechanism PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-40 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931500; Keywords: Housing - Finance; Financial stability; Monetary policy; Publication Type: Working Paper; Update Code: 200710 N2 - The housing market is of central concern to monetary policy makers. To achieve the dual goals of price stability and maximum sustainable employment, monetary policy makers must understand the role that housing plays in the monetary transmission mechanism if they are to set policy instruments appropriately. In this paper, I examine what we know about the role of housing in the monetary transmission mechanism and then explore the implications of this knowledge for the conduct of monetary policy. I begin with a theoretical and empirical review of the main housing-related channels of the transmission mechanism. These channels include the ways interest rates directly influence the user cost of housing capital, expectations of future house-price movements, and housing supply; and indirectly influence the real economy through standard wealth effects from house prices, balance sheet, credit-channel effects on consumer spending, and balance sheet, credit-channel effects on housing demand. I then consider the interaction of financial stability with the monetary transmission mechanism, and discuss the ways in which the housing sector might be a source of financial instability, and whether such instability could affect the ability of a central bank to stabilize the overall macroeconomy. I conclude with a discussion of two key policy issues. First, how can monetary policy makers deal with the uncertainty with regard to housing-related monetary transmission mechanisms? And second, how can monetary policy best respond to fluctuations in asset prices, especially house prices, and to possible asset-price bubbles? UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931500&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Malin, Benjamin A. AD - Unlisted T1 - Hyperbolic discounting and uniform savings floors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-59 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948835; Publication Type: Working Paper; Update Code: 200801 N2 - Previous research suggests that, in partial equilibrium, individuals whose decision-making exhibits a present-bias--such as hyperbolic discounters who tend to over-consume--will be in favor of having a floor imposed on their savings. In this paper, I show it is quite difficult for the introduction of a savings floor to be Pareto-improving in general equilibrium. Indeed, a necessary condition for the floor to be Pareto-improving is that it is high enough to be binding for all individuals. Even in that case, because the equilibrium interest rate is affected by the level of the savings floor, some individuals may prefer to commit to a future time path of consumption by facing a high interest rate (and no floor) rather than a high floor. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948835&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, David C., Jr. AD - Unlisted T1 - Imperfect monitoring and the discounting of inside money PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-58 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946836; Publication Type: Working Paper; Update Code: 200712 N2 - One of the fundamental questions concerning inside money is whether its issuers should be regulated and how. This paper evaluates the efficiency of one prevalent regulatory recommendation--a requirement that private issuers redeem inside money on demand at par--in a random-matching model of money where the issuers of inside money are only imperfectly monitored. I find that for sufficiently imperfect monitoring, a par redemption requirement leads to lower social welfare than if private money were redeemed at a discount. A central message of the paper is that if inside money and outside money are not perfect substitutes for one another, as is the case if there is sufficiently imperfect monitoring, a par redemption requirement may not be socially optimal because such a requirement effectively binds them to circulate as if they are. Such an outcome is a version of Gresham's law that bad money drives out good money. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946836&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Implied interest rate skew, term premiums, and the 'conundrum' PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-55 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939011; Publication Type: Working Paper; Update Code: 200711 N2 - The skew, irrespective of the mean and variance, of investors' interest rate expectations may affect required bond yields over expected short rates. Indeed, evidence suggests that the near-term skew of the option-implied distribution of expected short-term interest rates correlates with distant-horizon term premiums, as derived from a latent-factor affine term structure model (ATSM). Reduced-form models that include skew generally fit the data well and actually better "explain" variation in the term premium during the so-called "conundrum" than during other periods of the May 1989 to May 2006 sample. Moreover, estimates suggest that skew accounts for over half of the movement in term premiums during the "conundrum," considerably more than any other correlate. Caveats regard the term structure of skew as well as alternative measures of the term premium. Indeed, regression analysis of movements in term premiums is plagued by specification bias on both the left- and right-hand-side of the equation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939011&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nalewaik, Jeremy J. AD - Unlisted T1 - Incorporating vintage differences and forecasts into Markov switching models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-23 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921037; Publication Type: Working Paper; Update Code: 200707 N2 - This paper discusses extensions of standard Markov switching models that allow estimated probabilities to reflect parameter breaks at or close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. The basic technique is a supplementary estimation procedure, bringing additional information to bear to estimate the statistical properties of the end-of-sample observations that behave differently from the rest. Empirical results using real-time data show that these techniques improve the ability of a Markov switching model based on GDP and GDI to recognize the start of the 2001 recession. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921037&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Keim, Geoffrey N. AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted T1 - India's future: it's about jobs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 913 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959402; Publication Type: Working Paper; Update Code: 200803 N2 - Projections of sustained strong growth in India depend importantly on the utilization of the huge increase in India's working-age population projected over the next two decades. To date, however, India's economic growth has been concentrated in high-skill and capital-intensive sectors, and has not generated strong employment growth. In this paper, we highlight the tension between India's performance in output and employment, describe the characteristics of India's demographic dividend, and discuss impediments to India's shift away from agriculture. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959402&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Saks, Raven E. AU - Wozniak, Abigail AD - Unlisted AD - Unlisted T1 - Labor reallocation over the business cycle: new evidence from internal migration PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-32 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926925; Publication Type: Working Paper; Update Code: 200709 N2 - This paper establishes the cyclical properties of a novel measure of worker reallocation: long-distance migration rates within the U.S. This internal migration offers a bird's eye view of worker reallocation in the economy, as long-distance migrants often change jobs or employment status. We examine gross migration patterns during the entire postwar era using historical reports of the Current Population Survey, and supplement this analysis with statistics compiled by the Internal Revenue Service on inter-state and inter-metropolitan population flows since 1975. We find that internal migration within the U.S. is strongly procyclical, even after accounting for variation in relative local economic conditions. This procyclicality is common across most major demographic and labor force groups, although it is strongest for younger workers. Our findings suggest that cyclical fluctuations in internal migration are driven by economy-wide changes in the net cost to worker reallocation with a major role for the job finding rate of young workers. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926925&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Debortoli, Davide AU - Nunes, Ricardo AD - Unlisted AD - Unlisted T1 - Loose commitment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 916 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959405; Publication Type: Working Paper; Update Code: 200803 N2 - Due to time-inconsistency or policymakers' turnover, economic promises are not always fulfilled and plans are revised periodically. This fact is not accounted for in the commitment or the discretion approach. We consider two settings where the planner occasionally defaults on past promises. In the first setting, a default may occur in any period with a given probability. In the second, we make the likelihood of default a function of endogenous variables. We formulate these problems recursively, and provide techniques that can be applied to a general class of models. Our method can be used to analyze the plausibility and the importance of commitment and characterize optimal policy in a more realistic environment. We illustrate the method and results in a fiscal policy application. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959405&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunetti, Celso AU - Mariano, Roberto S. AU - Scotti, Chiara AU - Tan, Augustine H. H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Markov switching GARCH models of currency turmoil in Southeast Asia PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 889 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908961; Publication Type: Working Paper; Update Code: 200706 N2 - This paper analyzes exchange rate turmoil with a Markov Switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime, characterized by high exchange rate movements and high volatility. We also allow the transition probabilities to vary over time as functions of economic and financial indicators. We find that real effective exchange rates, money supply relative to reserves, stock index returns, and bank stock index returns and volatility contain valuable information for identifying turbulence and ordinary periods. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908961&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted T1 - Monthly estimates of U.S. cross-border securities positions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 910 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948838; Publication Type: Working Paper; Update Code: 200801 N2 - This paper reports monthly estimates of U.S. cross-border securities positions obtained by combining the (now) annual TIC surveys with monthly transactions data adjusted for various differences in the two reporting standards. Our approach is similar to that of Thomas, Warnock, and Wongswan (2004), but in addition to having a somewhat larger dataset we are able to make some simplifications to the numerical procedure used and we incorporate additional adjustments to the transactions data. This paper describes the procedure used and presents the monthly results. In addition, we discuss how the procedure can be extended to extrapolate holdings estimates beyond the most recent survey values. We focus primarily on U.S. liabilities to foreign holders, because more data is available than for U.S. claims, but we show how our methodology can be applied to U.S. claims as well. We also provide some guidance on how the changes in estimated holdings can be decomposed into flows, valuation changes, and other factors. Time series of estimates of holdings, by country, are available for download. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948838&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Kiley, Michael T. AU - Laforte, Jean-Philippe AD - Unlisted AD - Unlisted AD - Unlisted T1 - Natural rate measures in an estimated DSGE model of the U.S. economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-08 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908949; Publication Type: Working Paper; Update Code: 200706 N2 - This paper presents a monetary DSGE model of the U.S. economy. The model captures the most important production, expenditure, and nominal-contracting decisions underlying economic data while remaining sufficiently small to allow it to provide a clear interpretation of the data. We emphasize the role of model-based analyses as vehicles for storytelling by providing several examples--based around the evolution of natural rates of production and interest--of how our model can provide narratives to explain recent macroeconomic fluctuations. The stories obtained from our model are both similar to and quite different from conventional accounts. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908949&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fixler, Dennis J. AU - Nalewaik, Jeremy J. AD - Unlisted AD - Unlisted T1 - News, noise, and estimates of the 'true' unobserved state of the economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-34 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926927; Publication Type: Working Paper; Update Code: 200709 N2 - Which provides a better estimate of the "true" state of the U.S. economy, gross domestic product (GDP) or gross domestic income (GDI)? Past work has assumed the difference between each estimate and the "true" state of the economy is pure noise, taking greater variability to imply lower reliability. We posit instead that each difference may be pure news; then greater variability implies higher information content and greater reliability. This is a general point, applicable to numerous situations beyond the case of combining GDP and GDI. For that particular case, we analyze various vintages of estimates, developing models for combining GDP and GDI under the differing assumptions, and use revisions to show the news assumption is probably more accurate. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926927&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nichols, Joseph B. AD - Unlisted T1 - Nominal mortgage contracts and the effects of inflation on portfolio allocation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-67 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959396; Publication Type: Working Paper; Update Code: 200803 N2 - Households who wish to extract home equity through refinancing their mortgage face a hidden transaction cost. The real value of the fixed nominal mortgage payment declines over time with inflation. The change in the real value of the mortgage payments from taking on a new mortgage is positive and an increasing function of inflation; higher inflation thus discourages households from re-balancing their portfolio as frequently as they would otherwise. The life cycle model developed in this paper demonstrates how the share of total wealth held in housing is sensitive to the rate of inflation, even when perfectly anticipated. Households hold larger positions in home equity earlier in the life cycle and smaller positions later in the life cycle as the rate of inflation increases. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959396&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AU - Erceg, Christopher J. AU - Guerrieri, Luca AD - Unlisted AD - Unlisted AD - Unlisted T1 - Oil shocks and external adjustment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 897 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926933; Publication Type: Working Paper; Update Code: 200709 N2 - This paper investigates how oil price shocks affect the trade balance and terms of trade in a two country DSGE model. We show that the response of the external sector depends critically on the structure of financial market risk-sharing. Under incomplete markets, higher oil prices reduce the relative wealth of an oil-importing country, and induce its nonoil terms of trade to deteriorate, and its nonoil trade balance to improve. The magnitude of the nonoil terms of trade response hinges on structural parameters that affect the divergence in wealth effects across oil importers and exporters, including the elasticity of substitution between oil and other inputs in production, and the discount factor. By contrast, cross-country wealth differences effectively disappear under complete markets, with the implication that oil shocks have essentially no effect on the nonoil terms of trade or the nonoil trade balance. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926933&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Klee, Elizabeth AD - Unlisted T1 - Operational problems and aggregate uncertainty in the federal funds market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-49 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939005; Publication Type: Working Paper; Update Code: 200711 N2 - This paper uses operational problems at commercial banks in sending Fedwire payments as a proxy for aggregate uncertainty in end-of-day Fed account positions and then examines funds market behavior on those days. The results suggest that increased uncertainty is associated with a deviation of the federal funds rate from the FOMC's target rate, the magnitude depending on the severity of the difficulty, the payment volume of the affected participant, and the time of day. Moreover, discount window borrowing picks up on days with operational difficulties. These effects are generally transitory, and markets revert back to previous levels the next day. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939005&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Optimal fiscal and monetary policy with costly wage bargaining PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 893 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921047; Publication Type: Working Paper; Update Code: 200707 N2 - Costly nominal wage adjustment has received renewed attention in the design of optimal policy. In this paper, we embed costly nominal wage adjustment into the modern theory of frictional labor markets to study optimal fiscal and monetary policy. Our main result is that the optimal rate of price inflation is highly volatile over time despite the presence of sticky nominal wages. This finding contrasts with results obtained using standard sticky-wage models, which employ Walrasian labor markets at their core. The presence of shared rents associated with the formation of long-term employment relationships sets our model apart from previous work on this topic. The existence of rents implies that the optimal policy is willing to tolerate large fluctuations in real wages that would otherwise not be tolerated in a standard model with Walrasian labor markets; as a result, any concern for stabilizing nominal wages does not translate into a concern for stabilizing nominal prices. Our model also predicts that smoothing of labor tax rates over time is a much less quantitatively-important goal of policy than standard models predict. Our results demonstrate that the level at which nominal wage rigidity is modeled--whether simply lain on top of a Walrasian market or articulated in the context of an explicit relationship between workers and firms--can matter a great deal for policy recommendations. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921047&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durdu, Ceyhun Bora AU - Mendoza, Enrique G. AU - Terrones, Marco E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Precautionary demand for foreign assets in sudden stop economies: an assessment of the new mercantilism PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 911 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948839; Publication Type: Working Paper; Update Code: 200801 N2 - Financial globalization had a rocky start in emerging economies hit by Sudden Stops. Foreign reserves have grown very rapidly since then, as if those countries were practicing a New Mercantilism that views foreign reserves as a war-chest for defense against Sudden Stops. This paper conducts a quantitative assessment of this argument using a stochastic intertemporal equilibrium framework in which precautionary foreign asset demand is driven by output variability, financial globalization, and Sudden Stop risk. In this framework, credit constraints produce endogenous Sudden Stops. We find that financial globalization and Sudden Stop risk can explain the surge in reserves but output variability cannot. These results hold using the intertemporal preferences of the Bewley-Aiyagari-Hugget precautionary savings model or the Uzawa-Epstein setup with endogenous impatience. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948839&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Etienne AD - Unlisted T1 - Price setting during low and high inflation: evidence from Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 896 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926931; Publication Type: Working Paper; Update Code: 200709 N2 - This paper provides new insight into the relationship between inflation and consumer price setting by examining a large data set of Mexican consumer prices covering episodes of both low and high inflation, as well as the transition between the two. Overall, the economy shares several characteristics with time-dependent models when the annual inflation rate is low (below 10-15%), while displaying strong state dependence when inflation is high (above 10-15%). At low inflation levels, the aggregate frequency of price changes responds little to movements in inflation because movements in the frequency of price decreases partly offset movements in the frequency of price increases. When the annual inflation rate rises beyond 10-15 percent, however, there are no longer enough price decreases to counterbalance the rising occurrence of price increases, making the frequency of price changes more responsive to inflation. It is shown that a simple menu-cost model with idiosyncratic technology shocks predicts remarkably well the level of the average frequency and magnitude of price changes over a wide range of inflation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926931&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durdu, Ceyhun Bora AD - Unlisted T1 - Quantitative implications of indexed bonds in small open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 909 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948837; Publication Type: Working Paper; Update Code: 200801 N2 - This paper analyzes the macroeconomic implications of real-indexed bonds, indexed to the terms of trade or GDP, using a general equilibrium model of a small open economy with financial frictions. Although indexed bonds provide a hedge to income fluctuations and can thereby mitigate the effects of financial frictions, they introduce interest rate fluctuations. Because of this tradeoff, there exists a nonmonotonic relation between the "degree of indexation" (i.e., the percentage of the shock reflected in the return) and the benefits that these bonds introduce. When the nonindexed bond market is shut down and only indexed bonds are available, indexation strengthens the precautionary savings motive, increases consumption volatility and deepens the impact of Sudden Stops for degrees of indexation higher than a certain threshold. When the nonindexed bond market is retained, nonmonotonic relationship between the degree of indexation and the benefits of indexed bonds still remain. Degrees of indexation higher than a certain threshold lead to more volatile consumption than lower degrees of indexation. The threshold degree of indexation depends on the volatility and persistence of income shocks as well as on the relative openness of the economy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948837&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edelberg, Wendy AD - Unlisted T1 - Racial dispersion in consumer credit interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-28 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921042; Publication Type: Working Paper; Update Code: 200707 N2 - Most of the literature exploring racial disparities in consumer credit markets focuses on the issue of access to loans. But the disparate terms on which loans are issued are equally revealing. In this paper, I examine disparities in a variety of consumer loan interest rates using a reduced-form framework. I find that interest rates on loans issued before the 1995 show a statistically significant degree of unexplained racial heterogeneity even after controlling for the financial costs of issuing debt. However, racial dispersion in rates falls off for loans originated after 1995.; The unexplainable racial disparity in consumer loan rates issued before 1995 implies that in this earlier period minorities faced unaccountably higher interest-rate premiums on the order of--in two examples--20 basis points for first mortgages and 80 basis points for automobile loans. Overall, evidence of unexplainable racial dispersion in interest rates is more robust among homeowners than renters. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921042&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aruoba, S. Boragan AU - Diebold, Francis X. AU - Scotti, Chiara AD - Unlisted AD - Unlisted AD - Unlisted T1 - Real-time measurement of business conditions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 901 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931508; Publication Type: Working Paper; Update Code: 200710 N2 - We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931508&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, Yueh-Yun C. AD - Unlisted T1 - Reserve requirement systems in OECD countries PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-54 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939010; Publication Type: Working Paper; Update Code: 200711 N2 - This paper compares the reserve requirements of OECD countries. Reserve requirements are the minimum percentages or amounts of liabilities that depository institutions are required to keep in cash or as deposits with their central banks. To facilitate monetary policy implementation, twenty-four of the thirty OECD countries impose reserve requirements to influence their banking systems' demand for liquidity. These include twelve OECD countries that are also members of the European Economic and Monetary Union (EMU) and twelve non-EMU OECD countries. All EMU countries employ a single reserve requirement system, which is treated as one entity.; The reserve requirement system for each of the twelve non-EMU countries is discussed separately. The similarities and differences among the thirteen reserve requirement systems are highlighted. The features of reserve requirements covered include: reservable liabilities, required reserve ratios, reserve computation periods, reserve maintenance periods, types of reserve requirements, calculations of required reserves, eligible assets for satisfying reserve requirements, remuneration on reserve balances, non-compliance penalties, carry-over of reserve balances, and required clearing balances. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939010&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, David C., Jr. AU - Nesmith, Travis D. AD - Unlisted AD - Unlisted T1 - Risk and concentration in payment and securities settlement systems PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-62 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948836; Publication Type: Working Paper; Update Code: 200801 N2 - Large value payment and securities settlement systems are important components of an economy's financial system. Many such systems are operated by central banks and are liquidity intensive. Central banks often provide inexpensive liquidity to facilitate settlement. This leads to a number of policy questions about the provision of such liquidity. To answer these questions, central banks need to understand what factors influence the timing of settlement. This paper offers a model to better understand intraday patterns of settlement and identifies three factors that influence the timing of settlement: the cost of intraday liquidity, a participant's exposure to settlement risk, and system design. Incorporating all three factors enables our model to explain a number of stylized facts concerning behavior within the Federal Reserve's Fedwire fund and securities systems around a major policy change. In particular, the model captures the different responses of the two systems in both the pattern of settlement and the use of intraday liquidity. The results map out how policy interacts with participants' incentives to influence the use of intraday liquidity and the resultant credit exposure of a central bank. The model, therefore, can inform decision-making at central banks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948836&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Robust monetary policy with imperfect knowledge PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-33 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926926; Publication Type: Working Paper; Update Code: 200709 N2 - We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policymakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but are uncertain about the economy's natural rates of interest and unemployment and how private agents form expectations. In particular, we consider two models of expectations formation: rational expectations and learning. We show that in this environment the ability to stabilize the real side of the economy is significantly reduced relative to an economy under rational expectations with perfect knowledge. Furthermore, policies that would be optimal under perfect knowledge can perform very poorly if knowledge is imperfect. Efficient policies that take account of private learning and misperceptions of natural rates call for greater policy inertia, a more aggressive response to inflation, and a smaller response to the perceived unemployment gap than would be optimal if everyone had perfect knowledge of the economy. We show that such policies are quite robust to potential misspecification of private sector learning and the magnitude of variation in natural rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926926&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - Rounding and the impact of news: a simple test of market rationality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-05 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899490; Publication Type: Working Paper; Update Code: 200704 N2 - Certain prominent scheduled macroeconomic news releases contain a rounded number on the first page of the release that is widely cited by newswires and the press and a more precise number in the text of the release. The whole release comes out at once. We propose a simple test of whether markets are paying attention to the rounded or unrounded numbers by studying the high-frequency market reaction to such news announcements. In the case of inflation releases, we find evidence that markets systematically ignore some of the information in the unrounded number. This is most pronounced for core CPI, a prominent release for which the rounding in the headline number is large relative to the information content of the release. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899490&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Lengermann, Paul AU - Bartelsman, Eric J. AU - Beaulieu, J. Joseph AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Sectoral productivity in the United States: recent developments and the role of IT PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-24 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921038; Publication Type: Working Paper; Update Code: 200707 N2 - This paper introduces new estimates of recent productivity developments in the United States, using an appropriate theoretical framework for aggregating industry MFP to sectors and the total economy. Our work sheds light on the sources of the continued strong performance of U.S. productivity since 2000. We find that the major sectoral players in the late 1990s pickup were not contributors to the more recent surge in productivity. Rather, striking gains in MFP in the finance and business service sector, a resurgence in MFP growth in the industrial sector, and an end to drops elsewhere more than account for the aggregate acceleration in productivity in recent years. Further, some evidence is found for a link between IT intensity and the recent productivity acceleration. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921038&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Kamin, Steven B. AU - Lindner, Deborah AU - Marquez, Jaime AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Some simple tests of the globalization and inflation hypothesis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 891 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921046; Keywords: Inflation (Finance); Globalization; Publication Type: Working Paper; Update Code: 200707 N2 - This paper evaluates the hypothesis that globalization has increased the role of international factors and decreased the role of domestic factors in the inflation process in industrial economies. Toward that end, we estimate standard Phillips curve inflation equations for 11 industrial countries and use these estimates to test several predictions of the globalization and inflation hypothesis. Our results provide little support for that hypothesis. First, the estimated effect of foreign output gaps on domestic consumer price inflation is generally insignificant and often of the wrong sign. Second, we find no evidence that the trend decline in the sensitivity of inflation to the domestic output gap observed in many countries owes to globalization. Finally, and most surprisingly, our econometric results indicate no increase over time in the responsiveness of inflation to import prices for most countries. However, even though we find no evidence that globalization is affecting the parameters of the inflation process, globalization may be helping to stabilize real GDP and hence inflation. Over time, the volatility of real GDP growth has declined by more than the volatility of domestic demand, suggesting that net exports increasingly are acting to buffer output from fluctuations in domestic demand. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921046&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Greenspan, Alan AU - Kennedy, James AD - Unlisted AD - Unlisted T1 - Sources and uses of equity extracted from homes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-20 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908958; Publication Type: Working Paper; Update Code: 200706 N2 - In this paper, we present estimates of the disposition of the free cash generated by home equity extraction to finance consumer spending, outlays for home improvements, debt repayment, acquisition of assets, and other uses. We estimate free cash as cash available net of closing costs and repayment of other mortgage debt. We also have extended the quarterly data series for gross equity extraction, presented in our earlier paper, back to 1968. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908958&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Cai, Fang AD - Unlisted AD - Unlisted T1 - Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 912 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959401; Keywords: Credit derivatives; Emerging markets; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200803 N2 - We examine the relationships between credit default swap (CDS) premiums and bond yield spreads for nine emerging market sovereign borrowers. We find that these two measures of credit risk deviate considerably in the short run, due to factors such as liquidity and contract specifications, but we estimate a stable long-term equilibrium relationship for most countries. In particular, CDS premiums tend to move more than one-for-one with yield spreads, which we show is broadly consistent with the presence of a significant "cheapest-to-deliver" (CTD) option. In addition, we find a variety of cross-sectional evidence of a CTD option being incorporated into CDS premiums. In our analysis of the short-term dynamics, we find that CDS premiums often move ahead of the bond market. However, we also find that bond spreads lead CDS premiums for emerging market sovereigns more often than has been found for investment-grade corporate credits, consistent with the CTD option impeding CDS liquidity for our riskier set of borrowers. Furthermore, the CDS market is less likely to lead for sovereigns that have issued more bonds, suggesting that the relative liquidity of the two markets is a key determinant of where price discovery occurs. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959401&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sahm, Claudia R. AD - Unlisted T1 - Stability of risk preference PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-66 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959395; Publication Type: Working Paper; Update Code: 200803 N2 - Stability of preferences is central to how economists study behavior. This paper uses panel data on hypothetical gambles over lifetime income in the Health and Retirement Study to quantify changes in risk tolerance over time and differences across individuals. The maximum-likelihood estimation of a correlated random effects model utilizes information from 12,000 respondents in the 1992-2002 HRS. The results support constant relative risk aversion and career selection on preferences. While risk tolerance changes with age and macroeconomic conditions, persistent differences across individuals account for 73% of the systematic variation. The measure of risk tolerance also relates to actual stock ownership. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959395&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Taylor rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-18 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908955; Publication Type: Working Paper; Update Code: 200706 N2 - Taylor rules are simple monetary policy rules that prescribe how a central bank should adjust its interest rate policy instrument in a systematic manner in response to developments in inflation and macroeconomic activity. This paper reviews the development and characteristics of Taylor rules in relation to alternative monetary policy guides and discusses their role for positive and normative monetary policy analysis. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908955&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AU - Osterholm, Par AD - Unlisted AD - Unlisted T1 - Testing for cointegration using the Johansen methodology when variables are near-integrated PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 915 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959404; Publication Type: Working Paper; Update Code: 200803 N2 - We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. The spurious rejection rate can be reduced by performing additional tests of restrictions on the cointegrating vector(s), although it is still substantially larger than the nominal size. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959404&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Lengermann, Paul AU - Slifman, Larry AD - Unlisted AD - Unlisted AD - Unlisted T1 - The contribution of multinational corporations to U.S. productivity growth, 1977-2000 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-21 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921036; Keywords: International business enterprises; Labor productivity; Industrial productivity; Publication Type: Working Paper; Update Code: 200707 N2 - In this paper, we decompose aggregate labor productivity growth in order to gauge the relative importance of multinational corporations (MNCs) to the economic performance of the United States in the 1990s. As we define it, the MNC sector refers to the U.S. activities of multinational corporations operating in the United States. We develop productivity estimates for MNCs using (1) published and unpublished industry-level data from two surveys conducted by the Bureau of Economic Analysis and (2) productivity data for industries and major sectors from the FRB productivity system (Bartelsman and Beaulieu 2003, 2004). The resulting MNC sector accounted for about 40 percent of the gross product of all nonfinancial corporations and all of the pickup in nonfinancial corporate labor productivity in the late 1990s. Accordingly, the MNC sector accounted for more than half of the acceleration in labor productivity growth of all U.S. nonfarm private businesses. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921036&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Amel, Dean F. AD - Unlisted AD - Unlisted T1 - The effects of past entry, market consolidation, and expansion by incumbents on the probability of entry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-51 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939007; Publication Type: Working Paper; Update Code: 200711 N2 - The threat of entry is an important factor in the evaluation of the potential competitive effects of proposed mergers and acquisitions. In the evaluation of proposed bank mergers, a high probability of entry, or strong potential competition, is often found to mitigate the potential anticompetitive effect of a proposed horizontal merger. Because the probability of entry is not directly observed for each local market, variables such as per capita income, population growth and past entry are typically used to predict the probability of future entry. This study extends previous research on the determinants of entry into local banking markets. In addition to variables considered by past research, such as market demographic characteristics, branching deregulation and past merger activity, this study considers the effects on future entry of past entry and strategic barriers to entry, which are proxied by changes in incumbent branching, the presence of small incumbent firms and market concentration. The analysis uses data that allow a broader definition of entry than that used in most past research. In most of the previous studies, bank entry is defined as the creation of a new banking institution. We show that this definition is problematic and misses entry due to branch network extension by existing banks, which is substantial. Results of our analysis are consistent with past research where past research exists. In addition, we find significant negative relationships between strategic barriers to entry and entry. Assessment of the quantitative significance of the results, however, finds that very large changes in the explanatory variables are needed to cause substantial changes in the probability of entry into banking markets. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939007&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Elmendorf, Douglas W. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The evolution of household income volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-61 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0948834; Publication Type: Working Paper; Update Code: 200801 N2 - Using data from the PSID, we find that household income has become noticeably more volatile during the past thirty years. We estimate that the standard deviation of percent changes in household income rose one-fourth between the early 1970s and early 2000s. This widening in the distribution of percent changes is concentrated in the tails of the distribution, and especially in the lower tail: Changes between the 25th and 75th percentiles are almost the same size now as thirty years ago, but changes at the 10th percentile look substantially more negative. The boost in volatility occurred throughout the 1970s, 1980s, and 1990s, albeit not at a steady pace. Households' labor earnings and transfer payments have both become more volatile over time. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0948834&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith AU - Osterholm, Par AD - Unlisted AD - Unlisted T1 - The rise and fall of U.S. inflation persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-26 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921039; Publication Type: Working Paper; Update Code: 200707 N2 - This paper estimates the path of inflation persistence in the United States over the last 50 years and draws implications about the evolution of the Federal Reserve's monetary-policy preferences. Standard models of central-bank optimization predict persistent inflation outcomes. Time variation of the central bank's preference for output stability should be reflected in changes in inflation persistence. We estimate an ARMA(1,q) model with a time-varying autoregressive parameter for monthly U.S. inflation data from 1955 to 2006. The coefficients provide an estimate of the inflation target and the path of inflation persistence. The estimated inflation target over the sample is approximately 2.8 percent and we find that inflation persistence declined substantially during Volcker and Greenspan's tenures to a level significantly less than one and significantly below that of the 1970s and early 1980s. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921039&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Kohn, Donald L. AD - Unlisted AD - Unlisted T1 - The rise in U.S. household indebtedness: causes and consequences PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-37 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926930; Publication Type: Working Paper; Update Code: 200709 N2 - The ratio of total household debt to aggregate personal income in the United States has risen from an average of 0.6 in the 1980s to an average of 1.0 so far this decade. In this paper we explore the causes and consequences of this dramatic increase. Demographic shifts, house price increases, and financial innovation all appear to have contributed to the rise. Households have become more exposed to shocks to asset prices through the greater leverage in their balance sheets, and more exposed to unexpected changes in income and interest rates because of higher debt payments relative to income. At the same time, an increase in access to credit and higher levels of assets should give households, on average, a greater ability to smooth through shocks. We conclude by discussing some of the risks associated with some households having become very highly indebted relative to their assets. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926930&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane T. AU - Ahmed, Shaghil AU - Coulibaly, Brahima AU - Knippenberg, Ross AU - Leduc, Sylvain AU - Marazzi, Mario AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The role of China in Asia: engine, conduit, or steamroller? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 904 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931511; Publication Type: Working Paper; Update Code: 200710 N2 - This paper assesses China's role in Asia as an independent engine of growth, as a conduit of demand from the industrial countries, and as a competitor for export markets. We provide both macroeconomic and microeconomic evidence. The macroeconomic analysis focuses on the impact of U.S. and Chinese demand on the output of the Asian economies by estimating growth comovements and VARs. The results suggest an increasing role of China as an independent source of growth. The microeconomic analysis decomposes trade into basic products, parts and components, and finished goods. We find a large role for parts and components trade consistent with China playing an important and increasing role as a conduit. We also estimate some regressions that show that China's increasing presence in export markets has had a negative effect on exports of some products for some other Asian economies, but not for other products, including those of the important electronic high-technology industry. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931511&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Curcuru, Stephanie E. AU - Dvorak, Tomas AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The stability of large external imbalances: the role of returns differentials PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 894 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921048; Publication Type: Working Paper; Update Code: 200707 N2 - Were the U.S. to persistently earn substantially more on its foreign investments ("U.S. claims") than foreigners earn on their U.S. investments ("U.S. liabilities"), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, utilizing data on the actual foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential of U.S. claims over U.S. liabilities is essentially zero. Ending our sample in 2005, the differential is positive, whereas through 2004 it is negative; in both cases the differential is statistically indecipherable from zero. Moreover, were it not for the poor timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to the subsequent underperformance (or strong performance) of equities, the returns differential would be even lower. Thus, in the context of equity and bond portfolios we find no evidence that the U.S. can count on earning more on its claims than it pays on its liabilities. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921048&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - The Stambaugh bias in panel predictive regressions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 914 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959403; Publication Type: Working Paper; Update Code: 200803 N2 - This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions can be severe. A new bias-corrected estimator is proposed, which is shown to work well in finite samples and to lead to approximately normally distributed t-statistics. Overall, the results show that the econometric issues associated with predictive regressions when using time-series data to a large extent also carry over to the panel case. The results are illustrated with an application to predictability in international stock indices. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959403&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Gust, Christopher AU - Lopez-Salido, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - The transmission of domestic shocks in the open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 906 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0946839; Publication Type: Working Paper; Update Code: 200712 N2 - This paper uses an open economy DSGE model to explore how trade openness affects the transmission of domestic shocks. For some calibrations, closed and open economies appear dramatically different, reminiscent of the implications of Mundell-Fleming style models. However, we argue such stark differences hinge on calibrations that impose an implausibly high trade price elasticity and Frisch elasticity of labor supply. Overall, our results suggest that the main effects of openness are on the composition of expenditure, and on the wedge between consumer and domestic prices, rather than on the response of aggregate output and domestic prices. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0946839&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hall, Anne E. AD - Unlisted T1 - The value of Medicare managed care plans and their prescription drug benefits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-19 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908957; Publication Type: Working Paper; Update Code: 200706 N2 - I estimate the welfare, both gross and net, provided by the Medicare managed care program in 1999 through 2002. First, I estimate a model of demand for the benefits offered by managed care plans to Medicare beneficiaries. I then use the demand estimates to form estimates of welfare provided by the program. Medicare beneficiaries derived $14.9 billion of gross welfare per year from the Medicare HMO program. Depending on the amount of selection in the program, the Medicare managed care program provided from -$10.3 billion to $35.1 billion of net welfare total over the four-year period. I also estimate the welfare that beneficiaries receive from the prescription drug benefits offered by Medicare HMOs. HMO enrollees in plans offering drugs received on average $13 of consumer surplus per month from the drug benefits in 1999, and this estimate drops to $10 by 2002. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908957&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bordo, Michael AU - Erceg, Christopher AU - Levin, Andrew AU - Michaels, Ryan AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Three great American disinflations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 898 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931506; Keywords: Monetary policy - United States; Deflation (Finance); Publication Type: Working Paper; Update Code: 200710 N2 - This paper analyzes the role of transparency and credibility in accounting for the widely divergent macroeconomic effects of three episodes of deliberate monetary contraction: the post-Civil War deflation, the post-WWI deflation, and the Volcker disinflation. Using a dynamic general equilibrium model in which private agents use optimal filtering to infer the central bank's nominal anchor, we demonstrate that the salient features of these three historical episodes can be explained by differences in the design and transparency of monetary policy, even without any time variation in economic structure or model parameters. For a policy regime with relatively high credibility, our analysis highlights the benefits of a gradualist approach (as in the 1870s) rather than a sudden change in policy (as in 1920-21). In contrast, for a policy institution with relatively low credibility (such as the Federal Reserve in late 1980), an aggressive policy stance can play an important signalling role by making the policy shift more evident to private agents. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931506&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain P. AU - Chernenko, Sergey V. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trading activity and exchange rates in high-frequency EBS data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 903 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931510; Publication Type: Working Paper; Update Code: 200710 N2 - The absence of data has, until now, precluded virtually all research on trading volume in the foreign exchange market. This paper introduces a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market. The dataset gives volumes and prices at the one-minute frequency over a five-year time period in the euro-dollar and dollar-yen currency pairs. We first document intraday volume patterns in euro-dollar and dollar-yen trading, noting the effects of macroeconomic news announcements but also purely institutional factors. We study the effects of UK-specific holidays on euro-dollar and dollar-yen trading volume and find that these holidays cause a sharp decline in trading volume even among dealers outside the UK, a natural experiment that we interpret as further evidence that trading activity is not driven solely by the flow of news about fundamentals. Studying the reaction to U.S. macroeconomic announcements, we show that a sharp pickup in trading volume generally occurs in the minutes following news announcements. This rise in trading volume happens even if the data release is entirely in line with market expectations, and it is often negatively related to the dispersion of ex-ante market expectations. Finally, focusing on one particular data release at the one-second frequency, we document a two-stage reaction whereby the price jumps immediately after the announcement without much trading volume, while trading volume and volatility then surge about 15 seconds after the data release. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931510&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AD - Unlisted T1 - Transaction costs and consumption PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-38 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931498; Publication Type: Working Paper; Update Code: 200710 N2 - The Rational Expectations Permanent Income Hypothesis (RE-PIH) fails to explain several features of consumption behavior documented by previous researchers. First, the marginal propensity to consume (MPC) out of unanticipated income shocks tends to decrease as the size of the shocks becomes larger. Second, the MPC out of small income shocks is well above what the RE-PIH predicts. Third, consumption responds to small anticipated income changes, but not to large ones. This paper argues that these findings can be reconciled within a RE-PIH framework that includes a cash-in-advance constraint. In the model, the representative agent is assumed to be fully rational with perfect information and is able to borrow against future income. The agent can hold cash and interest-bearing assets, but has to pay a fixed transaction cost to transfer wealth between cash and assets. I show that the agent follows an s-S rule with respect to cash holdings in making wealth-transfer decisions. The MPC within the no-transfer band is higher than that out of the band. It can be lower than or exactly equal to 1. The model also predicts that agents smooth consumption in response to news of large future income changes but not to small ones. Furthermore the model sheds light on the demand for liquid assets and the equity premium puzzle. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931498&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Kim, Sunghyun Henry AD - Unlisted AD - Unlisted T1 - Two pitfalls of linearization methods PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-64 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0959393; Publication Type: Working Paper; Update Code: 200803 N2 - This paper illustrates two types of pitfalls in using linearization methods. First, if constraints are linearized before deriving optimality conditions, the derived conditions are not correct up to first order. Second, even when the behavior of the economy is correct to the first order, applying this behavior to welfare implications may lead to incorrect results. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0959393&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Reeve, Trevor A. AU - Sheets, Nathan AD - Unlisted AD - Unlisted AD - Unlisted T1 - U.S. external adjustment: is it disorderly? Is it unique? Will it disrupt the rest of the world? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 892 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0921045; Keywords: Balance of trade; Balance of payments; Debts, External; Publication Type: Working Paper; Update Code: 200707 N2 - In recent years, a number of studies have analyzed the experiences of a broad range of industrial economies during periods when their current account deficits have narrowed. Such studies identified systematic aspects of external adjustment, but it is unclear how good a guide the experience of other countries may be to the effects of a future narrowing of the U.S. external imbalance. In contrast, this paper focuses in depth on the historical experience of external adjustment in the United States. Using data from the past thirty-five years, we compare economic performance in episodes during which the U.S. trade balance deteriorated and episodes during which it adjusted. We find trade balance adjustment to have been generally benign: U.S. real GDP growth tended to fall, but not to a statistically significant extent; housing construction slumped; inflation generally rose modestly; and although nominal interest rates tended to rise, real interest rates fell. The paper then compares these outcomes to those in foreign industrial economies. We find that the economic performance of the United States during periods of external adjustment is remarkably similar to the foreign experience. Finally, we also examine the performance of the foreign industrial economies during the periods of U.S. deterioration and adjustment. Contrary to concerns that U.S. adjustment will prove injurious to foreign economies, our analysis suggests that the foreign economies fared reasonably well during past periods when the U.S. trade deficit narrowed: the growth of domestic demand and real GDP abroad generally strengthened during such episodes, although inflation and interest rates tended to rise as well. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0921045&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Laubach, Thomas AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Welfare-maximizing monetary policy under parameter uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-56 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0939012; Publication Type: Working Paper; Update Code: 200711 N2 - This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the U.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model's utility-based welfare criterion and about the economy's natural rate measures of interest and output. We analyze the characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We find that the natural rates of interest and output are imprecisely estimated. We then show that, relative to the case of known parameters, optimal policy under parameter uncertainty responds less to natural-rate terms and more to other variables, such as price and wage inflation and measures of tightness or slack that do not depend on natural rates. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0939012&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Chaboud, Alain P. AD - Unlisted AD - Unlisted T1 - What can the data tell us about carry trades in Japanese yen? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 899 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931505; Keywords: Foreign exchange rates; Yen, Japanese; Interest rates; Publication Type: Working Paper; Update Code: 200710 N2 - This paper examines the available data that may shed light on the carry trade in Japanese yen. We define an individual or a sector to be engaged in the carry trade if it has a short position in yen and a long position in other currencies. The tendency of large yen movements to be skewed toward appreciations is consistent with the existence of substantial carry positions, and other evidence from market prices provides some modest support for an effect from the carry trade. Data on bank loans and bond holdings by currency reveal a large apparent yen carry position of the Japanese official sector and modest carry positions in the Japanese and foreign banking sectors. The Japanese private non-banking sector has a large long foreign-currency position, but does not have a short yen position, and is thus not engaged in the yen carry trade in the aggregate. However, it is possible that exporters and investors in Japan use the derivatives markets to hedge some of their long foreign-currency exposure, with the private non-banking sector outside of Japan (including most hedge funds) likely to be taking on most of the associated carry exposure. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931505&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Love, David A. AU - Smith, Paul A. AU - Wilcox, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Why do firms offer risky defined benefit pension plans? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-36 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0926929; Publication Type: Working Paper; Update Code: 200709 N2 - Even risky pension sponsors could offer essentially riskless pension promises by contributing a sufficient level of resources to their pension trust funds and by investing those resources in fixed-income securities designed to deliver their payoffs just as pension obligations are coming due. However, almost no firm has chosen to fund its plan in this manner. We study the optimal funding choice for plan sponsors by developing a simple model of pension financing in which the total compensation offered to workers must clear the labor market. We find that if workers understand the implications of pension risk, they will demand greater compensation for riskier pension promises than for safer ones, all else equal. Indeed, in our model, pension sponsors maximize their value by making their pension promises free of risk. We close by positing some explanations for why no real-world firm follows the prescription of our model. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0926929&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mishkin, Frederic S. AD - Unlisted T1 - Will monetary policy become more of a science? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-44 Y1 - 2007/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0931504; Publication Type: Working Paper; Update Code: 200710 N2 - This paper reviews the progress that the science of monetary policy has made over recent decades. This progress has significantly expanded the degree to which the practice of monetary policy reflects the application of a core set of "scientific" principles. However, there remains, and will likely always remain, elements of art in the conduct of monetary policy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0931504&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - RAMEY, VALERIE A. AU - VINE, DANIEL J. T1 - Declining Volatility in the U.S. Automobile Industry. JO - American Economic Review JF - American Economic Review Y1 - 2006/12// VL - 96 IS - 5 M3 - Article SP - 1876 EP - 1889 SN - 00028282 AB - Data from 103 assembly plants during 1967-2004 indicate that production and inventories in the US automobile industry were adjusted to meet changes in sales, while changes in production and inventories were met most often by changes in hours worked by factory workers rather than changes in the number of workers employed. This article analyzes these developments. KW - AUTOMOBILE industry KW - SELLING -- Automobiles KW - AUTOMOBILE industry workers KW - INVENTORY control KW - LAYOFFS KW - MOTOR vehicle industry KW - INVENTORIES KW - LABOR KW - INDUSTRIES KW - UNITED States N1 - Accession Number: 23263219; RAMEY, VALERIE A. 1; Email Address: vramey@ucsd.edu; VINE, DANIEL J. 2; Email Address: Daniel.J.Vine@frb.gov; Affiliations: 1 : Department of Economics, University of California, San Diego; 2 : Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC; Source Info: Dec2006, Vol. 96 Issue 5, p1876; Note: Based primarily on automobile industry-level data and microdata on production schedules; 3 tables, 16 graphs, biblio., appendix.; Historical Period: 1967 to 2004; Subject Term: AUTOMOBILE industry; Subject Term: SELLING -- Automobiles; Subject Term: AUTOMOBILE industry workers; Subject Term: INVENTORY control; Subject Term: LAYOFFS; Subject Term: MOTOR vehicle industry; Subject Term: INVENTORIES; Subject Term: LABOR; Subject Term: INDUSTRIES; Subject: UNITED States; Number of Pages: 14p; Illustrations: 4 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=23263219&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Berger, Allen N. AU - Udell, Gregory F. T1 - A more complete conceptual framework for SME finance JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2006/11// VL - 30 IS - 11 M3 - Article SP - 2945 EP - 2966 SN - 03784266 AB - Abstract: We propose a more complete conceptual framework for analysis of SME credit availability issues. In this framework, lending technologies are the key conduit through which government policies and national financial structures affect credit availability. We emphasize a causal chain from policy to financial structures, which affect the feasibility and profitability of different lending technologies. These technologies, in turn, have important effects on SME credit availability. Financial structures include the presence of different financial institution types and the conditions under which they operate. Lending technologies include several transactions technologies plus relationship lending. We argue that the framework implicit in most of the literature is oversimplified, neglects key elements of the chain, and often yields misleading conclusions. A common oversimplification is the treatment of transactions technologies as a homogeneous group, unsuitable for serving informationally opaque SMEs, and a frequent misleading conclusion is that large institutions are disadvantaged in lending to opaque SMEs. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT control KW - FINANCIAL performance KW - SMALL business -- Finance KW - SMALL business -- Cash position KW - LOANS KW - CORPORATE profits KW - COMMERCIAL policy KW - Banks KW - International ( Governance ) KW - Relationship Lending KW - SMEs N1 - Accession Number: 22717633; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Udell, Gregory F. 3; Email Address: gudell@indiana.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 153, Federal Reserve Board, 20th and C Streets, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Kelley School of Business, Indiana University, Bloomington, IN 47405, USA; Issue Info: Nov2006, Vol. 30 Issue 11, p2945; Thesaurus Term: CREDIT control; Thesaurus Term: FINANCIAL performance; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: SMALL business -- Cash position; Thesaurus Term: LOANS; Thesaurus Term: CORPORATE profits; Thesaurus Term: COMMERCIAL policy; Author-Supplied Keyword: Banks; Author-Supplied Keyword: International ( Governance ); Author-Supplied Keyword: Relationship Lending; Author-Supplied Keyword: SMEs; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jbankfin.2006.05.008 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=22717633&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Aksoy, Yunus AU - Orphanides, Athanasios AU - Small, David AU - Wieland, Volker AU - Wilcox, David T1 - A quantitative exploration of the opportunistic approach to disinflation JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2006/11// VL - 53 IS - 8 M3 - Article SP - 1877 EP - 1893 SN - 03043932 AB - Abstract: Under a conventional policy rule, a central bank adjusts its policy rate linearly according to the gap between inflation and its target, and the gap between output and its potential. Under “the opportunistic approach to disinflation” a central bank controls inflation aggressively when inflation is far from its target, but concentrates more on output stabilization when inflation is close to its target, allowing supply shocks and unforeseen fluctuations in aggregate demand to move inflation within a certain band. We use stochastic simulations of a small-scale rational expectations model to contrast the behavior of output and inflation under opportunistic and linear rules. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - CENTRAL banking industry KW - EQUILIBRIUM (Economics) KW - ANTI-inflationary policies KW - INFLATION (Finance) KW - INFLATION risk KW - CONSUMER behavior KW - ECONOMIC models KW - Disinflation KW - E61 KW - Inflation targeting KW - Interest rates KW - Monetary policy KW - Policy rules N1 - Accession Number: 23214464; Aksoy, Yunus 1; Orphanides, Athanasios 2; Email Address: athanasios.orphanides@frb.gov; Small, David 2; Wieland, Volker 3,4,5; Wilcox, David 2; Affiliations: 1: School of Economics, Mathematics and Statistics, Birkbeck College, University of London, London, WC1E 7HX, UK; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 3: Department of Economics, Goethe University of Frankfurt, Mertonstrasse 17, D-60054 Frankfurt am Main, Germany; 4: CEPR, 90-98 Goswell Road, London EC1V 7RR, UK; 5: Center for Financial Studies, Mertonstrasse 17, D-60054 Frankfurt am Main, Germany; Issue Info: Nov2006, Vol. 53 Issue 8, p1877; Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: ANTI-inflationary policies; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INFLATION risk; Thesaurus Term: CONSUMER behavior; Thesaurus Term: ECONOMIC models; Author-Supplied Keyword: Disinflation; Author-Supplied Keyword: E61; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Interest rates; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Policy rules; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jmoneco.2005.08.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23214464&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nalewaik, Jeremy J. T1 - Current consumption and future income growth: Synthetic panel evidence JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2006/11// VL - 53 IS - 8 M3 - Article SP - 2239 EP - 2266 SN - 03043932 AB - Abstract: Using group means computed from 20 years of high quality survey data, I show a strong and robust relation between households’ consumption growth and subsequent realizations of their income growth, including realizations as distant as six years later. The relation appears in multiple types of variation in income growth: in variation across cohort-education groups, in variation over the life cycle, and in variation over the business cycle. While other explanations are explored, the results are likely due to forward-looking households altering their current consumption in response to information they receive about their income years into the future, information that turns out to be accurate. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - CONSUMER behavior KW - INCOME forecasting KW - CONSUMER confidence KW - INCOME KW - HOUSEHOLDS -- Economic aspects KW - Consumption (empirical analysis) KW - Intertemporal choice N1 - Accession Number: 23214480; Nalewaik, Jeremy J. 1; Email Address: jeremy.j.nalewaik@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, Washington, DC 20551, USA; Issue Info: Nov2006, Vol. 53 Issue 8, p2239; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: CONSUMER behavior; Thesaurus Term: INCOME forecasting; Thesaurus Term: CONSUMER confidence; Thesaurus Term: INCOME; Subject Term: HOUSEHOLDS -- Economic aspects; Author-Supplied Keyword: Consumption (empirical analysis); Author-Supplied Keyword: Intertemporal choice; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 28p; Document Type: Article L3 - 10.1016/j.jmoneco.2005.08.016 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23214480&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Andersen, Torben G. AU - Bollerslev, Tim AU - Diebold, Francis X. AU - Vega, Clara T1 - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 35 AB - Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - MACROECONOMICS KW - BUSINESS cycles KW - STOCKS (Finance) KW - FUTURES KW - FOREIGN exchange KW - BOND market KW - STOCK exchanges KW - UNITED States -- Economic conditions -- 2001-2009 KW - UNITED States KW - Asset Pricing KW - Asset Return Volatility KW - Financial Market Linkages KW - Forecasting KW - High-Frequency Data KW - Macroeconomic News Announcements KW - Market Microstructure KW - Survey Data N1 - Accession Number: 24296875; Andersen, Torben G. 1,2; Email Address: t-andersen@kellogg.nwu.edu; Bollerslev, Tim 2,3; Email Address: boller@econ.duke.edu; Diebold, Francis X. 2,4; Email Address: fdiebold@sas.upenn.edu; Vega, Clara 5; Email Address: vega@simon.rochester.edu; Affiliations: 1: Department of Finance, Northwestern University; 2: NBER; 3: Department of Economics and Finance, Duke University; 4: Department of Economics, Finance and Statistics, University of Pennsylvania; 5: Board of Governors of the Federal Reserve System and William E. Simon Graduate School of Business Administration, University of Rochester; Issue Info: 2006, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: MACROECONOMICS; Thesaurus Term: BUSINESS cycles; Thesaurus Term: STOCKS (Finance); Thesaurus Term: FUTURES; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BOND market; Thesaurus Term: STOCK exchanges; Subject Term: UNITED States -- Economic conditions -- 2001-2009; Subject: UNITED States; Author-Supplied Keyword: Asset Pricing; Author-Supplied Keyword: Asset Return Volatility; Author-Supplied Keyword: Financial Market Linkages; Author-Supplied Keyword: Forecasting; Author-Supplied Keyword: High-Frequency Data; Author-Supplied Keyword: Macroeconomic News Announcements; Author-Supplied Keyword: Market Microstructure; Author-Supplied Keyword: Survey Data; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 35p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296875&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Arteta, Carlos AU - Hale, Galina T1 - Sovereign Debt Crises and Credit to the Private Sector. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 42 AB - We argue that, through its effect on aggregate demand and country risk premia, sovereign debt restructuring can adversely affect the private sector's access to foreign capital markets. Using fixed effect analysis, we estimate that sovereign debt rescheduling episodes are indeed systematically accompanied by a decline in foreign credit to emerging market private firms, both during debt renegotiations and for over two years after the agreements are reached. This decline is large (over 20%), statistically significant, and robust when we control for a host of fundamentals. We find that this effect is different for financial sector firms, for exporters, and for nonfinancial firms in the non-exporting sector. We also find that the effect depends on the type of debt rescheduling agreement. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL market KW - PUBLIC debts KW - PRIVATE sector KW - FINANCIAL institutions KW - EMERGING markets KW - FINANCIAL crises KW - EXTERNAL debts KW - DEFAULT (Finance) KW - INTERNATIONAL markets KW - credit constraints KW - credit rationing KW - default KW - sovereign debt N1 - Accession Number: 24296882; Arteta, Carlos 1; Hale, Galina 2; Email Address: galina.b.hale@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of San Francisco; Issue Info: 2006, p1; Thesaurus Term: CAPITAL market; Thesaurus Term: PUBLIC debts; Thesaurus Term: PRIVATE sector; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: EMERGING markets; Thesaurus Term: FINANCIAL crises; Thesaurus Term: EXTERNAL debts; Thesaurus Term: DEFAULT (Finance); Thesaurus Term: INTERNATIONAL markets; Author-Supplied Keyword: credit constraints; Author-Supplied Keyword: credit rationing; Author-Supplied Keyword: default; Author-Supplied Keyword: sovereign debt; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 42p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296882&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Bauer, Gregory H. AU - Vega, Clara T1 - The Monetary Origins of Asymmetric Information in International Equity Markets. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 56 AB - Existing studies using low-frequency data have found that macroeconomic shocks contribute little to international stock market covariation. However, these papers have not accounted for the presence of asymmetric information where sophisticated investors generate private information about the fundamentals that drive returns in many countries. In this paper, we use a new microstructure data set to better identify the effects of private and public information shocks about U.S. interest rates and equity returns. High-frequency private and public information shocks help forecast domestic money and equity returns over daily and weekly intervals. In addition, these shocks are components of factors that are priced in a model of the cross section of international returns. Linking private information to U.S. macroeconomic factors is useful for many domestic and international asset pricing tests. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - STOCK exchanges KW - MONETARY policy KW - RATE of return KW - INTEREST rates KW - FOREIGN exchange rates KW - FOREIGN exchange market KW - INTERNATIONAL markets KW - UNITED States KW - Exchanged Traded Funds KW - Foreign Exchange Rates KW - International Equity Returns KW - Monetary Policy KW - Private Information N1 - Accession Number: 24296876; Bauer, Gregory H. 1; Email Address: gbauer@bankofcanada.ca; Vega, Clara 2; Email Address: vega@simon.rochester.edu; Affiliations: 1: Department of the Bank of Canada, 234 Wellington St., Ottawa, Ontario, Canada K1A 0G9; 2: Board of Governors of the Federal Reserve System and William E. Simon Graduate School of Business Administration, Carol Simon Hall, University of Rochester, Rochester, NY 14627; Issue Info: 2006, p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: STOCK exchanges; Thesaurus Term: MONETARY policy; Thesaurus Term: RATE of return; Thesaurus Term: INTEREST rates; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: INTERNATIONAL markets; Subject: UNITED States; Author-Supplied Keyword: Exchanged Traded Funds; Author-Supplied Keyword: Foreign Exchange Rates; Author-Supplied Keyword: International Equity Returns; Author-Supplied Keyword: Monetary Policy; Author-Supplied Keyword: Private Information; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 56p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296876&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Benediktsdóttir, Sigríður T1 - An Empirical Analysis of Specialist Trading Behavior at the New York Stock Exchange. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 27 AB - I establish stylized empirical facts about the trading behavior of New York Stock Exchange specialists. Specifically, I look at the effect of future price movements, the specialist's explicit role, and the specialist's inventory levels on specialist trading behavior. The motivation for this empirical study is to infer whether the specialist behaves like an active investor who has an information advantage which he obtains while acting as a broker for other traders. If this were the case, one would expect that the specialist would engage in a profit maximizing strategy, buying low and selling high, which is opposite to the prediction of the traditional inventory model. I find that specialists behave like active investors who seek to buy stocks when prices are low and to sell when prices are high. I also find that when specialists are not performing their trading obligations of being on the opposite side of the market they are in almost 85 percent of their trades, buying low and selling high. The findings of this paper indicate that the NYSE specialist is best represented in theoretical models as a constrained profit maximizing, informed investor rather than as a zero profit trader. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - MONEY market KW - FOREIGN exchange market KW - MARKET value KW - MARKET prices KW - ECONOMIC models KW - STOCKS (Finance) KW - MARKET makers KW - SECURITIES -- Prices KW - Market maker KW - Market microstructure KW - NYSE KW - Specialist KW - NEW York Stock Exchange N1 - Accession Number: 24296880; Benediktsdóttir, Sigríður 1; Email Address: Sigridur.Benediktsdottir@frb.gov; Affiliations: 1: Economist in the Division of International Finance of the Board of Governors of the Federal Reserve System; Issue Info: 2006, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEY market; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: MARKET value; Thesaurus Term: MARKET prices; Thesaurus Term: ECONOMIC models; Thesaurus Term: STOCKS (Finance); Thesaurus Term: MARKET makers; Thesaurus Term: SECURITIES -- Prices; Author-Supplied Keyword: Market maker; Author-Supplied Keyword: Market microstructure; Author-Supplied Keyword: NYSE; Author-Supplied Keyword: Specialist ; Company/Entity: NEW York Stock Exchange; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 27p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296880&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Bodenstein, Martin T1 - Closing Open Economy Models. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 57 AB - Several methods have been proposed to obtain stationarity in open economy models. I find substantial qualitative and quantitative differences between these methods in a two-country framework, in contrast to the results of Schmitt—Grohé and Uribe (2003). In models with a debt elastic interest rate premium or a convex portfolio cost, both the steady state and the equilibrium dynamics are unique if the elasticity of substitution between the domestic and the foreign traded good is high. However, there are three steady states if the elasticity of substitution is sufficiently low. With endogenous discounting, there is always a unique and stable steady state irrespective of the magnitude of the elasticity of substitution. Similar to the model with convex portfolio costs or a debt elastic interest rate premium, though, there can be multiple convergence paths for low values of the elasticity in response to shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS -- Statistical methods KW - ECONOMIC models KW - MATHEMATICAL economics KW - INTEREST rates KW - INVESTMENTS KW - ELASTICITY (Economics) KW - PRICE flexibility KW - EQUILIBRIUM (Economics) KW - STAGNATION (Economics) KW - INTERNATIONAL trade KW - incomplete markets KW - multiple equilibria KW - stationarity N1 - Accession Number: 24296871; Bodenstein, Martin 1; Email Address: Martin.R.Bodenstein@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington D.C.; Issue Info: 2006, p1; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: ECONOMIC models; Thesaurus Term: MATHEMATICAL economics; Thesaurus Term: INTEREST rates; Thesaurus Term: INVESTMENTS; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: PRICE flexibility; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: STAGNATION (Economics); Thesaurus Term: INTERNATIONAL trade; Author-Supplied Keyword: incomplete markets; Author-Supplied Keyword: multiple equilibria; Author-Supplied Keyword: stationarity; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 57p; Illustrations: 2 Charts, 9 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296871&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Hausman, Joshua AU - Wongswan, Jon T1 - Global Asset Prices and FOMC Announcements. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 60 AB - This paper documents the impact of U.S. monetary policy announcement surprises on foreign equity indexes, short- and long-term interest rates, and exchange rates in 49 countries. We use two proxies for monetary policy surprises: the surprise change to the current target federal funds rate (target surprise) and the revision to the path of future monetary policy (path surprise). We find that different asset classes respond to different components of the monetary policy surprises. Global equity indexes respond mainly to the target surprise; exchange rates and long-term interest rates respond mainly to the path surprise; and short-term interest rates respond to both surprises. On average, a hypothetical surprise 25-basis-point cut in the federal funds target rate is associated with about a 1 percent increase in foreign equity indexes and a 5 basis point decline in foreign short-term interest rates. A surprise 25-basis-point downward revision in the path of future policy is associated with about a ½ percent decline in the exchange value of the dollar against foreign currencies and 5 and 8 basis points declines in short- and long-term interest rates, respectively. We also find that asset prices' responses to FOMC announcements vary greatly across countries, and that these cross-country variations in the response are related to a country's exchange rate regime. Equity indexes and interest rates in countries with a less flexible exchange rate regime respond more to U.S. monetary policy surprises. In addition, the cross-country variation in the equity market response is strongly related to the percentage of each country's equity market capitalization owned by U.S. investors (a financial linkage), and the cross-country variation in short-term interest rates' responses is strongly related to the share of each country's trade that is with the United States (a real linkage). [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INTERNATIONAL markets KW - GLOBALIZATION KW - ASSETS (Accounting) KW - PRICES KW - PRICE indexes KW - INTEREST rates KW - FOREIGN exchange rates KW - FEDERAL funds market (U.S.) KW - UNITED States KW - equity markets KW - exchange rate regime KW - exchange rates KW - interest rates KW - monetary policy announcements KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 24296890; Hausman, Joshua 1; Email Address: Joshua.K.Hausman@frb.gov; Wongswan, Jon 2; Email Address: Jon.Wongswan@frb.gov; Affiliations: 1: Research Assistant, Division of International Finance of the Board of Governors of the Federal Reserve System; 2: Economist, Division of International Finance of the Board of Governors of the Federal Reserve System; Issue Info: 2006, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: GLOBALIZATION; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: PRICES; Thesaurus Term: PRICE indexes; Thesaurus Term: INTEREST rates; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FEDERAL funds market (U.S.); Subject: UNITED States; Author-Supplied Keyword: equity markets; Author-Supplied Keyword: exchange rate regime; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: interest rates; Author-Supplied Keyword: monetary policy announcements ; Company/Entity: UNITED States. Federal Open Market Committee; Number of Pages: 60p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296890&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Pasquariello, Paolo AU - Vega, Clara T1 - Informed and Strategic Order Flow in the Bond Markets. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 47 AB - We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions — information heterogeneity and imperfect competition among informed traders — and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. We find strong evidence of informational effects in the U.S. Treasury bond market: unanticipated order flow has a significant and permanent impact on daily bond yield changes during both announcement and non-announcement days. Our analysis further shows that, consistent with our stylized model, the contemporaneous correlation between order flow and yield changes is higher when the dispersion of beliefs among market participants is high and public announcements are noisy. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BOND market KW - MACROECONOMICS KW - RATIONAL expectations (Economic theory) KW - MONETARY policy KW - ASSETS (Accounting) KW - BONDS (Finance) -- Prices KW - CAPITAL market KW - COMPETITION KW - UNITED States KW - Dispersion of Beliefs KW - Expectations KW - Macroeconomic News Announcements KW - Market Microstructure KW - Order Flow KW - Real-Time Data KW - Strategic Trading KW - Treasury Bond Markets N1 - Accession Number: 24296878; Pasquariello, Paolo 1; Email Address: ppasquar@bus.umich.edu; Vega, Clara 2,3; Email Address: vega@simon.rochester.edu; Affiliations: 1: Department of Finance, Ross School of Business, University of Michigan; 2: Board of Governors of the Federal Reserve System; 3: University of Rochester Simon School of Business; Issue Info: 2006, p1; Thesaurus Term: BOND market; Thesaurus Term: MACROECONOMICS; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: MONETARY policy; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: BONDS (Finance) -- Prices; Thesaurus Term: CAPITAL market; Subject Term: COMPETITION; Subject: UNITED States; Author-Supplied Keyword: Dispersion of Beliefs; Author-Supplied Keyword: Expectations; Author-Supplied Keyword: Macroeconomic News Announcements; Author-Supplied Keyword: Market Microstructure; Author-Supplied Keyword: Order Flow; Author-Supplied Keyword: Real-Time Data; Author-Supplied Keyword: Strategic Trading; Author-Supplied Keyword: Treasury Bond Markets; Number of Pages: 47p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296878&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Wright, Jonathan H. AU - Gagnon, Joseph E. T1 - Predicting Sharp Depreciations in Industrial Country Exchange Rates. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/10// M3 - Working Paper SP - 1 EP - 28 AB - This paper considers the prediction of large depreciations (both nominal and real) in a panel of industrialized countries using a probit methodology. The current account balance/GDP ratio has a modest but statistically significant effect on the estimated probability of a large depreciation, and gives slight predictive power in an out-of-sample forecasting exercise. The CPI inflation rate also has a modest but statistically significant effect in predicting nominal depreciations and has slight predictive power, but this effect is not present for real exchange rates. The GDP growth rate occasionally has a significant effect. A higher current account balance (surplus) tends to reduce the probability of a sharp depreciation; a higher inflation rate tends to increase the probability of a sharp depreciation; and a higher GDP growth rate perhaps tends to reduce the probability of a sharp depreciation. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEPRECIATION KW - CAPITAL losses KW - BALANCE of payments KW - GROSS domestic product KW - INFLATION (Finance) KW - INTEREST rates KW - CONSUMER price indexes KW - FOREIGN exchange rates KW - GROWTH rate KW - ECONOMIC forecasting KW - current account KW - forecasting N1 - Accession Number: 24296885; Wright, Jonathan H. 1; Gagnon, Joseph E. 2; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington DC 20551; 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2006, p1; Thesaurus Term: DEPRECIATION; Thesaurus Term: CAPITAL losses; Thesaurus Term: BALANCE of payments; Thesaurus Term: GROSS domestic product; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INTEREST rates; Thesaurus Term: CONSUMER price indexes; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: GROWTH rate; Thesaurus Term: ECONOMIC forecasting; Author-Supplied Keyword: current account; Author-Supplied Keyword: forecasting; Number of Pages: 28p; Illustrations: 1 Chart; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=24296885&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kamin, Steven B. T1 - Comments on S. Arndt: “Regional currency arrangements in North America”. JO - International Economics & Economic Policy JF - International Economics & Economic Policy Y1 - 2006/09// VL - 3 IS - 3/4 M3 - Article SP - 281 EP - 286 SN - 16124804 AB - The article comments on the issues associated with the creation of the North American Monetary Union. The author stresses that he finds the reason behind the impact of production sharing arrangements on trade flows compelling. He emphasizes the implications for integrating business cycles in the region. He questions the practical implications of Canada, Mexico, and the U.S. in adopting a single currency. KW - MONETARY unions KW - CURRENCY question KW - MONEY KW - BUSINESS cycles KW - NORTH America N1 - Accession Number: 23368885; Kamin, Steven B. 1; Email Address: steven.kamin@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551, USA; Issue Info: 2006, Vol. 3 Issue 3/4, p281; Thesaurus Term: MONETARY unions; Thesaurus Term: CURRENCY question; Thesaurus Term: MONEY; Thesaurus Term: BUSINESS cycles; Subject: NORTH America; Number of Pages: 6p; Illustrations: 8 Graphs; Document Type: Article L3 - 10.1007/s10368-006-0060-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23368885&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Whitesell, William T1 - Interest rate corridors and reserves JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2006/09// VL - 53 IS - 6 M3 - Article SP - 1177 EP - 1195 SN - 03043932 AB - Abstract: This paper evaluates reserves regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation. Rate corridors, relying on lending and deposit facilities to create ceilings and floors for overnight interest rates, evince mixed results on controlling volatility. Reserve requirements allow period-average smoothing of interest rates but, even if remunerated, are subject to reserve avoidance activities. A system of voluntary, period-average reserve commitments could offer equivalent rate-smoothing advantages. If central banks created symmetric opportunity costs of meeting or falling short of period-average reserve requirements (or commitments), they could achieve flat reserve demand on settlement day. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - FEDERAL funds market (U.S.) KW - MONETARY policy KW - RESERVE requirements KW - BANK reserves KW - CENTRAL banking industry KW - VOLATILITY (Finance) KW - OPPORTUNITY costs KW - Monetary policy implementation KW - Rate corridor KW - Reserve requirements N1 - Accession Number: 22135136; Whitesell, William 1; Email Address: wwhitesell@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep2006, Vol. 53 Issue 6, p1177; Thesaurus Term: INTEREST rates; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: MONETARY policy; Thesaurus Term: RESERVE requirements; Thesaurus Term: BANK reserves; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: OPPORTUNITY costs; Author-Supplied Keyword: Monetary policy implementation; Author-Supplied Keyword: Rate corridor; Author-Supplied Keyword: Reserve requirements; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jmoneco.2005.03.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=22135136&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fujiwara, Ippei AU - McAdam, Peter AU - Roberts, John M. T1 - Monetary policy at the zero interest bound: A model comparison exercise JO - Journal of the Japanese & International Economies JF - Journal of the Japanese & International Economies Y1 - 2006/09// VL - 20 IS - 3 M3 - Article SP - 305 EP - 313 SN - 08891583 AB - Abstract: In this paper, we summarize the findings from zero-interest-bound simulation exercises conducted on the policy/forecasting models of the three major central banks. After imposing a fixed-period zero-interest-bound episode on each model, we consider common variations in the monetary-policy reaction function to minimize the macro-economic consequences of such a deflationary regime. Although there is some heterogeneity in the ranking of these remedial policies, reflecting the different properties of the models, we find that more aggressive policy rules and price-targeting rules are potentially candidates for robust monetary strategies. J. Japanese Int. Economies 20 (3) (2006) 305–313. [Copyright &y& Elsevier] AB - Copyright of Journal of the Japanese & International Economies is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - CURRENCY boards KW - ECONOMIC policy KW - FISCAL policy KW - E61 KW - Model comparison KW - Taylor rule KW - Zero interest bound N1 - Accession Number: 22008603; Fujiwara, Ippei 1; McAdam, Peter 2; Roberts, John M. 3; Email Address: John.M.Roberts@frb.gov; Affiliations: 1: Research and Statistics Department, Bank of Japan; 2: Research Department, European Central Bank; 3: Board of Governors of the Federal Reserve System; Issue Info: Sep2006, Vol. 20 Issue 3, p305; Thesaurus Term: MONETARY policy; Thesaurus Term: CURRENCY boards; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FISCAL policy; Author-Supplied Keyword: E61; Author-Supplied Keyword: Model comparison; Author-Supplied Keyword: Taylor rule; Author-Supplied Keyword: Zero interest bound; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 9p; Document Type: Article L3 - 10.1016/j.jjie.2006.05.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=22008603&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reifschneider, David L. AU - Roberts, John M. T1 - Expectations formation and the effectiveness of strategies for limiting the consequences of the zero bound JO - Journal of the Japanese & International Economies JF - Journal of the Japanese & International Economies Y1 - 2006/09// VL - 20 IS - 3 M3 - Article SP - 314 EP - 337 SN - 08891583 AB - Abstract: We use simulations of the Federal Reserve''s FRB/US model to examine the efficacy of a number of proposals for reducing the consequences of the zero bound on nominal interest rates. Among the proposals are: a more aggressive monetary policy; promises to make up any shortfall in monetary ease during the zero-bound period by keeping interest rates lower in the future; and the adoption of a price-level target. We consider two assumptions about expectations formation. One assumption is fully model-consistent expectations (MCE)—a reasonable assumption when a policy has been in place for some time, but perhaps less so for a newly announced policy. We therefore also consider the possibility that only financial markets have MCE, and that other agents form their expectations using a small-scale VAR model estimated using historical data. All of the policies noted above are highly effective at reducing the adverse effects of the zero bound under MCE, but their efficacy drops considerably when households and firms base their expectations on the historical average behavior of the economy, and only investors fully recognize the economic implications of the various proposals. J. Japanese Int. Economies 20 (3) (2006) 314–337. [Copyright &y& Elsevier] AB - Copyright of Journal of the Japanese & International Economies is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - MONETARY policy KW - BANKING industry KW - ECONOMIC policy KW - Central bank models KW - E10 KW - E61 KW - Expectations formation KW - Monetary policy KW - Zero interest bound N1 - Accession Number: 22008604; Reifschneider, David L. 1; Roberts, John M.; Email Address: john.m.roberts@frb.gov; Affiliations: 1: Mail Stop 61, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep2006, Vol. 20 Issue 3, p314; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONETARY policy; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMIC policy; Author-Supplied Keyword: Central bank models; Author-Supplied Keyword: E10; Author-Supplied Keyword: E61; Author-Supplied Keyword: Expectations formation; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Zero interest bound; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.jjie.2006.05.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=22008604&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Armenter, Roc AU - Bodenstein, Martin T1 - Does The Time Inconsistency Problem Make Flexible Exchange Rates Look Worse Than You Think? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/09// M3 - Article SP - 1 EP - 34 AB - The Barro-Gordon inflation bias has provided an influential argument for fixed exchange rate regimes. However, with low inflation rates now widespread, credibility concerns seem no longer relevant. Why give up independent monetary policy to contain an inflation bias that is already under control? We argue that credibility problems do not end with the inflation bias and they are a larger drawback for flexible exchange rates than usually thought. Absent commitment, independent monetary policy can induce expectation traps-that is, welfare ranked multiple equilibria-and perverse policy responses to real shocks, i.e., an equilibrium policy response that is welfare inferior to policy inaction. Both possibilities imply that flexible exchange rates feature unnecessary macroeconomic volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - INFLATION (Finance) KW - MONETARY policy KW - VOLATILITY (Finance) KW - MACROECONOMICS KW - exchange rate regimes KW - independent monetary policy KW - Time inconsistency N1 - Accession Number: 79748372; Armenter, Roc 1; Email Address: roc.armenter@ny.frb.org; Bodenstein, Martin 1; Email Address: martin.r.bodenstein@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2006, p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONETARY policy; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: exchange rate regimes; Author-Supplied Keyword: independent monetary policy; Author-Supplied Keyword: Time inconsistency; Number of Pages: 34p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79748372&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - CLARK, TODD E. AU - McCRACKEN, MICHAEL W. T1 - The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2006/08// VL - 38 IS - 5 M3 - Article SP - 1127 EP - 1148 PB - Ohio State University Press SN - 00222879 AB - This paper evaluates potential explanations for the sometimes poor forecasting performance of the Phillips curve. One explanation is that out of-sample metrics are noisy or, equivalently, have relatively low power. Another potential explanation is instability in the coefficients of the model. To assess these forces, this paper compares sample forecasting results to results from bootstrap simulations of models that either assume stability or allow breaks in the coefficients of the model. This analysis indicates that a significant portion of the weakness of the out-of-sample evidence is attributable to power limitations. But instabilities in the coefficients on the output gap also play a role. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PHILLIPS curve KW - ECONOMIC forecasting KW - EXPECTATION gap KW - STATISTICAL reliability KW - ECONOMIC models KW - BOOTSTRAPPING (Statistics) KW - Break Test KW - causality KW - forecasts KW - Phillips curve N1 - Accession Number: 21160231; CLARK, TODD E. 1; Email Address: todd.e.clark@kc.frb.org; McCRACKEN, MICHAEL W. 2; Email Address: Michael.W.McCracken@frb.gov; Affiliations: 1: vice president and economist, Federal Reserve Bank of Kansas City; 2: economist, Board of Governors of the Federal Reserve System; Issue Info: Aug2006, Vol. 38 Issue 5, p1127; Thesaurus Term: PHILLIPS curve; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: EXPECTATION gap; Thesaurus Term: STATISTICAL reliability; Thesaurus Term: ECONOMIC models; Subject Term: BOOTSTRAPPING (Statistics); Author-Supplied Keyword: Break Test; Author-Supplied Keyword: causality; Author-Supplied Keyword: forecasts; Author-Supplied Keyword: Phillips curve; Number of Pages: 22p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21160231&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brown, Jeffrey R. AU - Liang, Nellie AU - Weisbenner, Scott T1 - 401(k) matching contributions in company stock: Costs and benefits for firms and workers JO - Journal of Public Economics JF - Journal of Public Economics Y1 - 2006/08// VL - 90 IS - 6/7 M3 - Article SP - 1315 EP - 1346 SN - 00472727 AB - Abstract: This paper tests for important determinants of why some employers provide matching contributions for 401(k) plans in company stock. We find that firms that match in company stock have lower stock price volatility and lower bankruptcy risk and are also more likely to offer a defined benefit plan, consistent with a recognition that imposing a concentrated portfolio can be costly for employees. Evidence also indicates that firms match with company stock to help deter takeovers by putting stock into friendly hands. Simulation results suggest that while portfolio-optimizing employees are made worse off by having their match restricted to company stock, sufficiently risk tolerant employees who follow naïve investment strategies might prefer a 401(k) plan at a company with a company stock match to a plan at a company with an unrestricted match. [Copyright &y& Elsevier] AB - Copyright of Journal of Public Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PENSIONS KW - 401(K) plans KW - STOCK companies KW - DEFERRED compensation KW - 401(k) plan KW - Company stock KW - ESOP KW - Match policy KW - Pension N1 - Accession Number: 20821127; Brown, Jeffrey R. 1,2; Liang, Nellie 3; Weisbenner, Scott 1,2; Email Address: weisbenn@uiuc.edu; Affiliations: 1: University of Illinois, United States; 2: NBER, United States; 3: Board of Governors of the Federal Reserve System, United States; Issue Info: Aug2006, Vol. 90 Issue 6/7, p1315; Thesaurus Term: PENSIONS; Thesaurus Term: 401(K) plans; Thesaurus Term: STOCK companies; Thesaurus Term: DEFERRED compensation; Author-Supplied Keyword: 401(k) plan; Author-Supplied Keyword: Company stock; Author-Supplied Keyword: ESOP; Author-Supplied Keyword: Match policy; Author-Supplied Keyword: Pension; NAICS/Industry Codes: 526111 Trusteed pension funds; Number of Pages: 32p; Document Type: Article L3 - 10.1016/j.jpubeco.2005.05.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20821127&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gordy, Michael B. AU - Howells, Bradley T1 - Procyclicality in Basel II: Can we treat the disease without killing the patient? JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2006/07// VL - 15 IS - 3 M3 - Article SP - 395 EP - 417 SN - 10429573 AB - Abstract: The debate over the potential procyclicality of bank capital requirements under Basel II has focused overwhelmingly on peak-to-trough variation in minimum regulatory requirements. In this paper, we re-examine the problem from the perspective of market discipline. First, we show that the marginal impact of introducing Basel II depends strongly on the extent to which market discipline leads banks to vary lending standards procyclically in the absence of binding regulation. Second, we evaluate policy options not only by their efficacy in dampening cyclicality in capital requirements, but equally by how well the information value of Basel II market disclosures is preserved. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK capital KW - BANK compliance KW - CAPITAL requirements KW - BANK management KW - Banking regulation KW - Basel II KW - G38 KW - Procyclicality N1 - Accession Number: 20981511; Gordy, Michael B. 1; Email Address: michael.gordy@frb.gov; Howells, Bradley 2; Email Address: bhowells@econ.berkeley.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551; 2: Department of Economics, University of California at Berkeley, 549 Evans Hall #3880, Berkeley, CA 94720–3880; Issue Info: Jul2006, Vol. 15 Issue 3, p395; Thesaurus Term: BANK capital; Thesaurus Term: BANK compliance; Thesaurus Term: CAPITAL requirements; Thesaurus Term: BANK management; Author-Supplied Keyword: Banking regulation; Author-Supplied Keyword: Basel II; Author-Supplied Keyword: G38; Author-Supplied Keyword: Procyclicality; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jfi.2005.12.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20981511&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engel, Charles AU - Rogers, John H. T1 - The U.S. current account deficit and the expected share of world output JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2006/07// VL - 53 IS - 5 M3 - Article SP - 1063 EP - 1093 SN - 03043932 AB - Abstract: We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of world GDP. The model suggests that under some reasonable assumptions about future U.S. GDP growth relative to the rest of the advanced countries—more modest than the growth over the past 20 years—the current account deficit is near optimal levels. We then explore the implications for the real exchange rate. Under some plausible assumptions, the model implies little change in the real exchange rate over the adjustment path, though the conclusion is sensitive to assumptions about tastes and technology. Then we turn to empirical evidence. A test of current account sustainability suggests that the U.S. is not keeping on a long-run sustainable path. A direct test of our model finds that the dynamics of the U.S. current account—the increasing deficits over the past decade—are difficult to explain under a particular statistical model (Markov-switching) of expectations of future U.S. growth. But, if we use survey data on forecasted GDP growth in the G-7, our very simple model appears to explain the evolution of the U.S. current account remarkably well. We conclude that expectations of robust performance of the U.S. economy relative to the rest of the advanced countries is a contender—though not the only legitimate contender—for explaining the U.S. current account deficit. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC policy KW - BALANCE of payments deficit KW - EQUILIBRIUM (Economics) KW - ECONOMIC models KW - GROSS domestic product KW - ECONOMICS -- Statistical methods KW - PREDICTION models KW - UNITED States KW - Current account KW - Real exchange rates N1 - Accession Number: 21921611; Engel, Charles 1; Email Address: cengel@ssc.wisc.edu; Rogers, John H. 2; Email Address: john.h.rogers@frb.gov; Affiliations: 1: Departments of Economics and Finance, University of Wisconsin and NBER, 1180 Observatory Drive, Madison, WI 53706-1393, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Jul2006, Vol. 53 Issue 5, p1063; Thesaurus Term: ECONOMIC policy; Thesaurus Term: BALANCE of payments deficit; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: ECONOMIC models; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMICS -- Statistical methods; Subject Term: PREDICTION models; Subject: UNITED States; Author-Supplied Keyword: Current account; Author-Supplied Keyword: Real exchange rates; Number of Pages: 31p; Document Type: Article L3 - 10.1016/j.jmoneco.2006.05.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21921611&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. T1 - The effect of exchange rates on prices, wages, and profits: A case study of the United Kingdom in the 1990s. JO - International Economic Journal JF - International Economic Journal Y1 - 2006/06// VL - 20 IS - 2 M3 - Article SP - 149 EP - 160 SN - 10168737 AB - During the 1990s the United Kingdom experienced large and sudden exchange rate movements that had no apparent impact on overall consumer prices. This paper shows that the stability of UK consumer prices was made possible in part by offsetting movements in the price-cost margins of foreign exporters and in part by offsetting price-cost margins in the UK distribution sector. At the same time, UK manufacturers experienced margin swings in the opposite direction, largely due to their role as exporters. Thus, sterling depreciation boosted the profits of UK manufacturers and squeezed the profits of UK distributors, while sterling appreciation had the opposite effects. [ABSTRACT FROM AUTHOR] AB - Copyright of International Economic Journal is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - PRICES KW - WAGES KW - PROFIT KW - INDUSTRIALISTS KW - GREAT Britain KW - Appreciation KW - depreciation KW - operating surplus KW - pass-through N1 - Accession Number: 21007564; Gagnon, Joseph E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, 20551, USA; Issue Info: Jun2006, Vol. 20 Issue 2, p149; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PRICES; Thesaurus Term: WAGES; Thesaurus Term: PROFIT; Thesaurus Term: INDUSTRIALISTS; Subject: GREAT Britain; Author-Supplied Keyword: Appreciation; Author-Supplied Keyword: depreciation; Author-Supplied Keyword: operating surplus; Author-Supplied Keyword: pass-through; Number of Pages: 12p; Illustrations: 6 Graphs; Document Type: Article L3 - 10.1080/10168730600756570 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21007564&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calem, Paul S. AU - Gordy, Michael B. AU - Mester, Loretta J. T1 - Switching costs and adverse selection in the market for credit cards: New evidence JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2006/06// VL - 30 IS - 6 M3 - Article SP - 1653 EP - 1685 SN - 03784266 AB - Abstract: To explain persistence of credit card interest rates at relatively high levels, Calem and Mester (AER, 1995) argued that informational barriers create switching costs for high-balance customers. As evidence, using data from the 1989 Survey of Consumer Finances, they showed that these households were more likely to be rejected when applying for new credit. In this paper, we revisit the question using the 1998 and 2001 SCF. Further, we use new information on card interest rates to test for pricing effects consistent with information-based switching costs. We find that informational barriers to competition persist, although their role may have declined. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT cards KW - INTEREST rates KW - CONSUMER credit KW - CONSUMER finance companies KW - CREDIT ratings KW - CUSTOMER satisfaction KW - Adverse selection KW - Consumer switching costs KW - Credit cards KW - Search N1 - Accession Number: 20821874; Calem, Paul S. 1; Email Address: paul.calem@loanperformance.com; Gordy, Michael B. 2; Email Address: michael.gordy@frb.gov; Mester, Loretta J. 3; Email Address: loretta.mester@phil.frb.org; Affiliations: 1: Loan Performance, 188 The Embarcadero, San Francisco, CA 94105, United States; 2: Board of Governors of the Federal Reserve System, Division of Research & Statistics, Washington, DC 20551, United States; 3: Federal Reserve Bank of Philadelphia, Finance Department, The Wharton School, University of Pennsylvania, Ten Independence Mall, Philadelphia, PA 19106-1574, United States; Issue Info: Jun2006, Vol. 30 Issue 6, p1653; Thesaurus Term: CREDIT cards; Thesaurus Term: INTEREST rates; Thesaurus Term: CONSUMER credit; Thesaurus Term: CONSUMER finance companies; Thesaurus Term: CREDIT ratings; Thesaurus Term: CUSTOMER satisfaction; Author-Supplied Keyword: Adverse selection; Author-Supplied Keyword: Consumer switching costs; Author-Supplied Keyword: Credit cards; Author-Supplied Keyword: Search; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522210 Credit Card Issuing; NAICS/Industry Codes: 326199 All Other Plastics Product Manufacturing; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 33p; Document Type: Article L3 - 10.1016/j.jbankfin.2005.09.012 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20821874&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCormick, John T. AU - Paterson, Nancy T1 - The threat posed by transnational political corruption to global commercial and development banking. JO - Journal of Financial Crime JF - Journal of Financial Crime Y1 - 2006/06// VL - 13 IS - 2 M3 - Article SP - 183 EP - 194 SN - 13590790 AB - The article examines the threat posed by transnational political corruption to global commercial and development banking in Great Britain. There are reputational and financial risks posed by transnational political corruption to the commercial and development banking sectors and these risks will potentially grow as more signatory nations to various anti-corruption treaties and conventions criminalize the bribery of foreign public officials. KW - DEVELOPMENT banks KW - INTERNATIONAL banking industry KW - CRIMINAL justice administration KW - POLITICAL corruption KW - GREAT Britain KW - Banking KW - Bribery KW - Corruption KW - Fraud N1 - Accession Number: 21155761; McCormick, John T. 1; Email Address: john.t.mccormick@frb.gov; Paterson, Nancy 1; Affiliations: 1: Special Investigation Section, Board of Governors of the Federal Reserve System, Washington, District of Columbia, USA; Issue Info: Jun2006, Vol. 13 Issue 2, p183; Thesaurus Term: DEVELOPMENT banks; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: CRIMINAL justice administration; Subject Term: POLITICAL corruption; Subject: GREAT Britain; Author-Supplied Keyword: Banking; Author-Supplied Keyword: Bribery; Author-Supplied Keyword: Corruption; Author-Supplied Keyword: Fraud; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 922190 Other Justice, Public Order, and Safety Activities; Number of Pages: 12p; Document Type: Article; Full Text Word Count: 4298 L3 - 10.1108/13590790610660890 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21155761&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Jones, Yvonne D. AU - Bies, Susan Schmidt AU - Gruenberg, Martin J. T1 - Bank Secrecy Act: Opportunities Exist for FinCEN and the Banking Regulators to Further Strengthen the Framework for Consistent BSA Oversight: GAO-06-386. JO - GAO Reports JF - GAO Reports Y1 - 2006/05/30/ M3 - Article SP - 1 PB - U.S. Government Accountability Office AB - The U.S. government's framework for preventing, detecting, and prosecuting money laundering has been expanding through additional pieces of legislation since the passage of the Bank Secrecy Act (BSA) in 1970. In recent years, noncompliance with BSA requirements has raised concerns in Congress about the ability of federal banking regulators to oversee compliance at depository institutions and ensure that these institutions have the controls necessary to identify suspicious activity. In light of these concerns, GAO was asked to determine how federal banking regulators examine for BSA compliance and identify and track violations to ensure timely corrective action. GAO also was asked to determine how enforcement actions are taken for violations of the BSA. Before 2005, each regulator used separately developed, but similar, examination procedures to assess compliance with the BSA. However, in 2005, in an effort to establish more consistency in examination procedures and application, the regulators, with participation from the Financial Crimes Enforcement Network (FinCEN), jointly developed and issued an interagency BSA examination procedures manual. The manual describes risk assessments for BSA examinations and recognizes that the risks evolve and vary among institutions. They also conducted nationwide training on the new procedures for examiners and others. The new procedures retain the risk-focused approach of the prior procedures, requiring examiners to apply a higher level of scrutiny to the institution's lines of business that carry a higher risk for potential money laundering or noncompliance with the BSA. The regulators are committed to updating the manual annually. Recent improvements to the automated tracking systems the regulators use to monitor BSA examinations have allowed regulators to better record and track BSA-related information. The regulators' data showed that the number of BSA-related violations generally increased from 2000 to 2004. Among the frequently cited violations in 2003 and 2004 were violations issued in connection with currency transaction reporting requirements. The system upgrades also allowed regulators to more readily produce information for other users, such as FinCEN, which has overall responsibility for BSA administration. Under a September 2004, memorandum of understanding signed by the regulators and FinCEN, the regulators now share more specific BSA-related examination and violation data with FinCEN. The regulators have been conducting their own analyses of these data, and FinCEN has begun to provide analytic reports to the regulators that help identify compliance problems. FinCEN and the regulators have not yet worked through these data together to determine if additional guidance is needed to correct problems they are seeing. Also, despite their enhanced systems and reporting, GAO found differences in the regulators' guidance and the terminology used to classify certain BSA problems--with... [ABSTRACT FROM AUTHOR] AB - Copyright of GAO Reports is the property of U.S. Government Accountability Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING law & legislation KW - MONEY laundering KW - COMMERCIAL crimes KW - BANKING industry -- Corrupt practices KW - BANK examination KW - MONEY laundering investigation KW - PREVENTION KW - Bank management KW - Banking law KW - Banking regulation KW - Data collection KW - Federal regulations KW - Financial institutions KW - Internal controls KW - Money laundering KW - Noncompliance KW - Reporting requirements KW - Risk assessment KW - Risk management N1 - Accession Number: 21017909; Jones, Yvonne D. 1; Bies, Susan Schmidt 2; Gruenberg, Martin J. 3; Affiliations: 1: Director, Financial Markets and Community Investment; 2: Governor, Board of Governors of the Federal Reserve System; 3: Acting Chairman, Federal Deposit Insurance Corporation; Issue Info: 5/30/2006, p1; Thesaurus Term: BANKING law & legislation; Thesaurus Term: MONEY laundering; Thesaurus Term: COMMERCIAL crimes; Thesaurus Term: BANKING industry -- Corrupt practices; Thesaurus Term: BANK examination; Subject Term: MONEY laundering investigation; Subject Term: PREVENTION; Author-Supplied Keyword: Bank management; Author-Supplied Keyword: Banking law; Author-Supplied Keyword: Banking regulation; Author-Supplied Keyword: Data collection; Author-Supplied Keyword: Federal regulations; Author-Supplied Keyword: Financial institutions; Author-Supplied Keyword: Internal controls; Author-Supplied Keyword: Money laundering; Author-Supplied Keyword: Noncompliance; Author-Supplied Keyword: Reporting requirements; Author-Supplied Keyword: Risk assessment; Author-Supplied Keyword: Risk management; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 135p; Illustrations: 1 Diagram, 9 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21017909&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - The Road to Price Stability. JO - American Economic Review JF - American Economic Review Y1 - 2006/05// VL - 96 IS - 2 M3 - Article SP - 178 EP - 181 SN - 00028282 AB - Describes how the economic policies of the Federal Open Market Committee of the Federal Reserve System under Paul Volcker and his successor, Alan Greenspan, established an environment for price stability and produced a period of economic prosperity and stability. There was an initial phase of disinflation and dislocation before inflation stabilized. It remained at close to 4% for some time, until it fell to almost 2% ca. 1994. The volatility of economic activity has decreased and productivity has accelerated since ca. 1996. KW - ECONOMIC reform KW - ECONOMIC policy KW - ECONOMIC activity KW - BANKING industry -- United States KW - ECONOMIC history KW - PRICES KW - UNITED States KW - UNITED States. Federal Open Market Committee KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNITED States. Federal Reserve Board KW - VOLCKER, Paul A., 1927- KW - GREENSPAN, Alan, 1926- N1 - Accession Number: 20837924; Orphanides, Athanasios 1; Email Address: Athanasios.Orphanides@frb.gov; Affiliations: 1 : Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, USA; Source Info: May2006, Vol. 96 Issue 2, p178; Historical Period: 1979 to 2006; Subject Term: ECONOMIC reform; Subject Term: ECONOMIC policy; Subject Term: ECONOMIC activity; Subject Term: BANKING industry -- United States; Subject Term: ECONOMIC history; Subject Term: PRICES; Subject: UNITED States; Number of Pages: 4p; Illustrations: 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=20837924&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Berger, Allen N. AU - Bonaccorsi di Patti, Emilia T1 - Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2006/04// VL - 30 IS - 4 M3 - Article SP - 1065 EP - 1102 SN - 03784266 AB - Abstract: Corporate governance theory predicts that leverage affects agency costs and thereby influences firm performance. We propose a new approach to test this theory using profit efficiency, or how close a firm’s profits are to the benchmark of a best-practice firm facing the same exogenous conditions. We are also the first to employ a simultaneous-equations model that accounts for reverse causality from performance to capital structure. We find that data on the US banking industry are consistent with the theory, and the results are statistically significant, economically significant, and robust. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE governance KW - PROFIT KW - CAPITAL structure KW - COST KW - BANKING industry -- United States KW - UNITED States KW - Agency costs KW - Banking KW - Capital structure KW - Efficiency N1 - Accession Number: 20559078; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Bonaccorsi di Patti, Emilia 3; Email Address: emilia.bonaccorsidipatti@bancaditalia.it; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets. NW, Mail Stop 153, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Bank of Italy, Research Department, Via Nazionale 91, 00184 Rome, Italy; Issue Info: Apr2006, Vol. 30 Issue 4, p1065; Thesaurus Term: CORPORATE governance; Thesaurus Term: PROFIT; Thesaurus Term: CAPITAL structure; Thesaurus Term: COST; Thesaurus Term: BANKING industry -- United States; Subject: UNITED States; Author-Supplied Keyword: Agency costs; Author-Supplied Keyword: Banking; Author-Supplied Keyword: Capital structure; Author-Supplied Keyword: Efficiency; Number of Pages: 38p; Document Type: Article L3 - 10.1016/j.jbankfin.2005.05.015 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20559078&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Williams, John C. T1 - MONETARY POLICY WITH IMPERFECT KNOWLEDGE. JO - Journal of the European Economic Association JF - Journal of the European Economic Association Y1 - 2006/04//Apr/May2006 VL - 4 IS - 2/3 M3 - Article SP - 366 EP - 375 PB - Wiley-Blackwell SN - 15424766 AB - We examine the performance and robustness of monetary policy rules when the central bank and the public have imperfect knowledge of the economy and continuously update their estimates of model parameters. We find that versions of the Taylor rule calibrated to perform well under rational expectations with perfect knowledge perform very poorly when agents are learning and the central bank faces uncertainty regarding natural rates. In contrast, difference rules, in which the change in the interest rate is determined by the inflation rate and the change in the unemployment rate, perform well when knowledge is both perfect and imperfect. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the European Economic Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - CENTRAL banking industry KW - INTEREST rates KW - INFLATION (Finance) KW - UNEMPLOYMENT KW - NATURAL rate of unemployment N1 - Accession Number: 21615483; Orphanides, Athanasios 1; Email Address: Athanasios.Orphanides@frb.gov; Williams, John C. 2; Email Address: John.C.Williams@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of San Francisco; Issue Info: Apr/May2006, Vol. 4 Issue 2/3, p366; Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: INTEREST rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: NATURAL rate of unemployment; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 10p; Illustrations: 1 Chart, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=21615483&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engel, Charles AU - Rogers, John H. T1 - The U.S. Current Account Deficit and the Expected Share of World Output. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2006/04// M3 - Article SP - 1 EP - 48 AB - We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which a country's current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of world GDP. The model suggests that under some reasonable assumptions about future U.S. GDP growth relative to the rest of the advanced countries - more modest than the growth over the past 20 years - the current account deficit is near optimal levels. We then explore the implications for the real exchange rate. Under some plausible assumptions, the model implies little change in the real exchange rate over the adjustment path, though the conclusion is sensitive to assumptions about tastes and technology. Then we turn to empirical evidence. Two empirical analyses of current account sustainability using actual data suggest that the U.S. is not keeping on a long-run sustainable path. One is a direct test of our model, which finds that the dynamics of the U.S. current account - the increasing deficits over the past decade - are difficult to explain under a particular statistical model (Markov-switching) of expectations of future U.S. growth. But, if we use survey data on forecasted GDP growth in the G7, our very simple model appears to explain the evolution of the U.S. current account remarkably well. We conclude that expectations of robust performance of the U.S. economy relative to the rest of the advanced countries is a contender - though not the only legitimate contender - for explaining the U.S. current account deficit. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - BALANCE of payments KW - BUDGET deficits KW - GROSS domestic product KW - UNITED States -- Economic conditions -- 2001-2009 KW - UNITED States N1 - Accession Number: 79746533; Engel, Charles 1; Email Address: cengel@ssc.wisc.edu; Rogers, John H. 2; Email Address: john.h.rogers@frb.gov; Affiliations: 1: University of Wisconsin and NBER; 2: Board of Governors of the Federal Reserve System; Issue Info: 2006, p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: BALANCE of payments; Thesaurus Term: BUDGET deficits; Thesaurus Term: GROSS domestic product; Subject Term: UNITED States -- Economic conditions -- 2001-2009; Subject: UNITED States; Number of Pages: 50p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79746533&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rudd, Jeremy AU - Whelan, Karl T1 - Can Rational Expectations Sticky-Price Models Explain Inflation Dynamics? JO - American Economic Review JF - American Economic Review Y1 - 2006/03// VL - 96 IS - 1 M3 - Article SP - 303 EP - 320 PB - American Economic Association SN - 00028282 AB - The article discusses price-setting and economic models of inflation in the United States. Two methods are used to assess the forward-looking behavior of the hypothetical hybrid model, including the generalized method of moments. Other topics are the "persistence problem," the new-Keynesian Phillips curve, closed-form solutions, and sticky-price modeling that indicates empirical inflation behavior. Reduced-form and structural parameters are given for the driving variables in the hybrid inflation equation. KW - INFLATION (Finance) -- Mathematical models KW - PRICING KW - RESEARCH KW - RATIONAL expectations (Economic theory) KW - ECONOMIC policy KW - PRICE levels KW - MATHEMATICAL models KW - METHODOLOGY KW - UNITED States N1 - Accession Number: 19991983; Rudd, Jeremy 1; Email Address: jeremy.b.rudd@frb.gov; Whelan, Karl 2; Email Address: karl.whelan@centralbank.ie; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, 20th and C Streets NW, Mailstop 80, Washington, DC 20551-0001; 2: Department of Economic Analysis, Research, and Publications, Central Bank and Financial Services Authority of Ireland, Dame Street, Dublin 2, Ireland; Issue Info: Mar2006, Vol. 96 Issue 1, p303; Thesaurus Term: INFLATION (Finance) -- Mathematical models; Thesaurus Term: PRICING; Thesaurus Term: RESEARCH; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: ECONOMIC policy; Thesaurus Term: PRICE levels; Thesaurus Term: MATHEMATICAL models; Subject Term: METHODOLOGY; Subject: UNITED States; Number of Pages: 18p; Illustrations: 5 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19991983&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Durham, J. Benson T1 - Additional Analytical Approximizations of the Term Structure and Distributional Assumptions for Jump-Diffusion Processes. JO - Journal of Fixed Income JF - Journal of Fixed Income Y1 - 2006/03// VL - 15 IS - 4 M3 - Article SP - 61 EP - 73 PB - Euromoney Institutional Investor PLC SN - 10598596 AB - Affine term structure models in which the short rate follows a jump--diffusion process are difficult to solve. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump--diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this article outlines alternative methods that seem to improve accuracy. Also, closed form solutions, numerical estimates, and closed form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this article explores a broader set of possible densities more consistent with intuition. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Fixed Income is the property of Euromoney Institutional Investor PLC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BONDS (Finance) -- Prices KW - SECURITIES KW - BOND funds KW - BOND market KW - PARTIAL differential equations N1 - Accession Number: 20600036; Durham, J. Benson 1; Email Address: j.benson.durham@frb.gov; Affiliations: 1: Senior economist, Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Mar2006, Vol. 15 Issue 4, p61; Thesaurus Term: BONDS (Finance) -- Prices; Thesaurus Term: SECURITIES; Thesaurus Term: BOND funds; Thesaurus Term: BOND market; Subject Term: PARTIAL differential equations; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20600036&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Guerrieri, Luca AD - Board of Governors of the Federal Reserve System T1 - The Inflation Persistence of Staggered Contracts JO - Journal of Money, Credit, and Banking JF - Journal of Money, Credit, and Banking Y1 - 2006/03// VL - 38 IS - 2 SP - 483 EP - 494 SN - 00222879 N1 - Accession Number: 0852880; Keywords: Inflation; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200607 N2 - One of the criticisms routinely advanced against models with staggered contracts is their inability to generate inflation persistence. This paper finds that staggered contracts a la Taylor are, in fact, capable of reproducing the inflation persistence implied by U.S. data. Following Fuhrer and Moore, I capture the moments that the model needs to replicate by using the correlograms from a small vector autoregression (VAR). I estimate the contract parameters using the method of maximum likelihood. The correlogram of inflation for the contract model is very close to the correlogram from the VAR. By the same metric, Taylor contracts fare poorly in reproducing the comovements of inflation and output. KW - Macroeconomics: Production E23 KW - Price Level; Inflation; Deflation E31 L3 - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291538-4616/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0852880&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291538-4616/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Evans, Carolyn L. T1 - Border effects and the availability of domestic products abroad. JO - Canadian Journal of Economics JF - Canadian Journal of Economics Y1 - 2006/02// VL - 39 IS - 1 M3 - Article SP - 211 EP - 246 PB - Wiley-Blackwell SN - 00084085 AB - Trade between countries could fall short of trade within a country because (1) the volume of international trade is less than the volume of domestic trade for a given product (the intensive margin); or (2) some goods that are sold domestically are simply not exported (the extensive margin). My theoretical model illustrates that either of these two factors could explain a given aggregate ‘border effect.’ I examine the empirical relevance of this distinction by isolating the fraction of total domestic production attributable only to exporters, finding that around one-half of the border effect may be attributed to each explanation. JEL classification: F1 (English) [ABSTRACT FROM AUTHOR] AB - Les effets de frontières et la disponibilité de produits domestiques à l’étranger. Le commerce entre pays peut être moindre que le commerce à l’intérieur d’un pays parce que (1) le volume de commerce international est moindre que le volume du commerce intérieur pour un produit donné(la marge intensive); ou (2) certains biens qui sont vendus à l’intérieur d’un pays ne sont tout simplement pas exportés (la marge extensive). Un modèle théorique montre que l’un et l’autre de ces facteurs pourraient expliquer un certain « effet de frontière » au niveau agrégé. On montre l’importance empirique de cette distinction en isolant la fraction de la production intérieure totale attribuable strictement aux exportateurs, et il s’avère qu’à peu près la moitié de l’effet de frontière est attribuable à chacune des deux explications. (French) [ABSTRACT FROM AUTHOR] AB - Copyright of Canadian Journal of Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL trade KW - PRODUCTION (Economic theory) KW - EXPORTERS KW - EXPORTS KW - COMMERCIAL products KW - COMMERCE KW - INTERNATIONAL economic relations KW - MICROECONOMICS KW - BOUNDARIES N1 - Accession Number: 19448255; Evans, Carolyn L. 1; Email Address: carolyn.l.evans@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Feb2006, Vol. 39 Issue 1, p211; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: EXPORTERS; Thesaurus Term: EXPORTS; Thesaurus Term: COMMERCIAL products; Thesaurus Term: COMMERCE; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: MICROECONOMICS; Subject Term: BOUNDARIES; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 36p; Illustrations: 11 Charts; Document Type: Article L3 - 10.1111/j.0008-4085.2006.00345.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19448255&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Swanson, Eric T. T1 - Optimal nonlinear policy: signal extraction with a non-normal prior JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2006/02// VL - 30 IS - 2 M3 - Article SP - 185 EP - 203 SN - 01651889 AB - Abstract: The literature on optimal monetary policy typically makes three major assumptions: (1) policymakers’ preferences are quadratic, (2) the economy is linear, and (3) stochastic shocks and policymakers’ prior beliefs about unobserved variables are normally distributed. This paper relaxes the third assumption and explores its implications for optimal policy. The separation principle continues to hold in this framework, allowing for tractability and application to forward-looking models, but policymakers’ beliefs are no longer updated in a linear fashion, allowing for plausible nonlinearities in optimal policy. We consider in particular a class of models in which policymakers’ priors about the natural rate of unemployment are diffuse in a region around the mean. When this is the case, optimal policy responds cautiously to small surprises in the observed unemployment rate, but becomes increasingly aggressive at the margin. These features match statements by Federal Reserve officials and the behavior of the Fed in the 1990s. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMIC policy KW - MONEY supply KW - Beliefs KW - Learning KW - Non-Gaussian KW - Non-normal KW - Optimal monetary policy KW - Priors KW - Signal extraction KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 19394599; Swanson, Eric T. 1; Email Address: eswanson@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 71, Federal Reserve Board, 2000 C St., NW, Washington, DC 20551, USA; Issue Info: Feb2006, Vol. 30 Issue 2, p185; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONEY supply; Author-Supplied Keyword: Beliefs; Author-Supplied Keyword: Learning; Author-Supplied Keyword: Non-Gaussian; Author-Supplied Keyword: Non-normal; Author-Supplied Keyword: Optimal monetary policy; Author-Supplied Keyword: Priors; Author-Supplied Keyword: Signal extraction ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jedc.2004.10.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19394599&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reeve, Trevor A. T1 - Factor Endowments and Industrial Structure. JO - Review of International Economics JF - Review of International Economics Y1 - 2006/02// VL - 14 IS - 1 M3 - Article SP - 30 EP - 53 PB - Wiley-Blackwell SN - 09657576 AB - What determines industrial structure? Do sector-specific characteristics such as unionization, regulation, and trade policy dominate production patterns? One is inclined to believe so based on countless industry-level studies and the many political battles that are continually fought over trade and industrial policy. In contrast, standard neoclassical trade theory suggests that industrial structure is primarily driven by relative factor supplies. This paper demonstrates that aggregate factor endowments explain much of the structure of production—independent of industry idiosyncrasies—and quantifies the extent to which shifts in industrial structure in a cross-section of countries are driven by the broad forces of factor accumulation. These results are reached through an empirical application of the factor proportions model of production. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of International Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR organizing KW - COMMERCIAL policy KW - INDUSTRIAL policy KW - TRADE regulation KW - ECONOMIC policy N1 - Accession Number: 19411642; Reeve, Trevor A. 1; Email Address: trevor.a.reeve@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Feb2006, Vol. 14 Issue 1, p30; Thesaurus Term: LABOR organizing; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: INDUSTRIAL policy; Thesaurus Term: TRADE regulation; Thesaurus Term: ECONOMIC policy; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 813930 Labor Unions and Similar Labor Organizations; Number of Pages: 24p; Illustrations: 12 Charts; Document Type: Article L3 - 10.1111/j.1467-9396.2006.00559.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19411642&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kimura, Takeshi AU - Small, David H. T1 - Quantitative Monetary Easing and Risk in Financial Asset Markets. JO - B.E. Journal of Macroeconomics: Topics in Macroeconomics JF - B.E. Journal of Macroeconomics: Topics in Macroeconomics Y1 - 2006/01// VL - 6 IS - 1 M3 - Article SP - 1 EP - 56 SN - 15345998 AB - In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of ¿quantitative monetary easing¿ recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. But, they may have generated the adverse effects of increasing risk premiums on assets with pro-cyclical returns, such as equities and low-grade corporate bonds. These results are consistent with a CAPM framework in which business-cycle risk importantly affects risk premiums. Our estimates capture only some of the effects of quantitative easing and thus do not imply that the complete set of effects were adverse on net for Japan¿s economy. However, our analysis counsels caution in accepting the view that, ceteris paribus, a massive large-scale purchase of long-term government bonds by a central bank provides unambiguously positive net benefits to financial markets at zero short-term interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Macroeconomics: Topics in Macroeconomics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - OPEN market operations KW - INSURANCE premiums KW - RISK KW - NIHON Ginko N1 - Accession Number: 20382698; Kimura, Takeshi 1; Email Address: takeshi.kimura@boj.or.jp; Small, David H. 2; Email Address: dsmall@frb.gov; Affiliations: 1: Bank of Japan; 2: Board of Governors of the Federal Reserve System; Issue Info: 2006, Vol. 6 Issue 1, p1; Thesaurus Term: INTEREST rates; Thesaurus Term: OPEN market operations; Thesaurus Term: INSURANCE premiums; Thesaurus Term: RISK ; Company/Entity: NIHON Ginko DUNS Number: 622798981; Number of Pages: 56p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20382698&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Demiralp, Selva AU - Preslopsky, Brian AU - Whitesell, William T1 - Overnight interbank loan markets JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2006/01//Jan/Feb2006 VL - 58 IS - 1 M3 - Article SP - 67 EP - 83 SN - 01486195 AB - Abstract: This paper investigates the extent of arbitrage apparent in overnight interbank markets, expanding on previous work on markets for brokered federal funds, Eurodollars, and repurchase agreements by developing a new time series importantly representing direct (nonbrokered) trades of federal funds. We find evidence of close but incomplete arbitrage among these four major market segments, though the specific calendar-day patterns of spreads and volatilities differ from those reported in earlier studies. The divergences in interest rates do not necessarily represent unrealized profit opportunities, however, as calendar-related transaction costs or other market frictions may account for the apparent incompleteness of arbitrage. [Copyright &y& Elsevier] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ARBITRAGE KW - INTERBANK market KW - BANKING industry KW - MONEY market KW - FEDERAL funds market (U.S.) KW - Eurodollar KW - Federal funds N1 - Accession Number: 19590914; Demiralp, Selva 1; Preslopsky, Brian 1; Whitesell, William; Email Address: william.c.whitesell@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551, United States; Issue Info: Jan/Feb2006, Vol. 58 Issue 1, p67; Thesaurus Term: ARBITRAGE; Thesaurus Term: INTERBANK market; Thesaurus Term: BANKING industry; Thesaurus Term: MONEY market; Thesaurus Term: FEDERAL funds market (U.S.); Author-Supplied Keyword: Eurodollar; Author-Supplied Keyword: Federal funds; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jeconbus.2005.04.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19590914&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nason, James M. AU - Rogers, John H. T1 - The present-value model of the current account has been rejected: Round up the usual suspects JO - Journal of International Economics JF - Journal of International Economics Y1 - 2006/01// VL - 68 IS - 1 M3 - Article SP - 159 EP - 187 SN - 00221996 AB - Abstract: Tests of the present-value model (PVM) of the current account are frequently rejected by data. Standard explanations rely on the “usual suspects” of non-separable preferences, fiscal policy and world real interest rate shocks, external imperfect international capital mobility, and an internalized risk premium. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model (RBC). Bayesian Monte Carlo experiments reveal that a “canonical” RBC model is close to the data, but far from the PVM predictions. Although each suspect matters in some way, none improve the fit to the data. However, the PVM restrictions are reproduced when the internalized risk premium is introduced into the canonical model. By adding the exogenous world real interest rate shock to this version of the model, it matches the data better and is moved closer to the PVM predictions. This suggests that there is an important common world component to current account fluctuations, which points to additional underlying macroeconomic factors that drive the current account. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BALANCE of payments KW - DEMAND for money KW - INTEREST rate parity theorem KW - INVESTMENT interest KW - Bayesian Monte Carlo KW - Current account KW - International capital mobility KW - Present value model KW - World real interest rate N1 - Accession Number: 19202430; Nason, James M. 1; Email Address: jim.nason@atl.frb.org; Rogers, John H. 2; Email Address: John.H.Rogers@FRB.GOV; Affiliations: 1: Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree St., N.E. Atlanta, GA 30033, United States; 2: Mail Stop 20, International Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551, United States; Issue Info: Jan2006, Vol. 68 Issue 1, p159; Thesaurus Term: BALANCE of payments; Thesaurus Term: DEMAND for money; Thesaurus Term: INTEREST rate parity theorem; Thesaurus Term: INVESTMENT interest; Author-Supplied Keyword: Bayesian Monte Carlo; Author-Supplied Keyword: Current account; Author-Supplied Keyword: International capital mobility; Author-Supplied Keyword: Present value model; Author-Supplied Keyword: World real interest rate; Number of Pages: 29p; Document Type: Article L3 - 10.1016/j.jinteco.2005.01.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19202430&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rudd, Jeremy AU - Whelan, Karl T1 - Empirical proxies for the consumption–wealth ratio JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2006/01// VL - 9 IS - 1 M3 - Article SP - 34 EP - 51 SN - 10942025 AB - Abstract: Using a log-linearized approximation to an aggregate budget constraint, it is possible to show that the ratio of consumption to total (human and non-human) wealth summarizes agents'' expectations concerning both future labor income and future asset returns. In a series of recent papers, Lettau and Ludvigson construct an empirical analogue to the consumption–wealth ratio by approximating total wealth with a linear combination of labor income and observable non-human wealth. If valid, this framework suggests that consumption, assets, and labor income will be cointegrated. We demonstrate, however, that standard tests fail to reject the hypothesis of no cointegration once one employs measures of consumption, assets, and labor income that are jointly consistent with an underlying budget constraint. We also show that deviations of consumption, assets, and income from an estimated common trend are unable to predict future excess returns on stocks out of sample once theoretically consistent measures are used. [Copyright &y& Elsevier] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - RATIO analysis KW - BUDGET KW - INCOME KW - Budget constraint KW - cay KW - Cointegration KW - Return forecastability N1 - Accession Number: 19308626; Rudd, Jeremy 1; Email Address: jeremy.b.rudd@frb.gov; Whelan, Karl 2; Email Address: karl.whelan@centralbank.ie; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, USA; 2: Central Bank and Financial Services Authority of Ireland, P.O. Box 559, Dame Street, Dublin 2, Ireland; Issue Info: Jan2006, Vol. 9 Issue 1, p34; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: RATIO analysis; Thesaurus Term: BUDGET; Thesaurus Term: INCOME; Author-Supplied Keyword: Budget constraint; Author-Supplied Keyword: cay; Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Return forecastability; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 18p; Document Type: Article L3 - 10.1016/j.red.2005.08.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19308626&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Klee, Elizabeth T1 - Families' Use of Payment Instruments During a Decade of Changein the U.S. Payment System. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2006/01// M3 - Working Paper SP - 1 EP - 52 AB - In the U.S., the share of payments made "electronically"--with credit cards, debit cards and direct payments--grew from 25 percent in 1995 to over 50 percent in 2002 (BIS, 2004). This paper frames this aggregate change in the context of individual behavior. Family level data indicate that the share of families using or holding these instruments also increased over the same period. The personal characteristics that predict use and holdings are relatively constant overtime. Furthermore, the results indicate that the aggregate change may be correlated with a greater incidence in "multihoming", or use of multiple payment instruments. In addition, the paper offers evidence that the dimensions over which families multihome differ across payment instruments.The results presented in this paper document a significant change in the payment system, inform payment system policies and provide evidence of technology adoption behavior more generally. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ELECTRONIC funds transfers KW - CONSUMER behavior KW - PAYMENT systems KW - TECHNOLOGY KW - PERSONAL finance KW - BUSINESS -- Research KW - RESEARCH KW - SOCIOLOGICAL aspects KW - METHODOLOGY KW - TECHNOLOGY assessment KW - UNITED States KW - consumer choice KW - multihoming KW - Payment systems KW - technology adoption N1 - Accession Number: 20629277; Klee, Elizabeth 1; Email Address: elizabeth.klee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2006, Preceding p1; Thesaurus Term: ELECTRONIC funds transfers; Thesaurus Term: CONSUMER behavior; Thesaurus Term: PAYMENT systems; Thesaurus Term: TECHNOLOGY; Thesaurus Term: PERSONAL finance; Thesaurus Term: BUSINESS -- Research; Thesaurus Term: RESEARCH; Subject Term: SOCIOLOGICAL aspects; Subject Term: METHODOLOGY; Subject Term: TECHNOLOGY assessment; Subject: UNITED States; Author-Supplied Keyword: consumer choice; Author-Supplied Keyword: multihoming; Author-Supplied Keyword: Payment systems; Author-Supplied Keyword: technology adoption; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 54p; Illustrations: 8 Charts, 2 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20629277&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Klee, Elizabeth T1 - Paper or Plastic? The Effect of Time on Check and Debit Card Use at Grocery Stores. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2006/01// M3 - Working Paper SP - 1 EP - 46 AB - Time is a significant cost of conducting transactions, and theoretical models predict that transactions costs significantly affect the type of media of exchange buyers use. However, there is little empirical work documenting the magnitude of this effect. This paper uses grocery store scanner data to examine how time affects consumer choices of checks and debit cards. On average, check transactions take thirty percent longer than debit card transactions. This time difference is a significant factor in the choice to use a debit card over a check and offers empirical evidence for transactions costs affecting the use of media of exchange. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TRANSACTION costs KW - CONSUMER behavior KW - ELECTRONIC funds transfers KW - PAYMENT systems KW - CONSUMER research KW - MONETARY theory KW - ECONOMETRIC models KW - ECONOMICS -- Research KW - UNITED States N1 - Accession Number: 20629366; Klee, Elizabeth 1; Email Address: elizabeth.klee@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2006, Preceding p1; Thesaurus Term: TRANSACTION costs; Thesaurus Term: CONSUMER behavior; Thesaurus Term: ELECTRONIC funds transfers; Thesaurus Term: PAYMENT systems; Thesaurus Term: CONSUMER research; Thesaurus Term: MONETARY theory; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMICS -- Research; Subject: UNITED States; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; Number of Pages: 48p; Illustrations: 6 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20629366&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Pritsker, Matthew T1 - A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2006/01// M3 - Working Paper SP - 1 EP - 67 AB - I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model, underwriters need to sell a fixed number of shares at the IPO or in the aftermarket. To maximize revenue and avoid selling into the aftermarket where they can be exploited by large investors, underwriters distort share allocations towards investors with market power, and set the IPO offer price below the aftermarket trading price. Large investors who receive IPO share allocations sell them slowly afterwards to reduce their trade's price-impact. This curtails the shares that are available to small price-taking investors, causing them to bid up prices and bid down returns. In some simulations, the distorted share allocations and slow unwinding behavior generate post-IPO return underperformance that persists for several years. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOING public (Securities) KW - EFFICIENT market theory KW - SECURITIES trading KW - ECONOMIC models KW - INSTITUTIONAL investments KW - ECONOMICS -- Statistical methods KW - IMPERFECT competition N1 - Accession Number: 20629354; Pritsker, Matthew 1; Email Address: mpritsker@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2006, Preceding p1; Thesaurus Term: GOING public (Securities); Thesaurus Term: EFFICIENT market theory; Thesaurus Term: SECURITIES trading; Thesaurus Term: ECONOMIC models; Thesaurus Term: INSTITUTIONAL investments; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: IMPERFECT competition; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 69p; Illustrations: 2 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20629354&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Neumark, David AU - Wascher, William AD - Department of Economics, University of California-Irvine AD - Board of Governors of the Federal Reserve System T1 - Minimum Wages and Employment: A Review of Evidence from the New Minimum Wage Research PB - University of California-Irvine, Department of Economics, Working Papers: 060708 Y1 - 2006/// SP - 151 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875828; Keywords: Minimum wage; Employment; Publication Type: Working Paper; Update Code: 200612 N2 - We review the burgeoning literature on the employment effects of minimum wages--in the United States and other countries--that was spurred by the "new minimum wage research" beginning in the early 1990's. The wide range of existing estimates makes it difficult for us to draw broad generalizations about the implications of the new minimum wage research. Clearly, no consensus now exists about the overall effects on low-wage employment of an increase in the minimum wage. However, the oft-stated assertion that this recent research fails to support the traditional view that the minimum wage reduces the employment of low-wage workers is clearly incorrect. The overwhelming majority of the studies surveyed in this paper give a relatively consistent (although not always statistically significant) indication of negative employment effects of minimum wages. In addition, among the papers we view as providing the most credible evidence, almost all point to negative employment effects. Moreover, the evidence tends to point to disemployment effects of minimum wages in the United States as well as many other countries. Two potentially more important conclusions emerge from our review. First, we see very few--if any--cases where a study provides convincing evidence of positive employment effects of minimum wages, especially from studies that focus on broader groups (rather than a narrow industry) for which the competitive model predicts disemployment effects. Second, when researchers focus on the least-skilled groups most likely to be adversely affected by minimum wages, we regard the evidence as relatively overwhelming that there are stronger disemployment effects for these groups. KW - Labor Demand J23 KW - Wages, Compensation, and Labor Costs: Public Policy J38 L3 - http://www.socsci.uci.edu/econ/paper/2006-07/Neumark-08.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875828&site=ehost-live&scope=site UR - http://www.socsci.uci.edu/econ/paper/2006-07/Neumark-08.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pshisva, Rony AU - Suarez, Gustavo A. AD - Unlisted AD - Unlisted T1 - 'Captive markets': the impact of kidnappings on corporate investment in Colombia PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-18 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844814; Publication Type: Working Paper; Update Code: 200606 N2 - This paper measures the impact of crime on firm investment by exploiting variation in kidnappings in Colombia from 1996 to 2002. Our central result is that firms invest less when kidnappings directly target firms. We also find that broader forms of crime--homicides, guerrilla attacks, and general kidnappings--have no significant effect on investment. This finding alleviates concerns that our main result may be driven by unobserved variables that explain both overall criminal activity and investment. Furthermore, kidnappings that target firms reduce not only the investment of firms that sell in local markets, but also the investment of firms that sell in foreign markets. Thus, an unobservable correlation between poor demand conditions and criminal activity is unlikely to explain the negative impact of firm-related kidnappings on investment. Our results are consistent with the hypothesis that managers are reluctant to invest when their freedom and life are at risk, although we cannot completely discard alternative explanations. L3 - http://www.federalreserve.gov/pubs/feds/2006/200618/200618abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844814&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200618/200618abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Scotti, Chiara AD - Unlisted T1 - A bivariate model of Fed and ECB main policy rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 875 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882050; Publication Type: Working Paper; Update Code: 200701 N2 - This paper studies when and by how much the Fed and the ECB change their target interest rates. I develop a new nonlinear bivariate framework, which allows for elaborate dynamics and potential interdependence between the two countries, as opposed to linear feedback rules, such as a Taylor rule, and I use a novel real-time data set. A Bayesian estimation approach is particularly well suited to the small data sample. Empirical results support synchronization between the central banks and non-zero correlation between mag-nitude shocks, but they do not support follower behavior. Institutional factors and inflation represent relevant variables for timing decisions of both banks. Inflation rates are important factors for magnitude decisions, while output plays a major role in US magnitude decisions. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882050&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AD - Unlisted T1 - A brief history of the 1987 stock market crash with a discussion of the Federal Reserve response PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-13 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908945; Publication Type: Working Paper; Update Code: 200706 N2 - The 1987 stock market crash was a major systemic shock. Not only did the prices of many financial assets tumble, but market functioning was severely impaired. This paper reviews the events surrounding the crash and discusses the response of the Federal Reserve, which responded in a number of ways to support the operation of financial markets, including the provision of liquidity, in a highly visible fashion. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908945&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beechey, Meredith AD - Unlisted T1 - A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-06 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899487; Publication Type: Working Paper; Update Code: 200704 N2 - Nominal forward rates are sensitive at surprisingly long horizons to macroeconomic news and monetary-policy surprises. This paper takes advantage of affine term-structure modelling to demonstrate that movements in term premia, not expected future short rates, account for most of the reaction of forward rates at long horizons. Specifically, term premia account for about three quarters of the reaction of nominal forward rates 10 to 15 years hence to the surprise component of numerous macroeconomic news announcements. This has strong implications for the interpretation of interest-rate sensitivity. Contrary to some recent conjectures, long-horizon expectations of the level of inflation and real rates appear reasonably well anchored in the United States, but the associated term premia are quite variable. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899487&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pritsker, Matthew AD - Unlisted T1 - A fully-rational liquidity-based theory of IPO underpricing and underperformance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-12 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837709; Publication Type: Working Paper; Update Code: 200605 N2 - I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model, underwriters need to sell a fixed number of shares at the IPO or in the aftermarket. To maximize revenue and avoid selling into the aftermarket where they can be exploited by large investors, underwriters distort share allocations towards investors with market power, and set the IPO offer price below the aftermarket trading price. Large investors who receive IPO share allocations sell them slowly afterwards to reduce their trade's price-impact. This curtails the shares that are available to small price-taking investors, causing them to bid up prices and bid down returns. In some simulations, the distorted share allocations and slow unwinding behavior generate post-IPO return underperformance that persists for several years. L3 - http://www.federalreserve.gov/pubs/feds/2006/200612/200612abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837709&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200612/200612abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, David C., Jr. AD - Unlisted T1 - A model in which outside and inside money are essential PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-38 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882038; Keywords: Money theory; Econometric models; Payment systems; Publication Type: Working Paper; Update Code: 200701 N2 - I present an environment for which both outside and inside money are essential as means of payment. The key model feature is that there is imperfect monitoring of issuers of inside money. I use a random matching model of money where some agents have private trading histories and others have trading histories that can be publicly observed only after a lag. I show via an example that for lags that are neither too long nor too short, there exist allocations that use both types of money that cannot be duplicated when only one type is used. Inside money provides liquidity that increases the frequency of trades, but incentive constraints restrict the amount of output that can be traded. Outside money is immune to such constraints and can trade for higher levels of output. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882038&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - A quantitative comparison of sticky-price and sticky-information models of price setting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-45 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882039; Publication Type: Working Paper; Update Code: 200701 N2 - I estimate sticky-price and sticky-information models of price setting for the United States via maximum-likelihood techniques, reaching several conclusions. First, the sticky-price model fits best, and captures inflation dynamics as well as reduced-form equations once hybrid-behavior is allowed. Second, the importance of hybrid behavior in sticky-price models is potentially consistent with a role for some information imperfections, such as sticky information, as a complement to nominal price rigidities. Finally, the favorable results herein for the hybrid sticky-price model when evaluated by statistics that summarize the relative fit of different models is consistent with the existing literature that is both supportive and dismissive of such models, as this literature has largely ignored fit in evaluating such models. Many previous studies have focused on ancillary issues, such as the standard errors associated with certain parameters or Granger-causality tests that may not provide much information about sticky-price models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882039&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AU - Cummins, Jason AD - Unlisted AD - Unlisted T1 - A retrospective evaluation of the effects of temporary partial expensing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-19 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844815; Publication Type: Working Paper; Update Code: 200606 N2 - This paper examines how business investment responded to temporary partial expensing, first enacted in 2002 and expanded in 2003. In principle, partial expensing boosted the incentive to invest which should have had a discernable impact on spending. However, the tax changes did not occur in a vacuum, so it is challenging to isolate their impact. Our empirical approach exploits a feature of the tax change which, under certain assumptions, allows us to cleanly estimate its impact. Specifically, partial expensing provided relatively generous tax treatment for long-lived assets. We use this insight in order to construct a difference-in-difference estimator of the tax effects. In addition, the standard model of investment with capital adjustment costs predicts a run up in investment spending prior to expiration and a pothole just after. Our examination of the details of expenditure patterns before, during, and after partial expensing using both monthly and quarterly data suggests considerable ambiguity as to whether the model's predictions were borne out. In addition, anecdotal evidence provides only limited support for the effectiveness of temporary partial expensing. L3 - http://www.federalreserve.gov/pubs/feds/2006/200619/200619abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844815&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200619/200619abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AU - Davis, Morris A. AU - Gallin, Joshua AU - Martin, Robert F. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - A trend and variance decomposition of the rent-price ratio in housing markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-29 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0868459; Publication Type: Working Paper; Update Code: 200610 N2 - We use the dynamic Gordon-growth model to decompose the rent-price ratio for owner-occupied housing in the U.S., four Census regions, and twenty-three metropolitan areas into three components: The expected present value of real rental growth, real interest rates, and future housing premia. We use these components to decompose the trend and variance in rent-price ratios for 1975-2005, for an early sub-sample (1975-1996), and for the recent housing boom (1997-2005). We have three main findings. First, variation in expected future real rents accounts for a small share of variation in our sample rent-price ratios; variation in real interest rates and housing premia account for most of the variability. Second, expected future real rates and housing premia were so strongly negatively correlated prior to 1997 that changes to real interest rates did not affect the rent-price ratio. After 1997, rates and premia have been positively correlated, and the decline in the rent-price ratio that has occurred in almost every geographic area in our sample since 1997 reflects both declining real rates and declining premia. Third, we show that in the recent housing boom, 65 percent of the decline in the aggregate rent-price ratio is due to a declining housing premium. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0868459&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Pilloff, Steven J. AD - Unlisted AD - Unlisted T1 - Acquisition targets and motives in the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-40 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882030; Publication Type: Working Paper; Update Code: 200701 N2 - This paper uses a large sample of individual banking organizations, observed from 1996 to 2003, to investigate the characteristics that made them more likely to be acquired. We use a definition of acquisition that we consider preferable to that used in much of the previous literature, and we employ a competing-risk hazard model that reveals important differences that depend on the type of acquirer. Since interstate acquisitions became more numerous during this period, we also investigate differences in the determinants of acquisition between in-state and out-of-state acquirers. The hypothesis that acquisitions serve to transfer resources from less efficient to more efficient uses receives substantial support from our results, as do a number of other relevant hypotheses. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882030&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benediktsdottir, Sigridur AD - Unlisted T1 - An empirical analysis of specialist trading behavior at the New York Stock Exchange PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 876 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882051; Publication Type: Working Paper; Update Code: 200701 N2 - I establish stylized empirical facts about the trading behavior of New York Stock Exchange specialists. Specifically, I look at the effect of future price movements, the specialist's explicit role, and the specialist's inventory levels on specialist trading behavior. The motivation for this empirical study is to infer whether the specialist behaves like an active investor who has an information advantage which he obtains while acting as a broker for other traders. If this were the case, one would expect that the specialist would engage in a profit maximizing strategy, buying low and selling high, which is opposite to the prediction of the traditional inventory model. I find that specialists behave like active investors who seek to buy stocks when prices are low and to sell when prices are high. I also find that when specialists are not performing their trading obligations of being on the opposite side of the market they are in almost 85 percent of their trades, buying low and selling high. The findings of this paper indicate that the NYSE specialist is best represented in theoretical models as a constrained profit maximizing, informed investor rather than as a zero profit trader. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882051&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - An estimate of the inflation risk premium using a three-factor affine term structure model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-42 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882032; Publication Type: Working Paper; Update Code: 200701 N2 - This paper decomposes nominal Treasury yields into expected real rates, expected inflation rates, real risk premiums, and inflation risk premiums by separately calibrating a three-factor affine term structure model to the nominal Treasury and TIPS yield curves. Although this particular application seems to produce expected real short rates and inflation rates that are somewhat static, there are theoretical advantages to calibrating the model to nominal and real yields separately. Moreover, the estimates correlate positively with back-of-the-envelope measures of the inflation risk premium. With respect to the current environment, monetary policy uncertainty does not seem to have contributed to the apparent increase in the inflation risk premium since the beginning of 2006. Also, in purely nominal terms, the increase in term premiums thus far this year might be just as much a global as a domestic phenomenon, given that nominal term premiums have also increased in Germany and the United Kingdom. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882032&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Evans, Carolyn L. AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted T1 - Are antidumping duties for sale? case-level evidence on the Grossman-Helpman Protection for Sale Model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 888 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908960; Publication Type: Working Paper; Update Code: 200706 N2 - As successive rounds of global trade liberalization have lowered broad industry-level tariffs, antidumping duties have emerged as a WTO-consistent means of protecting certain industries. Using the Grossman-Helpman (GH) "Protection for Sale" model, we examine the extent to which political contributions affect the outcomes of decisions in antidumping cases. We find that antidumping duty rates tend to be higher for politically-active petitioners. The relationship between the import penetration ratio and duties imposed depends on whether or not petitioners in a case are politically active. Consistent with the predictions of the GH model, antidumping duties are positively correlated with the import penetration ratio for politically inactive petitioners, but negatively correlated for politically active petitioners. Thus, our paper supports the predictions of the Grossman-Helpman model using a fresh set of data that allows us to avoid some of the compromises made in previous empirical work. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908960&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Han, Song AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are longer bankruptcies really more costly? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-27 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0856956; Publication Type: Working Paper; Update Code: 200608 N2 - We test the widely held assumption that longer restructurings are more costly. In contrast to earlier studies, we use instrumental variables to control for the endogeneity of restructuring time and creditor return. Instrumenting proves critical to our finding that creditor recovery rates increase with duration for roughly 1 and a half years following default, but decrease thereafter. This, and similar results using the likelihood of reentering bankruptcy, suggest that there may be an optimal time in default. Moreover, the default duration of almost half of our sample is well outside the optimal default duration implied by our estimates. We also find that creditors benefit from more experienced judges and from oversight by only one judge. The results have implications for the reform and design of bankruptcy systems. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0856956&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert AD - Unlisted AD - Unlisted AD - Unlisted T1 - Assessing structural VARs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 866 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875644; Keywords: Vector analysis; Econometric models; Publication Type: Working Paper; Update Code: 200612 N2 - This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus on two key issues. First, do VAR-based confidence intervals accurately reflect the actual degree of sampling uncertainty associated with impulse response functions? Second, what is the size of bias relative to confidence intervals, and how do coverage rates of confidence intervals compare with their nominal size? We address these questions using data generated from a series of estimated dynamic, stochastic general equilibrium models. We organize most of our analysis around a particular question that has attracted a great deal of attention in the literature: How do hours worked respond to an identified shock? In all of our examples, as long as the variance in hours worked due to a given shock is above the remarkably low number of 1 percent, structural VARs perform well. This finding is true regardless of whether identification is based on short-run or long-run restrictions. Confidence intervals are wider in the case of long-run restrictions. Even so, long-run identified VARs can be useful for discriminating among competing economic models. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875644&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Armenter, Roc AU - Bodenstein, Martin AD - Unlisted AD - Unlisted T1 - Can the U.S. monetary policy fall (again) in an expectation trap? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 860 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853689; Keywords: Inflation (Finance); Econometric models; Equilibrium (Economics); Monetary policy; Publication Type: Working Paper; Update Code: 200607 N2 - We provide a tractable model to study monetary policy under discretion. We focus on Markov equilibria. For all parametrizations with an equilibrium inflation rate around 2%, there is a second equilibrium with an inflation rate just above 10%. Thus the model can simultaneously account for the low and high inflation episodes in the U.S. We carefully characterize the set of Markov equilibria along the parameter space and find our results to be robust. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/860/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853689&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/860/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AD - Unlisted T1 - Changes in job quality and trends in labor hours PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 882 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899492; Keywords: Labor supply; Labor economics; Hours of labor; Publication Type: Working Paper; Update Code: 200704 N2 - Many economic models featuring labor supply decision, especially in macroeconomic analysis, assume away heterogeneity in the nature of work, or assume that the nature of work is irrelevant to the labor/leisure choice. This paper studies the macroeconomic implications of relaxing this assumption. Estimation from micro data using labor hours, wages, consumption, and nonpecuniary job characteristics suggests that labor supply responds to differences and to changes in the nature of work. Ceteris paribus, some job characteristics induce more labor hours than others do. Labeling the jobs that embed the labor-inducing characteristics as better quality jobs, the study estimates a Job Quality index for the aggregate U.S. economy from 1850 to 2000. The results suggest that over the same period, improvements in Job Quality accounted for at least 20.4 percent of growth in labor hours. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899492&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AD - Unlisted T1 - Closing open economy models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 867 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882045; Keywords: International finance; Equilibrium (Economics); Econometric models; Publication Type: Working Paper; Update Code: 200701 N2 - Several methods have been proposed to obtain stationarity in open economy models. I find substantial qualitative and quantitative differences between these methods in a two-country framework, in contrast to the results of Schmitt-Grohe and Uribe (2003). In models with a debt elastic interest rate premium or a convex portfolio cost, both the steady state and the equilibrium dynamics are unique if the elasticity of substitution between the domestic and the foreign traded good is high. However, there are three steady states if the elasticity of substitution is sufficiently low. With endogenous discounting, there is always a unique and stable steady state irrespective of the magnitude of the elasticity of substitution. Similar to the model with convex portfolio costs or a debt elastic interest rate premium, though, there can be multiple convergence paths for low values of the elasticity. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882045&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Allen, Franklin AU - Carletti, Elena AU - Marquez, Robert AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit market competition and capital regulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-11 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837708; Publication Type: Working Paper; Update Code: 200605 N2 - Market discipline for financial institutions can be imposed not only from the liability side, as has often been stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if good lending opportunities are in short supply, so that banks have to compete for projects. In such a setting, borrowers may demand that banks commit to monitoring by requiring that they use some of their own capital in lending, thus creating an asset market-based incentive for banks to hold capital. Borrowers can also provide banks with incentives to monitor by allowing them to reap some of the benefits from the loans, which accrue only if the loans are in fact paid off. Since borrowers do not fully internalize the cost of raising capital to the banks, the level of capital demanded by market participants may be above the one chosen by a regulator, even when capital is a relatively costly source of funds. This implies that the capital requirement may not be binding, as recent evidence seems to indicate. L3 - http://www.federalreserve.gov/pubs/feds/2006/200611/200611abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837708&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200611/200611abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lel, Ugur AD - Unlisted T1 - Currency hedging and corporate governance: a cross-country analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 858 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844818; Publication Type: Working Paper; Update Code: 200606 N2 - Corporate governance can provide mechanisms to effectively monitor the use of derivatives. Using a sample of firms from 34 countries over the period 1990 to 1999, I find that firms with strong governance use currency derivatives for value-maximizing reasons as established by theory. On the other hand, firms with weak governance use such derivatives mostly for managerial self-interests and selective hedging. These results are robust to using a sample of US firms, the use of foreign denominated debt as an alternative strategy to hedge currency risk, selection bias, and a possible endogeneity between hedging policies, corporate governance, and other financial policies. Overall, the results serve as the first comprehensive evidence on the impact of corporate governance on why firms use derivatives and consequently why they hedge. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/858/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844818&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/858/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - Currents and undercurrents: changes in the distribution of wealth, 1989-2004 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-13 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837710; Publication Type: Working Paper; Update Code: 200605 N2 - This paper considers changes in the distribution of the wealth of U.S. families over the 1989-2004 period using data from the Survey of Consumer Finances (SCF). Real net worth grew broadly over this period. At the same time, there are indications that wealth became more concentrated, but the result does not hold unambiguously across a set of plausible measures. For example, the Gini coefficient shows significant increases in the concentration of wealth from 1989 to 2004, but the wealth share of the wealthiest one percent of families did not change significantly. Graphical analysis suggests that there was a shift in favor of the top of the distribution, while for the broad middle of the distribution increases were about in proportion to earlier wealth. Within this period, there are other interesting patterns. For example, from 1992 to 2004 the wealth share of the least wealthy half of the population fell significantly to 2.5 percent of total wealth. The data show little in the way of significant distributional shifts since the 2001 survey. The paper also presents some information on underlying factors that may explain a part of the distribution of wealth, including capital gains, saving behavior and income, inheritances, and other factors. There are two special topic sections in the paper. The first presents information on the distributions of wealth of African American and Hispanic families. The second presents information on the use of debt across the distribution of wealth. L3 - http://www.federalreserve.gov/pubs/feds/2006/200613/200613abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837710&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200613/200613abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borzekowski, Ron AU - Kiser, Elizabeth K. AU - Ahmed, Shaista AD - Unlisted AD - Unlisted AD - Unlisted T1 - Debit card use by U.S. consumers: evidence from a new survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-16 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844812; Publication Type: Working Paper; Update Code: 200606 N2 - Debit card use at the point of sale has grown dramatically in recent years in the U.S., and now exceeds the number of credit card transactions. However, many questions remain regarding patterns of debit card use, consumer preferences when using debit, and how consumers might respond to explicit pricing of card transactions. Using a new nationally representative consumer survey, this paper describes the current use of debit cards by U.S. consumers, including how demographics affect use. In addition, consumers' stated reasons for using debit cards are used to analyze how consumers substitute between debit and other payment instruments. We also examine the relationship between household financial conditions and payment choice. Finally, we use a key variable on bank-imposed transaction fees to analyze price sensitivity of card use, and find a 12 percent decline in overall use in reaction to a mean 1.8 percent fee charged on certain debit card transactions; we believe this represents the first microeconomic evidence in the United States on price sensitivity for a card payment at the point of sale. L3 - http://www.federalreserve.gov/pubs/feds/2006/200616/200616abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844812&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200616/200616abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bucks, Brian AU - Pence, Karen AD - Unlisted AD - Unlisted T1 - Do homeowners know their house values and mortgage terms? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-03 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837704; Keywords: Housing - Prices ; Home ownership ; Mortgage loans; Publication Type: Working Paper; Update Code: 200605 N2 - To assess whether homeowners know their house values and mortgage terms, we compare the distributions of these variables in the household-reported 2001 Survey of Consumer Finances (SCF) to the distributions in lender-reported data. We also examine the share of SCF respondents who report not knowing these variables. We find that most homeowners appear to report their house values and broad mortgage terms reasonably accurately. Some adjustable-rate mortgage borrowers, though, and especially those with below-median income, appear to underestimate or not know how much their interest rates could change. L3 - http://www.federalreserve.gov/pubs/feds/2006/200603/200603abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837704&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200603/200603abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ang, Andrew AU - Bekaert, Geert AU - Wei, Min AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do macro variables, asset markets, or surveys forecast inflation better? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-15 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844811; Publication Type: Working Paper; Update Code: 200606 N2 - Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information. L3 - http://www.federalreserve.gov/pubs/feds/2006/200615/200615abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844811&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200615/200615abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Armenter, Roc AU - Bodenstein, Martin AD - Unlisted AD - Unlisted T1 - Does the time inconsistency problem make flexible exchange rates look worse than you think? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 865 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0873300; Keywords: Foreign exchange rates ; Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200611 N2 - The Barro-Gordon inflation bias has provided the most influential argument for fixed exchange rate regimes. However, with low inflation rates now widespread, credibility concerns seem no longer relevant. Why give up independent monetary policy to contain an inflation bias that is already under control? We argue that credibility problems do not end with the inflation bias and they are a larger drawback for flexible exchange rates than usually thought. Absent commitment, independent monetary policy can induce expectation traps---that is, welfare ranked multiple equilibria---and perverse policy responses to real shocks, i.e., an equilibrium policy response that is welfare inferior to policy inaction. Both possibilities imply that flexible exchange rates feature unnecessary macroeconomic volatility. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0873300&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AU - Hjalmarsson, Randi AD - Unlisted AD - Unlisted T1 - Efficiency in housing markets: do home buyers know how to discount? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 879 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890644; Keywords: Housing - Prices; Publication Type: Working Paper; Update Code: 200703 N2 - We test for efficiency in the market for Swedish co-ops by examining the negative relationship between the sales price and the present value of future rents. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative should be fully reflected in the sales price. However, we find that, on average, a one hundred kronor increase in the present value of future rents only leads to a 45 to 65 kronor reduction in the sales price; co-ops with higher rents are thus relatively overpriced compared to those with lower rents. Our analysis indicates that pricing tends to be more efficient in areas with higher educated and wealthier buyers. By relying on cross-sectional relationships in the data, our results are less sensitive to transaction costs and other frictions than time-series tests of housing market efficiency. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890644&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Schindler, John W. AD - Unlisted AD - Unlisted T1 - Exchange-rate effects on China's trade: an interim report PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 861 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853690; Keywords: Foreign exchange rates - China; Trade; Econometric models; Publication Type: Working Paper; Update Code: 200607 N2 - Though China's share of world trade is comparable to that of Japan, little is known about the response of China's trade to changes in exchange rates. The few estimates available suffer from two limitations. First, the data for trade prices are based on proxies for prices from other countries. Second, the estimation sample includes the period of China's transformation from a centrally-planned economy to a market-oriented system. To address these limitations, this paper develops an empirical model explaining the shares of China's exports and imports in world trade in terms of the real effective value of the renminbi. The specifications control for foreign direct investment and for the role of imports of parts to assemble merchandise exports. Parameter estimation uses disaggregated monthly trade data and excludes the period during which most of China's decentralization occurred. The estimation results suggest that a ten-percent real appreciation of the renminbi lowers the share of aggregate Chinese exports by a half of a percentage point. The same appreciation lowers the share of aggregate imports by about a tenth of a percentage point. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/861/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853690&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/861/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane E. AU - Marazzi, Mario AU - Rothenberg, Alexander D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exchange-rate pass-through in the G-7 countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 851 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837717; Keywords: Foreign exchange rates ; Pricing ; Group of Seven countries; Publication Type: Working Paper; Update Code: 200605 N2 - This paper examines the current thinking on exchange-rate pass-through to both import prices and consumer prices and estimates the extent to which they have fallen in the G-7 countries since the late 1970s and 1980s. For import-price pass-through we find that all countries experience a numerical decline in the responsiveness of import prices to exchange-rate movements; for nearly half of these countries the decline between 1975-1989 and 1990-2004 is statistically significant. We estimate that while a 10 percent depreciation in the local currency would have increased import prices by nearly 7 percent on average across these countries in the late 1970s and 1980s, it would have only increased import prices by 4 percent in the last 15 years. The responsiveness of consumer prices to exchange-rate movements declines for nearly every country, with the decline being statistically significant for two countries. Specifically, while a 10 percent depreciation in the local currency would have increased consumer prices by almost 2 percent on average in the late 1970s and 1980s, it would have had a neutral effect on consumer prices in the last 15 years. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/851/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837717&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/851/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Jeffrey R. AU - Liang, Nellie AU - Weisbenner, Scott AD - Unlisted AD - Unlisted AD - Unlisted T1 - Executive financial incentives and payout policy: firm responses to the 2003 dividend tax cut PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-14 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844809; Keywords: Dividends; Taxation; Publication Type: Working Paper; Update Code: 200606 N2 - Using the 2003 reduction in dividend tax rates to identify an exogenous change in the after-tax value of dividends to shareholders, we test whether stock holdings among company executives is an important determinant of payout policy. We have three primary findings. First, we find that when top executives have greater stock ownership, and thus an incentive to increase dividends for personal liquidity reasons, there is a significantly greater likelihood of a dividend increase following the 2003 dividend tax cut, whereas no such relation existed in the prior decade when the dividend tax rate was much higher. This finding is strongest for dividend initiations, and is robust to a rich set of firm and shareholder characteristics. Second, we provide evidence that approximately one-third of the firms that initiated dividends in 2003, a higher share than in previous years, scaled back share repurchases by an amount sufficient to reduce their total payouts. This offset potentially raised the total tax burden on shareholders at these firms because share repurchases are still tax-advantaged relative to dividends. Third, we find that while dividend-paying firms with a larger fraction of individual shareholders had greater stock price gains in response to the tax cut, the market appears to have at least partially anticipated that executives with high stock ownership might raise dividends at the expense of share repurchases and increase the average tax burden for individuals, which is consistent with the presence of agency conflicts within the firm. L3 - http://www.federalreserve.gov/pubs/feds/2006/200614/200614abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844809&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200614/200614abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - Explaining cyclical movements in employment: creative destruction or changes in utilization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-23 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853685; Publication Type: Working Paper; Update Code: 200607 N2 - An important step in understanding why employment fluctuates cyclically is determining the relative importance of cyclical movements in permanent and temporary plant-level employment changes. If movements in permanent employment changes are important, then recessions are times when the destruction of job specific capital picks up and/or investment in new job capital slows. If movements in temporary employment changes are important, then employment fluctuations are related to the temporary movement of workers across activities (e.g., from work to home production or search and back again) as the relative costs/benefits of these activities change. I estimate that in the manufacturing sector temporary employment changes account for approximately 60 percent of the change in employment growth over the cycle. However, if permanent employment changes create and destroy more capital than temporary employment changes, then their economic consequences would be relatively greater. The correlation between gross permanent employment changes and capital intensity across industries supports the hypothesis that permanent employment changes do create and destroy more capital than temporary employment changes. L3 - http://www.federalreserve.gov/pubs/feds/2006/200623/200623abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853685&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200623/200623abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Klee, Elizabeth AD - Unlisted T1 - Families' use of payment instruments during a decade of change in the U.S. payment system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-01 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837700; Keywords: Payment systems ; Electronic funds transfers ; Checks; Publication Type: Working Paper; Update Code: 200605 N2 - In the U.S., the share of payments made "electronically"--with credit cards, debit cards, and direct payments--grew from 25 percent in 1995 to over 50 percent in 2002 (BIS, 2004). This paper frames this aggregate change in the context of individual behavior. Family level data indicate that the share of families using or holding these instruments also increased over the same period. The personal characteristics that predict use and holdings are relatively constant over time. Furthermore, the results indicate that the aggregate change may be correlated with a greater incidence in "multihoming", or use of multiple payment instruments. In addition, the paper offers evidence that the dimensions over which families multihome differ across payment instruments. The results presented in this paper document a significant change in the payment system, inform payment system policies, and provide evidence of technology adoption behavior more generally. L3 - http://www.federalreserve.gov/pubs/feds/2006/200601/200601abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837700&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200601/200601abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahearne, Alan G. AU - Fernald, John G. AU - Loungani, Prakash AU - Schindler, John W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Flying geese or sitting ducks: China's impact on the trading fortunes of other Asian economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 887 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908959; Publication Type: Working Paper; Update Code: 200706 N2 - This paper updates our earlier work (Ahearne, Fernald, Loungani and Schindler, 2003) on whether China, with its huge pool of labor and an allegedly undervalued exchange rate, is hurting the export performance of other emerging market economies in Asia. We continue to find that while exchange rates matter for export performance, the income growth of trading partners matters far more. This suggests the potential for exports of all Asian economies to grow in harmony as long as global growth is strong. We also examine changes in export shares of Asian economies to the U.S. market and find evidence that dramatic changes in shares are taking place. Many of these changes are consistent with a 'flying geese' pattern in which China moves into the product space vacated by the Asian NIEs or with greater integration of trade across Asia in the production of final goods. Nevertheless, China's dramatic gains in recent years do increase the pressure on Asian economies, particularly in ASEAN and South Asia, to seek areas of comparative advantage. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908959&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghysels, Eric AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - Forecasting professional forecasters PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-10 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837707; Publication Type: Working Paper; Update Code: 200605 N2 - Surveys of forecasters, containing respondents' predictions of future values of growth, inflation and other key macroeconomic variables, receive a lot of attention in the financial press, from investors, and from policy makers. They are apparently widely perceived to provide useful information about agents' expectations. Nonetheless, these survey forecasts suffer from the crucial disadvantage that they are often quite stale, as they are released only infrequently, such as on a quarterly basis. In this paper, we propose methods for using asset price data to construct daily forecasts of upcoming survey releases, which we can then evaluate. Our methods allow us to estimate what professional forecasters would predict if they were asked to make a forecast each day, making it possible to measure the effects of events and news announcements on expectations. We apply these methods to forecasts for several macroeconomic variables from both the Survey of Professional Forecasters and Consensus Forecasts. L3 - http://www.federalreserve.gov/pubs/feds/2006/200610/200610abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837707&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200610/200610abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Fully modified estimation with nearly integrated regressors PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 854 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837718; Keywords: Regression analysis; Publication Type: Working Paper; Update Code: 200605 N2 - I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/854/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837718&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/854/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hausman, Joshua AU - Wongswan, Jon AD - Unlisted AD - Unlisted T1 - Global asset prices and FOMC announcements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 886 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899496; Keywords: Interest rates; Foreign exchange rates; Monetary policy; International finance; Publication Type: Working Paper; Update Code: 200704 N2 - This paper documents the impact of U.S. monetary policy announcement surprises on foreign equity indexes, short- and long-term interest rates, and exchange rates in 49 countries. We use two proxies for monetary policy surprises: the surprise change to the current target federal funds rate (target surprise) and the revision to the path of future monetary policy (path surprise). We find that different asset classes respond to different components of the monetary policy surprises. Global equity indexes respond mainly to the target surprise; exchange rates and long-term interest rates respond mainly to the path surprise; and short-term interest rates respond to both surprises. On average, a hypothetical surprise 25-basis-point cut in the federal funds target rate is associated with about a 1 percent increase in foreign equity indexes and a 5 basis point decline in foreign short-term interest rates. A surprise 25-basis-point downward revision in the path of future policy is associated with about a half-percent decline in the exchange value of the dollar against foreign currencies and 5 and 8 basis points declines in short- and long-term interest rates, respectively. We also find that asset prices' responses to FOMC announcements vary greatly across countries, and that these cross-country variations in the response are related to a country's exchange rate regime. Equity indexes and interest rates in countries with a less flexible exchange rate regime respond more to U.S. monetary policy surprises. In addition, the cross-country variation in the equity market response is strongly related to the percentage of each country's equity market capitalization owned by U.S. investors (a financial linkage), and the cross-country variation in short-term interest rates' responses is strongly related to the share of each country's trade that is with the United States (a real linkage) UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899496&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AU - Passmore, Wayne AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - GSEs, mortgage rates, and secondary market activities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-30 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0873299; Keywords: Government-sponsored enterprises ; Secondary markets; Publication Type: Working Paper; Update Code: 200611 N2 - Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) that securitize mortgages and issue mortgage-backed securities (MBS). In addition, the GSEs are active participants in the secondary mortgage market on behalf of their own investment portfolios. Because these portfolios have grown quite large, portfolio purchases (in addition to MBS issuance) are often thought to be an important force in the mortgage market. Using monthly data from 1993 to 2005 we estimate a VAR model of the relationship between GSE secondary market activities and mortgage interest rate spreads. We find that GSE portfolio purchases have no significant effects on either primary or secondary mortgage rate spreads. Further, we examine GSE activities and mortgage rate spreads in the wake of the 1998 debt crisis, and find that GSE portfolio purchases did little to affect interest rates paid by new mortgage borrowers. This empirical finding is robust to alternative identification assumptions and to alternative model and variable specifications. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0873299&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Robitaille, Patrice AU - Roush, Jennifer E. AD - Unlisted AD - Unlisted T1 - How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 868 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882046; Keywords: International finance; Monetary policy - United States; Stock - Prices; Publication Type: Working Paper; Update Code: 200701 N2 - This paper provides a robust structural identification of the effects of U.S. interest rates on an emerging economy's asset values. Using newly available intraday data, we investigate how surprises associated with U.S. macro data and FOMC announcements affectmove on intra-daily movements in the yield spread on a benchmark Brazilian government dollar-denominated bond and (the C-bond) as well as onthe Brazilian broad stock price index. Our study covers the period February 1999 to April 2005. We find that FOMC announcements that lead to an increase in U.S. interest rates are associated with a systematic increase in Brazil's C-bond spread and a systematic decline in the Bovespa stock price index. Several U.S. macro data surprises, including for nonfarm payrolls and the CPI, prompt an increase in the Brazilian C-bond yield spread and a fall in Brazilian share prices. These combined findings suggest that, for Brazil during this period, the financial risks of higher U.S. interest rates rates in response to positive news about the U.S. economy dominated any benefits through trade or other channels in the determination of Brazilian asset valuations. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882046&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Dunn, Wendy AU - Otoo, Maria AD - Unlisted AD - Unlisted AD - Unlisted T1 - Incentives and prices for motor vehicles: what has been happening in recent years? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-9 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844810; Keywords: Automobiles - Prices; Automobile industry and trade; Publication Type: Working Paper; Update Code: 200606 N2 - We address the construction of price indexes for consumer vehicles using data collected from a national sample of dealerships. The dataset contains highly disaggregate data on actual sales prices and quantities, along with information on customer cash rebates, financing terms, and much more. Using these data, we are able to capture the actual cash and financing incentives taken by consumers, and we demonstrate that their inclusion in measures of consumer vehicle prices is important. We also document other features of retail vehicle markets that interact and overlap with price measurement issues. In particular, we construct vehicle price indexes under different assumptions about what constitutes a "new" product in moving from one model year to the next. For the period that we study (1999 to 2003), a period during which incentives became more widespread and new model introductions rose, our preferred price index drops faster than the CPI for new vehicles. L3 - http://www.federalreserve.gov/pubs/feds/2006/200609/200609abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844810&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200609/200609abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Dunn, Wendy AU - Otoo, Maria AD - Unlisted AD - Unlisted AD - Unlisted T1 - Incentives and prices for motor vehicles: what has been happening in recent years? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-09 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837706; Publication Type: Working Paper; Update Code: 200605 N2 - We address the construction of price indexes for consumer vehicles using data collected from a national sample of dealerships. The dataset contains highly disaggregate data on actual sales prices and quantities, along with information on customer cash rebates, financing terms, and much more. Using these data, we are able to capture the actual cash and financing incentives taken by consumers, and we demonstrate that their inclusion in measures of consumer vehicle prices is important. We also document other features of retail vehicle markets that interact and overlap with price measurement issues. In particular, we construct vehicle price indexes under different assumptions about what constitutes a "new" product in moving from one model year to the next. For the period that we study (1999 to 2003), a period during which incentives became more widespread and new model introductions rose, our preferred price index drops faster than the CPI for new vehicles. L3 - http://www.federalreserve.gov/pubs/feds/2006/200609/200609abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837706&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200609/200609abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Borzekowski, Ron AD - Unlisted AD - Unlisted T1 - Incompatibility and investment in ATM networks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-36 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882035; Keywords: Automated tellers; Banks and banking - Automation; Publication Type: Working Paper; Update Code: 200701 N2 - The literature on network industries and network effects notes that incompatibility across rival systems can influence firms' incentives to invest in product changes that are beneficial to the consumer. We investigate this phenomenon in the case of bank ATM networks, where the number of ATM locations serves as the measure of product quality and surcharge fees serve as an index of incompatibility. Using as a natural experiment the lifting of a surcharge ban in Iowa (and not in neighboring states), we find that the associated increase in incompatibility for Iowa banks caused a substantial increase in the number of ATM locations offered to customers. This effect is found to be larger (in percentage terms) for larger banks than for smaller ones. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882035&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Osterholm, Par AD - Unlisted T1 - Incorporating judgement in fan charts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-39 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882034; Publication Type: Working Paper; Update Code: 200701 N2 - Within a decision-making group, such as the monetary-policy committee of a central bank, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density - or fan chart - associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882034&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lebow, David E. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - Inflation measurement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-43 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882033; Publication Type: Working Paper; Update Code: 200701 N2 - Inflation measurement is the process through which changes in the prices of individual goods and services are combined to yield a measure of general price change. This paper discusses the conceptual framework for thinking about inflation measurement and considers practical issues associated with determining an inflation measure's scope; with measuring individual prices; and with combining these individual prices into a measure of aggregate inflation. We also discuss the concept of "core inflation," and summarize the implications of inflation measurement for economic theory and policy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882033&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Inflation targeting under imperfect knowledge PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-20 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853682; Publication Type: Working Paper; Update Code: 200607 N2 - A central tenet of inflation targeting is that establishing and maintaining well-anchored inflation expectations are essential. In this paper, we reexamine the role of key elements of the inflation targeting framework towards this end, in the context of an economy where economic agents have an imperfect understanding of the macroeconomic landscape within which the public forms expectations and policymakers must formulate and implement monetary policy. Using an estimated model of the U.S. economy, we show that monetary policy rules that would perform well under the assumption of rational expectations can perform very poorly when we introduce imperfect knowledge. We then examine the performance of an easily implemented policy rule that incorporates three key characteristics of inflation targeting: transparency, commitment to maintaining price stability, and close monitoring of inflation expectations, and find that all three play an important role in assuring its success. Our analysis suggests that simple difference rules in the spirit of Knut Wicksell excel at tethering inflation expectations to the central bank's goal and in so doing achieve superior stabilization of inflation and economic activity in an environment of imperfect knowledge. L3 - http://www.federalreserve.gov/pubs/feds/2006/200620/200620abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853682&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200620/200620abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pasquariello, Paolo AU - Vega, Clara AD - Unlisted AD - Unlisted T1 - Informed and strategic order flow in the bond markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 874 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882049; Publication Type: Working Paper; Update Code: 200701 N2 - We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions--information heterogeneity and imperfect competition among informed traders--and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. We find strong evidence of informational effects in the U.S. Treasury bond market: unanticipated order flow has a significant and permanent impact on daily bond yield changes during both announcement and non-announcement days. Our analysis further shows that, consistent with our stylized model, the contemporaneous correlation between order flow and yield changes is higher when the dispersion of beliefs among market participants is high and public announcements are noisy. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882049&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Hulten, Charles AU - Sichel, Daniel AD - Unlisted AD - Unlisted AD - Unlisted T1 - Intangible capital and economic growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-24 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853686; Publication Type: Working Paper; Update Code: 200607 N2 - Published macroeconomic data traditionally exclude most intangible investment from measured GDP. This situation is beginning to change, but our estimates suggest that as much as $800 billion is still excluded from U.S. published data (as of 2003), and that this leads to the exclusion of more than $3 trillion of business intangible capital stock. To assess the importance of this omission, we add intangible capital to the standard sources-of-growth framework used by the BLS, and find that the inclusion of our list of intangible assets makes a significant difference in the observed patterns of U.S. economic growth. The rate of change of output per worker increases more rapidly when intangibles are counted as capital, and capital deepening becomes the unambiguously dominant source of growth in labor productivity. The role of multifactor productivity is correspondingly diminished, and labor's income share is found to have decreased significantly over the last 50 years. L3 - http://www.federalreserve.gov/pubs/feds/2006/200624/200624abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853686&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200624/200624abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bodenstein, Martin AD - Unlisted T1 - International asset markets and real exchange rate volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 884 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899493; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200704 N2 - The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (Backus-Smith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financial contracts that provides a possible explanation of these two puzzles. The model performs poorly with respect to asset pricing. However, with limited enforcement for both domestic and international financial contracts, the model's asset pricing implications are brought into line with the empirical evidence, albeit at the expense of raising real exchange rate volatility. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899493&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lel, Ugur AU - Miller, Darius P. AD - Unlisted AD - Unlisted T1 - International cross-listing, firm performance and top management turnover: a test of the bonding hypothesis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 877 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890646; Keywords: Corporate governance; Labor turnover; Chief executive officers; Publication Type: Working Paper; Update Code: 200703 N2 - We examine a primary outcome of corporate governance, the ability to identify and terminate poorly performing CEOs, to test the effectiveness of U.S. investor protections in improving the corporate governance of cross-listed firms. We find that firms from weak investor protection regimes that are cross-listed on a major U.S. exchange are more likely to terminate poorly performing CEOs than non-cross-listed firms. Cross-listings on exchanges that do not require the adoption of the most stringent investor protections (OTC, private placements and London listings) are not associated with a higher propensity to shed poorly performing CEOs. Overall, our results provide direct support for the bonding hypothesis of Coffee (1999) and Stulz (1999), and suggest that the functional convergence of legal systems is indeed possible. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890646&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Geng AD - Unlisted T1 - Learning by investing - embodied technology and business cycles PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-15 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908946; Publication Type: Working Paper; Update Code: 200706 N2 - In the last decade of the 20th century, the U.S. economy witnessed a persistent and substantial increase in private investment. The boom was sharply reversed in 2001, and a great deal of evidence suggests that the capital stock had become excessive. Standard equilibrium business cycle models have difficulties in predicting the investment boom and overshooting. An embodied technology model is constructed to replicate the pattern of investment boom and collapse. Unlike previous models of embodiment, the present model assumes that new technology increases the productivity of capital of all vintages, but only new capital can facilitate the adoption of the new technology. Further, although agents in this model know about the advent of a new technology, they have imperfect information about its magnitude. Agents learn the magnitude by investing in new capital. I present a sufficient condition for having a persistent investment boom and overshooting. I also solve the model numerically in a dynamic general equilibrium (DGE) setup. The model presented in this paper extends the standard DGE business cycle models in two ways: First, it presents a strong internal propagation mechanism with respect to technology shocks; second, it generates endogenous recessions without invoking technological regress. The model also offers a possible explanation on why consumption growth was strong during the last recession. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908946&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morin, Norman AD - Unlisted T1 - Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-21 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853683; Publication Type: Working Paper; Update Code: 200607 N2 - Cointegration theory provides a flexible class of statistical models that combine long-run relationships and short-run dynamics. This paper presents three likelihood ratio (LR) tests for simultaneously testing restrictions on cointegrating relationships and on how quickly the system reacts to the deviation from equilibrium implied by the cointegrating relationships. Both the orthogonal complements of the cointegrating vectors and of the vectors of adjustment speeds have been used to define the common stochastic trends of a nonstationary system. The restrictions implicitly placed on the orthogonal complements of the cointegrating vectors and of the adjustment speeds are identified for a class of LR tests, including those developed in this paper. It is shown how these tests can be interpreted as tests for restrictions on the orthogonal complements of the cointegrating relationships and adjustment vectors, which allow one to combine and test for economically meaningful restrictions on cointegrating relationships and on common stochastic trends. L3 - http://www.federalreserve.gov/pubs/feds/2006/200621/200621abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853683&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200621/200621abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jones, Barry E. AU - Nesmith, Travis D. AD - Unlisted AD - Unlisted T1 - Linear cointegration of nonlinear time series with an application to interest rate dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-03 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899489; Keywords: Time-series analysis; Cointegration; Interest rates; Publication Type: Working Paper; Update Code: 200704 N2 - We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation theorem. The result shows that stationary linear cointegrations can exhibit nonlinear dynamics, in contrast with the normal assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear dynamics in the cointegrated system. We apply this method to weekly US interest rates constructed using a multirate filter rather than averaging. The Treasury Bill, Commerical Paper and Federal Funds rates are cointegrated, with two cointegrating vectors. Both cointegrations behave nonlinearly. Consequently, linear models will not fully relicate the dynanics of monetary policy transmission. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899489&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thomas, Charles P. AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - Measurement matters for modeling U.S. import prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 883 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899495; Keywords: Imports - Prices; Emerging markets; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200704 N2 - We focus on capturing the increasingly important role that emerging economies play in determining U.S. import prices. Emerging market producers differ from others in two respects: (1) their cost structure is well below that of developed-market producers, and (2) their wide profit margins induce pricing policies that seek to exhaust production capacity. We argue that these features have dampened the short-run responses of import prices to changes in the value of the dollar but that they have not altered the associated long-run response. To capture these considerations, we develop a new method to measure foreign prices and adopt a formulation that differentiates between short- and long-run responses. Our econometric work asks two questions: First, can one replicate the literature's dispersion of pass-through estimates? Second, is there any evidence of a change in the dynamic response of import prices to changes in the exchange value of the dollar? To address the first question, we estimate the parameters of our models using several alternative measures of U.S. and foreign prices, dynamic specifications, and sample periods. We find that these alternative inputs translate into a large range of parameter estimates, a finding that helps to rationalizing the existing dispersion of estimates. To address the second question, we compute the implied dynamic adjustment of import prices to a change in the value of the dollar using parameters estimated from two samples: 1974-2000 and 1974-2005. The long-run response of import prices is similar regardless of which sample is used---roughly one-half of the change in the exchange rate is passed through to import prices. However, the short-run response is quite sensitive to the sample period. Specifically, the short-run response based on data through 2005 is smaller than the short-run response based on data through 2000. We argue that one force behind the change in dynamics of the import-price process is the greater presence of producers from emerging economies and that their effect on import prices can be captured with their measure of foreign prices. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899495&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, Yueh-Yun C. AD - Unlisted T1 - Measurement of monetary aggregates across countries PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-02 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890642; Publication Type: Working Paper; Update Code: 200703 N2 - This paper compares the compositions and definitions of monetary aggregates being published by the 30 countries belonging to the Organization for Economic Co-operation and Development (OECD) and 10 non-OCED countries. These countries are divided into 5 groups according to the similarity of their monetary aggregates and their membership in the European Union (EU) and/or OECD. The first three groups are countries in the EU who have adopted the European Central Bank's definitions of the monetary aggregates with some variations. Their monetary aggregates are discussed together and presented in one table. The monetary aggregates for the countries in the other two groups are very heterogeneous and each country is discussed separately. The criteria used to classify and define monetary aggregates by individual countries are compared and summarized. Variations among the countries' monetary aggregates resulting from emphasis on different criteria for money definitions are also addressed. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890642&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - Modeling direct investment valuation adjustments and estimating quarterly positions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 857 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844817; Keywords: Investments, Foreign; Investments; Publication Type: Working Paper; Update Code: 200606 N2 - This paper takes an in-depth look at U.S. direct investment valuation adjustments. We develop a methodology to generate valuation adjustments at the quarterly frequency, which can be combined with the Bureau of Economic Analysis's quarterly direct investment flows to obtain quarterly estimates of direct investment assets and liabilities. Our methodology involves two steps. First, we estimate valuation adjustment models with annual data. Our models rely on variables that reflect terms used by the Bureau of Economic Analysis in their data construction: exchange-rate changes, changes in the price of products, and changes in stock-market prices. Second, we apply quarterly data to the estimated models to generate quarter valuations and implement a procedure that ensures that the estimated valuations for the four quarters in a given year sum to the reported annual valuation adjustments. With this framework we consider how asset price shocks affect the net direct investment position and, hence, net international investment position. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/857/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844817&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/857/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William AD - Unlisted T1 - Monetary policy implementation without averaging or rate corridors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-22 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853684; Publication Type: Working Paper; Update Code: 200607 N2 - Most central banks now implement monetary policy by trying to hit a target overnight interest rate using one of two types of frameworks. The first involves arrangements for depository institutions to hold a minimum account balance over a multi-day averaging period. The second uses the central bank's lending rate as a ceiling and its deposit rate as a floor for overnight interest rates. Either averaging or a rate corridor can help a central bank hit a target interest rate, but each framework can also have weaknesses in achieving that goal and, in some cases, other associated drawbacks. This paper discusses an alternative possible policy implementation regime, involving a specially designed facility for the payment of interest on a daily basis on balances held at the central bank. This new type of regime could potentially allow smooth monetary policy implementation without the problems associated with averaging or a rate corridor. L3 - http://www.federalreserve.gov/pubs/feds/2006/200622/200622abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853684&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200622/200622abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leduc, Sylvain AU - Sill, Keith AD - Unlisted AD - Unlisted T1 - Monetary policy, oil shocks, and TFP: accounting for the decline in U.S. volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 873 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882047; Publication Type: Working Paper; Update Code: 200701 N2 - An equilibrium model is used to assess the quantitative importance of monetary policy for the post-1984 decline in U.S. inflation and output volatility. The principal finding is that monetary policy played a substantial role in reducing inflation volatility, but a small role in reducing real output volatility. The model attributes much of the decline in real output volatility to smaller TFP shocks. We also investigate the pattern of output and inflation volatility under an optimal monetary policy counterfactual. We find that real output volatility would have been somewhat lower, and inflation volatility substantially lower, had monetary policy been set optimally. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882047&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - New methods for inference in long-run predictive regressions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 853 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837719; Publication Type: Working Paper; Update Code: 200605 N2 - I develop new asymptotic results for long-horizon regressions with overlapping observations. I show that rather than using auto-correlation robust standard errors, the standard t-statistic can simply be divided by the square root of the forecasting horizon to correct for the effects of the overlap in the data. Further, when the regressors are persistent and endogenous, the long-run OLS estimator suffers from the same problems as does the short-run OLS estimator, and similar corrections and test procedures as those proposed for the short-run case should also be used in the long-run. In addition, I show that under an alternative of predictability, long-horizon estimators have a slower rate of convergence than short-run estimators and their limiting distributions are non-standard and fundamentally different from those under the null hypothesis. These asymptotic results are supported by simulation evidence and suggest that under standard econometric specifications, short-run inference is generally preferable to long-run inference. The theoretical results are illustrated with an application to long-run stock-return predictability. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/853/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837719&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/853/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Armenter, Roc AU - Bodenstein, Martin AD - Unlisted AD - Unlisted T1 - Of nutters and doves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 885 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899494; Keywords: Inflation (Finance); Anti-inflationary policies; Monetary policy; Publication Type: Working Paper; Update Code: 200704 N2 - We argue that there are conditions such that any inflation targeting regime is preferable to full policy discretion, even if long-run inflation rates are identical across regimes. The key observation is that strict inflation targeting outperforms the discretionary policy response to sufficiently persistent shocks. Under full policy discretion, inflation expectations over the medium term respond to the shock and thereby amplify its impact on output. As a result, little output stabilization is achieved at the cost of large and persistent inflation fluctuations. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899494&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aruoba, S. Boragan AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Optimal fiscal and monetary policy when money is essential PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 880 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890645; Keywords: Money theory; Econometric models; Publication Type: Working Paper; Update Code: 200703 N2 - We study optimal fiscal and monetary policy in an environment where explicit frictions give rise to valued money, making money essential in the sense that it expands the set of feasible trades. Our main results are in stark contrast to the prescriptions of earlier flexible-price Ramsey models. Two especially important findings emerge from our work: the Friedman Rule is typically not optimal and inflation is stable over time. Inflation is not a substitute instrument for a missing tax, as is sometimes the case in standard Ramsey models. Rather, the inflation tax is exactly the right tax to use because the use of money has a rent associated with it. Regarding the optimal dynamic policy, realized (ex-post) inflation is quite stable over time, in contrast to the very volatile ex-post inflation rates that arise in standard flexible-price Ramsey models. We also find that because capital is underaccumulated, optimal policy includes a subsidy on capital income. Taken together, these findings turn conventional wisdom from traditional Ramsey monetary models on its head. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890645&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kurz, Christopher Johann AD - Unlisted T1 - Outstanding outsourcers: a firm- and plant-level analysis of production sharing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-04 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837702; Keywords: Industrial productivity ; Manufactures; Publication Type: Working Paper; Update Code: 200605 N2 - This paper examines the differences in characteristics between outsourcers and non-outsourcers with a particular focus on productivity. The measure of outsourcing comes from a question in the 1987 and 1992 Census of Manufactures regarding plant-level purchases of foreign intermediate materials. There are two key findings. First, outsourcers are "outstanding." That is, all else equal, outsourcers tend to have premia for plant and firm characteristics, such as being larger, more capital intensive, and more productive. One exception to this outsourcing premia is that wages tend to be the same for both outsourcers and non-outsourcers. Second, outsourcing firms, but not plants, have significantly higher productivity growth. L3 - http://www.federalreserve.gov/pubs/feds/2006/200604/200604abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837702&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200604/200604abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Klee, Elizabeth AD - Unlisted T1 - Paper or plastic? the effect of time on the use of check and debit cards at grocery stores PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-02 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837701; Keywords: Consumer behavior ; Checks; Publication Type: Working Paper; Update Code: 200605 N2 - Time is a significant cost of conducting transactions, and theoretical models predict that transactions costs significantly affect the type of media of exchange buyers use. However, there is little empirical work documenting the magnitude of this effect. This paper uses grocery store scanner data to examine how time affects consumer choices of checks and debit cards. On average, check transactions take thirty percent longer than debit card transactions. This time difference is a significant factor in the choice to use a debit card over a check and offers empirical evidence for transactions costs affecting the use of media of exchange. L3 - http://www.federalreserve.gov/pubs/feds/2006/200602/200602abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837701&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200602/200602abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AU - Gagnon, Joseph E. AD - Unlisted AD - Unlisted T1 - Predicting sharp depreciations in industrial country exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 881 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899491; Keywords: Foreign exchange rates; Econometric models; Publication Type: Working Paper; Update Code: 200704 N2 - This paper considers the prediction of large depreciations (both nominal and real) in a panel of industrialized countries using a probit methodology. The current account balance/GDP ratio has a modest but statistically significant effect on the estimated probability of a large depreciation, and gives slight predictive power in an out-of-sample forecasting exercise. The CPI inflation rate also has a modest but statistically significant effect in predicting nominal depreciations and has slight predictive power, but this effect is not present for real exchange rates. The GDP growth rate occasionally has a significant effect. A higher current account balance (surplus) tends to reduce the probability of a sharp depreciation; a higher inflation rate tends to increase the probability of a sharp depreciation; and a higher GDP growth rate perhaps tends to reduce the probability of a sharp depreciation. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899491&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Predictive regressions with panel data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 869 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882042; Publication Type: Working Paper; Update Code: 200701 N2 - This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size distortions can be severe. New estimators, based on recursive demeaning as well as direct bias correction, are proposed and methods for dealing with cross sectional dependence in the form of common factors are also developed. Overall, the results show that the econometric issues associated with predictive regressions when using time-series data to a large extent also carry over to the panel case. However, practical solutions are more readily available when using panel data. The results are illustrated with an application to predictability in international stock indices. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882042&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AU - Chugh, Sanjay K. AD - Unlisted AD - Unlisted T1 - Ramsey meets Hosios: the optimal capital tax and labor market efficiency PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 870 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882043; Publication Type: Working Paper; Update Code: 200701 N2 - Heterogeneity between unemployed and employed individuals matters for optimal fiscal policy. This paper considers the consequences of welfare heterogeneity between these two groups for the determination of optimal capital and labor income taxes in a model with matching frictions in the labor market. In line with a recent finding in the literature, we find that the optimal capital tax is typically non-zero because it is used to indirectly mitigate an externality along the extensive labor margin that arises from search and matching frictions. However, the consideration of heterogeneity makes our result differ in an important way: even for a well-known parameter configuration (the Hosios condition) that typically eliminates this externality, we show that the optimal capital income tax is still non-zero. We also show that labor adjustment along the intensive margin has an important effect on efficiency at the extensive margin, and hence on the optimal capital tax, independent of welfare heterogeneity. Taken together, our results show that these two empirically-relevant features of the labor market can have a quantitatively-important effect on the optimal capital tax. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882043&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nesmith, Travis D. AD - Unlisted T1 - Rational seasonality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-04 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0899488; Keywords: Seasonal variations (Economics); Consumer behavior; Publication Type: Working Paper; Update Code: 200704 N2 - Seasonal adjustment usually relies on statistical models of seasonality that treat seasonal fluctuations as noise corrupting the 'true' data. But seasonality in economic series often stems from economic behavior such as Christmas-time spending. Such economic seasonality invalidates the separability assumptions that justify the construction of aggregate economic indexes. To solve this problem, Diewert(1980,1983,1998,1999) incorporates seasonal behavior into aggregation theory. Using duality theory, I extend these results to a larger class of decision problems. I also relax Diewert's assumption of homotheticity. I provide support for Diewert's preferred seasonally-adjusted economic index using weak separability assumptions that are shown to be sufficient. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0899488&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - Ironside, Brian AD - Unlisted AD - Unlisted T1 - Real-time model uncertainty in the United States: the Fed from 1996-2003 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-08 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837705; Publication Type: Working Paper; Update Code: 200605 N2 - We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's inception in July 1996 until November 2003. The period of study was one of important changes in the U.S. economy with a productivity boom, a stock market boom and bust, a recession, the Asia crisis, the Russian debt default, and an abrupt change in fiscal policy. We document the surprisingly large and consequential changes in model properties that occurred during this period and compute optimal Taylor-type rules for each vintage. We compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the efficacy of purportedly optimal policy rules should not be taken on faith. We also find that previous findings that simple rules are robust to model uncertainty may be an overly sanguine conclusion. L3 - http://www.federalreserve.gov/pubs/feds/2006/200608/200608abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837705&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200608/200608abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - Ironside, Brian AD - Unlisted AD - Unlisted T1 - Real-time model uncertainty in the United States: the Fed from 1996-2003 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-8 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844808; Keywords: Monetary policy; Uncertainty; Economic forecasting; Publication Type: Working Paper; Update Code: 200606 N2 - We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's inception in July 1996 until November 2003. The period of study was one of important changes in the U.S. economy with a productivity boom, a stock market boom and bust, a recession, the Asia crisis, the Russian debt default, and an abrupt change in fiscal policy. We document the surprisingly large and consequential changes in model properties that occurred during this period and compute optimal Taylor-type rules for each vintage. We compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the efficacy of purportedly optimal policy rules should not be taken on faith. We also find that previous findings that simple rules are robust to model uncertainty may be an overly sanguine conclusion. L3 - http://www.federalreserve.gov/pubs/feds/2006/200608/200608abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844808&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200608/200608abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Andersen, Torben G. AU - Bollerslev, Tim AU - Diebold, Francis X. AU - Vega, Clara AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Real-time price discovery in global stock, bond and foreign exchange markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 871 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882044; Publication Type: Working Paper; Update Code: 200701 N2 - Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882044&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tauchen, George AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Realized jumps on financial markets and predicting credit spreads PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-35 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882037; Keywords: Jump processes; Diffusion processes; Risk; Publication Type: Working Paper; Update Code: 200701 N2 - This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882037&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durkin, Thomas A. AD - Unlisted T1 - Requirements and prospects for a new time to payoff disclosure for open end credit under Truth in Lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-34 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875643; Keywords: Truth in Lending Act; Consumer protection; Publication Type: Working Paper; Update Code: 200612 N2 - The Bankruptcy Abuse Prevention and Consumer Protection Act of 2005 (Public Law 109-8, April 2005) made significant changes to procedures for managing consumer bankruptcy petitions, but it also included amendments to the Truth in Lending Act. Notable among the Truth in Lending changes is a section providing for new disclosures on the length of time it will take consumers to repay open end credit accounts in full if they make only the minimum required payments. This paper explores the range of assumptions necessary for the calculations underlying the new required disclosures, examines the sensitivity of the disclosures to variations in the assumptions, and explores the potential for inaccuracy in the required disclosures based upon consumers' use of their open end credit accounts. For the latter exploration, the paper examines consumer survey evidence and employs a large longitudinal sample of credit card accounts to measure how often consumers' actual patterns of use of their credit card accounts match the assumptions of the new disclosure. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875643&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Shifting trends in semiconductor prices and the pace of technological progress PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-44 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882040; Publication Type: Working Paper; Update Code: 200701 N2 - This paper examines three questions motivated by previous research on semiconductors and productivity growth: Why did semiconductor prices fall so rapidly in the second half of the 1990s, why has the rate of price decline slowed since 2001, and to what extent are these price swings associated with changes in the rate of advance in semiconductor technology? We show that the price swings are statistically significant and that they reflect changes in both price-cost markups and cost trends. Further analysis indicates that the shift to faster cost declines in the mid-1990s likely corresponded to a speed-up in the pace of advance in semiconductor technology; however, the slower cost declines since 2001 appear not to have been mirrored by a deceleration in technology. Consequently, researchers should be cautious about associating price or cost movements for semiconductors with changes in the pace of underlying technology even over moderately long periods. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882040&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Should we expect significant out-of-sample results when predicting stock returns? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 855 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837720; Publication Type: Working Paper; Update Code: 200605 N2 - Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/855/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837720&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/855/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pingle, Jonathan F. AD - Unlisted T1 - Social Security's delayed retirement credit and the labor supply of older men PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-37 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882036; Keywords: Social security; Labor supply; Publication Type: Working Paper; Update Code: 200701 N2 - This paper presents estimates of the impact of Social Security's Delayed Retirement Credit on the employment rates of older men. The credit raises lifetime social security benefit payments for recipients who delay receiving benefits after age 65 and offers a rare and important test of whether labor supply incentives built in to the program can promote work at older ages. The results suggest that the increased incentives raised employment among workers over age 65. In addition, the recent increases in social security's Normal Retirement Age also appear to be pushing up labor supply. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882036&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Anderson, Gary S. AD - Unlisted T1 - Solving linear rational expectations models: a horse race PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-26 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853688; Publication Type: Working Paper; Update Code: 200607 N2 - This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998), (Klein, 1999), and (Uhlig, 1999). While all six prcedures yield similar results for models with a unique stationary solution, the AIM algorithm of (Anderson and Moore, 1983) provides the highest accuracy; furthermore, this procedure exhibits significant gains in computational efficiency for larger-scale models. L3 - http://www.federalreserve.gov/pubs/feds/2006/200626/200626abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853688&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200626/200626abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arteta, Carlos AU - Hale, Galina AD - Unlisted AD - Unlisted T1 - Sovereign debt crises and credit to the private sector PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 878 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0890647; Keywords: Debt relief; International finance; Developing countries; Publication Type: Working Paper; Update Code: 200703 N2 - We argue that, through its effect on aggregate demand and country risk premia, sovereign debt restructuring can adversely affect the private sector's access to foreign capital markets. Using fixed effect analysis, we estimate that sovereign debt rescheduling episodes are indeed systematically accompanied by a decline in foreign credit to emerging market private firms, both during debt renegotiations and for over two years after the agreements are reached. This decline is large (over 20%), statistically significant, and robust when we control for a host of fundamentals. We find that this effect is different for financial sector firms, for exporters, and for nonfinancial firms in the non-exporting sector. We also find that the effect depends on the type of debt rescheduling agreement UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0890647&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Charles, Kerwin Kofi AU - Danziger, Sheldon AU - Li, Geng AU - Schoeni, Robert F. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Studying consumption with the Panel Study of Income Dynamics: comparisons with the Consumer Expenditure Survey and an application to the intergenerational transmission of well-being PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2007-16 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908947; Publication Type: Working Paper; Update Code: 200706 N2 - Beginning in 1999, the Panel Study of Income Dynamics (PSID) added new questions about several categories of consumption expenditure. The PSID now covers items that constitute more than seventy percent of total expenditure measured in the Consumer Expenditure Survey (CE). We show that expenditure for each of the broad categories in the PSID aligns closely with corresponding measures from the CE. Using the new PSID data, we impute total expenditure in the PSID and show that this is also very close to total measured CE expenditure. For several distinct categories and for total consumption, we show that cross-sectional life cycle estimates of household expenditure activity are very similar across the two surveys. Finally, we illustrate the unique research value of the PSID for studying consumption by exploiting the survey's longitudinal design and genealogical structure to estimate the intergenerational elasticity of consumption expenditure, which is found to be in the range of 0.32-0.34. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908947&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron F. AD - Unlisted T1 - Taxation with representation: intergovernmental grants in a plebiscite democracy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-06 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837711; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200605 N2 - Economic theory predicts that unconditional intergovernmental grant income and private income are perfectly fungible. Despite this prediction, the literature on fiscal federalism documents that grant and private income are empirically non-equivalent. A large scale school finance reform in New Hampshire--the typical school district experienced a 200 percent increase in grant income--provides an unusually compelling test of the equivalence prediction. Most theoretical explanations for non-equivalence focus on mechanisms which produce public good provision levels which differ from the decisive voter's preferences. New Hampshire determines local public goods provision via a form of direct democracy--a setting which rules out these explanations. In contrast to the general support in the literature for non-equivalence, the empirical estimates in this paper suggest that approximately 92 cents per grant dollar are spent on tax reduction. These results not only document that equivalence holds in a setting with a strong presumption that public good provision decisions reflect the preferences of voters, but also directly confirm the prediction of the seminal work of Bradford and Oates (1971) that lump-sum grant income is equivalent to a tax reduction. In addition, the paper presents theoretical arguments that grant income capitalization and heterogeneity in the marginal propensity to spend on public goods may generate spurious rejections of the equivalence prediction. The heterogeneity argument is confirmed empirically. Specifically, the results indicate that lower income communities spend more of the grant income on education than wealthier communities, a finding interpreted as revealing that the Engel curve for education is concave. L3 - http://www.federalreserve.gov/pubs/feds/2006/200606/200606abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837711&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200606/200606abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Sheets, Nathan AD - Unlisted AD - Unlisted T1 - The adjustment of global external imbalances: does partial exchange rate pass-through to trade prices matter? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 850 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837716; Keywords: Foreign exchange rates ; Balance of trade; Publication Type: Working Paper; Update Code: 200605 N2 - Recent papers have found evidence of a decline in exchange rate pass-through to import prices in the United States and in a number of other industrial countries as well. This paper examines the implications of a decline in pass-through for the prospective adjustment of global external imbalances. We find that a decline in pass-through to trade prices may mute the responsiveness of the nominal trade balance to shifts in the exchange rate, but that a decline in pass-through does not shut down nominal adjustment completely. We also find that the channels of adjustment vary with pass-through. When pass-through is high, nominal adjustment is driven by moves in trade quantities. When pass-through is low, nominal adjustment mainly reflects shifts in the terms of trade (i.e., export prices relative to import prices). Our work employs a forward-looking, optimizing model in which firms set their prices with an eye toward maintaining their competitiveness against other producers; this feature of the model generates a variable desired markup and, hence, exchange rate pass-through that is less than complete. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/850/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837716&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/850/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borzekowski, Ron AU - Kiser, Elizabeth K. AD - Unlisted AD - Unlisted T1 - The choice at the checkout: quantifying demand across payment instruments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-17 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844813; Publication Type: Working Paper; Update Code: 200606 N2 - Dramatic changes have occurred in the U.S. payment system over the past two decades, most notably an explosion in electronic card-based payments. Not surprisingly, this shift has been accompanied by a series of policy debates, all of which hinge critically on understanding consumer behavior at the point of sale. Using a new nationally representative survey, we transform consumers' responses to open-ended questions on reasons for using debit cards to estimate a characteristics-based discrete-choice demand model that includes debit cards, cash, checks, and credit cards. Market shares computed using this model line up well with aggregate shares from other sources. The estimates are used to conduct several counterfactual experiments that predict consumer responses to alternative payment choices. We find that consumers respond strongly to elapsed time at the checkout counter and to whether the payment instrument draws from debt or liquidity. In addition, substitution patterns vary substantially with demographics. New "contactless" payment methods designed to replace debit cards are predicted to draw market share from cash, checks, and credit, in that order. Finally, although we find an effect of cohort on payment technology adoption, this effect is unlikely to diminish substantially over a 10-year horizon. L3 - http://www.federalreserve.gov/pubs/feds/2006/200617/200617abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844813&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200617/200617abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Lehnert, Andreas AU - Passmore, Wayne AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The competitive effects of risk-based bank capital regulation: an example from U.S. mortgage farkets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-46 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882041; Publication Type: Working Paper; Update Code: 200701 N2 - Basel II bank capital regulations are designed to be substantially more risk sensitive than the current regulations. In the United States, only the largest banks would be required to adopt Basel II; other depositories could choose to adopt such standards or to remain under the Basel I capital standards. We consider possible effects of this two-pronged or "bifurcated" approach on the market for residential mortgages. Specifically, we analyze whether those institutions that adopt Basel II will enjoy lower costs than nonadopters and whether they have an incentive to retain mortgages in their own portfolios. We find that (1) despite the large differences in regulatory capital requirements between adopters and nonadopters, it is unlikely that there will be any measurable effect of Basel II implementation on most mortgage rates and, consequently, any direct impact on the competition between adopters and nonadopters for originating or holding residential mortgages; (2) the most significant competitive impact may be felt among mortgage securitizers; and (3) adopters might have increased profits from some mortgages relative to nonadopters because they will capture some of the deadweight losses that occur under the current regulatory regime, but nonadopters would likely retain their market shares. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882041&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bauer, Gregory H. AU - Vega, Clara AD - Unlisted AD - Unlisted T1 - The monetary origins of asymmetric information in international equity markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 872 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882048; Publication Type: Working Paper; Update Code: 200701 N2 - Existing studies using low-frequency data have found that macroeconomic shocks contribute little to international stock market covariation. However, these papers have not accounted for the presence of asymmetric information where sophisticated investors generate private information about the fundamentals that drive returns in many countries. In this paper, we use a new microstructure data set to better identify the effects of private and public information shocks about U.S. interest rates and equity returns. High-frequency private and public information shocks help forecast domestic money and equity returns over daily and weekly intervals. In addition, these shocks are components of factors that are priced in a model of the cross section of international returns. Linking private information to U.S. macroeconomic factors is useful for many domestic and international asset pricing tests. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882048&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris A. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted T1 - The price of residential land in large U.S. cities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-25 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0853687; Publication Type: Working Paper; Update Code: 200607 N2 - Combining data from several sources, we build a database of home values, the cost of housing structures, and residential land values for 46 large U.S. metropolitan areas from 1984 to 2004. Our analysis of these new data reveal that since the mid-1980s residential land values have appreciated over a much wider range of cities than is commonly believed. And, since 1998, almost all large U.S. cities have seen significant increases in real residential land prices. Averaging across the cities in our sample, by year-end 2004, the value of residential land accounted for about 50 percent of the total market value of housing, up from 32 percent in 1984. An implication of our results is that the future course of home prices--their average rate of appreciation and their volatility--is likely to be determined even more by the course of land prices than used to be the case. L3 - http://www.federalreserve.gov/pubs/feds/2006/200625/200625abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0853687&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200625/200625abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Prager, Robin A. AD - Unlisted AD - Unlisted T1 - The profitability of small, single-market banks in an era of multimarket banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-41 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0882031; Publication Type: Working Paper; Update Code: 200701 N2 - This paper examines the relationship between multimarket bank presence and the profitability (and therefore viability) of small, single-market banks. We find that increased presence of multimarket banks is associated with a significant reduction in the profitability of small, single-market banks operating in rural banking markets, but not of those operating in urban markets. We explore this relationship by breaking single-market bank profits down into several components in order to shed light on the mechanisms through which multimarket bank presence might influence the profitability of single-market banks. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0882031&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pingle, Jonathan F. AD - Unlisted T1 - The relocation decisions of working couples PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-33 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875642; Keywords: Labor supply; Labor economics; Publication Type: Working Paper; Update Code: 200612 N2 - Most prime-age married couples in the U.S. today have two labor force participants. Migration decisions are more complicated for two-earner couples than for one-earner couples because any gain from moving that accrues to one spouse must be great enough to offset any loss to the other spouse. This paper estimates the extent to which internal migration is depressed by rising earnings equality among spouses. The results indicate that couples' migration propensities are substantially lower the more equal spouses' labor incomes. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875642&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - The road to price stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-05 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837703; Keywords: Anti-inflationary policies ; Monetary policy ; Greenspan, Alan ; Volcker, Paul A.; Publication Type: Working Paper; Update Code: 200605 N2 - Nearly a quarter-century after Paul Volcker's declaration of war on inflation on October 6, 1979, Alan Greenspan declared that the goal had been achieved. Drawing on the extensive historical record, I examine the views of Chairmen Volcker and Greenspan on some aspects of the evolving monetary policy debate and explore some of the distinguishing characteristics of the disinflation. L3 - http://www.federalreserve.gov/pubs/feds/2006/200605/200605abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837703&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200605/200605abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - The U.S. current account deficit and the expected share of world output PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 856 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844816; Keywords: Budget deficits; Equilibrium (Economics); Econometric models; Publication Type: Working Paper; Update Code: 200606 N2 - We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of world GDP. The model suggests that under some reasonable assumptions about future U.S. GDP growth relative to the rest of the advanced countries--more modest than the growth over the past 20 years--the current account deficit is near optimal levels. We then explore the implications for the real exchange rate. Under some plausible assumptions, the model implies little change in the real exchange rate over the adjustment path, though the conclusion is sensitive to assumptions about tastes and technology. Then we turn to empirical evidence. A test of current account sustainability suggests that the U.S. is not keeping on a long-run sustainable path. A direct test of our model finds that the dynamics of the U.S. current account--the increasing deficits over the past decade--are difficult to explain under a particular statistical model (Markov-switching) of expectations of future U.S. growth. But, if we use survey data on forecasted GDP growth in the G7, our very simple model appears to explain the evolution of the U.S. current account remarkably well. We conclude that expectations of robust performance of the U.S. economy relative to the rest of the advanced countries is a contender--though not the only legitimate contender--for explaining the U.S. current account deficit. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/856/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844816&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/856/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AU - Sack, Brian AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The U.S. Treasury yield curve: 1961 to the present PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-28 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0856957; Publication Type: Working Paper; Update Code: 200608 N2 - The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated periodically, will provide a benchmark yield curve that will be useful to applied economists. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0856957&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - The yield curve and predicting recessions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-07 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837712; Keywords: Economic indicators ; Economic forecasting ; Interest rates; Publication Type: Working Paper; Update Code: 200605 N2 - The slope of the Treasury yield curve has often been cited as a leading economic indicator, with inversion of the curve being thought of as a harbinger of a recession. In this paper, I consider a number of probit models using the yield curve to forecast recessions. Models that use both the level of the federal funds rate and the term spread give better in-sample fit, and better out-of-sample predictive performance, than models with the term spread alone. There is some evidence that controlling for a term premium proxy as well may also help. I discuss the implications of the current shape of the yield curve in the light of these results, and report results of some tests for structural stability and an evaluation of out-of-sample predictive performance. L3 - http://www.federalreserve.gov/pubs/feds/2006/200607/200607abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837712&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2006/200607/200607abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Guerrieri, Luca AU - Gust, Christopher AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trade adjustment and the composition of trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 859 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0844819; Publication Type: Working Paper; Update Code: 200606 N2 - A striking feature of U.S. trade is that both imports and exports are heavily concentrated in capital goods and consumer durables. However, most open economy general equilibrium models ignore the marked divergence between the composition of trade flows and the sectoral composition of U.S. expenditure, and simply posit import and exports as depending on an aggregate measure of real activity (such as domestic absorption). In this paper, we use a SDGE model (SIGMA) to show that taking account of the expenditure composition of U.S. trade in an empirically-realistic way yields implications for the responses of trade to shocks that are markedly different from those of a "standard" framework that abstracts from such compositional differences. Overall, our analysis suggests that investment shocks, originating from either foreign or domestic sources, may serve as an important catalyst for trade adjustment, while implying a minimal depreciation of the real exchange rate. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/859/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0844819&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/859/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Leduc, Sylvain AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trade integration, competition, and the decline in exchange-rate pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 864 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0873301; Keywords: Foreign exchange rates ; Imports - Prices; Publication Type: Working Paper; Update Code: 200611 N2 - Over the past twenty years, U.S. import prices have become less responsive to the exchange rate. We propose that a significant portion of this decline is a result of increased trade integration. To illustrate this effect, we develop an open economy DGE model in which trade occurs along both the intensive and extensive margins. The key element we introduce into this environment is strategic complementarity in price setting. As a result, a firm's pricing decision depends on the prices set by its competitors. This feature implies that a foreign exporter finds it optimal to vary its markup in response to shocks that change the exchange rate, insulating import prices from exchange rate movements. With increased trade integration, exporters have become more responsive to the prices of their competitors and this change in pricing behavior accounts for a significant portion of the observed decline in the sensitivity of U.S import prices to the exchange rate. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0873301&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AU - Howorka, Edward AU - Wongswan, Jon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 863 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0856958; Keywords: Foreign exchange rates ; International finance; Publication Type: Working Paper; Update Code: 200608 N2 - This paper studies the transmission of volatility and trading activity in the foreign exchange market across trading regions for the euro-dollar and dollar-yen currency pairs, using high-frequency intraday data from Electronic Broking Services (EBS). In contrast with previous studies that use indicative quote frequency to proxy for trading activity, we use actual regional trading volume to identify five distinct trading regions in the foreign exchange market: Asia Pacific, the Asia-Europe overlap, Europe, the Europe-America overlap, and America. Based on realized volatility computed from high-frequency data and a regional volatility model, we find statistically significant evidence for volatility spillovers at both the own-region and the inter-region levels, but the economic significance of own-region spillovers is much more important than that of inter-region spillovers. We also examine the transmission of trading activity (trading volume and number of transactions) across the five trading regions and find similar results to those for volatility, but the economic significance of own-region spillovers is even more dominant. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0856958&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - What do financial asset prices say about the housing market? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-32 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875641; Keywords: Housing - Prices; Housing - Finance; Publication Type: Working Paper; Update Code: 200612 N2 - This paper examines the first three moments of investors' expectations for the housing sector. That is, first, what do financial markets imply about expected future home prices? Second, how much confidence do investors have in their forecast? And, third, do market participants see more downside than upside risk? Housing futures and options, which trade on the Chicago Mercantile Exchange (CME), are not yet deep and liquid, and derivatives on homebuilders' shares reflect considerable idiosyncratic information and are therefore an imperfect proxy. Nonetheless, prices suggest that investors currently expect some mild depreciation in home values within the next year. Also, uncertainty has increased, but, generally inconsistent with the perception of a "bubble," the implied risks do not seem particularly tilted to the downside. Probability density functions derived from options on homebuilders' stocks are not appreciably skewed to the left in general, vis-a-vis the broader market, or with respect to recent history. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875641&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, David AU - Chaboud, Alain AU - Hjalmarsson, Erik AU - Howorka, Edward AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - What drives volatility persistence in the foreign exchange market? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 862 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0856959; Keywords: Foreign exchange rates ; Foreign exchange market; Publication Type: Working Paper; Update Code: 200608 N2 - We analyze the factors driving the widely-noted persistence in asset return volatility using a unique dataset on global euro-dollar exchange rate trading. We propose a new simple empirical specification of volatility, based on the Kyle-model, which links volatility to the information flow, measured as the order flow in the market, and the price sensitivity to that information. Through the use of high-frequency data, we are able to estimate the time-varying market sensitivity to information, and movements in volatility can therefore be directly related to movements in two observable variables, the order flow and the market sensitivity. The empirical results are very strong and show that the model is able to explain almost all of the long-run variation in volatility. Our results also show that the variation over time of the market's sensitivity to information plays at least as important a role in explaining the persistence of volatility as does the rate of information arrival itself. The econometric analysis is conducted using novel estimation techniques which explicitly take into account the persistent nature of the variables and allow us to properly test for long-run relationships in the data. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0856959&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - Why are plant deaths countercyclical: reallocation timing or fragility? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2006-31 Y1 - 2006/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0875640; Keywords: Business cycles; Plant shutdowns; Publication Type: Working Paper; Update Code: 200612 N2 - Because plant deaths destroy specific capital with large local economic impacts and potentially important macroeconomic effects, understanding the causes of deaths and, in particular, why they are concentrated in cyclical downturns, is important. The reallocation-timing hypothesis posits that plants suffering adverse permanent demand/productivity shocks delay shutdowns until cyclical downturns when plant capacity is less valuable, while the fragility hypothesis posits that shutdowns occur in downturns because the option value of maintaining the plant through weak demand periods is too low. I show that the effect that a plant's specific capital has on the timing of plant deaths differs across these two hypotheses and then use this insight to test the hypotheses' relative importance. I find that fragility is the dominant cause of the countercyclical behavior of plant deaths. This suggests that the endogenous destruction of capital is likely an important amplification and propagation mechanism for cyclical shocks and that stabilization policies have the benefit of reduced capital destruction. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0875640&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Ahearne, Alan AU - Shinada, Naoki T1 - Zombie firms and economic stagnation in Japan. JO - International Economics & Economic Policy JF - International Economics & Economic Policy Y1 - 2005/12// VL - 2 IS - 4 M3 - Article SP - 363 EP - 381 SN - 16124804 AB - It is often claimed that one contributing factor to Japan's weak economic performance over the past decade is that Japanese banks have continued to provide financial support for highly inefficient, debt-ridden companies, commonly referred to as ‘zombie’ firms. Such poor banking practices in turn prevent more productive companies from gaining market share, strangling a potentially important source of productivity gains for the overall economy. To explore further the zombie-firm hypothesis, we use industry- and firm-level Japanese data and find evidence that productivity growth is low in industries reputed to have heavy concentrations of zombie firms. We also find that the reallocation of market share is going in the wrong direction in these industries, adding to already weak productivity performance. In addition, we find evidence that financial support from Japanese banks may have played a role in sustaining this perverse reallocation of market share. [ABSTRACT FROM AUTHOR] AB - Copyright of International Economics & Economic Policy is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - BUSINESS cycles KW - CORPORATE debt KW - FINANCIAL institutions KW - STAGNATION (Economics) KW - JAPAN KW - Banking system KW - Creative destruction KW - Productivity N1 - Accession Number: 19072049; Ahearne, Alan 1; Email Address: alan.g.ahearne@frb.gov; Shinada, Naoki 2; Email Address: nashina@dbj.go.jp; Affiliations: 1: Division of International Finance , Board of Governors of the Federal Reserve System , 20th and C Streets NW Washington DC USA; 2: Development Bank of Japan , 1-9-1 Otemachi, Chiyoda-ku Tokyo Japan; Issue Info: 2005, Vol. 2 Issue 4, p363; Thesaurus Term: BANKING industry; Thesaurus Term: BUSINESS cycles; Thesaurus Term: CORPORATE debt; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: STAGNATION (Economics); Subject: JAPAN; Author-Supplied Keyword: Banking system; Author-Supplied Keyword: Creative destruction; Author-Supplied Keyword: Productivity; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 19p; Illustrations: 4 Color Photographs, 4 Diagrams, 5 Charts; Document Type: Article L3 - 10.1007/s10368-005-0041-1 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19072049&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Herrmann, Heinz AU - Orphanides, Athanasios AU - Siklos, Pierre L. T1 - Real-time data and monetary policy JO - North American Journal of Economics & Finance JF - North American Journal of Economics & Finance Y1 - 2005/12// VL - 16 IS - 3 M3 - Article SP - 271 EP - 276 SN - 10629408 AB - Abstract: This paper provides an introduction to the problems and opportunities provided by the availability of real-time data. We stress the importance of analyzing policy issues relying on real-time data. A summary of papers presented at a Conference hosted by the Bundesbank in 2004 is also provided. [Copyright &y& Elsevier] AB - Copyright of North American Journal of Economics & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REAL-time computing KW - MONETARY policy KW - CONFERENCES & conventions KW - ECONOMIC policy KW - Monetary policy KW - Real-time data N1 - Accession Number: 19061455; Herrmann, Heinz 1; Orphanides, Athanasios 2; Siklos, Pierre L. 3; Email Address: psiklos@wlu.ca; Affiliations: 1: Deutsche Bundesbank, Wilhelm Epsteinstrasse 14, D-60431 Frankfurt, Germany; 2: Board of Governors of the Federal Reserve System, WA 20551, USA; 3: Department of Economics, Wilfrid Laurier University and Viessmann Research Centre on Modern Europe, 75 University Avenue, Waterloo, Ont., Canada N2L 3C5; Issue Info: Dec2005, Vol. 16 Issue 3, p271; Thesaurus Term: REAL-time computing; Thesaurus Term: MONETARY policy; Thesaurus Term: CONFERENCES & conventions; Thesaurus Term: ECONOMIC policy; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Real-time data; NAICS/Industry Codes: 561920 Convention and Trade Show Organizers; Number of Pages: 6p; Document Type: Article L3 - 10.1016/j.najef.2005.06.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19061455&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernanke, Ben S. AU - Kuttner, Kenneth N. T1 - What Explains the Stock Market's Reaction to Federal Reserve Policy? JO - CFA Digest JF - CFA Digest Y1 - 2005/11// VL - 35 IS - 4 M3 - Article SP - 58 EP - 60 SN - 00469777 AB - Examines the stock market's reaction to U.S. Federal Reserve Board rate change announcements. Evidence that unexpected monetary policy actions result in strong responses from the market; Use of regressions to verify whether the sign of the rate surprise affects the magnitude of the market's response; Suggestion that rate reversals are met with extreme market reactions. KW - STOCK exchanges KW - MONETARY policy KW - ECONOMICS KW - REGRESSION analysis KW - UNITED States KW - Equity Investments: fundamental analysis and valuation models; Economics: relationship of economic activity to the investment process KW - UNITED States. Federal Reserve Board N1 - Accession Number: 18798750; Bernanke, Ben S. 1; Kuttner, Kenneth N. 2; Affiliations: 1: Board of Governors of the Federal Reserve System and at Princeton University; 2: Board of Governors of the Federal Reserve System and at Oberlin College; Issue Info: Nov2005, Vol. 35 Issue 4, p58; Thesaurus Term: STOCK exchanges; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMICS; Thesaurus Term: REGRESSION analysis; Subject: UNITED States; Author-Supplied Keyword: Equity Investments: fundamental analysis and valuation models; Economics: relationship of economic activity to the investment process ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18798750&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Clark, Todd E. AU - McCracken, Michael W. T1 - Evaluating Direct Multistep Forecasts. JO - Econometric Reviews JF - Econometric Reviews Y1 - 2005/11// VL - 24 IS - 4 M3 - Article SP - 369 EP - 404 PB - Taylor & Francis Ltd SN - 07474938 AB - This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy and encompassing applied to direct, multistep predictions from nested regression models. We first derive asymptotic distributions; these nonstandard distributions depend on the parameters of the data-generating process. We then use Monte Carlo simulations to examine finite-sample size and power. Our asymptotic approximation yields good size and power properties for some, but not all, of the tests; a bootstrap works reasonably well for all tests. The paper concludes with a reexamination of the predictive content of capacity utilization for inflation. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometric Reviews is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REGRESSION analysis KW - MATHEMATICAL models KW - SAMPLING (Statistics) KW - APPROXIMATION theory KW - INFLATION (Finance) KW - Causality KW - Long horizon KW - Prediction N1 - Accession Number: 19114659; Clark, Todd E. 1; Email Address: todd.e.clark@kc.frb.org; McCracken, Michael W. 2; Affiliations: 1: Economic Research Department, Federal Reserve Bank of Kansas City, Kansas City, Missouri, USA; 2: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C., USA; Issue Info: 2005, Vol. 24 Issue 4, p369; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: SAMPLING (Statistics); Thesaurus Term: APPROXIMATION theory; Thesaurus Term: INFLATION (Finance); Author-Supplied Keyword: Causality; Author-Supplied Keyword: Long horizon; Author-Supplied Keyword: Prediction; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 36p; Illustrations: 6 Charts; Document Type: Article L3 - 10.1080/07474930500405683 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19114659&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - NEWS AU - Orphanides, Athanasios AU - Williams, John C. T1 - Expectations, learning and monetary policy JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2005/11// VL - 29 IS - 11 M3 - Editorial SP - 1807 EP - 1808 SN - 01651889 N1 - Accession Number: 18865065; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Williams, John C. 2; Email Address: john.c.williams@sf.frb.org; Affiliations: 1: 1 Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Washington, DC 20551, USA; 2: 1 Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105, USA; Issue Info: Nov2005, Vol. 29 Issue 11, p1807; Number of Pages: 2p; Document Type: Editorial L3 - 10.1016/j.jedc.2005.06.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18865065&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Williams, John C. T1 - The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2005/11// VL - 29 IS - 11 M3 - Article SP - 1927 EP - 1950 SN - 01651889 AB - Abstract: We develop an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy. We explore the effects of policymakers’ misperceptions of the natural rate of unemployment during the late 1960s and 1970s on the formation of expectations and macroeconomic outcomes. We find that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent inflation expectations and contributed to poor macroeconomic performance. Had monetary policy reacted less aggressively to perceived unemployment gaps, inflation expectations would have remained anchored and the stagflation of the 1970s would have been avoided. Indeed, we find that less activist policies would have been more effective at stabilizing both inflation and unemployment. We argue that policymakers, learning from the experience of the 1970s, eschewed activist policies in favor of policies that concentrated on the achievement of price stability, contributing to the subsequent improvements in macroeconomic performance of the U.S. economy. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - EMPLOYMENT (Economic theory) KW - PUBLIC spending KW - MACROECONOMICS KW - Learning KW - Monetary policy KW - Rational expectations KW - Stagflation N1 - Accession Number: 18865070; Orphanides, Athanasios 1; Email Address: Athanasios.Orphanides@frb.gov; Williams, John C. 2; Email Address: John.C.Williams@sf.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105, USA; Issue Info: Nov2005, Vol. 29 Issue 11, p1927; Thesaurus Term: MONETARY policy; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: PUBLIC spending; Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: Learning; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Rational expectations; Author-Supplied Keyword: Stagflation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 24p; Document Type: Article L3 - 10.1016/j.jedc.2005.06.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18865070&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Blinder, Alan S. AU - Reis, Ricardo AU - Meltzer, Allan H. AU - Hall, Robert E. AU - Trichet, Jean-Claude AU - Taylor, John B. AU - Mann, Catherine L. AU - Eichengreen, Barry AU - King, Mervyn A. AU - Macklem, Tiff AU - Woodford, Michael AU - Kohn, Donald L. T1 - Thoughts on the Maestro. JO - International Economy JF - International Economy Y1 - 2005///Fall2005 VL - 19 IS - 4 M3 - Article SP - 5 EP - 6 PB - International Economy Publications Inc. SN - 08984336 AB - The article presents quotes from notable persons on economic reforms in the U.S. during the era of chairmanship of Alan Greenspan of the Federal Reserve Board. One of the authors remarks that the U. S. maintained low level of inflation and inflation volatility despite the lack of reference point. Another author states that during Greenspan era, rapid growth with few recessions, stability price inflation and low interest rates were key factors to led the policymakers for structural reforms at international level. He observes that the Board should had taken measures to prevent current account deficit to reduce the dollar collapsing. KW - ANTI-inflationary policies KW - FEDERAL Reserve monetary policy KW - MONETARY policy KW - INFLATION (Finance) KW - UNITED States -- Economic conditions KW - UNITED States KW - GREENSPAN, Alan, 1926- N1 - Accession Number: 19163269; Blinder, Alan S. 1; Reis, Ricardo 1; Meltzer, Allan H. 2; Hall, Robert E. 3; Trichet, Jean-Claude 4; Taylor, John B. 3; Mann, Catherine L. 5; Eichengreen, Barry 6; King, Mervyn A. 7; Macklem, Tiff 8; Woodford, Michael 9; Kohn, Donald L. 10; Affiliations: 1: Princeton University.; 2: Carnegie Mellon University.; 3: Stanford University.; 4: President, European Central Bank.; 5: Institute for International Economics.; 6: University of California, Berkeley.; 7: Governor, Bank of England.; 8: Deputy Governor, Bank of Canada.; 9: Columbia University.; 10: Governor, Board of Governors of the Federal Reserve System.; Issue Info: Fall2005, Vol. 19 Issue 4, p5; Thesaurus Term: ANTI-inflationary policies; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; People: GREENSPAN, Alan, 1926-; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19163269&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David AU - Schweitzer, Mark AU - Wascher, William T1 - The Effects of Minimum Wages on the Distribution of Family Incomes. JO - Journal of Human Resources JF - Journal of Human Resources Y1 - 2005///Fall2005 VL - 40 IS - 4 M3 - Article SP - 867 EP - 894 PB - University of Wisconsin Press SN - 0022166X AB - An oft-stated goal of the minimum wage is to raise incomes of poor or low-income families. We present nonparametric estimates of the effects of minimum wages on the distribution of family income relative to needs in the United States. Although minimum wages increase the incomes of some poor families, the evidence indicates that their overall net effect is, if anything, to increase the proportions of families with incomes below or near the poverty line. It would appear that reductions in the proportions of families that are poor or near-poor should not be counted among the potential benefits of minimum wages. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Human Resources is the property of University of Wisconsin Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MINIMUM wage KW - INCOME KW - POVERTY KW - POOR families KW - UNITED States N1 - Accession Number: 19221156; Neumark, David 1,2,3; Schweitzer, Mark 4; Email Address: Mark.E.Schweitzer@clev.frb.org; Wascher, William 5; Affiliations: 1: Senior Fellow, Public Policy Institute of California; 2: Research Associate, NBER; 3: Research Fellow, IZA Research, UC-Berkeley; 4: Assistant Vice President and Economist, the Federal Reserve Bank of Cleveland; 5: Deputy Associate Director, Division of Research and Statistics, Board of Governors of the Federal Reserve System; Issue Info: Fall2005, Vol. 40 Issue 4, p867; Thesaurus Term: MINIMUM wage; Thesaurus Term: INCOME; Thesaurus Term: POVERTY; Subject Term: POOR families; Subject: UNITED States; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 28p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19221156&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Davis, Morris A. AU - Heathcote, Jonathan T1 - HOUSING AND THE BUSINESS CYCLE. JO - International Economic Review JF - International Economic Review Y1 - 2005/08// VL - 46 IS - 3 M3 - Article SP - 751 EP - 784 PB - Wiley-Blackwell SN - 00206598 AB - In the United States, the percentage standard deviation of residential investment is more than twice that of nonresidential investment. In addition, GDP, consumption, and both types of investment co-move positively. We reproduce these facts in a calibrated multisector growth model where construction, manufacturing, and services are combined, in different proportions, to produce consumption, business investment, and residential structures. New housing requires land in addition to new structures. The model can also account for important features of industry-level data. In particular, hours and output in all industries are positively correlated, and are most volatile in construction. [ABSTRACT FROM AUTHOR] AB - Copyright of International Economic Review is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING KW - URBAN planning KW - RESIDENTIAL real estate KW - BUSINESS cycles KW - ECONOMIC history KW - ECONOMICS KW - DWELLINGS -- Social aspects KW - UNITED States N1 - Accession Number: 17511913; Davis, Morris A. 1; Heathcote, Jonathan 2; Email Address: jhh9@georgetown.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, U.S.A.; 2: Georgetown University, U.S.A.; Issue Info: Aug2005, Vol. 46 Issue 3, p751; Thesaurus Term: HOUSING; Thesaurus Term: URBAN planning; Thesaurus Term: RESIDENTIAL real estate; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC history; Thesaurus Term: ECONOMICS; Subject Term: DWELLINGS -- Social aspects; Subject: UNITED States; NAICS/Industry Codes: 925120 Administration of Urban Planning and Community and Rural Development; NAICS/Industry Codes: 237210 Land Subdivision; NAICS/Industry Codes: 541310 Architectural Services; NAICS/Industry Codes: 238390 Other Building Finishing Contractors; NAICS/Industry Codes: 236110 Residential building construction; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531311 Residential Property Managers; Number of Pages: 34p; Document Type: Article L3 - 10.1111/j.1468-2354.2005.00345.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17511913&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Clarke, George R. G. AU - Cull, Robert AU - Klapper, Leora AU - Udell, Gregory F. T1 - Corporate governance and bank performance: A joint analysis of the static, selection, and dynamic effects of domestic, foreign, and state ownership. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2005/08//Aug/Sep2005 VL - 29 IS - 8/9 M3 - Article SP - 2179 EP - 2221 SN - 03784266 AB - We jointly analyze the static, selection, and dynamic effects of domestic, foreign, and state ownership on bank performance. We argue that it is important to include indicators of all the relevant governance effects in the same model. "Nonrobustness" checks (which purposely exclude some indicators) support this argument. Using data from Argentina in the 1990s, our strongest and most robust results concern state ownership. State-owned banks have poor long-term performance (static effect), those undergoing privatization had particularly poor performance beforehand (selection effect), and these banks dramatically improved following privatization (dynamic effect), although much of the measured improvement is likely due to placing nonperforming loans into residual entities, leaving "good" privatized banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE governance KW - BANKING industry KW - PROXY statements KW - PRIVATIZATION KW - LOAN impairment KW - NONPERFORMING loans KW - Bank KW - Foreign acquisition KW - Governance KW - M&A KW - Privatization N1 - Accession Number: 17567796; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Clarke, George R. G. 3; Cull, Robert 3; Klapper, Leora 3; Udell, Gregory F. 4; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, United States.; 2: Wharton Financial Institutions Center, 3301 Steinberg Hall-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104, United States.; 3: Developmental Research Group, The World Bank, 1818 H St NW, Mail Stop MC3-300, Washington, DC 20433, United States.; 4: Finance Department, Kelley School of Business, Indiana University, Bloomington, IN 47401, United States.; Issue Info: Aug/Sep2005, Vol. 29 Issue 8/9, p2179; Thesaurus Term: CORPORATE governance; Thesaurus Term: BANKING industry; Thesaurus Term: PROXY statements; Thesaurus Term: PRIVATIZATION; Thesaurus Term: LOAN impairment; Thesaurus Term: NONPERFORMING loans; Author-Supplied Keyword: Bank; Author-Supplied Keyword: Foreign acquisition; Author-Supplied Keyword: Governance; Author-Supplied Keyword: M&A; Author-Supplied Keyword: Privatization; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; Number of Pages: 43p; Document Type: Article L3 - 10.1016/j.jbankfin.2005.03.013 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17567796&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2005-12613-004 AN - 2005-12613-004 AU - Kim, Jinill T1 - Does utility curvature matter for indeterminacy? T3 - Multiple equilibria,thresholds and policy choices JF - Journal of Economic Behavior & Organization JO - Journal of Economic Behavior & Organization JA - J Econ Behav Organ Y1 - 2005/08// VL - 57 IS - 4 SP - 421 EP - 429 CY - Netherlands PB - Elsevier Science SN - 0167-2681 AD - Kim, Jinill, Division of Monetary Affairs, Mail Stop 70, Federal Reserve Board, Washington, DC, US, 20551 N1 - Accession Number: 2005-12613-004. Partial author list: First Author & Affiliation: Kim, Jinill; Division of Monetary Affairs, Washington, DC, US. Release Date: 20060403. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Print. Document Type: Journal Article. Language: English. Major Descriptor: Economics; Equilibrium; Models; Organizational Behavior. Classification: Organizational Behavior (3660). Population: Human (10). References Available: Y. Page Count: 9. Issue Publication Date: Aug, 2005. AB - Several recent papers have argued that it is more likely for indeterminacy to occur under a high intertemporal elasticity of substitution in consumption. This paper claims that this property does not generally hold in neoclassical growth models. We illustrate this claim by combining the features of those recent papers. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - utility curvature KW - indeterminacy KW - intertemporal elasticity KW - consumption KW - neoclassical growth models KW - equilibrium KW - 2005 KW - Economics KW - Equilibrium KW - Models KW - Organizational Behavior KW - 2005 DO - 10.1016/j.jebo.2005.04.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2005-12613-004&site=ehost-live&scope=site UR - jinill.kim@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR ID - 2005-13727-007 AN - 2005-13727-007 AU - Mok, Shannon C. AU - Savage, Ian T1 - Why Has Safety Improved at Rail-Highway Grade Crossings? JF - Risk Analysis JO - Risk Analysis JA - Risk Anal Y1 - 2005/08// VL - 25 IS - 4 SP - 867 EP - 882 CY - United Kingdom PB - Blackwell Publishing SN - 0272-4332 SN - 1539-6924 AD - Savage, Ian, Department of Economics, Northwestern University, 2001 Sheridan Road, Evanston, IL, US, 60208 N1 - Accession Number: 2005-13727-007. Partial author list: First Author & Affiliation: Mok, Shannon C.; Board of Governors of the Federal Reserve System, Washington, DC, US. Other Publishers: Wiley-Blackwell Publishing Ltd. Release Date: 20060213. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Accidents; Highway Safety; Railroad Trains; Safety. Classification: Transportation (4090). Population: Human (10). Location: US. References Available: Y. Page Count: 16. Issue Publication Date: Aug, 2005. AB - The number of collisions and fatalities at rail-highway intersections in the United States has declined significantly over the past 30 years, despite considerable increases in the volume of rail and highway traffic. This article disaggregates the improvement into its constituent causes. Negative binomial regressions are conducted on a pooled data set for 49 states from 1975 to 2001. The analysis concludes that about two-fifths of the decrease is due to factors such as reduced drunk driving and improved emergency medical response that have improved safety on all parts of the highway network. The installation of gates and/or flashing lights accounts for about a fifth of the reduction. The development in the 1970s and early 1980s of the Operation Lifesaver public education campaign, and the installation of additional lights on locomotives in the mid 1990s, each led to about a seventh of the reduction. Finally, about a tenth is due to closure of crossings resulting from line abandonments or consolidation of little-used crossings. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - railway intersections KW - safety KW - collisions KW - highway traffic KW - rail-highway grade crossings KW - 2005 KW - Accidents KW - Highway Safety KW - Railroad Trains KW - Safety KW - 2005 DO - 10.1111/j.1539-6924.2005.00642.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2005-13727-007&site=ehost-live&scope=site UR - ipsavage@northwestern.edu DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Durham, J. Benson T1 - More on Monetary Policy and Stock Price Returns. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 2005/07//Jul/Aug2005 VL - 61 IS - 4 M3 - Article SP - 83 EP - 90 PB - CFA Institute SN - 0015198X AB - Recent research suggests a persistent empirical relation between U.S. monetary policy and stock returns since the mid-1980s. The findings seem questionable and incomplete, however, for at least three reasons. First, the results are sensitive to sample selection. Second, this research does not distinguish between anticipated and unanticipated monetary policy decisions. Third, such analysis does not satisfactorily consider that returns and policy are probably determined simultaneously because prices contain information about market expectations for the economy and, in turn, policy. Together, these issues suggest that investors are unlikely to profit from strategies based on past or anticipated Federal Reserve decisions. [ABSTRACT FROM AUTHOR] AB - Copyright of Financial Analysts Journal is the property of CFA Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - STOCKS (Finance) -- Rate of return KW - ECONOMIC policy KW - CAPITAL investments KW - FINANCIAL performance KW - UNITED States N1 - Accession Number: 17753513; Durham, J. Benson 1; Affiliations: 1: Senior Economist, Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: Jul/Aug2005, Vol. 61 Issue 4, p83; Thesaurus Term: MONETARY policy; Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: ECONOMIC policy; Thesaurus Term: CAPITAL investments; Thesaurus Term: FINANCIAL performance; Subject: UNITED States; Number of Pages: 8p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17753513&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Chaboud, Alain P. AU - Wright, Jonathan H. T1 - Uncovered interest parity: it works, but not for long. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2005/07// VL - 66 IS - 2 M3 - Article SP - 349 EP - 362 SN - 00221996 AB - If an investor borrows in a low interest currency and invests in a high interest currency, the interest differential accrues in a lumpy manner, formally just like the dividend payments on a stock. The investor will receive the interest differential discretely at the point when a position is rolled over from one day to the next. A position that is not held open overnight receives no interest differential because intradaily interest rates are zero. Using a large data set of intradaily exchange rate data, we run uncovered interest parity (UIP) regressions over different short time intervals taking careful account of the settlement rules in the spot foreign exchange market. We find results that are supportive of the uncovered interest parity hypothesis over very short windows of data that span the time of the discrete interest payment. However, adding even a few hours to the span of the window destroys the positive uncovered interest parity results. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - DIVIDENDS KW - SECURITIES markets KW - INVESTMENT interest KW - FOREIGN exchange rates KW - FOREIGN exchange KW - MONEY market KW - High frequency data KW - Settlement KW - Uncovered interest parity N1 - Accession Number: 17632766; Chaboud, Alain P. 1; Wright, Jonathan H. 1; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, USA.; Issue Info: Jul2005, Vol. 66 Issue 2, p349; Thesaurus Term: INTEREST rates; Thesaurus Term: DIVIDENDS; Thesaurus Term: SECURITIES markets; Thesaurus Term: INVESTMENT interest; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange; Thesaurus Term: MONEY market; Author-Supplied Keyword: High frequency data; Author-Supplied Keyword: Settlement; Author-Supplied Keyword: Uncovered interest parity; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.jinteco.2004.07.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17632766&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - NEWS AU - Orphanides, Athanasios T1 - Comment on: “The incredible Volcker disinflation” JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2005/07// VL - 52 IS - 5 M3 - Editorial SP - 1017 EP - 1023 SN - 03043932 N1 - Accession Number: 18865128; Orphanides, Athanasios 1; Email Address: Athanasios.Orphanides@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Jul2005, Vol. 52 Issue 5, p1017; Number of Pages: 7p; Document Type: Editorial L3 - 10.1016/j.jmoneco.2005.07.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18865128&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ihrig, Jane AU - Prior, David T1 - The effect of exchange rate fluctuations on multinationals’ returns JO - Journal of Multinational Financial Management JF - Journal of Multinational Financial Management Y1 - 2005/07// VL - 15 IS - 3 M3 - Article SP - 273 EP - 286 SN - 1042444X AB - Abstract: This paper examines if the type of exchange rate used or size of the movement in the exchange rate matters in estimating exchange-rate exposure of U.S. manufacturing firms. We find that switching from a broad trade-weighted exchange rate to a 2-digit SIC industry exchange rate increases slightly the number of significantly exposed firms. We also find that firms’ stock returns may be affected differently in periods of crisis and non-crisis; some firms have significant exposure only in crisis periods while others have significant exposure only during normal fluctuations in exchange rates. [Copyright &y& Elsevier] AB - Copyright of Journal of Multinational Financial Management is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - INTERNATIONAL business enterprises KW - MANUFACTURES KW - UNITED States KW - 2-Digit SIC industry exchange rate KW - Crisis indicators KW - Exposure N1 - Accession Number: 18004671; Ihrig, Jane 1; Prior, David; Email Address: Ihrig@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, 2000 C Street NW, Washington, DC 20551, USA; Issue Info: Jul2005, Vol. 15 Issue 3, p273; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INTERNATIONAL business enterprises; Thesaurus Term: MANUFACTURES; Subject: UNITED States; Author-Supplied Keyword: 2-Digit SIC industry exchange rate; Author-Supplied Keyword: Crisis indicators; Author-Supplied Keyword: Exposure; NAICS/Industry Codes: 339999 All Other Miscellaneous Manufacturing; NAICS/Industry Codes: 339990 All other miscellaneous manufacturing; Number of Pages: 14p; Document Type: Article L3 - 10.1016/j.mulfin.2004.09.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18004671&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERNANKE, BEN S. AU - KUTTNER, KENNETH N. T1 - What Explains the Stock Market's Reaction to Federal Reserve Policy? JO - Journal of Finance JF - Journal of Finance Y1 - 2005/06// VL - 60 IS - 3 M3 - Article SP - 1221 EP - 1257 PB - Wiley-Blackwell SN - 00221082 AB - This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25-basis-point cut in the Federal funds rate target is associated with about a 1% increase in broad stock indexes. Adapting a methodology due to Campbell and Ammer, we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL Reserve monetary policy KW - MONETARY policy KW - RESEARCH KW - STOCKS (Finance) -- Prices KW - STOCK exchanges KW - ECONOMIC policy KW - FINANCIAL market reaction KW - ECONOMIC impact KW - STOCK price indexes KW - EXPECTED returns KW - MONETARY theory N1 - Accession Number: 16894029; BERNANKE, BEN S. 1; KUTTNER, KENNETH N. 2; Affiliations: 1: Board of Governors of the Federal Reserve System and Princeton University; 2: Board of Governors of the Federal Reserve System and Oberlin College; Issue Info: Jun2005, Vol. 60 Issue 3, p1221; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: MONETARY policy; Thesaurus Term: RESEARCH; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: STOCK exchanges; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCIAL market reaction; Thesaurus Term: ECONOMIC impact; Thesaurus Term: STOCK price indexes; Thesaurus Term: EXPECTED returns; Thesaurus Term: MONETARY theory; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 37p; Illustrations: 11 Charts, 6 Graphs; Document Type: Article L3 - 10.1111/j.1540-6261.2005.00760.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16894029&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Van Norden, Simon T1 - The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2005/06// VL - 37 IS - 3 M3 - Article SP - 583 EP - 601 PB - Ohio State University Press SN - 00222879 AB - A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PHILLIPS curve KW - INFLATION (Finance) KW - MULTIVARIATE analysis KW - MONETARY policy KW - FORECASTING KW - PERFORMANCE KW - inflation forecasts KW - output gap KW - Phillips curve KW - real-time data N1 - Accession Number: 17058673; Orphanides, Athanasios 1,2,3; Email Address: Athanasios.Orphanides@frb.gov; Van Norden, Simon 4,5; Email Address: simon.van-norden@hec.ca; Affiliations: 1: Adviser in the Division of Monetary Affairs at the Board of Governors of the Federal Reserve System; 2: Research Fellow of the Centre for Economic Policy Research; 3: Fellow of the Center for Financial Studies; 4: Professeur Agrégé at the HEC Montréal; 5: Fellow, CIRANO; Issue Info: Jun2005, Vol. 37 Issue 3, p583; Thesaurus Term: PHILLIPS curve; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: MONETARY policy; Thesaurus Term: FORECASTING; Subject Term: PERFORMANCE; Author-Supplied Keyword: inflation forecasts; Author-Supplied Keyword: output gap; Author-Supplied Keyword: Phillips curve; Author-Supplied Keyword: real-time data; Number of Pages: 19p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17058673&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FAUCETTE, JILLIAN E. AU - ROTHENBERG, ALEXANDER D. AU - WARNOCK, FRANCIS E. T1 - Outflows–induced sudden stops. JO - Journal of Policy Reform JF - Journal of Policy Reform Y1 - 2005/06// VL - 8 IS - 2 M3 - Article SP - 119 EP - 130 PB - Routledge SN - 13841289 AB - The term ‘sudden stop’ refers to a scenario in which an emerging market is suddenly cut off from international capital markets. Losing access to capital markets can be devastating, often resulting in a currency crisis and recession. However, some sudden stop episodes are driven not by global investors heading for the exits, but rather by locals increasing their international claims. The source of the problem determines the policy response. To better focus on sources rather than outcomes, sudden stops should be identified as a cessation of inflows (inflows-induced) or a sudden surge in outflows (outflows-induced). [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Policy Reform is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL market KW - INTERNATIONAL markets KW - RECESSIONS KW - CAPITALISTS & financiers KW - FOREIGN investments KW - DEVALUATION of currency KW - capital flight KW - capital flows KW - current account reversals KW - JEL Classification: F30, F32 KW - Sudden stops N1 - Accession Number: 17384929; FAUCETTE, JILLIAN E. 1 ROTHENBERG, ALEXANDER D. 1 WARNOCK, FRANCIS E. 1,2; Email Address: warnockf@darden.virginia.edu; Affiliation: 1: International Finance Division, Board of Governors of the Federal Reserve System 2: Darden Graduate School of Business,University of Virginia; Source Info: 2005, Vol. 8 Issue 2, p119; Subject Term: CAPITAL market; Subject Term: INTERNATIONAL markets; Subject Term: RECESSIONS; Subject Term: CAPITALISTS & financiers; Subject Term: FOREIGN investments; Subject Term: DEVALUATION of currency; Author-Supplied Keyword: capital flight; Author-Supplied Keyword: capital flows; Author-Supplied Keyword: current account reversals; Author-Supplied Keyword: JEL Classification: F30, F32; Author-Supplied Keyword: Sudden stops; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 12p; Document Type: Article L3 - 10.1080/13841280500086305 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=17384929&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - CONF AU - Brady, Peter J. AU - Smith, Paul A. T1 - TAXABLE CAPITAL INCOME AND LIFETIME SAVINGS ACCOUNTS. JO - Proceedings of the Annual Conference on Taxation JF - Proceedings of the Annual Conference on Taxation Y1 - 2005/06// M3 - Proceeding SP - 459 EP - 467 PB - National Tax Association SN - 10668608 AB - The article discusses issues related to Lifetime Savings Accounts (LSAs) in the U.S. It discusses the basic patterns of capital income receipt over time, and estimates the impact of LSAs on capital income taxation. Using a large ten-year panel of individuals, it was found that in 1987 about 64 percent of individuals received some type of capital income, but that 79 percent of individuals received capital income at some point over the ten-year period of the panel. A high degree of persistence was found in capital income receipt for individuals who received capital income in the first year. KW - SAVINGS accounts KW - INCOME tax KW - SAVING & investment KW - EMPLOYEE savings plans KW - DIRECT taxation KW - UNITED States N1 - Accession Number: 19217978; Brady, Peter J. 1; Smith, Paul A. 2; Affiliations: 1: Office of Tax Analysis, U. S. Department of Treasury.; 2: Board of Governors of the Federal Reserve System.; Issue Info: 2004, p459; Thesaurus Term: SAVINGS accounts; Thesaurus Term: INCOME tax; Thesaurus Term: SAVING & investment; Thesaurus Term: EMPLOYEE savings plans; Thesaurus Term: DIRECT taxation; Subject: UNITED States; Number of Pages: 9p; Document Type: Proceeding UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=19217978&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pingle, Jonathan T1 - Welfare, Intergenerational Cohabitation Penalties, and Single Mothers’ Employment. JO - Review of Economics of the Household JF - Review of Economics of the Household Y1 - 2005/06// VL - 3 IS - 2 M3 - Article SP - 123 EP - 144 SN - 15695239 AB - The Personal Responsibility and Work Opportunity Reconciliation Act of 1996 changed welfare programs by increasing state income maintenance programs’ emphasis on employment. Following reform, several states paid reduced welfare benefits to single mothers who resided in their parents’ homes, compared to those single mothers who lived independently. This paper evaluates whether the benefit reductions lower the probability of intergenerational cohabitation or the employment of single mothers’ recognizing that family support might facilitate single mothers’ labor market attachment. The results suggest that family cohabitation penalties reduce the likelihood single mothers live in their parents’ households and work. Despite several empirical limitations, the results offer evidence that intergenerational living arrangements positively influence employment. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics of the Household is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - LABOR market KW - INTERGENERATIONAL relations KW - COHABITATION agreements KW - SINGLE mothers KW - AFDC KW - employment KW - intergenerational living arrangements KW - TANF N1 - Accession Number: 17490311; Pingle, Jonathan 1; Email Address: Jonathan.F.Pingle@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington 20551. 202-452-3816 USA; Issue Info: Jun2005, Vol. 3 Issue 2, p123; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: LABOR market; Subject Term: INTERGENERATIONAL relations; Subject Term: COHABITATION agreements; Subject Term: SINGLE mothers; Author-Supplied Keyword: AFDC; Author-Supplied Keyword: employment; Author-Supplied Keyword: intergenerational living arrangements; Author-Supplied Keyword: TANF; Number of Pages: 22p; Document Type: Article L3 - 10.1007/s11150-005-0707-z UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17490311&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ihrig, Jane T1 - The Influence of Technology on Foreign Direct Investment. JO - American Economic Review JF - American Economic Review Y1 - 2005/05// VL - 95 IS - 2 M3 - Article SP - 309 EP - 313 PB - American Economic Association SN - 00028282 AB - This article presents a study on the influence of technology on foreign direct investment (DI). The study adds technology to the benchmark CMM model of DI and finds that horizontal DI is attracted to countries whose technology is near the world average, whereas vertical DI is amplified in countries with relatively low levels of technology. The results are robust to using real sales data of multinationals instead of their positions and to adding country and year dummies to the regressions. Since horizontal DI transfers the entire production process with the subsidiary, it is understandable that the firm is looking for a location where its process will be established with few complications, and this may be more likely to happen in countries with technology levels comparable to the world average. Vertical DI, on the other hand, is typically done by firms looking to cut costs of production, and less technology-abundant countries should have lower wage demands on the firm. KW - HIGH technology KW - FOREIGN investments KW - TECHNOLOGY KW - INVESTMENTS KW - MANUFACTURING processes N1 - Accession Number: 18617435; Ihrig, Jane 1; Email Address: Ihrig@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, 2000 C Street NW, Washington, DC 20551; Issue Info: May2005, Vol. 95 Issue 2, p309; Thesaurus Term: HIGH technology; Thesaurus Term: FOREIGN investments; Thesaurus Term: TECHNOLOGY; Thesaurus Term: INVESTMENTS; Thesaurus Term: MANUFACTURING processes; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 333994 Industrial Process Furnace and Oven Manufacturing; NAICS/Industry Codes: 334513 Instruments and Related Products Manufacturing for Measuring, Displaying, and Controlling Industrial Process Variables; Number of Pages: 5p; Illustrations: 2 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18617435&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coenen, Günter AU - Levin, Andrew AU - Wieland, Volker T1 - Data uncertainty and the role of money as an information variable for monetary policy. JO - European Economic Review JF - European Economic Review Y1 - 2005/05// VL - 49 IS - 4 M3 - Article SP - 975 EP - 1006 SN - 00142921 AB - In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area. [ABSTRACT FROM AUTHOR] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY KW - ECONOMIC policy KW - MONETARY policy KW - MONEY supply KW - FISCAL policy KW - CREDIT control KW - Euro area KW - Kalman filter KW - Macroeconomic modelling KW - Measurement error KW - Monetary policy rules KW - Rational expectations N1 - Accession Number: 16571588; Coenen, Günter 1; Email Address: gunter.coenen@ecb.int; Levin, Andrew 2; Email Address: Ievina@frb.gov; Wieland, Volker 1,3; Email Address: wieland@wiwi.uni-frankfurt.de; Affiliations: 1: Directorate General Research, European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.; 2: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; 3: Johann- Wolfgang-Goethe Universität Frankfurt, Mertonstrasse 17, D-60325 Frankfurt am Main, Germany.; Issue Info: May2005, Vol. 49 Issue 4, p975; Thesaurus Term: MONEY; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEY supply; Thesaurus Term: FISCAL policy; Thesaurus Term: CREDIT control; Author-Supplied Keyword: Euro area; Author-Supplied Keyword: Kalman filter; Author-Supplied Keyword: Macroeconomic modelling; Author-Supplied Keyword: Measurement error; Author-Supplied Keyword: Monetary policy rules; Author-Supplied Keyword: Rational expectations; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 32p; Document Type: Article L3 - 10.1016/j.euroecorev.2003.08.005 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16571588&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Demiralp, Selva AU - Farley, Dennis T1 - Declining required reserves, funds rate volatility, and open market operations. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2005/05// VL - 29 IS - 5 M3 - Article SP - 1131 EP - 1152 SN - 03784266 AB - The standard view of the monetary transmission mechanism rests on tile central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase iii federal funds rate volatility. However, following this initial rises volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary open market operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - BANKING industry KW - INTEREST rates KW - FEDERAL funds market (U.S.) KW - DEMAND for money KW - VOLATILITY (Finance) KW - UNITED States KW - Open market operations KW - Required reserves KW - Trading desk. N1 - Accession Number: 16372188; Demiralp, Selva 1; Email Address: selva.demiralp@frb.gov; Farley, Dennis 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, 20th Street and Constitution Avenue, Mail stop 59, Washington, DC 20551, USA.; Issue Info: May2005, Vol. 29 Issue 5, p1131; Thesaurus Term: MONETARY policy; Thesaurus Term: BANKING industry; Thesaurus Term: INTEREST rates; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: DEMAND for money; Thesaurus Term: VOLATILITY (Finance); Subject: UNITED States; Author-Supplied Keyword: Open market operations; Author-Supplied Keyword: Required reserves; Author-Supplied Keyword: Trading desk.; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jbankfin.2004.05.030 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16372188&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Miller, Nathan H. AU - Petersen, Mitchell A. AU - Rajan, Raghuram G. AU - Stein, Jeremy C. T1 - Does function follow organizational form? Evidence from the lending practices of large and small banks. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2005/05// VL - 76 IS - 2 M3 - Article SP - 237 EP - 269 SN - 0304405X AB - Theories based on incomplete contracting suggest that small organizations have a comparative advantage in activities that make extensive use of "soft" information. We provide evidence consistent with small banks being better able to collect and act on soft information than large banks. In particular, large banks are less willing to lend to informationally "difficult" credits, such as firms with no financial records. Moreover, after controlling for the endogeneity of bank-firm matching, we find that large banks lend at a greater distance, interact more impersonally with their borrowers, have shorter and less exclusive relationships, and do not alleviate credit constraints as effectively. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- Records & correspondence KW - ORGANIZATION KW - HECKSCHER-Ohlin principle KW - INTERNATIONAL trade KW - COMMUNITY banks KW - MONOPOLISTIC competition KW - Banking KW - Organizations KW - Soft information N1 - Accession Number: 17118087; Berger, Allen N. 1; Miller, Nathan H. 2; Petersen, Mitchell A. 3; Rajan, Raghuram G. 4; Stein, Jeremy C. 5; Email Address: stein2@fas.harvard.edu; Affiliations: 1: Board of Governors of the Federal Reserve System and Wharton Financial Institutions Center; 2: University of California, Berkeley, USA; 3: Northwestern University and NBER, USA; 4: University of Chicago and NBER, USA; 5: Department of Economics, Harvard University. Cambridge, MA 02138 and NBER, USA; Issue Info: May2005, Vol. 76 Issue 2, p237; Thesaurus Term: BANKING industry -- Records & correspondence; Thesaurus Term: ORGANIZATION; Thesaurus Term: HECKSCHER-Ohlin principle; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: COMMUNITY banks; Thesaurus Term: MONOPOLISTIC competition; Author-Supplied Keyword: Banking; Author-Supplied Keyword: Organizations; Author-Supplied Keyword: Soft information; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jfineco.2004.06.003 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17118087&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Mester, Loretta J. T1 - Erratum to "Explaining the dramatic changes in performance of US banks: Technological change, deregulation, and dynamic changes in competition" [J. Fin. Intermed. 12 (2003) 57-95]. JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2005/04// VL - 14 IS - 2 M3 - Correction notice SP - 278 EP - 279 SN - 10429573 AB - The article presents a correction to the article "Explaining the dramatic changes in performance of US banks: Technological change, deregulation, and dynamic changes in competition," published in the previous issue. KW - BANKING industry N1 - Accession Number: 17093215; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Mester, Loretta J. 3,4; Email Address: Loretta.Mester@phil.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; 2: Wharton Financial Institutions Center University of Pennsylvania, Philadelphia, PA 19104, USA.; 3: Research Department, Federal Reserve Bank of Philadelphia, Ten Independence Mall, Philadelphia, PA 19106-1574, USA.; 4: Finance Department, Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA.; Issue Info: Apr2005, Vol. 14 Issue 2, p278; Thesaurus Term: BANKING industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 2p; Document Type: Correction notice L3 - 10.1016/j.jfi.2005.01.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17093215&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Yun, Tack T1 - Optimal Monetary Policy with Relative Price Distortions. JO - American Economic Review JF - American Economic Review Y1 - 2005/03// VL - 95 IS - 1 M3 - Article SP - 89 EP - 109 PB - American Economic Association SN - 00028282 AB - This paper analyzes optimal monetary policy in a sticky price model with Calvo-type staggered price-setting. In the paper, the optimal monetary policy maximizes the expected utility of a representative household without having to rely on a set of linearly approximated equilibrium conditions, given the distortions associated with the staggered price-setting. It shows that the complete stabilization of the price level is optimal in the absence of initial price dispersion, while optimal inflation targets respond to changes in the level of relative price distortion in the presence of initial price dispersion. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - PRICING KW - PRICE levels KW - EQUILIBRIUM (Economics) KW - INFLATION (Finance) N1 - Accession Number: 17018340; Yun, Tack 1,2; Email Address: Tack.Yun@frb.gov; Affiliations: 1: Department of Economics, Kookmin University, 861-1, Jeungnung-dong, Seungbuk-ku, Seoul 136-702, Korea; 2: Board of Governors of the Federal Reserve System, 20th and Constitution Ave., NW, Washington, DC 20551; Issue Info: Mar2005, Vol. 95 Issue 1, p89; Thesaurus Term: MONETARY policy; Thesaurus Term: PRICING; Thesaurus Term: PRICE levels; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INFLATION (Finance); Number of Pages: 21p; Illustrations: 1 Chart, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17018340&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - Does home market size matter for the pattern of trade? JO - Journal of International Economics JF - Journal of International Economics Y1 - 2005/03// VL - 65 IS - 2 M3 - Article SP - 489 EP - 505 SN - 00221996 AB - Does home market size matter for the pattern of trade? Krugman started the literature, showing it does matter. Davis overturned his result, arguing that an assumption of convenience-transport costs only for the differentiated goods-conveniently obtained the result. Here we relax another persistent assumption of convenience-two industry types differentiated only by the degree of scale economies-and find that market size reemerges as a relevant force in determining industrial structure. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises KW - BUSINESS KW - INDUSTRIAL advertising KW - INDUSTRIES KW - ECONOMICS KW - AGRICULTURAL industries KW - Home market KW - Increasing returns N1 - Accession Number: 16571617; Holmes, Thomas J. 1; Email Address: holmes@econ.urnn.edu; Stevens, John J. 2,3; Affiliations: 1: Department of Economics, University of Minnesota, 1035 Heller Hall, Minneapolis, MN 55455, USA; 2: Federal Reserve Bank of Minneapolis, 90 Hennepin Avenue, Minneapolis, MN 55480, USA; 3: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW Washington, DC 20551, USA; Issue Info: Mar2005, Vol. 65 Issue 2, p489; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: BUSINESS; Thesaurus Term: INDUSTRIAL advertising; Thesaurus Term: INDUSTRIES; Thesaurus Term: ECONOMICS; Thesaurus Term: AGRICULTURAL industries; Author-Supplied Keyword: Home market; Author-Supplied Keyword: Increasing returns; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jinteco.2003.11.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16571617&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Greenspan, Alan T1 - The Importance of Financial Education Today. JO - Social Education JF - Social Education Y1 - 2005/03// VL - 69 IS - 2 M3 - Article SP - 64 EP - 65 SN - 00377724 AB - The article examines the importance of the financial education for consumers. It informs that today's financial world is highly complex than what it was twenty-five years ago. Today's consumers, however, must be able to differentiate among a wide range of products, services, and providers of financial products in order to manage their personal finances successfully. However beneficial it is, constant change can be unsettling, and one challenge one faces is overcoming such anxieties. But just as the rapid adoption of new information technologies has expanded the scope and utility of financial products, it has also increased means for addressing some of the challenges these changes pose. KW - EDUCATION -- Finance KW - CUSTOMER services KW - PERSONAL finance KW - SAVING & investment KW - HIGH technology KW - INFORMATION technology N1 - Accession Number: 16403427; Greenspan, Alan 1; Affiliation: 1: Chairman of the Board of Governors of the Federal Reserve System.; Source Info: Mar2005, Vol. 69 Issue 2, p64; Subject Term: EDUCATION -- Finance; Subject Term: CUSTOMER services; Subject Term: PERSONAL finance; Subject Term: SAVING & investment; Subject Term: HIGH technology; Subject Term: INFORMATION technology; NAICS/Industry Codes: 611699 All Other Miscellaneous Schools and Instruction; NAICS/Industry Codes: 923110 Administration of Education Programs; NAICS/Industry Codes: 611710 Educational Support Services; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=16403427&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Carpenter, Seth B. AU - Rodgers, William M. T1 - The disparate labor market impacts of monetary policy 1. JO - Labor History JF - Labor History Y1 - 2005/02// VL - 46 IS - 1 M3 - Article SP - 57 EP - 77 PB - Routledge SN - 0023656X AB - Employing two widely used approaches to identify the effects of monetary policy, this paper explores the differential impact of policy on the labor market outcomes of teenagers, minorities, out-of-school youth, and less-skilled individuals. Evidence from recursive vector autoregressions and autoregressive distributed lag models that use information on the Federal Reserve's contractionary initiatives indicate that the employment-population ratio of minorities is more sensitive to contractionary monetary policy than that of whites; the ratio falls primarily because of an increase in unemployment and not because of a decline in labor force participation. Monetary policy appears to have a disproportionate effect on the unemployment rate of teenagers, particularly African American teenagers. Their employment-population ratio falls because of increased difficulty in obtaining employment. The larger responses are not caused by their higher likelihood of having been employed in industries and occupations that are more sensitive to contractionary monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Labor History is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - LABOR market KW - LABOR supply KW - UNEMPLOYMENT KW - TEENAGERS N1 - Accession Number: 16246146; Carpenter, Seth B. 1; Email Address: Seth.B.Carpenter@frb.gov; Rodgers, William M. 2; Email Address: wrodgers@rci.rutgers.edu; Affiliations: 1: Economist, Division of Monetary Affairs of the Board of Governors of the Federal Reserve System; 2: John J. Heldrich Center for Workforce Development, School of Planning and Public Policy, Rutgers, State University of New Jersey, New Brunswick, NJ 08901, USA; Issue Info: Feb2005, Vol. 46 Issue 1, p57; Thesaurus Term: MONETARY policy; Thesaurus Term: LABOR market; Thesaurus Term: LABOR supply; Thesaurus Term: UNEMPLOYMENT; Subject Term: TEENAGERS; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 21p; Illustrations: 2 Charts, 17 Graphs; Document Type: Article L3 - 10.1080/0023656042000329873 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16246146&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Roberts, John M. T1 - How Well Does the New Keynesian Sticky-Price Model Fit the Data? JO - B.E. Journal of Macroeconomics: Contributions to Macroeconomics JF - B.E. Journal of Macroeconomics: Contributions to Macroeconomics Y1 - 2005/01// VL - 5 IS - 1 M3 - Article SP - 1 EP - 39 SN - 15346005 AB - A number of hypotheses have been proposed to account for the role of lagged inflation in the New Keynesian price-adjustment model: (1) In the aftermath of abrupt structural change, rational learning may appear adaptive. (2) The model may have a serially correlated error term. (3) Estimating the model conditional on labor costs may remove or reduce the need for lagged inflation. I address the empirical support for these hypotheses and find that none eliminates the need for lagged inflation. In particular, lagged inflation enters with a coefficient in the range of 0.4 to 0.5, regardless of whether labor's share or detrended output is the measure of real marginal cost, or whether a serially correlated error term is allowed. Also, eliminating the period 1980-83 from the sample does not reduce the coefficient on lagged inflation. [ABSTRACT FROM PUBLISHER] AB - Copyright of B.E. Journal of Macroeconomics: Contributions to Macroeconomics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MICROECONOMICS KW - INFLATION (Finance) KW - LABOR costs KW - LABOR market KW - ECONOMICS N1 - Accession Number: 18447797; Roberts, John M. 1; Email Address: jroberts@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2005, Vol. 5 Issue 1, p1; Thesaurus Term: MICROECONOMICS; Thesaurus Term: INFLATION (Finance); Thesaurus Term: LABOR costs; Thesaurus Term: LABOR market; Thesaurus Term: ECONOMICS; Number of Pages: 39p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18447797&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Small, David H. AU - Clouse, James T1 - The Scope of Monetary Policy Actions Authorized Under the Federal Reserve Act. JO - B.E. Journal of Macroeconomics: Topics in Macroeconomics JF - B.E. Journal of Macroeconomics: Topics in Macroeconomics Y1 - 2005/01// VL - 5 IS - 1 M3 - Article SP - 1 EP - 41 SN - 15345998 AB - The Federal Reserve Act authorizes the Federal Reserve to undertake various types of discount window loans and open market operations. While the Federal Reserve generally has not found it necessary to use all types of such authority, there could be circumstances in which the Federal Reserve might need to consider utilizing its statutory authority more broadly than it has in the past. We examine the limits imposed by the Federal Reserve Act along two dimensions: those types of counterparties and financial instruments with which the Federal Reserve may conduct monetary policy. In doing so, we develop a theme not commonly pursued in the literature -- the ways and extent to which the Federal Reserve Act limits the Federal Reserve from taking credit risk onto its balance sheet. We also provide some historical perspective on how the current powers of the Federal Reserve came to be authorized. [ABSTRACT FROM AUTHOR] AB - Copyright of B.E. Journal of Macroeconomics: Topics in Macroeconomics is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC policy KW - MONETARY policy KW - FEDERAL government KW - FISCAL policy KW - PUBLIC spending KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 16900620; Small, David H. 1; Email Address: dsmall@frb.gov; Clouse, James 1; Email Address: jclouse@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2005, Vol. 5 Issue 1, p1; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY policy; Thesaurus Term: FEDERAL government; Thesaurus Term: FISCAL policy; Thesaurus Term: PUBLIC spending; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 43p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16900620&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernanke, Ben S. T1 - MONETARY POLICY IN A WORLD OF MOBILE CAPITAL. JO - CATO Journal JF - CATO Journal Y1 - 2005///Winter2005 VL - 25 IS - 1 M3 - Article SP - 1 EP - 12 PB - Cato Institute SN - 02733072 AB - Discusses the economic benefits of the free movement of capital across borders. Reduction of risk through international portfolio diversification; Impact of access to international capital markets on the accumulation of foreign assets; Role of monetary policy in enabling economies to take advantage of the openness of international capital markets. KW - CAPITAL movements KW - CAPITAL market KW - CROSS border transactions KW - PORTFOLIO management (Investments) KW - MONETARY policy N1 - Accession Number: 17020569; Bernanke, Ben S. 1; Affiliation: 1: Member of the Board of Governors of the Federal Reserve System; Source Info: Winter2005, Vol. 25 Issue 1, p1; Subject Term: CAPITAL movements; Subject Term: CAPITAL market; Subject Term: CROSS border transactions; Subject Term: PORTFOLIO management (Investments); Subject Term: MONETARY policy; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=17020569&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - UNPB AU - Calem, Paul S. AU - Gordy, Michael B. AU - Mester, Loretta J. T1 - Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence. JO - Working Papers -- Financial Institutions Center at The Wharton School JF - Working Papers -- Financial Institutions Center at The Wharton School Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 43 AB - To explain persistence of credit card interest rates at relatively high levels, Calem and Mester (AER, 1995) argued that informational barriers create switching costs for high-balance customers. As evidence, using data from the 1989 Survey of Consumer Finances, they showed that these households were more likely to be rejected when applying for new credit. In this paper, we revisit the question using the 1998 and 2001 SCF. Further, we use new information on card interest rates to test for pricing effects consistent with information-based switching costs. We find that informational barriers to competition persist, although their role may have declined. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- Financial Institutions Center at The Wharton School is the property of University of Pennsylvania, Wharton School of Business and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER credit KW - INTEREST rate parity theorem KW - CREDIT card fees KW - PRICING KW - RESEARCH KW - IMPERFECT competition KW - CREDIT risk KW - DISCRIMINATION in credit cards KW - BUSINESS -- Research KW - CREDIT cards KW - adverse selection KW - consumer switching costs KW - Credit cards KW - search N1 - Accession Number: 20606471; Calem, Paul S. 1; Email Address: paul.calem@LoanPerformance.com; Gordy, Michael B. 2; Email Address: michael.gordy@frb.gov; Mester, Loretta J. 3; Email Address: Loretta.Mester@phil.frb.org; Affiliations: 1: LoanPerformance; 2: Board of Governors of the Federal Reserve System; 3: Finance Department, Wharton School, University of Pennsylvania; Issue Info: 2005, Preceding p1; Thesaurus Term: CONSUMER credit; Thesaurus Term: INTEREST rate parity theorem; Thesaurus Term: CREDIT card fees; Thesaurus Term: PRICING; Thesaurus Term: RESEARCH; Thesaurus Term: IMPERFECT competition; Thesaurus Term: CREDIT risk; Thesaurus Term: DISCRIMINATION in credit cards; Thesaurus Term: BUSINESS -- Research; Thesaurus Term: CREDIT cards; Author-Supplied Keyword: adverse selection; Author-Supplied Keyword: consumer switching costs; Author-Supplied Keyword: Credit cards; Author-Supplied Keyword: search; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 326199 All Other Plastics Product Manufacturing; NAICS/Industry Codes: 522210 Credit Card Issuing; Number of Pages: 45p; Illustrations: 5 Charts, 7 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20606471&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Amromin, Gene T1 - Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 35 AB - Tax efficiency is the dominant consideration in theoretical portfolio models that allow for both taxable and tax-deferred accounts (TDAs). Investors are advised to locate higher-tax assets in their tax-deferred accounts, which in the United States commonly translates into "holding bonds inside TDAs and holding equities outside." Yet, observed portfolio allocations are not tax efficient. This paper empirically evaluates the predictions of a recent model designed to bridge the existing gap by explicitly incorporating uninsurable labor income risk and limited accessibility of TDA assets in household decisions [Amromin, 2003]. Together, these elements create tension between household's desire to maintain tax-efficient allocations and its concern over the need to make costly TDA withdrawals in the event of bad income draws. This leads some borrowing-constrained households facing labor income risk and TDA access penalties to forgo tax-efficiency in favor of allocations that provide more liquidity in bad income states--an outcome labeled as "precautionary portfolio choice". The empirical results based on household-level portfolio data from the Survey of Consumer Finances provide evidence that both the choice of whether to hold a tax-efficient portfolio and the degree of portfolio tax-inefficiency are related to the presence and severity of precautionary motives. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEFERRED tax KW - ASSET allocation KW - RISK assessment KW - EMPIRICAL research KW - ECONOMIC models KW - LIQUIDITY (Economics) KW - ECONOMICS -- Statistical methods KW - UNITED States N1 - Accession Number: 20919159; Amromin, Gene 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2005, Preceding p1; Thesaurus Term: DEFERRED tax; Thesaurus Term: ASSET allocation; Thesaurus Term: RISK assessment; Thesaurus Term: EMPIRICAL research; Thesaurus Term: ECONOMIC models; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: ECONOMICS -- Statistical methods; Subject: UNITED States; NAICS/Industry Codes: 526917 Balanced funds / asset allocation funds; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 36p; Illustrations: 6 Charts, 1 Graph; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20919159&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Lindsey, David E. AU - Orphanides, Athanasios AU - Rasche, Robert H. T1 - The Reform of October 1979: How It Happened and Why. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 93 AB - This study offers a historical review of the monetary policy reform of October 6, 1979,and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively upon contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism, new, neo, or old fashioned Keynesianism, nominal income targeting, and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates, yet be politically acceptable, and convince financial markets participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC history KW - MONETARY policy KW - ECONOMIC reform KW - MONETARY theory KW - 1971-1990 KW - UNITED States KW - Federal Reserve KW - FOMC KW - monetary reform KW - Operating procedures KW - Paul Volcker KW - UNITED States. Federal Open Market Committee KW - UNITED States. Federal Reserve Board N1 - Accession Number: 20919162; Lindsey, David E.; Email Address: david42lindsey@aol.com; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Rasche, Robert H. 2; Email Address: rasche@stls.frb.org; Affiliations: 1: Adviser in the Division of Monetary Affairs at the Board of Governors of the Federal Reserve System, a research fellow of the Centre for Economic Policy Research, and a fellow of the Center for Financial Studies; 2: Senior vice president and director of research at the Federal Reserve Bank of St. Louis; Issue Info: 2005, Preceding p1; Thesaurus Term: ECONOMIC history; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC reform; Thesaurus Term: MONETARY theory; Subject Term: 1971-1990; Subject: UNITED States; Author-Supplied Keyword: Federal Reserve; Author-Supplied Keyword: FOMC; Author-Supplied Keyword: monetary reform; Author-Supplied Keyword: Operating procedures; Author-Supplied Keyword: Paul Volcker ; Company/Entity: UNITED States. Federal Open Market Committee ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 95p; Illustrations: 1 Chart, 28 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20919162&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Airaudo, Marco AU - Zanna, Luis-Felipe T1 - Interest Rate Rules, Endogenous Cycles and Chaotic Dynamics in Open Economies. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 40 AB - In this paper we present an extensive analysis of the consequences for global equilibrium determinacy of implementing active interest rate rules (i.e. monetary rules where the nominal interest rate responds more than proportionally to changes in inflation) in flexible-price open economies. We show that conditions under which these rules generate aggregate instability by inducing cyclical and chaotic equilibrium dynamics depend on particular characteristics of open economies such as the degree of (trade) openness and the degree of exchange rate pass-through implied by the presence of non-traded distribution costs. For instance, we find that a forward-looking rule is more prone to induce endogenous cyclical and chaotic dynamics the more open the economy and the higher the degree of exchange rate pass-through. The existence of these dynamics and their dependence on the degree of openness are in general robust to different timings of the rule (forward-looking versus contemporaneous rules), to the use of alternative measures of inflation in the rule (CPI versus Core inflation), as well as to changes in the timing of real money balances in liquidity services (‘cash-when-I-am-done’ timing versus ‘cash-in-advance’ timing). [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - MONETARY policy KW - FOREIGN exchange rates KW - INFLATION (Finance) KW - DISTRIBUTION costs KW - MACROECONOMICS KW - INDUSTRIAL costs KW - CONSUMPTION (Economics) KW - LIQUIDITY (Economics) KW - Chaos and Endogenous Fluctuations. KW - Interest Rate Rules KW - Multiple Equilibria KW - Small Open Economy KW - Taylor Rules N1 - Accession Number: 23659681; Airaudo, Marco 1; Email Address: marco.airaudo@staff.hu-berlin.de; Zanna, Luis-Felipe 2; Email Address: Luis-Felipe.Zanna@frb.gov; Affiliations: 1: Institute of Economic Policy I, Humboldt University, Spandauer Strasse 1, Berlin D-10178, Germany.; 2: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, D.C., 20551.; Issue Info: 2005, p1; Thesaurus Term: INTEREST rates; Thesaurus Term: MONETARY policy; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: DISTRIBUTION costs; Thesaurus Term: MACROECONOMICS; Thesaurus Term: INDUSTRIAL costs; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: LIQUIDITY (Economics); Author-Supplied Keyword: Chaos and Endogenous Fluctuations.; Author-Supplied Keyword: Interest Rate Rules; Author-Supplied Keyword: Multiple Equilibria; Author-Supplied Keyword: Small Open Economy; Author-Supplied Keyword: Taylor Rules; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 40p; Illustrations: 1 Chart, 6 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23659681&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Berger, David W. AU - Chaboud, Alain P. AU - Chernenko, Sergey V. AU - Howorka, Edward AU - Krishnasami Iyer, Raj S. AU - Liu, David AU - Wright, Jonathan H. T1 - Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 26 AB - We study the association between order flow and exchange rate returns in five years of high-frequency intraday data from the leading interdealer electronic broking system, EBS. While the association between order flow and exchange rate returns has been studied in several previous papers, these have mostly used relatively short spans of daily data from older bilateral dealing systems and, usually, transaction counts instead of actual trading volume. Using a substantially longer span of recent high-frequency data and measuring order flow as actual signed trading volume, we find a strong positive association between order flow and exchange rate returns at frequencies ranging from one minute to one day, and a more modest but still sizeable association at the monthly frequency. We find, however, no evidence that order flow has predictive power for future exchange rate movements beyond, possibly, the next minute. Focusing on the behavior of order flow and exchange rates at the time of scheduled U.S. economic data releases, we find that the surprise components of these announcements are associated with order flow at high frequency immediately after the data releases. This finding seems inconsistent with a simple efficient markets view of how a public news announcement is incorporated into prices. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ELECTRONIC data processing KW - FOREIGN exchange rates KW - FOREIGN exchange market KW - PRICE indexes KW - INDUSTRIAL organization (Economic theory) KW - REGRESSION analysis KW - ECONOMIC forecasting KW - INTERNATIONAL markets KW - MACROECONOMICS KW - foreign exchange KW - high-frequency data KW - news announcements KW - order flow KW - private information. N1 - Accession Number: 23659663; Berger, David W. 1; Chaboud, Alain P. 1; Email Address: alain.p.chaboud@frb.gov; Chernenko, Sergey V. 1; Howorka, Edward 2; Krishnasami Iyer, Raj S. 2; Liu, David 2; Wright, Jonathan H. 3; Affiliations: 1: International Finance Division Washington DC 20551; 2: Board of Governors of the Federal Reserve System, Washington DC 20551; 3: Division of Monetary Affairs Washington DC 20551; Issue Info: 2005, p1; Thesaurus Term: ELECTRONIC data processing; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: PRICE indexes; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: REGRESSION analysis; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: foreign exchange; Author-Supplied Keyword: high-frequency data; Author-Supplied Keyword: news announcements; Author-Supplied Keyword: order flow; Author-Supplied Keyword: private information.; NAICS/Industry Codes: 518210 Data Processing, Hosting, and Related Services; Number of Pages: 26p; Illustrations: 7 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23659663&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AU - Hendry, David F. T1 - General-to-specific Modeling: An Overview and Selected Bibliography. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 92 AB - This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMETRICS KW - COINTEGRATION KW - DATA mining KW - EQUILIBRIUM (Economics) KW - EXOGENEITY (Econometrics) KW - COMPUTER algorithms KW - TECHNOLOGICAL innovations KW - GROSS domestic product KW - ECONOMIC policy KW - ECONOMICS KW - cointegration KW - conditional models KW - data mining KW - diagnostic testing KW - dynamic specification KW - econometric methodology KW - encompassing KW - equilibrium correctionmodels KW - error correction models KW - exogeneity KW - general-to-specific modeling KW - model comparison KW - model design KW - model evaluation KW - model selection KW - non-nested hypotheses KW - PcGets KW - PcGive KW - reduction KW - specific-to-general modeling N1 - Accession Number: 23659670; Campos, Julia 1; Email Address: jcampos@usal.es; Ericsson, Neil R. 2; Email Address: ericsson@frb.gov; Hendry, David F. 3; Email Address: david.hendry@economics.ox.ac.uk; Affiliations: 1: Departamento de Economía e Historia Económica, Facultad de Economía y Empresa, Universidad de Salamanca Salamanca 37008 España (Spain); 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A; 3: ESRC Professorial Research Fellow and the head of the Economics Department at the University of Oxford, Oxford, England.; Issue Info: 2005, p1; Thesaurus Term: ECONOMETRICS; Thesaurus Term: COINTEGRATION; Thesaurus Term: DATA mining; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: EXOGENEITY (Econometrics); Thesaurus Term: COMPUTER algorithms; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: GROSS domestic product; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMICS; Author-Supplied Keyword: cointegration; Author-Supplied Keyword: conditional models; Author-Supplied Keyword: data mining; Author-Supplied Keyword: diagnostic testing; Author-Supplied Keyword: dynamic specification; Author-Supplied Keyword: econometric methodology; Author-Supplied Keyword: encompassing; Author-Supplied Keyword: equilibrium correctionmodels; Author-Supplied Keyword: error correction models; Author-Supplied Keyword: exogeneity; Author-Supplied Keyword: general-to-specific modeling; Author-Supplied Keyword: model comparison; Author-Supplied Keyword: model design; Author-Supplied Keyword: model evaluation; Author-Supplied Keyword: model selection; Author-Supplied Keyword: non-nested hypotheses; Author-Supplied Keyword: PcGets; Author-Supplied Keyword: PcGive; Author-Supplied Keyword: reduction; Author-Supplied Keyword: specific-to-general modeling; Number of Pages: 92p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23659670&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Francis, Neville AU - Owyang, Michael T. AU - Roush, Jennifer E. T1 - A Flexible Finite-Horizon Identification of Technology Shocks. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 33 AB - Recent empirical studies using infinite horizon long-run restrictions question the validity of the technology-driven real business cycle hypothesis. These results have met with their own controversy, stemming from their sensitivity to changes in model specification and the general poor performance of long-run restrictions in Monte Carlo experiments. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long, but finite horizon. In small samples, our identification outperforms its infinite horizon counterpart by producing less biased impulse responses and technology shocks that are more highly correlated with the technology shocks from the underlying model. We apply our identification to post-war U.S. data and find that the negative hours response is not robust to allowing a slightly greater role for non-technology shocks in the variance of productivity at long horizons. We conclude that restrictions aimed at isolating the dynamics of productivity beyond business cycle frequencies do not provide information sufficient to robustly predict short-run movements in labor hours. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - ECONOMIC forecasting KW - LABOR productivity KW - TECHNOLOGICAL innovations KW - MACROECONOMICS KW - ECONOMETRICS KW - LINEAR models (Statistics) KW - PRICE indexes KW - TAXATION KW - long-run restrictions KW - productivity KW - structural VAR N1 - Accession Number: 23659665; Francis, Neville 1; Email Address: nrfranci@email.unc.edu; Owyang, Michael T. 2; Email Address: owyang@stls.frb.org; Roush, Jennifer E. 3; Email Address: jennifer.e.roush@frb.gov; Affiliations: 1: Department of Economics. University of North Carolina. Gardener Hall CB# 3305. Chapel Hill, NC 27599; 2: Research Department. Federal Reserve Bank of St. Louis. 411 Locust Street, St. Louis, MO 63102; 3: Board of Governors of the Federal Reserve System, Mailstop 74, 20th Street and C St., NW, Washington, DC 20551; Issue Info: 2005, p1; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: LABOR productivity; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMETRICS; Thesaurus Term: LINEAR models (Statistics); Thesaurus Term: PRICE indexes; Thesaurus Term: TAXATION; Author-Supplied Keyword: long-run restrictions; Author-Supplied Keyword: productivity; Author-Supplied Keyword: structural VAR; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 33p; Illustrations: 3 Charts, 9 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23659665&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Zanna, Luis-Felipe T1 - Fighting Against Currency Depreciation, Macroeconomic Instability and Sudden Stops. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2005/01// M3 - Working Paper SP - 1 EP - 39 AB - In this paper we show that in the aftermath of a crisis, a government that changes the nominal interest rate in response to currency depreciation can induce aggregate instability in the economy by generating self-fulfilling endogenous cycles. In particular if a government raises the interest rate proportionally more than an increase in currency depreciation then it induces self-fulfilling cyclical equilibria that are able to replicate some of the empirical regularities of emerging market crises. We construct an equilibrium characterized by the self-validation of people's expectations about currency depreciation and by the following stylized facts of the ‘Sudden Stop’ phenomenon: a decline in domestic production and aggregate demand, a significantly larger currency depreciation, a collapse in asset prices, a sharp correction in the price of traded goods relative to non-traded goods and an improvement in the current account deficit. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEPRECIATION KW - INTEREST rates KW - MACROECONOMICS KW - CAPITAL movements KW - GROSS domestic product KW - FINANCIAL crises KW - BUSINESS cycles KW - FINANCE KW - INTERNATIONAL markets KW - Collateral Constraints KW - Currency Depreciation KW - Interest Rate Rules KW - Multiple Equilibria KW - Small Open Economy KW - Sudden Stops N1 - Accession Number: 23659680; Zanna, Luis-Felipe 1; Email Address: Luis-Felipe.Zanna@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, D.C., 20551.; Issue Info: 2005, p1; Thesaurus Term: DEPRECIATION; Thesaurus Term: INTEREST rates; Thesaurus Term: MACROECONOMICS; Thesaurus Term: CAPITAL movements; Thesaurus Term: GROSS domestic product; Thesaurus Term: FINANCIAL crises; Thesaurus Term: BUSINESS cycles; Thesaurus Term: FINANCE; Thesaurus Term: INTERNATIONAL markets; Author-Supplied Keyword: Collateral Constraints; Author-Supplied Keyword: Currency Depreciation; Author-Supplied Keyword: Interest Rate Rules; Author-Supplied Keyword: Multiple Equilibria; Author-Supplied Keyword: Small Open Economy; Author-Supplied Keyword: Sudden Stops; Number of Pages: 39p; Illustrations: 5 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23659680&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - BOOK AU - Board of Governors of the Federal Reserve System T1 - Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley PB - Washington, D.C.: PB - Board of Governors of the Federal Reserve System Y1 - 2005/// SP - viii N1 - Accession Number: 0940108; Keywords: Instrument; Monetary Policy; Monetary; Policy; Publication Type: Book; Update Code: 200712 N2 - Eleven papers and seven discussions, originally presented at a conference held by the Federal Reserve Board in March 2004, examine new work in the field of economic models in conducting monetary policy, focusing on the contributions of economists Dale Henderson, Richard Porter, and Peter Tinsley. Papers discuss "certainty equivalence" and "model uncertainty"; robust estimation and monetary policy with unobserved structural change; estimating forward-looking Euler equations with generalized method of moments estimators--an optimal-instruments approach; optimal stabilization policy when wages and prices are sticky--the case of a distorted steady state; price- and wage-inflation targeting--variations on a theme by Christopher Erceg, Henderson, and Andrew Levin; targeting versus instrument rules for monetary policy; liquidity and fire sales; narrow money, broad money, and the transmission of monetary policy; research at the Federal Reserve Board--the contributions of Henderson, Porter, and Tinsley; the Board's modeling work in the 1960s; and monetary policy modeling--where we are and where we should be going. No index. KW - Monetary Policy E52 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0940108&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Francis, Neville AU - Owyang, Michael T. AU - Roush, Jennifer E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - A flexible finite-horizon identification of technology shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 832 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775203; Publication Type: Working Paper; Update Code: 200506 N2 - Recent empirical studies using infinite horizon long-run restrictions question the validity of the technology-driven real business cycle hypothesis. These results have met with their own controversy, stemming from their sensitivity to changes in model specification and the general poor performance of long run restrictions in Monte Carlo experiments. We propose a alternative identification that maximizes the contribution of technology shocks to the forecast error variance of labor productivity at a long, but finite horizon. In small samples, our identification outperforms its infinite horizon counterpart by producing less biased impulse responses and technology shocks that are more highly correlated with the technology shocks from the underlying model. For U.S. data, we show that the negative hours response is not robust to allowing a greater role for non-technology shocks in the forecast error variance share at a ten year horizon. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/832/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/832/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wu, Liuren AU - Zhang, Frank Xiaoling AD - Unlisted AD - Unlisted T1 - A no-arbitrage analysis of economic determinants of the credit spread term structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-59 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809528; Publication Type: Working Paper; Update Code: 200601 N2 - This paper presents an internally consistent analysis of the economic determinants of the term structure of credit spreads across different credit rating classes and industry sectors. Our analysis proceeds in two steps. First, we extract three economic factors from 13 time series that capture three major dimensions of the economy: inflation pressure, real output growth, and financial market volatility. In the second step, we build a no-arbitrage model that links the dynamics and market prices of these fundamental sources of economic risks to the term structure of Treasury yields and corporate bond credit spreads. Via model estimation, we infer the market pricing of these economic factors and their impacts on the whole term structure of Treasury yields and credit spreads. ; Estimation shows that positive inflation shocks increase both Treasury yields and credit spreads across all maturities and credit rating classes. Positive shocks on the real output growth also increase the Treasury yields, more so at short maturities than at long maturities. The impacts on the credit spreads are positive for high credit rating classes, but become negative and increasingly so at lower credit rating classes. The financial market volatility factor has small positive impacts on the Treasury yield curve, but the impacts are strongly positive on the credit spreads, and increasingly so at longer maturities and lower credit rating classes. ; Finally, when we divide each rating class into two industry sectors: financial and corporate, we find that with in each rating class, the credit spreads in the financial sector are on average wider and more volatile than the spreads in the corporate sector. Estimation further shows that the term structure of credit spreads in the financial sector is more responsive to shocks in the economic factors. L3 - http://www.federalreserve.gov/pubs/feds/2005/200559/200559abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809528&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200559/200559abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AD - Unlisted T1 - A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-12 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769022; Publication Type: Working Paper; Update Code: 200504 N2 - The cycle in output and hours worked is not symmetric: it behaves differently around recessions than in expansions. Similarly, the trend in multifactor productivity (MFP) seems to pass through different regimes; there was an extended period of slow MFP growth from about 1973 through 1995, and faster growth thereafter. Typical linear models and linear filters such as the Kalman filter deal poorly with asymmetry and regime changes. This paper attempts to determine more accurately and quickly any shifts in trend MFP growth, using a nonlinear Kalman/Markov filter with a model of the unobserved components of output and hours. This hybrid model incorporates regime-switching in the business cycle and in the trend growth of MFP. Estimation results are promising. The hybrid model and associated filter appear to be faster than the basic Kalman filter in detecting turning points in the smoothed conditional mean estimate of trend MFP growth; in addition, the hybrid model avoids some of the Kalman filter's biases in reconstructing historical business cycles and the MFP trend. L3 - http://www.federalreserve.gov/pubs/feds/2005/200512/200512abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769022&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200512/200512abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AD - Unlisted T1 - A review of backtesting and backtesting procedures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-21 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782008; Keywords: Risk management ; Bank investments; Publication Type: Working Paper; Update Code: 200507 N2 - This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to backtesting procedures is discussed. Backtests are then classified by whether they examine the unconditional coverage property, independence property, or both properties of a VaR measure. Backtests that examine the accuracy of a VaR model at several quantiles, rather than a single quantile, are also outlined and discussed. The statistical power properties of these tests are examined in a simulation experiment. Finally, backtests that are specified in terms of a pre-specified loss function are reviewed and their use in VaR validation is discussed. L3 - http://www.federalreserve.gov/pubs/feds/2005/200521/200521abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782008&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200521/200521abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Clinton, Nathanael AU - Nini, Gregory P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Accounting standards and information: inferences from cross-listed financial firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 843 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807022; Keywords: Accounting--Standards ; International finance; Publication Type: Working Paper; Update Code: 200512 N2 - Publicly traded financial firms within the European Union will be required to adhere to International Accounting Standards (IAS) in their financial reporting beginning in 2005, which can entail a higher degree of financial disclosure than was previously mandated under national accounting standards. A number of European financial firms had previously subjected themselves to additional disclosure by listing their stock on U.S. exchanges, which obligates them to reconcile their financial accounts to U.S. GAAP (Generally Accepted Accounting Principles). Among national accounting systems, U.S. GAAP is considered to be both among the strictest and the most similar to International Financial Reporting Standards (IFRS). To test whether U.S. GAAP reconciliation effectively enhances disclosure, we examine several measures of transparency for the cross-listed firms, relative both to pre-listing measures and to a control sample of firms that have not cross-listed. Our measures include bid-ask spreads, earnings forecast errors, analyst coverage, dispersion in earnings expectations, and disagreement between Moody's and S&P's bond ratings. We find evidence that cross-listing increases transparency in at least some cases. Our cross-sectional results also distinguish a handful of European financial firms that had already adopted IFRS before the European Commission announced that IAS would be required in the near future, with results similar to those of the cross-listed firms. Accordingly, to the extent that commitment to increased transparency has been a motivation for cross-listing, the adoption of IAS in Europe may reduce the incentives for European firms to cross-list in the United States. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/843/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807022&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/843/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schindler, John W. AU - Beckett, Dustin H. AD - Unlisted AD - Unlisted T1 - Adjusting Chinese bilateral trade data: how big is China's trade surplus PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 831 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775202; Keywords: Balance of trade - China; Publication Type: Working Paper; Update Code: 200506 N2 - Hong Kong plays a prominent role as a re-exporter of a large percentage of trade bound for or coming from China. Current reporting practices in China and its trading partners do not fully reflect this role and therefore provide a misleading picture of the origin or ultimate destination of Chinese exports and imports. We adjust bilateral trade data for both China and its trading partners to correct for this problem. We also correct for differences due to markups in Hong Kong and different standards for reporting trade (c.i.f. versus f.o.b.). For 2003, we estimate that China's overall trade surplus was between $53 billion and $126 billion, larger than that reported in official Chinese data, but smaller than that reported by China's trading partners. We also provide evidence that, in general, the actual origin of a good that is transshipped through Hong Kong is correctly reported by the importing country, but the final destination of such goods is not correctly reported by the exporting country. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/831/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/831/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, David C., Jr. AD - Unlisted T1 - Alternative central bank credit policies for liquidity provision in a model of payments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-55 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809525; Publication Type: Working Paper; Update Code: 200601 N2 - I explore alternative central bank policies for liquidity provision in a model of payments. I use a mechanism design approach so that agents' incentives to default are explicit and contingent on the credit policy designed. In the first policy, the central bank invests in costly enforcement and charges an interest rate to recover costs. I show that the second best solution is not distortionary. In the second policy, the central bank requires collateral. If collateral does not bear an opportunity cost, then the solution is first best. Otherwise, the second best is distortionary because collateral serves as a binding credit constraint. L3 - http://www.federalreserve.gov/pubs/feds/2005/200555/200555abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809525&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200555/200555abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Alternative procedures for estimating vector autoregressions identified with long-run restrictions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 842 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807021; Keywords: Vector analysis ; Vector autoregression ; Econometric models; Publication Type: Working Paper; Update Code: 200512 N2 - We show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data. We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using Monte Carlo experiments in which data are generated from estimated real business cycle models. We focus on the properties of estimated impulse response functions. In our examples, the alternative procedures have better small sample properties than the standard procedure, with smaller bias, smaller mean square error and better coverage rates for estimated confidence intervals. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/842/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807021&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/842/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Don H. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-33 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795069; Publication Type: Working Paper; Update Code: 200510 N2 - This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting this model to U.S. Treasury yields since 1990. The model ascribes a large portion of the decline in long-term yields and distant-horizon forward rates since the middle of 2004 to a fall in term premiums. A variant of the model that incorporates inflation data indicates that about two-thirds of the decline in nominal term premiums owes to a fall in real term premiums, but estimated compensation for inflation risk has diminished as well. L3 - http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795069&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain P. AU - Humpage, Owen AD - Unlisted AD - Unlisted T1 - An assessment of the impact of Japanese foreign exchange intervention: 1991-2004 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 824 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765206; Keywords: Foreign exchange administration - Japan; Publication Type: Working Paper; Update Code: 200503 N2 - We analyze the short-term price impact of Japanese foreign exchange intervention operations between 1991 and 2004, using official data from Japan's Ministry of Finance. Over the period as a whole, we find some evidence of a modest "against the wind" effect, but interventions do not have value as a forecast that the exchange rate will move in a direction consistent with the operations. Interventions conducted between 1995 and 2002, which were large and infrequent, met with a much higher degree of success. For the most recent episode of intervention, in 2003 and 2004, despite the record size and frequency of the overall episode, it is difficult to statistically distinguish the pattern of exchange rate movements on intervention days from that of all the days in that particular subperiod, showing little effectiveness. Still, while the evidence of Japanese intervention effectiveness is modest overall, it appears to be stronger than that found using similar techniques for U.S. intervention operations conducted in the 1980s and 1990s. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/824/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765206&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/824/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William AD - Unlisted T1 - An inflation goal with multiple reference measures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-62 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809530; Publication Type: Working Paper; Update Code: 200601 N2 - Most inflation-targeting central banks express their inflation objective in terms of a range for a single official inflation measure but generally have not clarified the meaning of the ranges and their implications for policy responses. In formulating policy, all central banks monitor multiple inflation indicators. This paper suggests an alternative approach to communicating an inflation goal: announcing point-values, rather than ranges, for a few key reference measures of inflation that are used in making policy. After reviewing and extending relevant theoretical and empirical studies, the paper argues that the alternative approach could more accurately reflect the concerns of policymakers and provide a better accountability structure for monetary policy performance. L3 - http://www.federalreserve.gov/pubs/feds/2005/200562/200562abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809530&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200562/200562abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aaronson, Stephanie AU - Coronado, Julia AD - Unlisted AD - Unlisted T1 - Are firms or workers behind the shift away from DB pension plan? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-17 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775197; Publication Type: Working Paper; Update Code: 200506 N2 - One of the most striking changes in the composition of household retirement savings over the past 20 years has been the shift from defined benefit to defined contribution pension plans. Understanding the factors underlying this shift is important for determining its impact on retirement saving adequacy. Yet previous research, which has mostly focused on factors affecting all firms, such as regulation or increased longevity, has yielded little consensus. In this study we estimate the contribution of changing workforce characteristics and production environments to the shift in pension coverage. Our findings suggest that, while aggregate factors explain a large part of the movement, changes in worker demand, due to evolving workforce characteristics, also contributed notably. On the supply side, we find support for the theory that technical change has reduced the value of DB plans. These supply and demand factors are particularly important for explaining the significant variation in cross-industry trends in pension coverage. L3 - http://www.federalreserve.gov/pubs/feds/2005/200517/200517abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775197&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200517/200517abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - ATM surcharge bans and bank market structure: the case of Iowa and its neighbors PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-46 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807014; Keywords: Automated tellers--Middle West ; Banks and banking--Middle West; Publication Type: Working Paper; Update Code: 200512 N2 - It is frequently claimed that high ATM surcharges actually attract customers to the banks that impose them, particularly if they operate large ATM networks. By exploiting as "natural experiments" two events associated with the lifting of surcharge bans in Iowa and in the states that neighbor Iowa, this paper seeks to test for the implications of this phenomenon as it applies to the market shares of banking institutions and to several aspects of market structure. Consistent with these implications, results of "difference-in-difference" analyses suggest that the shares of larger market participants increase, the shares of smaller market participants decrease, market concentration increases, and the number of market competitors decreases after the lifting of surcharge bans. L3 - http://www.federalreserve.gov/pubs/feds/2005/200546/200546abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807014&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200546/200546abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AU - Mitchener, Kris James AD - Unlisted AD - Unlisted T1 - Branch banking, bank competition, and financial stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-20 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782010; Keywords: Branch banks ; Competition; Publication Type: Working Paper; Update Code: 200507 N2 - It is often argued that branching stabilizes banking systems by facilitating diversification of bank portfolios; however, previous empirical research on the Great Depression offers mixed support for this view. Analyses using state-level data find that states allowing branch banking had lower failure rates, while those examining individual banks find that branch banks were more likely to fail. We argue that an alternative hypothesis can reconcile these seemingly disparate findings. Using data on national banks from the 1920s and 1930s, we show that branch banking increases competition and forces weak banks to exit the banking system. This consolidation strengthens the system as a whole without necessarily strengthening the branch banks themselves. Our empirical results suggest that the effects that branching had on competition were quantitatively more important than geographical diversification for bank stability in the 1920s and 1930s. L3 - http://www.federalreserve.gov/pubs/feds/2005/200520/200520abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782010&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200520/200520abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Elmendorf, Douglas W. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Can financial innovation help to explain the reduced volatility of economic activity? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-54 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809521; Publication Type: Working Paper; Update Code: 200601 N2 - The stabilization of economic activity in the mid 1980s has received considerable attention. Research has focused primarily on the role played by milder economic shocks, improved inventory management, and better monetary policy. This paper explores another potential explanation: financial innovation. Examples of such innovation include developments in lending practices and loan markets that have enhanced the ability of households and firms to borrow and changes in government policy such as the demise of Regulation Q. We employ a variety of simple empirical techniques to identify links between the observed moderation in economic activity and the influence of financial innovation on consumer spending, housing investment, and business fixed investment. Our results suggest that financial innovation should be added to the list of likely contributors to the mid-1980s stabilization. L3 - http://www.federalreserve.gov/pubs/feds/2005/200554/200554abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809521&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200554/200554abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borzekowski, Ron AU - Thomadsen, Raphael AU - Taragin, Charles AD - Unlisted AD - Unlisted AD - Unlisted T1 - Competition and price discrimination in the market for mailing lists PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-56 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809522; Publication Type: Working Paper; Update Code: 200601 N2 - This paper examines the relationship between competition and price discrimination in the market for mailing lists. More specifically, we examine whether sellers are more likely to segregate consumers by offering a menu of quality choices (second-degree price discrimination) and/or offering different prices to readily identifiable groups of consumers (third-degree price discrimination) in more competitive markets. We also examine how the fineness with which consumers are divided corresponds to the level of competition in the market. ; The dataset includes information about all consumer response lists derived from mail order buyers (i.e. lists derived from catalogs) available for rental in 1997 and 2002. Using industry classifications, we create measures of competition for each list. We then use these measures to predict whether given lists utilize discriminatory pricing strategies. ; Our results indicate that lists facing more competition are more likely to implement second-degree and third-degree price discrimination, and when implementing second-degree price discrimination, to offer menus with more choices. L3 - http://www.federalreserve.gov/pubs/feds/2005/200556/200556abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809522&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200556/200556abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Currency crashes and bond yields in industrial countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 837 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795072; Keywords: Balance of payments ; Inflation (Finance) ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200510 N2 - This paper examines episodes of sudden large exchange rate depreciations (currency crashes) in industrial countries and characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash, bond yields tend to rise. Otherwise--and in every currency crash since 1985--bond yields tend to fall. Over the past 20 years, inflation rates have been remarkably stable in industrial countries after currency crashes. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/837/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795072&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/837/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - D'Amico, Stefania AD - Unlisted T1 - Density selection and combination under model ambiguity: an application to stock returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-09 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765200; Keywords: Rate of return ; Econometric models ; Stocks; Publication Type: Working Paper; Update Code: 200503 N2 - This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models. The paper shows that the KLD between the nonparametric and the parametric density estimates is asymptotically normally distributed. This result leads to determining the weights in the model combination, using the distribution function of a Normal centered on the average performance of all plausible models. Consequently, the final weight is determined by the ability of a given model to perform better than the average. As such, this combination technique does not require the true structure to belong to the set of competing models and is computationally simple. I apply the proposed method to estimate the density function of daily stock returns under different phases of the business cycle. The results indicate that the double Gamma distribution is superior to the Gaussian distribution in modeling stock returns, and that the combination outperforms each individual candidate model both in- and out-of-sample. L3 - http://www.federalreserve.gov/pubs/feds/2005/200509/200509abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200509/200509abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Do nonfinancial firms use interest rate derivatives to hedge? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-39 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799114; Publication Type: Working Paper; Update Code: 200511 N2 - We compile and analyze detailed information on the debt structure and interest rate derivative positions of nonfinancial firms in 2000 and 2002. We find that differences in debt structure across firms and time tend to be counterbalanced by difference in derivative positions. In particular, among derivative users, smaller firms tend to have relatively more interest rate exposure from liabilities than larger firms and tend to use derivatives that offset these exposures. Larger firms also tend to limit their interest rate exposures, but they do so through their choice of debt structure rather than with derivatives. On the other hand, we find that a large fraction of the change in derivative positions over time cannot be explained by changes in debt structure. Finally, we find no evidence that nonfinancial firms hedge interest rate exposures from their operating assets, but do not see this as supporting the hypothesis that firms use derivatives to speculate. L3 - http://www.federalreserve.gov/pubs/feds/2005/200539/200539abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799114&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200539/200539abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corsetti, Giancarlo AU - Dedola, Luca AU - Leduc, Sylvain AD - Unlisted AD - Unlisted AD - Unlisted T1 - DSGE models of high exchange-rate volatility and low pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 845 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809532; Publication Type: Working Paper; Update Code: 200601 N2 - This paper develops a quantitative, dynamic, open-economy model which endogenously generates high exchange rate volatility, whereas a low degree of pass-through stems from both nominal rigidities (in the form of local currency pricing) and price discrimination. We model real exchange rate volatility in response to real shocks by reconsidering and extending two approaches suggested by the quantitative literature (one by Backus Kehoe and Kydland [1995], the other by Chari, Kehoe and McGrattan [2003]), within a common framework with incomplete markets and segmented domestic economies. Our model accounts for a variable degree of ERPT over different horizons. In the short run, we find that a very small amount of nominal rigidities--consistent with the evidence in Bils and Klenow [2004--lowers the elasticity of import prices at border and consumer level to 27% and 13%, respectively. Still, exchange rate depreciation worsens the terms of trade--in accord with the evidence stressed by Obstfeld and Rogoff [2000]. In the long run, exchange-rate pass-through coefficients are also below one, as a result of price discrimination. The latter is an implication of distribution services, which makes the goods demand elasticity market specific. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/845/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809532&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/845/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AD - Unlisted T1 - Econometric tests of asset price bubbles: taking stock PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-04 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762807; Publication Type: Working Paper; Update Code: 200502 N2 - Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time-varying or regime-switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved. L3 - http://www.federalreserve.gov/pubs/feds/2005/200504/200504abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762807&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200504/200504abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coulibaly, Brahima AD - Unlisted T1 - Effects of financial autarky and integration: the case of the South Africa embargo PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 839 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799117; Publication Type: Working Paper; Update Code: 200511 N2 - The economic embargo imposed on South Africa between 1985 and 1993 brought the country closer to financial isolation. This paper interprets the imposition and removal of the embargo as financial autarky and financial integration 'natural experiments', and studies the effects on the economy. The aggregate data indicate a decrease in the levels and growth rates of investment, capital, and output during the embargo period relative to the pre-embargo and post-embargo periods. To further rationalize the findings in the aggregate data, we calibrate a neoclassical growth model to the South African economy. During the transition to steady-state, we model the embargo by limiting the country's ability to borrow for a period corresponding to the duration of the embargo. The derived dynamics for investment, capital, and output support the view of a positive (negative) link between financial integration (isolation) and economic growth. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/839/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799117&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/839/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Perozek, Maria AD - Unlisted T1 - Escaping the Samaritan's dilemma: implications of a dynamic model of altruistic intergenerational transfers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-67 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813731; Publication Type: Working Paper; Update Code: 200602 N2 - This paper explores how altruistic parents structure transfer rules in response to potential incentive problems and how the investment behavior of children is influenced by these transfer policies. To investigate these issues, I develop a dynamic model of altruistic transfers in which transfers can be tied to the purchase of human capital investment. Numerical solutions are examined to provide insight into the predictions of the model for transfer behavior and investment by family size. The dynamic framework developed in the paper is used to guide the interpretation of data on transfers and education investment by children in the Health and Retirement Survey. The data are consistent with the prediction of the model that children in larger families invest more in education conditional on initial transfers. L3 - http://www.federalreserve.gov/pubs/feds/2005/200567/200567abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813731&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200567/200567abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Greenspan, Alan AU - Kennedy, James AD - Unlisted AD - Unlisted T1 - Estimates of home mortgage originations, repayments, and debt on one-to-four-family residences PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-41 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799116; Publication Type: Working Paper; Update Code: 200511 N2 - Since 1997, when the Department of Housing and Urban Development discontinued its quarterly gross mortgage flow system, there has been no systematic attempt to disaggregate the net change in outstanding home mortgage debt into its constituent gross flows. Using a different approach, we have developed a system that reconciles the change in regular home mortgage debt with mortgage flows. The latter includes home purchase and refinance originations, and mortgage purchases, sales, and repayments for five types of mortgage originators and six categories of other mortgagees. In the process, we derive the sources of equity extraction from homes financed by mortgages. L3 - http://www.federalreserve.gov/pubs/feds/2005/200541/200541abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799116&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200541/200541abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - Estimating elasticities for U.S. trade in services PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 836 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795074; Keywords: International trade - Econometric models ; Elasticity (Economic); Publication Type: Working Paper; Update Code: 200510 N2 - Explanations of the persistent deficit in U.S. net exports of goods rest on macroeconomic developments and an asymmetry in elasticities: the income elasticity for imports being larger than the income elasticity for exports. Such macroeconomic developments are not applicable to the equally persistent surplus in U.S. net exports of services unless the income elasticities for services exhibit the reversed asymmetry. There have been surprisingly few attempts to demonstrate the existence of this reversed asymmetry, a task that I undertake here. Specifically, I estimate income and price elasticities for U.S. trade in services and evaluate the importance of simultaneity and aggregation biases. The analysis reveals two findings. First, the income elasticity for U.S. exports of services is significantly greater than the income elasticity for U.S. imports of services. Second, disaggregation is the most important aspect of econometric design in this area. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/836/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795074&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/836/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hjalmarsson, Erik AD - Unlisted T1 - Estimation of average local-to-unity roots in heterogenous panels PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 852 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837715; Publication Type: Working Paper; Update Code: 200605 N2 - This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters. The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead. This median estimator has a small asymptotic bias that can be eliminated almost completely by a bias correction procedure. The asymptotic normality of the estimator is proved. The methods proposed in the paper provide a useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root tests. L3 - http://www.federalreserve.gov/pubs/ifdp/2006/852/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837715&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2006/852/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marazzi, Mario AU - Sheets, Nathan AU - Vigfusson, Robert J. AU - Faust, Jon AU - Gagnon, Joseph AU - Marquez, Jaime AU - Martin, Robert F. AU - Reeve, Trevor AU - Rogers, John AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exchange rate pass-through to U.S. import prices: some new evidence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 833 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775204; Publication Type: Working Paper; Update Code: 200506 N2 - This paper documents a sustained decline in exchange rate pass-through to U.S. import prices, from above 0.5 during the 1980s to somewhere in the neighborhood of 0.2 during the last decade. This decline in the pass-through coefficient is robust to the measure of foreign prices that is included in the regression (i.e., CPI versus PPI), whether the estimation is done in levels or differences, and whether U.S. prices are included as an explanatory variable. Notably, the largest estimates of pass-through are obtained when commodity prices are excluded from the regression. In this case, the pass-through coefficient captures both the direct effect of the exchange rate on import prices and an indirect effect operating through changes in commodity prices. Our work indicates that an increasing share of exchange rate pass-through has occurred through this commodity-price channel in recent years. While the source of the decline in pass-through is difficult to pin down with certainty, our work points to several factors, including the reduced share of (commodity-intensive) industrial supplies in U.S. imports and the increased presence of Chinese exporters in U.S. markets. We detect a particular step down in the pass-through coefficient around the time of the Asian financial crisis and document a shift in the export pricing behavior of emerging Asian firms around that time. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/833/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/833/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Guerrieri, Luca AU - Gust, Christopher AD - Unlisted AD - Unlisted AD - Unlisted T1 - Expansionary fiscal shocks and the trade deficit PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 825 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765207; Keywords: Balance of trade ; Budget deficits; Publication Type: Working Paper; Update Code: 200503 N2 - In this paper, we use an open economy DGE model (SIGMA) to assess the quantitative effects of fiscal shocks on the trade balance in the United States. We examine the effects of two alternative fiscal shocks: a rise in government consumption, and a reduction in the labor income tax rate. Our salient finding is that a fiscal deficit has a relatively small effect on the U.S. trade balance, irrespective of whether the source is a spending increase or tax cut. In our benchmark calibration, we find that a rise in the fiscal deficit of one percentage point of GDP induces the trade balance to deteriorate by less than 0.2 percentage point of GDP. Noticeably larger effects are only likely to be elicited under implausibly high values of the short-run trade price elasticity. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/825/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/825/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reifschneider, David L. AU - Roberts, John M. AD - Unlisted AD - Unlisted T1 - Expectations formation and the effectiveness of strategies for limiting the consequences of the zero bound on interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-70 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813736; Publication Type: Working Paper; Update Code: 200602 N2 - We use simulations of the Federal Reserve's FRB/US model to examine the efficacy of a number of proposals for reducing the consequences of the zero bound on nominal interest rates. Among the proposals are: a more aggressive monetary policy; promises to make up any shortfall in monetary ease during the zero-bound period by keeping interest rates lower in the future; and the adoption of a price-level target. We consider two assumptions about expectations formation. One assumption is fully model-consistent expectations (MCE)--a reasonable assumption when a policy has been in place for some time, but perhaps less so for a newly announced policy. We therefore also consider the possibility that only financial markets have MCE, and that other agents form their expectations using a small-scale VAR model estimated using historical data. All of the policies noted above are highly effective at reducing the adverse effects of the zero bound under MCE, but their efficacy drops considerably when households and firms base their expectations on the historical average behavior of the economy, and only investors fully recognize the economic implications of the various proposals. L3 - http://www.federalreserve.gov/pubs/feds/2005/200570/200570abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813736&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200570/200570abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhang, Benjamin Yibin AU - Zhou, Hao AU - Zhu, Haibin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Explaining credit default swap spreads with the equity volatility and jump risks of individual firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-63 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809531; Publication Type: Working Paper; Update Code: 200601 N2 - A structural model with stochastic volatility and jumps implies specific relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market. We use a novel approach to identify the realized jumps of individual equities from high frequency data. Our empirical results suggest that volatility risk alone predicts 50 percent of the variation in CDS spreads, while jump risk alone forecasts 19 percent. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 77 percent of the total variation. Moreover, the pricing effects of volatility and jump measures vary consistently across investment-grade and high-yield entities. The estimated nonlinear effects of volatility and jumps are in line with the model-implied relationships between equity returns and credit spreads. L3 - http://www.federalreserve.gov/pubs/feds/2005/200563/200563abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809531&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200563/200563abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Explaining the global pattern of current account imbalances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 846 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809533; Publication Type: Working Paper; Update Code: 200601 N2 - This paper assesses some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years: in particular, the large U.S. current account deficit and the large surpluses of the Asian developing economies. Based on the approach developed by Chinn and Prasad (2003), we use data for 61 countries during 1982-2003 to estimate panel regression models for the ratio of the current account balance to GDP. We find that a model that includes as its explanatory variables the standard determinants of current accounts proposed in the literature--per capita income, relative growth rates, the fiscal balance, demographic variables, and economic openness--can account for neither the large U.S. deficit nor large Asian surpluses of the 1997-2003 period. However, when we include a variable representing financial crises, which might be expected to restrain domestic demand and boost the current account balance, the model explains much of developing Asia's swing into surplus since 1997. Even so, the model cannot explain why the capital outflows associated with Asia's current account surpluses were channeled primarily into the U.S. economy. Observers have pointed to strong growth performance and a favorable institutional environment as elements attracting foreign investment into the United States, and we found strong evidence that good performance in these areas significantly reduces the current account balance. While a model incorporating these factors still fails to predict the large U.S. current account deficit (and, in fact, predicts a slight surplus), it does predict a U.S. current account balance that is relatively weaker than the aggregate balance of developing Asia. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/846/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809533&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/846/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tallarini, Thomas D., Jr. AU - Zhang, Harold H. AD - Unlisted AD - Unlisted T1 - External habit and the cyclicality of expected stock returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-27 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0787879; Keywords: Capital assets pricing model ; Stocks--Rate of return; Publication Type: Working Paper; Update Code: 200508 N2 - We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method of moments (EMM). Given the estimated structural parameters we examine the cyclical behavior of expected stock returns in the model. We find that the estimated structural parameters imply countercyclical expected stock returns as documented in existing empirical studies. The model, however, is still rejected at the one percent level. Detailed examination of the moment conditions in our estimation indicates that the model performs reasonably well in matching the mean of returns, but it fails to capture the higher order moments. L3 - http://www.federalreserve.gov/pubs/feds/2005/200527/200527abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0787879&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200527/200527abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zanna, Luis-Felipe AD - Unlisted T1 - Fighting against currency depreciation, macroeconomic instability, and sudden stops PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 848 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837713; Keywords: Interest rates ; Equilibrium (Economics); Publication Type: Working Paper; Update Code: 200605 N2 - In this paper we show that in the aftermath of a crisis, a government that changes the nominal interest rate in response to currency depreciation can induce aggregate instability in the economy by generating self-fulfilling endogenous cycles. In particular if a government raises the interest rate proportionally more than an increase in currency depreciation then it induces self-fulfilling cyclical equilibria that are able to replicate some of the empirical regularities of emerging market crises. We construct an equilibrium characterized by the self-validation of people's expectations about currency depreciation and by the following stylized facts of the "Sudden Stop" phenomenon: a decline in domestic production and aggregate demand, a significantly larger currency depreciation, a collapse in asset prices, a sharp correction in the price of traded goods relative to non-traded goods, and an improvement in the current account deficit. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/848/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837713&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/848/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Croke, Hilary AU - Kamin, Steven B. AU - Leduc, Sylvain AD - Unlisted AD - Unlisted AD - Unlisted T1 - Financial market developments and economic activity during current account adjustments in industrial economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 827 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769026; Keywords: Balance of payments ; Balance of trade; Publication Type: Working Paper; Update Code: 200504 N2 - Much has been written about prospects for U.S. current account adjustment, including the possibility of what is sometimes referred to as a "disorderly correction": a sharp fall in the exchange rate that boosts interest rates, depresses stock prices, and weakens economic activity. This paper assesses some of the empirical evidence bearing on the likelihood of the disorderly correction scenario, drawing on the experience of previous current account adjustments in industrial economies. We examined the paths of key economic performance indicators before, during, and after the onset of adjustment, building on the analysis of Freund (2000). We found little evidence among past adjustment episodes of the features highlighted by the disorderly correction hypothesis. Although some episodes in our sample experienced significant shortfalls in GDP growth after the onset of adjustment, these shortfalls were not associated with significant and sustained depreciations of real exchange rates, increases in real interest rates, or declines in real stock prices. By contrast, it was among the episodes where GDP growth picked up during adjustment that the most substantial depreciations of real exchange rates occurred. These findings do not preclude the possibility that future current account adjustments could be disruptive, but they weaken the historical basis for predicting such an outcome. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/827/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769026&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/827/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amromin, Gene AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - From the horse's mouth: gauging conditional expected stock returns from investor surveys PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-26 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782011; Publication Type: Working Paper; Update Code: 200507 N2 - We use data obtained from a series of Michigan Surveys of Consumer Attitudes to study stock market beliefs and portfolio choices of individual investors. We find that expected returns over the medium- and long-term horizon appear to be extrapolated from past realized returns. The findings also indicate that a more optimistic assessment of macroeconomic conditions coincides with higher expected returns and lower expected volatility, implying strongly procyclical Sharpe ratios. These results are given added credence by the empirical finding that reported portfolio concentrations in equities tend to be higher for respondents who anticipate higher returns and lower uncertainty. Overall, our empirical results lend support to the hypothesis that equity valuations are lower during recessions--and--subsequent returns are higher--because of undue pessimism about future returns, rather than high risk aversion. L3 - http://www.federalreserve.gov/pubs/feds/2005/200526/200526abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782011&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200526/200526abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AU - Hendry, David F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - General-to-specific modeling: an overview and selected bibliography PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 838 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795073; Keywords: Econometrics ; Econometric models; Publication Type: Working Paper; Update Code: 200510 N2 - This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/838/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795073&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/838/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Millar, Jonathan N. AD - Unlisted T1 - Gestation lags and the relationship between investment and Q in regressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-28 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0787880; Keywords: Capital investments ; Tobin's q; Publication Type: Working Paper; Update Code: 200508 N2 - Regressions of investment on Tobin's Q are misspecified in the presence of capital gestation lags because they don't distinguish between the value of existing capital and the value of capital at a future date. Current investment should be determined by the anticipated shadow value of capital at the gestation horizon. Under homogeneity conditions analogous to Hayashi[1982], this value is equal to the forecast of an adjusted version of Q. This misspecification helps to explain many pathologies in the literature: attenuated estimates of the coefficient on Q, low R2, and serially-correlated errors. Regressions using aggregate data suggest that (1) endogeneity problems associated with the standard regression of investment on Q can can be eliminated by reversing the regression, (2) forecastable changes in Q provide additional information about investment not captured in current Q, and (3) specifications that explicitly account for gestation lags yield capital adjustment costs of a more reasonable magnitude. L3 - http://www.federalreserve.gov/pubs/feds/2005/200528/200528abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0787880&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200528/200528abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Millar, Jonathan N. AD - Unlisted T1 - Gestation lags for capital, cash flows, and Tobins's Q PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-24 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782014; Publication Type: Working Paper; Update Code: 200507 N2 - Investment models typically assume that capital becomes productive almost immediately after purchase and that there is no lead time needed to plan. In the case, marginal q is usually sufficient for investment. This paper develops a model of aggregate investment where competitive firms face no adjustment costs other than building and planning delays. In this context, both Tobin's Q and cash flow can be noisy indicators of investment because some shocks fail to outlast the combined gestation lag. The paper demonstrates some empirical facts that challenge prevailing theories of investment but are consistent with gestation requirements. Regressions using aggregate data suggest that it takes at least four quarters for investment to respond to technology shocks and as many as eight additional quarters before productive capacity is affected. Estimates from structural VARs show that only permanent shocks affect investment, but that cash flow and Q react to both permanent and transitory shocks. L3 - http://www.federalreserve.gov/pubs/feds/2005/200524/200524abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782014&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200524/200524abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Quintin, Erwan AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Growing old together: firm survival and employee turnover PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-22 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782012; Publication Type: Working Paper; Update Code: 200507 N2 - Labor market outcomes such as turnover and earnings are correlated with employer characteristics, even after controlling for observable differences in worker characteristics. We argue that this systematic relationship constitutes strong evidence in favor of models where workers choose how much to invest in future productivity. Because employer characteristics are correlated with firm survival, returns to these investments vary across firm types. We describe a dynamic general equilibrium model where workers employed in firms more likely to survive choose to devote more time to productivity enhancing activities, and therefore have a steeper earnings-tenure profile. Our model also predicts that quit rates should be lower in firms more likely to survive, and should tend to fall during slow times, while job destruction rates should rise. These predictions, we argue, are borne out by the existing empirical evidence. L3 - http://www.federalreserve.gov/pubs/feds/2005/200522/200522abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782012&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200522/200522abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AU - Passmore, Wayne AU - Sherlund, Shane M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - GSEs, mortgage rates, and secondary market activities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-07 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765201; Keywords: Government-sponsored enterprises ; Secondary markets; Publication Type: Working Paper; Update Code: 200503 N2 - Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) that purchase mortgages and issue mortgage-backed securities (MBS). In addition, the GSEs are active participants in the primary and secondary mortgage markets on behalf of their own portfolios of MBS. Because these portfolios have grown quite large, portfolio purchases as well as MBS issuance are likely to be important forces in the mortgage market. This paper examines the statistical evidence of a connection between GSE actions and the interest rates paid by mortgage borrowers. We find that both portfolio purchases and MBS issuance have negligible effects on mortgage rate spreads and that purchases are not any more effective than securitization at reducing mortgage interest rate spreads. We also examine the 1998 liquidity crisis and find that GSE portfolio purchases did little to affect interest rates paid by borrowers. These results are robust to alternative assumptions about causality and to model specification. L3 - http://www.federalreserve.gov/pubs/feds/2005/200507/200507abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200507/200507abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tulip, Peter AD - Unlisted T1 - Has output become more predictable? changes in Greenbook forecast accuracy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-31 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795066; Publication Type: Working Paper; Update Code: 200510 N2 - Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, I find the evidence is somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power. L3 - http://www.federalreserve.gov/pubs/feds/2005/200531/200531abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795066&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200531/200531abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benitez-Silva, Hugo AU - Buchinsky, Moshe AU - Rust, John AU - Boz, Emine AU - Nichols, Joseph B. AU - Roy, Sharbani AU - Tristao, Ignez AD - Dept. of Economics, SUNY at Stony Brook AD - UCLA and NBER AD - University of Maryland AD - University of Maryland AD - Board of Governors of the Federal Reserve System AD - NERA AD - University of Maryland T1 - Health Status, Insurance, and Expenditures in the Transition from Work to Retirement PB - Stony Brook University, Department of Economics, Department of Economics Working Papers: 05-11 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1155921; Publication Type: Working Paper; Update Code: 201103 N2 - This paper analyzes the dynamics of health insurance coverage, health expenditures, and health status in the decade expanding from 1992 to 2002, for a cohort of older Americans. We follow 13,594 individuals interviewed in Waves 1 to 6 of the Health and Retirement Study, most of whom were born between 1930 and 1940, as they transition from work into retirement. Although this "depression cohort" is by and large fairly well prepared for retirement in terms of pension coverage and savings, we identify significant gaps in their health insurance coverage, especially among the most disadvantaged members of this cohort. We find that government health insurance programs--particularly Medicare and Medicaid--significantly reduce the number of individuals who are uninsured and the risks of large out of pocket health care costs. However, prior to retirement large numbers of these respondents were uninsured, nearly 18% at the first survey in 1992. Moreover, a much larger share, about 55% of this cohort, are transitorily uninsured, that is, they experience one or more spells, lasting from several months to several years, without health insurance coverage. We also identify a much smaller group of persistently uninsured individuals, and show that this group has significantly less wealth, and higher rates of poverty, unemployment, and health problems, disability, and higher mortality rates than the rest of the members of the cohort under study. We provide evidence that lack of health insurance coverage is correlated with reduced utilization of health care services; for example, respondents with no health insurance visit the doctor one fourth as often as those with private insurance and are also more likely to report declines in health status. We also analyze the components of out of pocket health care costs, and show that prescription drug costs constituted a rapidly rising share of the overall cost of health care during the period of analysis. L3 - http://ms.cc.sunysb.edu/~hbenitezsilv/inspaper.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1155921&site=ehost-live&scope=site UR - http://ms.cc.sunysb.edu/~hbenitezsilv/inspaper.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris A. AU - Martin, Robert F. AD - Unlisted AD - Unlisted T1 - Housing, house prices, and the equity premium puzzle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-13 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769023; Publication Type: Working Paper; Update Code: 200504 N2 - Many recent papers have claimed that when housing services are treated separately from other forms of consumption in utility, a wide range of economic puzzles such as the equity premium puzzle can be explained. Our paper challenges these claims. The key assumption embedded in this literature is that households are not very willing to substitute housing services for consumption. We show that housing services and consumption must be much more substitutable than has been assumed for a neoclassical consumption model to be consistent with U.S. house price data. Further, when forced to match both historical house prices and stock returns, the lowest risk-free rate the model can generate is 11 percent. L3 - http://www.federalreserve.gov/pubs/feds/2005/200513/200513abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769023&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200513/200513abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aaronson, Stephanie AU - Figura, Andrew AD - Unlisted AD - Unlisted T1 - How biased are measures of cyclical movements in productivity and hours? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-38 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799113; Publication Type: Working Paper; Update Code: 200511 N2 - The movement of hours worked over the business cycle is an important input into the estimation of many key parameters in macroeconomics. Unfortunately, the available data on hours do not correspond precisely to the concept required for accurate inference. We study one source of mismeasurement--that the most commonly used source data measure hours paid instead of hours worked--focusing our attention on salaried workers, a group for whom the gap between hours paid and hours worked is likely particularly large. We show that the measurement gap varies significantly and positively with changes in labor demand. As a result, we estimate that the standard deviations of the workweek and of total hours worked are 25 and 6 percent larger, respectively, than standard measures of hours suggest. We also find that this measurement gap is an unlikely source of the acceleration in published measures of productivity since 2000. L3 - http://www.federalreserve.gov/pubs/feds/2005/200538/200538abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799113&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200538/200538abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amromin, Gene AU - Harrison, Paul AU - Liang, Nellie AU - Sharpe, Steve AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - How did the 2003 dividend tax cut affect stock prices and corporate payout policy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-57 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809523; Publication Type: Working Paper; Update Code: 200601 N2 - We examine the effects of the 2003 dividend tax cut on U.S. stock prices and corporate payout policies. First, using an event-study methodology, we compare the performance of U.S. stocks to that of other securities that should not have benefited from the tax change. We find that U.S. large-cap and small-cap indexes do not outperform their European counterparts, nor REIT stocks, over the event windows, suggesting little if any aggregate stock market effect from the tax change. In cross-sectional analysis, high-dividend stocks outperformed low-dividend stocks by a few percentage points over the event windows. On the other hand, non-dividend paying stocks are found to have outperformed the overall market by a small margin, but this result does not appear specific to the event windows, suggesting that non-tax factors were at play. Second, the tax change did appear to induce an increase in dividends, especially at firms where executive compensation was weighted more heavily toward stock than options. However, the effect on total payouts was more muted, as many firms scaled back share repurchases. L3 - http://www.federalreserve.gov/pubs/feds/2005/200557/200557abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809523&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200557/200557abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amromin, Gene AU - Harrison, Paul AU - Sharpe, Steven AD - Unlisted AD - Unlisted AD - Unlisted T1 - How did the 2003 dividend tax cut affect stock prices? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-61 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809529; Publication Type: Working Paper; Update Code: 200601 N2 - We test the hypothesis that the 2003 dividend tax cut boosted U.S. stock prices and thus lowered the cost of equity. Using an event-study methodology, we attempt to identify an aggregate stock market effect by comparing the behavior of U.S. common stock prices to that of European stocks and real estate investment trusts. We also examine the relative cross-sectional response of stock prices for high-dividend and low-dividend stocks. We find that U.S. large-cap and small-cap indexes do not outperform their European counterparts, nor REIT stocks, over the event windows, suggesting the absence of a notable aggregate stock market effect. Second, high-dividend-yield stocks outperformed low-dividend-yield stocks by a few percentage points over the event windows, consistent with the hypothesis that investors heavily discounted future dividends, though this outperformance appears to dissipate in subsequent weeks. Finally, non-dividend paying stocks are found to have outperformed the overall market by a small margin, but this result does not appear to be tied to tax-cut news, suggesting that non-tax factors were at play. L3 - http://www.federalreserve.gov/pubs/feds/2005/200561/200561abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809529&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200561/200561abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Airaudo, Marco AU - Zanna, Luis-Felipe AD - Unlisted AD - Unlisted T1 - Interest rate rules, endogenous cycles, and chaotic dynamics in open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 849 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0837714; Keywords: Interest rates ; Equilibrium (Economics); Publication Type: Working Paper; Update Code: 200605 N2 - In this paper we present an extensive analysis of the consequences for global equilibrium determinacy of implementing active interest rate rules (i.e. monetary rules where the nominal interest rate responds more than proportionally to changes in inflation) in flexible-price open economies. We show that conditions under which these rules generate aggregate instability by inducing cyclical and chaotic equilibrium dynamics depend on particular characteristics of open economies such as the degree of (trade) openness and the degree of exchange rate pass-through implied by the presence of non-traded distribution costs. For instance, we find that a forward-looking rule is more prone to induce endogenous cyclical and chaotic dynamics the more open the economy and the higher the degree of exchange rate pass-through. The existence of these dynamics and their dependence on the degree of openness are in general robust to different timings of the rule (forward-looking versus contemporaneous rules), to the use of alternative measures of inflation in the rule (CPI versus Core inflation), as well as to changes in the timing of real money balances in liquidity services ("cash-when-I-am-done" timing versus "cash-in-advance" timing). L3 - http://www.federalreserve.gov/pubs/ifdp/2005/849/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0837714&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/849/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AU - Warnock, Veronica C. AD - Unlisted AD - Unlisted T1 - International capital flows and U.S. interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 840 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807023; Keywords: Capital movements ; Interest rates; Publication Type: Working Paper; Update Code: 200512 N2 - Foreign flows have an economically large and statistically significant impact on long-term interest rates. Controlling for various macroeconomic factors we estimate that had there been no foreign flows into U.S. bonds over the past year, the 10-year Treasury yield would currently be 150 basis points higher; even a step-down to average inflows would imply an increase of 105 basis points. The impact of the headline-making foreign official flows--a relatively small subset of total foreign accumulation of U.S. bonds--is also significant but markedly smaller. Our results are robust to a number of alternative specifications. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/840/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807023&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/840/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corsetti, Giancarlo AU - Dedola, Luca AU - Leduc, Sylvain AD - Unlisted AD - Unlisted AD - Unlisted T1 - International risk-sharing and the transmission of productivity shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 826 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769025; Keywords: International finance ; Foreign exchange rates ; Consumption (Economics); Publication Type: Working Paper; Update Code: 200504 N2 - A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to efficient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that a standard international business cycle model with incomplete asset markets augmented with distribution services can account quantitatively for these properties of real exchange rates. Distribution services, intensive in local inputs, drive a wedge between producer and consumer prices, thus lowering the impact of terms-of-trade changes on optimal agents' decisions. This reduces the price elasticity of tradables separately from assumptions on preferences. Two very different patterns of the international transmission of positive technology shocks generate the observed degree of risk-sharing: one associated with improving, the other with deteriorating terms of trade and real exchange rate. In both cases, large equilibrium swings in international relative prices magnify consumption risk due to country-specific shocks, running counter to risk sharing. Suggestive evidence on the effect of productivity changes in U.S. manufacturing is found in support of the first transmission pattern, questioning the presumption that terms-of-trade movements in response to supply shocks invariably foster international risk-pooling. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/826/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769025&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/826/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AU - Henderson, Dale W. AU - Kim, Jinill AD - Unlisted AD - Unlisted AD - Unlisted T1 - Investment-specific and multifactor productivity in multi-sector open economies: data and analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 828 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769027; Keywords: Industrial productivity ; Labor productivity; Publication Type: Working Paper; Update Code: 200504 N2 - In the last half of the 1990s, labor productivity growth rose in the U.S. and fell almost everywhere in Europe. We document changes in both capital deepening and multifactor productivity (MFP) growth in both the information and communication technology (ICT) and non-ICT sectors. We view MFP growth in the ICT sector as investment-specific productivity (ISP) growth. We perform simulations suggested by the data using a two-country DGE model with traded and nontraded goods. For ISP, we consider level increases and persistent growth rate increases that are symmetric across countries and allow for costs of adjusting capital-labor ratios that are higher in one country because of structural differences. ISP increases generate investment booms unless adjustment costs are too high. For MFP, we consider persistent growth rate shocks that are asymmetric. When such MFP shocks affect only traded goods (as often assumed), movements in 'international' variables are qualitatively similar to those in the data. However, when they also affect nontraded goods (as suggested by the data), movements in some of the variables are not. To obtain plausible results for the growth rate shocks, it is necessary to assume slow recognition. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/828/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769027&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/828/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Saks, Raven E. AD - Unlisted T1 - Job creation and housing construction: constraints on metropolitan area employment growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-49 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807017; Publication Type: Working Paper; Update Code: 200512 N2 - Differences in the supply of housing generate substantial variation in housing prices across the United States. Because housing prices influence migration, the elasticity of housing supply also has an important impact on local labor markets. Specifically, an increase in labor demand will translate into less employment growth and higher wages in places where it is relatively difficult to build new houses. To identify metropolitan areas where the supply of housing is constrained, I assemble evidence on housing supply regulations from a variety of sources. In places with relatively few barriers to construction, an increase in housing demand leads to a large number of new housing units and only a moderate increase in housing prices. In contrast, for an equal demand shock, places with more regulation experience a 17 percent smaller expansion of the housing stock and almost double the increase in housing prices. Furthermore, I find that housing supply regulations have a significant effect on local labor market dynamics. Whereas a 1 percent increase in labor demand generally leads to a 1 percent increase in the long-run level of employment, the employment response is less than 0.8 percent in places where the housing supply is highly constrained. L3 - http://www.federalreserve.gov/pubs/feds/2005/200549/200549abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807017&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200549/200549abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce AU - Fleischman, Charles AU - Rebitzer, James B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Job-hopping in Silicon Valley: some evidence concerning the micro-foundation of a high technology cluster PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-11 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769024; Publication Type: Working Paper; Update Code: 200504 N2 - In Silicon Valley's computer cluster, skilled employees are reported to move rapidly between competing firms. If true, this job-hopping facilitates the reallocation of resources towards firms with superior innovations, but it also creates human capital externalities that reduce incentives to invest in new knowledge. Outside of California, employers can use non-compete agreements to reduce mobility costs, but these agreements are unenforceable under California law. Until now, the claim of "hyper-mobility" of workers in Silicon has not been rigorously investigated. Using new data on labor mobility we find higher rates of job-hopping for college-educated men in Silicon Valley's computer industry than in computer clusters located out of the state. Mobility rates in other California computer clusters are similar to Silicon Valley's, suggesting some role for state laws restricting non-compete agreements. Outside of the computer industry, California's mobility rates are no higher than elsewhere. L3 - http://www.federalreserve.gov/pubs/feds/2005/200511/200511abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769024&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200511/200511abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-53 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809520; Publication Type: Working Paper; Update Code: 200601 N2 - Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters. L3 - http://www.federalreserve.gov/pubs/feds/2005/200553/200553abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809520&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200553/200553abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pritsker, Matthew AD - Unlisted T1 - Large investors: implications for equilibrium asset returns, shock absorption, and liquidity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-36 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799112; Publication Type: Working Paper; Update Code: 200511 N2 - The growing share of financial assets that are held and managed by large institutional investors whose desired trades move asset prices is at odds with the traditional competitive assumption that investors are small and take prices as given. This paper relaxes the traditional price-taking assumption and instead presents a dynamic multiple asset model of imperfect competition in asset markets among large investors who differ in their risk aversion. The model is used to study asset price dynamics during an LTCM-like scenario in which market rumors of distressed asset sales are followed at a later date by the sales themselves. Using the model, it is shown that large investors front-run distressed sales; asset prices overshoot their long-run fundamentals; and asset pricing models experience temporary breakdown. During the period of model breakdown assets equilibrium returns are explained by the market portfolio and by transient liquidity factors. L3 - http://www.federalreserve.gov/pubs/feds/2005/200536/200536abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799112&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200536/200536abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wang, Junbo AU - Wu, Chunchi AU - Zhang, Frank AD - Unlisted AD - Unlisted AD - Unlisted T1 - Liquidity, default, taxes and yields on municipal bonds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-35 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795068; Publication Type: Working Paper; Update Code: 200510 N2 - We examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the liquidity risk of municipals and its effect on bond yields. We find that a substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributable to the liquidity premium. Controlling for the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and corporations, and these tax rate estimates are remarkably stable over maturities. L3 - http://www.federalreserve.gov/pubs/feds/2005/200535/200535abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795068&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200535/200535abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Measuring counterparty credit exposure to a margined counterparty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-50 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809518; Publication Type: Working Paper; Update Code: 200601 N2 - Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi-analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin. L3 - http://www.federalreserve.gov/pubs/feds/2005/200550/200550abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809518&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200550/200550abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - Modelling inflation dynamics: a critical review of recent research PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-66 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813735; Publication Type: Working Paper; Update Code: 200602 N2 - In recent years, a broad academic consensus has arisen around the use of rational expectations sticky-price models to capture inflation dynamics. These models are seen as providing an empirically reasonable characterization of observed inflation behavior once suitable measures of the output gap are chosen; and, moreover, are perceived to be robust to the Lucas critique in a way that earlier econometric models of inflation are not. We review the principal conclusions of this literature concerning: 1) the ability of these models to fit the data; 2) the importance of rational forward-looking expectations in price setting; and 3) the appropriate measure of inflationary pressures. We argue that existing rational expectations sticky-price models fail to provide a useful empirical description of the inflation process, especially relative to traditional econometric Phillips curves of the sort commonly employed for policy analysis and forecasting. L3 - http://www.federalreserve.gov/pubs/feds/2005/200566/200566abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813735&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200566/200566abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahearne, Alan G. AU - Ammer, John AU - Doyle, Brian M. AU - Kole, Linda S. AU - Martin, Robert F. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and house prices: a cross-country study PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 841 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807020; Keywords: Monetary policy ; Housing--Prices; Publication Type: Working Paper; Update Code: 200512 N2 - This paper examines periods of pronounced rises and falls of real house prices since 1970 in eighteen major industrial countries, with particular focus on the lessons for monetary policy. We find that real house prices are pro-cyclical--co-moving with real GDP, consumption, investment, CPI inflation, budget and current account balances, and output gaps. House price booms are typically preceded by a period of easing monetary policy, but then diminishing slack and rising inflation lead monetary authorities to begin tightening policy before house prices peak. In a careful reading of official reports, speeches, and minutes, we find little evidence that foreign central banks have reacted to past episodes of rising real house prices beyond taking into account their implications for inflation and output growth. However, central bankers have expressed a range of opinions in the more recent policy debate with some willing in certain cases to raise policy rates to try to stem current and future surges in asset prices while others favor moral suasion or a hands-off approach. Finally, we characterize the risks associated with house-price reversals. Although mortgage lenders in some countries have significant exposure to house prices, the balance of evidence suggests that this exposure does not, in and of itself, pose a significant risk to financial stability. Nevertheless, the co-movement of both property prices and default rates with the business cycle means that losses on mortgage lending are likely to be higher when banks' other lines of business are also performing poorly. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/841/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807020&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/841/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Monetary policy with imperfect knowledge PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-51 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809519; Publication Type: Working Paper; Update Code: 200601 N2 - We examine the performance and robustness of monetary policy rules when the central bank and the public have imperfect knowledge of the economy and continuously update their estimates of model parameters. We find that versions of the Taylor rule calibrated to perform well under rational expectations with perfect knowledge perform very poorly when agents are learning and the central bank faces uncertainty regarding natural rates. In contrast, difference rules, in which the change in the interest rate is determined by the inflation rate and the change in the unemployment rate, perform well when knowledge is both perfect and imperfect. L3 - http://www.federalreserve.gov/pubs/feds/2005/200551/200551abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809519&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200551/200551abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Giannone, Domenico AU - Reichlin, Lucrezia AU - Small, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-42 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807012; Keywords: Economic forecasting ; Gross domestic product ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200512 N2 - This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables, and this effect is larger than that of the Employment Report. When we control for timeliness of the releases, the effect of hard data becomes sizeable. Prices and quantities affect the precision of the estimates of inflation, while GDP is affected only by real variables and interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2005/200542/200542abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807012&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200542/200542abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chugh, Sanjay K. AD - Unlisted T1 - Optimal fiscal and monetary policy with sticky wages and sticky prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 834 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0792954; Keywords: Inflation (Finance) - Mathematical models ; Monetary policy - Mathematical models ; Fiscal policy - Mathematical models; Publication Type: Working Paper; Update Code: 200509 N2 - We determine the optimal degree of price inflation volatility when nominal wages are sticky and the government uses state-contingent inflation to finance government spending. We address this question in a well-understood Ramsey model of fiscal and monetary policy, in which the benevolent planner has access to labor income taxes, nominal riskless debt, and money creation. One main result is that sticky wages alone make price stability optimal in the face of government spending shocks, to a degree quantitatively similar as sticky prices alone. With productivity shocks also present, optimal inflation volatility is higher, but still dampened relative to the fully-flexible economy. Key for our results is an equilibrium restriction between nominal price inflation and nominal wage inflation that holds trivially in a Ramsey model featuring only sticky prices. We also show that the nominal interest rate can be used to indirectly tax the rents of monopolistic labor suppliers. Interestingly, a necessary condition for the ability to use the nominal interest rate for this purpose is positive producer profits. Taken together, our results uncover features of Ramsey fiscal and monetary policy in the presence of labor market imperfections that are widely-believed to be important. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/834/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0792954&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/834/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chugh, Sanjay AD - Unlisted T1 - Optimal inflation persistence: Ramsey taxation with capital and habits PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 829 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775200; Keywords: Inflation (Finance) ; Econometric models ; Monetary policy; Publication Type: Working Paper; Update Code: 200506 N2 - Ramsey models of fiscal and monetary policy with perfectly-competitive product markets and a fixed supply of capital predict highly volatile inflation with no serial correlation. In this paper, we show that an otherwise-standard Ramsey model that incorporates capital accumulation and habit persistence predicts highly persistent inflation. The result depends on increases in either the ability to smooth consumption or the preference for doing so. The effect operates through the Fisher relationship: a smoother profile of consumption implies a more persistent real interest rate, which in turn implies persistent optimal inflation. Our work complements a recent strand of the Ramsey literature based on models with nominal rigidities. In these models, inflation volatility is lower but continues to exhibit very little persistence. We quantify the effects of habit and capital on inflation persistence and also relate our findings to recent work on optimal fiscal policy with incomplete markets. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/829/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/829/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Svensson, Lars E. O. AU - Tetlow, Robert J. AD - Unlisted AD - Unlisted T1 - Optimal policy projections PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-34 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795070; Publication Type: Working Paper; Update Code: 200510 N2 - We outline a method to provide advice on optimal monetary policy while taking policymakers' judgment into account. The method constructs optimal policy projections (OPPs) by extracting the judgment terms that allow a model, such as the Federal Reserve Board staff economic model, FRB/US, to reproduce a forecast, such as the Greenbook forecast. Given an intertemporal loss function that represents monetary policy objectives, OPPs are the projections---of target variables, instruments, and other variables of interest---that minimize that loss function for given judgment terms. The method is illustrated by revisiting the economy of early 1997 as seen in the Greenbook forecasts of February 1997 and November 1999. In both cases, we use the vintage of the FRB/US model that was in place at that time. These two particular forecasts were chosen, in part, because they were at the beginning and the peak, respectively, of the late 1990s boom period. As such, they differ markedly in their implied judgments of the state of the world in 1997 and our OPPs illustrate this difference. For a conventional loss function, our OPPs provide significantly better performance than Taylor-rule simulations. L3 - http://www.federalreserve.gov/pubs/feds/2005/200534/200534abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795070&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200534/200534abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, David W. AU - Chaboud, Alain P. AU - Chernenko, Sergey V. AU - Howorka, Edward AU - Iyer, Raj S. AU - Liu, David AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Order flow and exchange rate dynamics in electronic brokerage system data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 830 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775201; Keywords: Foreign exchange rates ; Electronic trading of securities; Publication Type: Working Paper; Update Code: 200506 N2 - We study the association between order flow and exchange rate returns in five years of high-frequency intraday data from the leading interdealer electronic broking system, EBS. While the association between order flow and exchange rate returns has been studied in several previous papers, these have mostly used relatively short spans of daily data from older bilateral dealing systems and, usually, transaction counts instead of actual trading volume. Using a substantially longer span of recent high-frequency data and measuring order flow as actual signed trading volume, we find a strong positive association between order flow and exchange rate returns at frequencies ranging from one minute to one day, and a more modest but still sizeable association at the monthly frequency. We find, however, no evidence that order flow has predictive power for future exchange rate movements beyond, possibly, the next minute. Focusing on the behavior of order flow and exchange rates at the time of scheduled U.S. economic data releases, we find that the surprise components of these announcements are associated with order flow at high frequency immediately after the data releases. This finding seems inconsistent with a simple efficient markets view of how a public news announcement is incorporated into prices. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/830/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/830/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lutz, Byron F. AD - Unlisted T1 - Post Brown vs. the Board of Education: the effects of the end of court-ordered desegregation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-64 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813734; Publication Type: Working Paper; Update Code: 200602 N2 - In the early 1990s, nearly forty years after Brown v. the Board of Education, three Supreme Court decisions dramaically altered the legal environment for court-ordered desegregation. Lower courts have released numerous school districts from their desegregation plans as a result. Over the same period racial segregation increased in public schools across the country--a phenomenon which has been termed resegregation. Using a unique dataset, this paper finds that dismissal of a court-ordered desegregation plan results in a gradual, moderate increase in racial segregation and an increase in black dropout rates and black private school attendance. The increased dropout rates and private school attendance are experienced only by districts located outside of the South Census region. There is no evidence of an effect on white student along any dimension. L3 - http://www.federalreserve.gov/pubs/feds/2005/200564/200564abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813734&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200564/200564abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amromin, Gene AD - Unlisted T1 - Precautionary savings motives and tax efficiency of household portfolios: an empirical analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-01 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762805; Publication Type: Working Paper; Update Code: 200502 N2 - Tax efficiency is the dominant consideration in theoretical portfolio models that allow for both taxable and tax-deferred accounts (TDAs). Investors are advised to locate higher-tax assets in their tax-deferred accounts, which in the Unites States commonly translates into "holding bonds inside TDAs and holding equities outside." Yet, observed portfolio allocations are not tax efficient. This paper empirically evaluates the predictions of a recent model designed to bridge the existing gap by explicitly incorporating uninsurable labor income risk and limited accessibility of TDA assets in household decisions [Amromin, 2003]. Together, these elements create tension between household's desire to maintain tax efficient allocations and its concern over the need to make costly TDA withdrawals in the event of bad income draws. This leads some borrowing-constrained households facing labor income risk and TDA access penalties to forgo tax efficiency in favor of allocations that provide more liquidity in bad income states--an outcome labeled as "precautionary portfolio choice." The empirical results based on household-level portfolio data from the Survey of Consumer Finances provide evidence that both the choice of whether to hold a tax efficient portfolio and the degree of portfolio tax inefficiency are related to the presence and severity of precautionary motives. L3 - http://www.federalreserve.gov/pubs/feds/2005/200501/200501abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762805&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200501/200501abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copeland, Adam AU - Dunn, Wendy AU - Hall, George J. AD - Board of Governors of the Federal Reserve System AD - Unlisted AD - Yale U T1 - Prices, Production and Inventories over the Automotive Model Year PB - Yale University, Department of Economics, Working Papers Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014065; Publication Type: Working Paper; Update Code: 200902 N2 - This paper studies the within-model-year pricing and production of new automobiles. Using new monthly data on U.S. transaction prices, we document that for the typical new vehicle, prices typically fall over the model year at a 9.2 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate a market equilibrium model for new automobiles in which inventory and pricing decisions are made simultaneously. On the demand side, we use micro-level data to estimate time-varying aggregate demand curves for each vehicle. On the supply side, we solve a dynamic programming model of an automaker that, while able to produce only one vintage of a product at a time, may accumulate inventories and consequently sell multiple vintages of the same product simultaneously. The profit maximizing pricing and production strategies under a build-to-stock inventory policy imply declining prices and hump-shaped sales and inventories of the magnitudes observed in the data. Further, roughly half of the price decline is driven by inventory control considerations, as opposed to decreasing demand. KW - Firm Behavior: Theory D21 L3 - http://www.econ.yale.edu/ddp/ddp00/ddp0002.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014065&site=ehost-live&scope=site UR - http://www.econ.yale.edu/ddp/ddp00/ddp0002.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copeland, Adam AU - Dunn, Wendy AU - Hall, George AD - Unlisted AD - Unlisted AD - Unlisted T1 - Prices, production, and inventories over the automotive model year PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-25 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782015; Publication Type: Working Paper; Update Code: 200507 N2 - This paper studies the within-model-year pricing and production of new automobiles. Using new monthly data on U.S. transaction prices, we document that for the typical new vehicle, prices typically fall over the model year at a 9.2 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate a market equilibrium model for new automobiles in which inventory and pricing decisions are made simultaneously. On the demand side, we use micro-level data to estimate time-varying aggregate demand curves for each vehicle. On the supply side, we solve a dynamic programming model of an automaker that, while able to produce only one vintage of a product at a time, may accumulate inventories and consequently sell multiple vintages of the same product simultaneously. The profit maximizing pricing and production strategies under a build-to-stock inventory policy imply declining prices and hump-shaped sales and inventories of the magnitudes observed in the data. Further, roughly half of the price decline is driven by inventory control considerations, as opposed to decreasing demand. L3 - http://www.federalreserve.gov/pubs/feds/2005/200525/200525abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782015&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200525/200525abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Quintin, Erwan AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Raising the bar for models of turnover PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-23 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782013; Publication Type: Working Paper; Update Code: 200507 N2 - It is well known that turnover rates fall with employee tenure and employer size. We document a new empirical fact about turnover: Among surviving employers, separation rates are positively related to industry-level exit rates, even after controlling for tenure and size. Specifically, in a dataset with over 13 million matched employee-employer observations for France, we find that, all else equal, a 1 percentage point increase in exit rates raises separation rates by 1/2 percentage point on average. Among current year hires, the average effect is twice as large. This relationship between exit rates and separation rates is robust to a host of data and statistical considerations. We review several standard models of worker turnover and argue that a model with firm-specific human capital accumulation most easily accounts for this new empirical fact. L3 - http://www.federalreserve.gov/pubs/feds/2005/200523/200523abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782013&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200523/200523abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - Retail deposit fees and multimarket banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-65 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813730; Publication Type: Working Paper; Update Code: 200602 N2 - This paper reports a systematic examination of the determinants of deposit-related retail banking fees using a set of survey data that is unusual for its size, specificity, and sampling properties. The analysis focuses explicitly on six different fees associated with checking accounts and automated teller machine (ATM) usage. A preliminary analysis documents that, on average, multimarket banks charge substantially higher fees than do typically smaller, single-market banks. A more detailed econometric analysis yields results consistent with predictions of recent models. In particular, it finds that the greater the presence of multimarket banks in the local market, the higher are the retail deposit fees of single-market banks (except in highly concentrated markets) and the weaker is the positive relationship between those fees and market concentration. L3 - http://www.federalreserve.gov/pubs/feds/2005/200565/200565abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813730&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200565/200565abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bekaert, Geert AU - Engstrom, Eric AU - Xing, Yuhang AD - Unlisted AD - Unlisted AD - Unlisted T1 - Risk, uncertainty, and asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-40 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799115; Publication Type: Working Paper; Update Code: 200511 N2 - We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. L3 - http://www.federalreserve.gov/pubs/feds/2005/200540/200540abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799115&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200540/200540abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - zur Muehlen, Peter von AD - Unlisted AD - Unlisted T1 - Robustifying learnability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-58 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809527; Publication Type: Working Paper; Update Code: 200601 N2 - In recent years, the learnability of rational expectations equilibria (REE) and determinacy of economic structures have rightfully joined the usual performance criteria among the sought-after goals of policy design. Some contributions to the literature, including Bullard and Mitra (2001) and Evans and Honkapohja (2002), have made significant headway in establishing certain features of monetary policy rules that facilitate learning. However a treatment of policy design for learnability in worlds where agents have potentially misspecified their learning models has yet to surface. This paper provides such a treatment. We begin with the notion that because the profession has yet to settle on a consensus model of the economy, it is unreasonable to expect private agents to have collective rational expectations. We assume that agents have only an approximate understanding of the workings of the economy and that their learning the reduced forms of the economy is subject to potentially destabilizing perturbations. The issue is then whether a central bank can design policy to account for perturbations and still assure the learnability of the model. Our test case is the standard New Keynesian business cycle model. For different parameterizations of a given policy rule, we use structured singular value analysis (from robust control theory) to find the largest ranges of misspecifications that can be tolerated in a learning model without compromising convergence to an REE. L3 - http://www.federalreserve.gov/pubs/feds/2005/200558/200558abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809527&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200558/200558abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Guerrieri, Luca AU - Gust, Christopher AD - Unlisted AD - Unlisted AD - Unlisted T1 - SIGMA: a new open economy model for policy analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 835 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795071; Keywords: Macroeconomics - Econometric models ; Business cycles - Econometric models; Publication Type: Working Paper; Update Code: 200510 N2 - In this paper, we describe a new multi-country open economy SDGE model named "SIGMA" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large-scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in open-economy policy simulations. We show that SIGMA's implications for the near-term (2-3 year) responses of key variables are generally similar to those of FRB/Global. Two features of our modeling framework, including rational expectations with learning, and the inclusion of some non-Ricardian agents, play an important role in giving SIGMA more flexibility to generate responses akin to the econometric policy model; nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA's optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework. These include linking model responses to underlying structural features of the economy, and fully articulating the endogenous channels through which "imbalances" arising from various shocks are alleviated. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/835/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795071&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/835/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nesmith, Travis D. AD - Unlisted T1 - Solving stochastic money-in-the-utility-function models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-52 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809524; Publication Type: Working Paper; Update Code: 200601 N2 - This paper analyzes the necessary and sufficient conditions for solving money-in-the-utility-function models when contemporaneous asset returns are uncertain. A unique solution to such models is shown to exist under certain measurability conditions. Stochastic Euler equations, whose existence is normally assumed in these models, are then formally derived. The regularity conditions are weak, and economically innocuous. The results apply to the broad range of discrete-time monetary and financial models that are special cases of the model used in this paper. The method is also applicable to other dynamic models that incorporate contemporaneous uncertainty. L3 - http://www.federalreserve.gov/pubs/feds/2005/200552/200552abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809524&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200552/200552abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AD - Unlisted T1 - Stock market volatility and the great moderation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-47 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807016; Publication Type: Working Paper; Update Code: 200512 N2 - Using data on corporate profits forecasts from the Survey of Professional Forecasters, I decompose real stock returns into a fundamental news component and a return news component and analyze the effects of the Great Moderation on each. Empirically, the response of each component of real stock returns to the Great Moderation has been quite different. The volatility of fundamental news shocks has declined by 50% since the onset of the Great Moderation, suggesting a strong link between underlying fundamentals and the broader macroeconomy. Alternatively, the volatility of return news shocks has remained stable over the Great Moderation period. Since the bulk of stock market volatility is attributable to return shocks, the Great Moderation has not had a significant effect on stock return volatility. These empirical findings are shown to be consistent with Campbell and Cochrane's (1999) habit formation asset pricing model. In the face of a large decline in consumption volatility, the volatility of fundamental news shocks declines while the volatility of return shocks stagnate. Ultimately, the effect of a Great Moderation in consumption volatility on overall stock return volatility in the habit formation model is slight. L3 - http://www.federalreserve.gov/pubs/feds/2005/200547/200547abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807016&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200547/200547abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - Temporary partial expensing in a general-equilibrium model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-19 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0782009; Keywords: Tax incentives ; Equilibrium (Economics); Publication Type: Working Paper; Update Code: 200507 N2 - This paper uses a dynamic general-equilibrium model with a nominal tax system to consider the effects of temporary partial expensing allowances on investment and other macroeconomic aggregates. L3 - http://www.federalreserve.gov/pubs/feds/2005/200519/200519abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0782009&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200519/200519abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Don H. AU - Orphanides, Athanasios AD - Unlisted AD - Unlisted T1 - Term structure estimation with survey data on interest rate forecasts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-48 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807019; Publication Type: Working Paper; Update Code: 200512 N2 - The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as additional input to the estimation to overcome the problem. The three-factor pure-Gaussian model thus estimated with the U.S. Treasury term structure for the 1990-2003 period generates a stable estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2005/200548/200548abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807019&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200548/200548abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Martin, Robert F. AD - Unlisted T1 - The baby boom: predictability in house prices and interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 847 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809534; Publication Type: Working Paper; Update Code: 200601 N2 - This paper explores the baby boom's impact on U.S. house prices and interest rates in the post-war 20th century and beyond. Using a simple Lucas asset pricing model, I quantitatively account for the increase in real house prices, the path of real interest rates, and the timing of low-frequency fluctuations in real house prices. The model predicts that the primary force underlying the evolution of real house prices is the systematic and predictable changes in the working age population driven by the baby boom. The model is calibrated to U.S. data and tested on international data. One surprising success of the model is its ability to predict the boom and bust in Japanese real estate markets around 1974 and 1990. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/847/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809534&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/847/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Looney, Adam AU - Singhal, Monica AD - Unlisted AD - Unlisted T1 - The effect of anticipated tax changes on intertemporal labor supply and the realization of taxable income PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-44 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807018; Publication Type: Working Paper; Update Code: 200512 N2 - We use anticipated changes in tax rates associated with changes in family composition to estimate intertemporal labor supply elasticities and elasticities of taxable income with respect to the net-of-tax wage rate. A number of provisions of the tax code are tied explicitly to child age and dependent status. Changes in the ages of children can thus affect marginal tax rates through phase-in or phase-out provisions of tax credits or by shifting individuals across tax brackets. We identify the response of labor and income to these tax changes by comparing families who experienced a tax rate change to families who had a similar change in dependents but no resulting tax rate change. A primary advantage of our approach is that the changes are anticipated and therefore should not cause re-evaluations of lifetime income. The estimates of substitution effects should consequently not be confounded by life-cycle income effects. The empirical design also allows us to compare similar families and can be used to estimate elasticities across the income distribution. In particular, we provide estimates for low and middle income families. Using data from the Survey of Income and Program Participation (SIPP), we estimate an intertemporal elasticity of family labor earnings close to one for families earning between $30,000 and $75,000. Our estimates for families in the EITC phase-out range are lower but still substantial. Estimates from the IRS-NBER individual tax panel are consistent with the SIPP estimates. Tests using alternate control groups and simulated "placebo" tax schedules support our identifying assumptions. The high-end estimates suggest substantial efficiency costs of taxation. L3 - http://www.federalreserve.gov/pubs/feds/2005/200544/200544abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807018&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200544/200544abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sherlund, Shane M. AU - Burgess, Gillian AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effect of housing government-sponsored enterprises on mortgage rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-06 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765202; Keywords: Government-sponsored enterprises ; Mortgage loans ; Interest rates; Publication Type: Working Paper; Update Code: 200503 N2 - We derive a theoretical model of how jumbo and conforming mortgage rates are determined and how the jumbo-conforming spread might arise. We show that mortgage rates reflect the cost of funding mortgages and that this cost of funding can drive a wedge between jumbo and conforming rates (the jumbo-conforming spread). Further, we show how the jumbo-conforming spread widens when mortgage demand is high or core deposits are not sufficient to fund mortgage demand, and tighten as the mortgage market becomes more liquid and realizes economies of scale. Using MIRS data for April 1997 through May 2003, we estimate that the GSE funding advantage accounts for about seven basis points of the 15-18 basis point jumbo-conforming spread. L3 - http://www.federalreserve.gov/pubs/feds/2005/200506/200506abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200506/200506abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Dick, Astrid A. AU - Goldberg, Lawrence G. AU - White, Lawrence J. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effects of competition from large, multimarket firms on the performance of small, single-market firms: evidence from the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-15 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775195; Publication Type: Working Paper; Update Code: 200506 N2 - We offer and test two competing hypotheses for the consolidation trend in banking using U.S. banking industry data over the period 1982-2000. Under the efficiency hypothesis, technological progress improved the performance of large, multimarket firms relative to small, single-market firms, whereas under the hubris hypothesis, consolidation was largely driven by corporate hubris. Our results are consistent with an empirical dominance of the efficiency hypothesis over the hubris hypothesis-on net, technological progress allowed large, multimarket banks to compete more effectively against small, single-market banks in the 1990s than in the 1980s. We also isolate the extent to which technological progress occurred through scale versus geographic effects and how they affected the performance of small, single-market banks through revenues versus costs. The results may shed light as well on some of the research and policy issues related to community banking, and on the question of how community banks should be defined. L3 - http://www.federalreserve.gov/pubs/feds/2005/200515/200515abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775195&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200515/200515abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Amel, Dean F. AD - Unlisted AD - Unlisted T1 - The effects of local banking market structure on the banking-lending channel of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-16 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775196; Publication Type: Working Paper; Update Code: 200506 N2 - We study the relationship between banking competition and the transmission of monetary policy through the bank lending channel. Using business small loan origination data provided from the Community Reinvestment Act from 1996-2002 in our analysis, we are able to reaffirm the existence of the bank lending channel of monetary transmission. Moreover, we find that the impact of monetary policy on loan originations is weaker in more concentrated markets. L3 - http://www.federalreserve.gov/pubs/feds/2005/200516/200516abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775196&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200516/200516abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, Yueh-Yun C. AD - Unlisted T1 - The effects of mortgage prepayments on M2 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-43 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807013; Keywords: Mortgage loans ; Prepayment of debts ; Money supply; Publication Type: Working Paper; Update Code: 200512 N2 - Mortgage prepayments can contribute significantly to fluctuations in M2 growth rates. These mortgage prepayment effects are primarily driven by certain rules of mortgage-backed-security (MBS) insurers that require mortgage servicers to hold in M2-type deposits the prepayment proceeds due to MBS investors. This paper provides a methodology for estimating prepayment effects on M2. The effects are estimated separately for refinancing and home sales. The results indicate that excluding the mortgage prepayment effects from M2 produces smoother monthly growth rates. The stability of the relationship between money and GDP as measured by M2 velocity is also increased. Refinancing prepayments account for most of the prepayment effects on M2. L3 - http://www.federalreserve.gov/pubs/feds/2005/200543/200543abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807013&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200543/200543abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Looney, Adam AD - Unlisted T1 - The effects of welfare reform and related policies on single mothers' welfare use and employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-45 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807015; Keywords: Public welfare ; Medicaid; Publication Type: Working Paper; Update Code: 200512 N2 - This paper examines how changes in tax policy, welfare programs, public health insurance, and economic conditions during the 1990s affected welfare use and employment among single mothers. Drawing on panel data from the Survey of Income and Program Participation, I give new estimates of the effects of specific policy changes and use those estimates to explain changes in economic behavior. The results suggest that Welfare Reform policies, the EITC, and improved economic conditions, in that order, were the primary determinants of changes in welfare use and employment between 1993 and 1999. L3 - http://www.federalreserve.gov/pubs/feds/2005/200545/200545abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807015&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200545/200545abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AD - Unlisted T1 - The GSE implicit subsidy and the value of government ambiguity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-05 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765199; Keywords: Government-sponsored enterprises ; Mortgages; Publication Type: Working Paper; Update Code: 200503 N2 - The housing-related government-sponsored enterprises Fannie Mae and Freddie Mac (the "GSEs") have an ambiguous relationship with the federal government. Most purchasers of the GSEs' debt securities believe that this debt is implicitly backed by the U.S. government despite the lack of a legal basis for such a belief. In this paper, I estimate how much GSE shareholders gain from this ambiguous government relationship. I find that (1) the government's ambiguous relationship with Fannie Mae and Freddie Mac imparts a substantial implicit subsidy to GSE shareholders, (2) the implicit government subsidy accounts for much of the GSEs' market value, and (3) the GSEs would hold far fewer of their mortgage-backed securities in portfolio and their capital-to-asset ratios would be higher if they were purely private. L3 - http://www.federalreserve.gov/pubs/feds/2005/200505/200505abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200505/200505abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coronado, Julia Lynn AU - Lupton, Joseph P. AU - Sheiner, Louise M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The household spending response to the 2003 tax cut: evidence from survey data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-32 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795067; Publication Type: Working Paper; Update Code: 200510 N2 - The Jobs and Growth Tax Relief and Reconciliation Act of 2003 has been described as textbook fiscal stimulus. Using household survey data on the self-reported qualitative response to the tax cuts, we estimate that the boost to aggregate personal consumption expenditures from the child credit rebate and the reduction in withholdings raised the average level of real GDP in the second half of 2003 by 0.2 percent and by 0.3 percent in the first half of 2004. We also show that households in the survey were well aware of their tax cuts and tended to spend equally out of the child credit rebate and the reduced withholdings, a result that is contrary to the conventional wisdom. L3 - http://www.federalreserve.gov/pubs/feds/2005/200532/200532abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795067&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200532/200532abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lindsey, David E. AU - Orphanides, Athanasios AU - Rasche, Robert H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The reform of October 1979: how it happened and why PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-02 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762804; Publication Type: Working Paper; Update Code: 200502 N2 - This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively upon contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism, new, neo, or old-fashioned Keynesianism, nominal income targeting, and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates, yet be politically acceptable, and convince financial markets participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. L3 - http://www.federalreserve.gov/pubs/feds/2005/200502/200502abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762804&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200502/200502abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wongswan, Jon AD - Unlisted T1 - The response of global equity indexes to U.S. monetary policy announcements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 844 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0807024; Publication Type: Working Paper; Update Code: 200512 N2 - This paper documents the impact of U.S. monetary policy announcement surprises on equity indexes in sixteen countries, covering both developed and emerging economies. Using high-frequency intraday data, I find a large and significant response of Asian, European, and Latin American equity indexes to U.S. monetary policy announcement surprises at short time horizons. In this paper, I use two proxies for monetary policy surprises: a surprise change to the current target federal funds rate, and a revision to the path of future monetary policy (Gurkaynak, Sack, and Swanson (2004)). Consistent with results for the U.S. equity market, this paper finds that in most cases foreign equity indexes react only to a surprise change in the current target rate. On average, a hypothetical unanticipated 25-basis-point cut in the federal funds target rate is associated with a 1/2 to 21/2 percent increase in foreign equity indexes. The variation of the response across countries appears to be more related to the degree of financial integration with the United States than it is to trade linkages with the United States or the degree of exchange rate flexibility. L3 - http://www.federalreserve.gov/pubs/ifdp/2005/844/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0807024&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2005/844/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Follette, Glenn AU - Sheiner, Louise AD - Unlisted AD - Unlisted T1 - The sustainability of health spending growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-60 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0809526; Publication Type: Working Paper; Update Code: 200601 N2 - We evaluate the long-run sustainability of health spending growth. Under the criterion that non-health consumption does not fall, one percent excess cost growth appears to be an upper bound for the economy as a whole when the projection horizon extends over the century, although some groups would experience declines in non-health consumption. More generally, the increase in health spending as a share of income may lead to a significant expansion of public sector financing, as has been the case historically. Extrapolation of historical trends also suggests that higher health spending will lead to insurance contracts with lower out-of-pocket payment shares, putting further upward pressure on health care expenditures. L3 - http://www.federalreserve.gov/pubs/feds/2005/200560/200560abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0809526&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200560/200560abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ramey, Valerie A. AU - Vine, Daniel J. AD - Unlisted AD - Unlisted T1 - Tracking the source of the decline in GDP volatility: an analysis of the automobile industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-14 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775199; Publication Type: Working Paper; Update Code: 200506 N2 - Recent papers by Kim and Nelson (1999) and McConnell and Perez-Quiros (2000) uncover a dramatic decline in the volatility of U.S. GDP growth beginning in 1984. Determining whether the source is good luck, good policy or better inventory management has since developed into an active area of research. This paper seeks to shed light on the source of the decline in volatility by studying the behavior of the U.S. automobile industry, where the changes in volatility have mirrored those of the aggregate data. We find that changes in the relative volatility of sales and output, which have been interpreted by some as evidence of improved inventory management, could in fact be the result of changes in the process driving automobile sales. We first show that the autocorrelation of sales dropped during the 1980s, and that the behavior of interest rates may be the force behind the change in sales persistence. A simulation of the assembly plants' cost function illustrates that the persistence of sales is a key determinant of output volatility. A comparison of the ways in which assembly plants scheduled production in the 1990s relative to the 1970s supports the intuition of the simulation. L3 - http://www.federalreserve.gov/pubs/feds/2005/200514/200514abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200514/200514abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AD - Unlisted T1 - Using federal funds futures contracts for monetary policy analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-29 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0792953; Keywords: Monetary policy ; Federal funds rate ; Federal funds market (United States); Publication Type: Working Paper; Update Code: 200509 N2 - Federal funds futures are popular tools for calculating market-based monetary policy surprises. These surprises are usually thought of as the difference between expected and realized federal funds target rates at the current FOMC meeting. This paper demonstrates the use of federal funds futures contracts to measure how FOMC announcements lead to changes in expected interest rates after future FOMC meetings. Using several 'surprises' at different horizons, timing, level, and slope components of unanticipated policy actions are defined. These three components have differing effects on asset prices that are not captured by the contemporaneous surprise measure. L3 - http://www.federalreserve.gov/pubs/feds/2005/200529/200529abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0792953&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200529/200529abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - Using structural shocks to identify models of investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-69 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813733; Publication Type: Working Paper; Update Code: 200602 N2 - This paper uses the response of investment to identified structural shocks to investigate some key issues, including the nature of adjustment costs and investment's responsiveness to user cost. In the estimation, the model parameters are chosen to match as closely as possible the impulse responses from an identified VAR. In the preferred results, both investment- and capital-stock adjustment costs are important; the size of the capital-stock adjustment costs is in line with estimates from firm-level studies; the investment-adjustment costs suggest rapid adjustment of investment to its desired level; and the estimated elasticity of substitution between capital and other inputs is considerably smaller than one. There is, however, an important sensitivity: The VAR's identified aggregate demand shock leads to a large crowding out effect--when output expands, investment falls. When this shock is included among those matched, the elasticity of substitution is near one and only investment adjustment costs are important. L3 - http://www.federalreserve.gov/pubs/feds/2005/200569/200569abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813733&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200569/200569abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Perozek, Maria G. AD - Unlisted T1 - Using subjective expectations to forecast longevity: do survey respondents know something we don't know? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-68 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0813732; Publication Type: Working Paper; Update Code: 200602 N2 - Furture old-age mortality is notoriously difficult to predict because it requires not only an understanding of the process of senescence, which is influenced by genetic, environmental and behavioral factors, but also a prediction of how these factors will evolve going forward. In this paper, I argue that individuals are uniquely qualified to predict their own mortality based on their own genetic background, as well as environmental and behavioral risk factors that are often known only to the individual. Using expectations data from the 1992 HRS, I construct subjective cohort life tables that are shown to predict the unusual direction of revisions to U.S. life expectancy by gender between 1992 and 2004; that is, the SSA revised up male life expectancy in 2004 and at the same revised down female life expectancy, narrowing the gender gap in longevity by 25 percent over this period. Further, the subjective expectations of women suggest that female life expectancies produced by the Social Security Actuary might still be on the high side, while the subjective life expectancies for men appear to be roughly in line with the 2004 life tables. L3 - http://www.federalreserve.gov/pubs/feds/2005/200568/200568abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0813732&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200568/200568abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Brevoort, Kenneth P. AU - Kiser, Elizabeth K. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Who competes with whom? the case of depository institutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-03 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762806; Publication Type: Working Paper; Update Code: 200502 N2 - Little empirical work exists on the substitutability of depository institutions. In particular, the willingness of consumers to substitute banks for thrifts and to switch between multimarket and single-market institutions (i.e., institutions with large vs. small branch networks) has been of strong interest to policymakers. We estimate a structural model of consumer choice of depository institutions using a panel data set that includes most depository institutions and market areas in the United States over the period 1990-2001. Using a flexible framework, we uncover utility parameters that affect a consumer's choice of institution and measure the degree of market segmentation for two institution subgroups. We use our estimates to calculate elasticities and perform policy experiments that measure the substitutability of firms within and across groupings. We find both dimensions--thrifts and banks, and single- and multimarket institutions--to be important market segments to consumer choice and, ultimately, to competition in both urban and rural markets. L3 - http://www.federalreserve.gov/pubs/feds/2005/200503/200503abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762806&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200503/200503abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AD - Unlisted T1 - Why and when do spot prices of crude oil revert to futures price levels? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-30 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0795065; Publication Type: Working Paper; Update Code: 200510 N2 - Recent studies of crude oil price formation emphasize the role of interest rates and convenience yield (the adjusted spot-futures spread), confirming that spot prices mean-revert and normally exceed discounted futures. However, these studies don't explain why such "backwardation" is normal. Also, models derived in these studies typically explain only about 1 percent of daily returns, suggesting other factors are important, too. In this paper, I specify a structural oil-market model that links returns to convenience yield, inventory news, and revisions of expected production cost (growth of which is related to backwardation). Although its predictive power is only a marginal improvement, the model fits the data far better. In addition, I find reversion of spot to futures prices only when backwardation is severe. Convenience yield behaves nonlinearly, but price response to convenience yield is also nonlinear. Equivalently, futures are informative about future spot prices only when spot prices substantially exceed futures. L3 - http://www.federalreserve.gov/pubs/feds/2005/200530/200530abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0795065&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200530/200530abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kackmeister, Alan AD - Unlisted T1 - Yesterday's bad times are today's good old times: retail price changes in the 1890s were smaller, less frequent, and more permanent PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-18 Y1 - 2005/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0775198; Publication Type: Working Paper; Update Code: 200506 N2 - This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889-1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer temporary price reductions. These differences are consistent with the 1889-1891 period having a higher cost of changing prices resulting in less adjustment to transitory price shocks. Changes in the retailing environment that may have led to a higher cost of changing prices in 1889-1891 are discussed. L3 - http://www.federalreserve.gov/pubs/feds/2005/200518/200518abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0775198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200518/200518abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Rigobon, Roberto AU - Sack, Brian T1 - The impact of monetary policy on asset prices. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2004/11// VL - 51 IS - 8 M3 - Article SP - 1553 EP - 1575 SN - 03043932 AB - Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heteroskedasticity that exists in high-frequency data. We show that the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of policy shocks that occurs on days of FOMC meetings and of the Chairman's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the "event-study" approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. The findings also suggest that the event-study estimates contain biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMIC policy KW - INTEREST rates KW - STOCKS (Finance) -- Prices KW - ASSETS (Accounting) KW - Heteroskedasticity KW - identification KW - Monetary policy KW - Stock market KW - Yield curve N1 - Accession Number: 15542589; Rigobon, Roberto 1,2; Email Address: rigobon@mit.edu; Sack, Brian 3; Affiliations: 1: Room E52-434, Sloan School of Management, Massachusetts Institute of Technology, 50 Memorial Drive, Cambridge, MA 02142, USA; 2: NBER Cambridge, MA 02138, USA; 3: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Nov2004, Vol. 51 Issue 8, p1553; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: INTEREST rates; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: ASSETS (Accounting); Author-Supplied Keyword: Heteroskedasticity; Author-Supplied Keyword: identification; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Stock market; Author-Supplied Keyword: Yield curve; Number of Pages: 23p; Document Type: Article L3 - 10.1016/j.jmoneco.2004.02.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=15542589&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. AU - Ihrig, Jane T1 - Monetary policy and exchange rate pass-throughThis article is a U.S. Government work and is in the public domain in the U.S.A. . JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 2004/10// VL - 9 IS - 4 M3 - Article SP - 315 EP - 338 SN - 10769307 AB - The pass-through of exchange rate changes into domestic inflation appears to have declined in many countries since the 1980s. We develop a theoretical model that attributes the change in the rate of pass-through to increased emphasis on inflation stabilization by many central banks. This hypothesis is tested on 20 industrial countries between 1971 and 2003. We find widespread evidence of a robust and statistically significant link between estimated rates of pass-through and inflation variability. We also find evidence that observed monetary policy behaviour may be a factor in the declining rate of pass-through. Published in 2004 by John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - INFLATION (Finance) KW - CENTRAL banking industry KW - MONETARY policy KW - ANTI-inflationary policies KW - DEVELOPED countries KW - exchange rate pass-through KW - Inflation targeting KW - Taylor rule N1 - Accession Number: 17072058; Gagnon, Joseph E. 1; Email Address: joseph.e.gagnon@frb.gov; Ihrig, Jane 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Oct2004, Vol. 9 Issue 4, p315; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONETARY policy; Thesaurus Term: ANTI-inflationary policies; Subject: DEVELOPED countries; Author-Supplied Keyword: exchange rate pass-through; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Taylor rule; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 24p; Illustrations: 10 Charts, 3 Graphs; Document Type: Article L3 - 10.1002/ijfe.253 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17072058&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Bonime, Seth D. AU - Goldberg, Lawrence G. AU - White, Lawrence J. T1 - The Dynamics of Market Entry: The Effects of Mergers and Acquisitions on Entry in the Banking Industry. JO - Journal of Business JF - Journal of Business Y1 - 2004/10// VL - 77 IS - 4 M3 - Article SP - 797 EP - 834 PB - University of Chicago Press SN - 00219398 AB - We study the dynamics of market entry following mergers and acquisitions (M&As) using banking industry data. The findings suggest that M&As are associated with statistically and economically significant increases in the probability of entry. The data suggest that M&As affect the proportion of the markets with entry by about 10-20%. These findings also suggest that entry may be part of an "external" effect of M&As that helps supply credit to some relationship-dependent small business borrowers. Our results are robust to the use of alternative econometric methods, changes in specifications of the exogenous variables, and alteration of the data samples. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MARKET entry KW - MARKETING strategy KW - CONSOLIDATION & merger of corporations KW - BANKING industry N1 - Accession Number: 15648482; Berger, Allen N. 1; Bonime, Seth D. 2; Goldberg, Lawrence G. 3; White, Lawrence J. 4; Affiliations: 1: Board of Governors of the Federal Reserve System, Wharton Financial Institutions Center; 2: Pepsi Corporation; 3: Department of Finance, University of Miami; 4: Stern School of Business, New York University; Issue Info: Oct2004, Vol. 77 Issue 4, p797; Thesaurus Term: MARKET entry; Thesaurus Term: MARKETING strategy; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: BANKING industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 38p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=15648482&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Udell, Gregory F. T1 - The institutional memory hypothesis and the procyclicality of bank lending behavior JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2004/10// VL - 13 IS - 4 M3 - Article SP - 458 EP - 495 SN - 10429573 AB - Abstract: We test a new hypothesis that may help explain the procyclicality of bank lending. The institutional memory hypothesis is driven by deterioration in the ability of loan officers over the bank''s lending cycle that results in an easing of credit standards. We test this hypothesis using data from individual US banks over 1980–2000: over 200,000 bank-level observations on commercial loan growth, over 2,000,000 loan-level observations on interest rate premiums, and over 2000 bank-level observations on credit standards and loan spreads from bank management survey responses. The empirical analysis supports the hypothesis, although there are differences by bank size class. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK management KW - COMMERCIAL credit KW - COMMERCIAL finance companies KW - COMMERCIAL real estate loans N1 - Accession Number: 15787674; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Udell, Gregory F. 3; Email Address: gudell@indiana.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: Kelley School of Business, Indiana University, Bloomington, IN 47405, USA; Issue Info: Oct2004, Vol. 13 Issue 4, p458; Thesaurus Term: BANK management; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: COMMERCIAL finance companies; Thesaurus Term: COMMERCIAL real estate loans; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 38p; Document Type: Article L3 - 10.1016/j.jfi.2004.06.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=15787674&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, Robert M. AU - Bauer, Paul W. AU - Sickles, Robin C. T1 - Scale Economies, Scope Economies, and Technical Change in Federal Reserve Payment Processing. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2004/10// VL - 36 IS - 5 M3 - Article SP - 943 EP - 958 PB - Ohio State University Press SN - 00222879 AB - In the past decade, the U.S. economy has witnessed a tremendous surge in the usage of electronic payment processing services and an increased importance of the firms that provide these services. In this paper, we estimate scale economies, scope economies, and technical change in the Federal Reserve's provision of payments processing from 1990 to 2000. We find considerable scale economies and evidence of some scope economies for the provision of automated clearinghouse, Fedwire, and Book-Entry services no matter whether we specify a separable quadratic or a translog cost function. In addition, we find that disembodied technical change also contributed to the overall reduction in costs throughout the 1990s. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIES of scale KW - ECONOMIES of scope KW - ELECTRONIC funds transfers KW - CLEARINGHOUSES (Banking) KW - UNITED States -- Economic conditions KW - UNITED States KW - Financial Institutions KW - Productivity KW - Scale Economies KW - Scope Economies KW - Technical Change N1 - Accession Number: 14428013; Adams, Robert M. 1; Email Address: robert.m.adams@frb.gov; Bauer, Paul W. 2; Email Address: paul.w.bauer@clev.frb.org; Sickles, Robin C. 3; Email Address: rsickles@rice.edu; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; 2: Economic advisor, Federal Reserve Bank of Cleveland; 3: Professor of economics, Department of Economics, Rice University; Issue Info: Oct2004, Vol. 36 Issue 5, p943; Thesaurus Term: ECONOMIES of scale; Thesaurus Term: ECONOMIES of scope; Thesaurus Term: ELECTRONIC funds transfers; Thesaurus Term: CLEARINGHOUSES (Banking); Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Author-Supplied Keyword: Financial Institutions; Author-Supplied Keyword: Productivity; Author-Supplied Keyword: Scale Economies; Author-Supplied Keyword: Scope Economies; Author-Supplied Keyword: Technical Change; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 523990 All other financial investment activities; Number of Pages: 16p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14428013&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ramey, Valerie A. AU - Vine, Daniel J. T1 - Why Do Real and Nominal Inventory-Sales Ratios Have Different Trends? JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2004/10// VL - 36 IS - 5 M3 - Article SP - 959 EP - 963 PB - Ohio State University Press SN - 00222879 AB - This note explains the diverging trends between real and nominal aggregate inventory-sales ratios. The combined effect of two features of the data explains the divergence. First, while aggregate sales include both goods and services, inventories include only goods. Second, there has been a strong secular decrease in the relative price of goods. The combination of these two factors causes the real and nominal aggregate inventory-sales ratios to have different trends. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SALES KW - TRENDS KW - INVENTORIES KW - RATIO analysis KW - CONSUMPTION (Economics) KW - PRICING KW - inventory-sales ratios N1 - Accession Number: 14428192; Ramey, Valerie A. 1,2; Email Address: vramey@weber.uscd.edu; Vine, Daniel J. 3; Email Address: Daniel.J.Vine@frb.gov; Affiliations: 1: Professor of economics, Department of Economics, University of California, San Diego; 2: Research associate, National Bureau of Economic Research; 3: Economist, Division of Research and Statistics of the Board of Governors of the Federal Reserve System; Issue Info: Oct2004, Vol. 36 Issue 5, p959; Thesaurus Term: SALES; Thesaurus Term: TRENDS; Thesaurus Term: INVENTORIES; Thesaurus Term: RATIO analysis; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: PRICING; Author-Supplied Keyword: inventory-sales ratios; Number of Pages: 5p; Illustrations: 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14428192&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Covitz, Daniel M. AU - Hancock, Diana AU - Kwast, Myron L. T1 - A RECONSIDERATION OF THE RISK SENSITIVITY OF U.S. BANKING ORGANIZATION SUBORDINATED DEBT SPREADS: A SAMPLE SELECTION APPROACH. JO - Economic Policy Review (19320426) JF - Economic Policy Review (19320426) Y1 - 2004/09// VL - 10 IS - 2 M3 - Article SP - 73 EP - 92 PB - Federal Reserve Bank of New York SN - 19320426 AB - Analyzes banking organization funding strategies using a subordinated debt issuance decision model estimated with data from three deposit insurance regimes. Hypothesis that banking organization subordinated debt issuance decisions can potentially censor the data available on issuance spreads for subordinated debt instruments; Assessment of the risk sensitivity of observed issuance spreads; Effects of instrument characteristics, such as issue size and frequency of coupon payments, on such spreads. KW - BANKING industry -- Accounting KW - BANK examination KW - BANKING industry -- Ratings & rankings KW - SPREAD (Finance) KW - DEBT N1 - Accession Number: 14575750; Covitz, Daniel M. 1 Hancock, Diana 2 Kwast, Myron L. 3; Affiliation: 1: Economist, Research and Statistics Division, Board of Governors of the Federal Reserve System 2: Chief of Monetary and Financial Studies, Research and Statistics Division, Board of Governors of the Federal Reserve System 3: Associate director, Research and Statistics Division, Board of Governors of the Federal Reserve System; Source Info: Sep2004, Vol. 10 Issue 2, p73; Subject Term: BANKING industry -- Accounting; Subject Term: BANK examination; Subject Term: BANKING industry -- Ratings & rankings; Subject Term: SPREAD (Finance); Subject Term: DEBT; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 20p; Illustrations: 6 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=14575750&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Carpenter, Seth B. AU - Rodgers III, William M. T1 - The Disparate Labor Market Impacts of Monetary Policy. JO - Journal of Policy Analysis & Management JF - Journal of Policy Analysis & Management Y1 - 2004///Fall2004 VL - 23 IS - 4 M3 - Article SP - 813 EP - 830 SN - 02768739 AB - This paper examines the impact of contractionary monetary policy on different unemployment rates. This paper explores the differential impact of policy on the labor market outcomes of teenagers, minorities, out-of-school youth and less skilled individuals. Evidence from recursive vector autoregressions and autoregressive distributed lag models that use information on the Federal Reserve's contractionary initiatives indicate that the employment population ratio of minorities is more sensitive to contractionary monetary policy than that of Whites. This paper uses VAR's and Romer rates to explore whether contractionary policy lowers the employment-population ratio by acting primarily through raising the unemployment rate or reducing the labor force participation rate. As a result, one can infer whether the effect on labor market outcomes is primarily a result of the demand for or supply of labor. Results show that contractionary monetary policy, as measured by innovations to the federal funds rate, lowers the employment-population ratio, primarily by raising the unemployment rate and not by reducing the labor force participation rate. KW - MONETARY policy KW - EMPLOYMENT policy KW - ECONOMIC policy KW - LABOR supply KW - MONEY supply KW - YOUTH N1 - Accession Number: 14406481; Carpenter, Seth B. 1; Rodgers III, William M. 2; Affiliations: 1: Economist in the Monetary and Reserve Analysis Section, Division of Monetary Affairs, Board of Governors of the Federal Reserve System.; 2: Professor of Public Policy and Chief Economist of the John J. Heldrich Center for Workforce Development at the Edward I Bloustein School of Planning and Public Policy, Rutgers, The State University of New Jersey, and the National Poverty Center at the University of Michigan.; Issue Info: Fall2004, Vol. 23 Issue 4, p813; Thesaurus Term: MONETARY policy; Thesaurus Term: EMPLOYMENT policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: LABOR supply; Thesaurus Term: MONEY supply; Subject Term: YOUTH; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 18p; Document Type: Article L3 - 10.1002/pam.20048 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14406481&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Case, Bradford AU - Clapp, John AU - Dubin, Robin AU - Rodriguez, Mauricio T1 - Modeling Spatial and Temporal House Price Patterns: A Comparison of Four Models. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 2004/09// VL - 29 IS - 2 M3 - Article SP - 167 EP - 191 SN - 08955638 AB - This article discusses the modeling spatial and temporal house price patterns. It also describes ordinary least square (OLS) models and the models employed by each of the three entrants in this competition. Section 4 reports the results obtained from OLS and from the models submitted by each entrant. The final section contains concluding remarks. Over the past decade, technological advances have led to a significant increase in the amount of available data with spatial attributes that allow investigators to more readily account for these important factors in their pricing models. Indeed, over the past several years, researchers have made great strides accounting for spatial and temporal factors in real estate pricing models. KW - HOUSE construction KW - REAL property KW - MATHEMATICAL statistics KW - HOME prices KW - RESEARCH KW - LEAST squares N1 - Accession Number: 14498650; Case, Bradford 1; Email Address: bradford.case@frb.gov; Clapp, John 2; Email Address: John.Clapp@business.uconn.edu; Dubin, Robin 3; Email Address: rad4@case.edu; Rodriguez, Mauricio 4; Email Address: M.Rodriguez@tcu.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551.; 2: Centre for Real Estate, University of Connecticut, Storrs, CN 06269-1041, U.S.A.; 3: Department of Economics, Weatherhead School of Management, Case Western Reserve University, Cleveland, OH 44106.; 4: TCU Box 298530, Fort Worth, IX 76129.; Issue Info: Sep2004, Vol. 29 Issue 2, p167; Thesaurus Term: HOUSE construction; Thesaurus Term: REAL property; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: HOME prices; Thesaurus Term: RESEARCH; Subject Term: LEAST squares; NAICS/Industry Codes: 236117 New Housing For-Sale Builders; NAICS/Industry Codes: 236115 New Single-Family Housing Construction (except For-Sale Builders); NAICS/Industry Codes: 236110 Residential building construction; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14498650&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kimura, Takeshi AU - Kurozumi, Takushi T1 - Effectiveness of history-dependent monetary policy JO - Journal of the Japanese & International Economies JF - Journal of the Japanese & International Economies Y1 - 2004/09// VL - 18 IS - 3 M3 - Article SP - 330 EP - 361 SN - 08891583 AB - In this paper, we evaluate the effectiveness of history-dependent monetary policy, focusing on the design of targeting regimes and simple policy rules. Our quantitative analysis is based on a small estimated forward-looking model of the Japanese economy with a hybrid Phillips curve. Our main findings are: (1) History-dependent targeting regimes, such as price level targeting and income growth targeting, outperform inflation targeting; (2) Committing to a simple history-dependent policy rule results in nearly the same social welfare as the optimal delegation of price level targeting and income growth targeting; (3) The central bank can achieve almost the same performance as the optimal commitment policy by adopting the first difference hybrid policy rule in which the change in interest rate responds to inflation, output gap, and real income growth rate. J. Japanese Int. Economies 18 (3) (2004) 330–361. [Copyright &y& Elsevier] AB - Copyright of Journal of the Japanese & International Economies is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - PUBLIC spending KW - PRICE regulation KW - BANKING industry KW - Commitment KW - Delegation KW - Discretion KW - History dependence KW - Income growth targeting KW - Inflation targeting KW - Monetary policy KW - Policy rules KW - Price level targeting N1 - Accession Number: 14101290; Kimura, Takeshi 1,2; Email Address: takeshi.kimura@frb.gov; Kurozumi, Takushi 1,3; Email Address: tkurozum@andrew.cmu.edu; Affiliations: 1: Bank of Japan, 2-1-1, Hongokucho, Nihonbashi, Chuo-ku, Tokyo 103-8660, Japan; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 3: Carnegie Mellon University, Pittsburgh, PA 15213, USA; Issue Info: Sep2004, Vol. 18 Issue 3, p330; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: PRICE regulation; Thesaurus Term: BANKING industry; Author-Supplied Keyword: Commitment; Author-Supplied Keyword: Delegation; Author-Supplied Keyword: Discretion; Author-Supplied Keyword: History dependence; Author-Supplied Keyword: Income growth targeting; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Policy rules; Author-Supplied Keyword: Price level targeting; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 32p; Document Type: Article L3 - 10.1016/j.jjie.2003.11.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14101290&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernanke, Ben S. AU - Reinhart, Vincent R. AU - Sack, Brian P. T1 - Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 2004/08// IS - 2 M3 - Article SP - 1 EP - 100 PB - Brookings Institution Press SN - 00072303 AB - This article discusses the use of conventional financial instruments in monetary policy. The conventional instrument of monetary policy in most major industrial economies is the very short term nominal interest rate, such as the overnight federal funds rate in the case of the United States. The use of this instrument, however, implies a potential problem: because currency can be used as a store of value, the short-term nominal interest rate cannot be pushed below zero. Should the nominal rate hit zero, the real short-term interest rate, at that point equal to the negative of prevailing inflation expectations, may be higher than the rate needed to ensure stable prices and the full utilization of resources. Indeed, an unstable dynamic may result if the excessively high real rate leads to downward pressure on costs and prices that, in turn, raises the real short-term interest rate, which depresses activity and prices further, and so on. Japan has suffered from the problems created by the zero lower bound on the nominal interest rate, and short-term rates in countries such as the U.S. and Switzerland have also come uncomfortably close to zero. As a consequence, the problems of conducting monetary policy when interest rates approach zero have elicited considerable attention from the economics profession. KW - FINANCIAL instruments KW - MONETARY policy KW - INVESTMENT interest KW - FEDERAL funds market (U.S.) KW - MONEY KW - ECONOMICS N1 - Accession Number: 16111358; Bernanke, Ben S. 1; Reinhart, Vincent R. 1; Sack, Brian P. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Macroeconomic Advisers, LLC; Issue Info: 2004, Issue 2, p1; Thesaurus Term: FINANCIAL instruments; Thesaurus Term: MONETARY policy; Thesaurus Term: INVESTMENT interest; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: MONEY; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 525990 Other Financial Vehicles; Number of Pages: 100p; Illustrations: 11 Charts, 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16111358&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neil R. Ericsson T1 - THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson. JO - Econometric Theory JF - Econometric Theory Y1 - 2004/08// VL - 20 IS - 4 M3 - Article SP - 743 EP - 804 SN - 02664666 AB - Professor David F. Hendry is interviewed by Neil R. Ericsson. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometric Theory is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERVIEWING KW - INTERVIEWS KW - COLLEGE teachers KW - HENDRY, David F. -- Interviews KW - ERICSSON, Neil R. N1 - Accession Number: 20133203; Neil R. Ericsson 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A.; Issue Info: Aug2004, Vol. 20 Issue 4, p743; Thesaurus Term: INTERVIEWING; Subject Term: INTERVIEWS; Subject Term: COLLEGE teachers; People: HENDRY, David F. -- Interviews; People: ERICSSON, Neil R.; Number of Pages: 62p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20133203&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hannan, Timothy H. AU - Prager, Robin A. T1 - The competitive implications of multimarket bank branching. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2004/08// VL - 28 IS - 8 M3 - Article SP - 1889 EP - 1914 SN - 03784266 AB - Retail banking markets have traditionally been viewed as locally limited. However, recent studies have found evidence that large multimarket banking organizations tend to offer uniform interest rates for retail deposit accounts throughout the area that they serve, at least within a given state. This uniform pricing phenomenon raises questions about the continued relevance of the concept of local banking markets for both research and antitrust purposes. We address this issue by employing a model designed to explain the pricing behavior of single-market banks that face competition from multimarket banks. Empirical results are found to be consistent with the many implications of the model. We find that even with multimarket banks present in the market, local market concentration influences the pricing behavior of single-market banks; however, this relationship weakens as the market share of multimarket banks grows. We also find that, on average, multimarket banks offer lower deposit interest rates than do single-market banks operating in the same market, and, in most cases, greater multimarket bank presence is associated with lower deposit interest rates offered by single-market banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - MARKETS KW - BRANCH banks KW - INTEREST rates KW - COMPETITION KW - Banks KW - Competition KW - Pricing N1 - Accession Number: 13812626; Hannan, Timothy H. 1; Prager, Robin A. 1; Email Address: robin.prager@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Aug2004, Vol. 28 Issue 8, p1889; Thesaurus Term: BANKING industry; Thesaurus Term: MARKETS; Thesaurus Term: BRANCH banks; Thesaurus Term: INTEREST rates; Subject Term: COMPETITION; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Competition; Author-Supplied Keyword: Pricing; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522112 Corporate and institutional banking industry; Number of Pages: 26p; Document Type: Article L3 - 10.1016/j.jbankfin.2003.06.006 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13812626&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edison, Hali J. AU - Warnock, Francis E. T1 - U.S. Investors' Emerging Market Equity Portfolios: A Security-level Analysis. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2004/08// VL - 86 IS - 3 M3 - Article SP - 691 EP - 704 SN - 00346535 AB - We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U. S. investors. We document that at a point in time U. S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U. S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U. S. exchange are incorporated into U. S. portfolios at full international CAPM weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK exchanges KW - SECURITIES KW - CAPITALISTS & financiers -- United States KW - INVESTMENT policy KW - RISK sharing N1 - Accession Number: 14309995; Edison, Hali J. 1; Warnock, Francis E. 2; Affiliations: 1 : International Monetary Fund; 2 : Board of Governors of the Federal Reserve System; Source Info: Aug2004, Vol. 86 Issue 3, p691; Subject Term: STOCK exchanges; Subject Term: SECURITIES; Subject Term: CAPITALISTS & financiers -- United States; Subject Term: INVESTMENT policy; Subject Term: RISK sharing; Number of Pages: 14p; Illustrations: 6 Charts, 3 Graphs; Document Type: Article; Full Text Word Count: 10414 L3 - 10.1162/0034653041811671 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=24h&AN=14309995&site=ehost-live&scope=site DP - EBSCOhost DB - 24h ER - TY - JOUR AU - Ahmed, Shaghil AU - Levin, Andrew AU - Wilson, Beth Anne T1 - Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck? JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2004/08// VL - 86 IS - 3 M3 - Article SP - 824 EP - 832 SN - 00346535 AB - The volatility of U. S. real GDP growth since 1984 has been markedly lower than over the previous quarter century. We utilize frequency-domain and VAR methods to distinguish among competing explanations for this reduction: improvements in monetary policy, better business practices, and a fortuitous reduction in exogenous disturbances. We find that reduced innovation variances account for much of the decline in aggregate output volatility, suggesting that good luck is the most likely explanation. Good practices and good policy appear to have played a more important role in explaining the post-1984 decline in the volatility of consumer price inflation. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - VOLATILITY (Finance) KW - GROSS domestic product KW - ECONOMIC development KW - AUTOREGRESSION (Statistics) KW - ECONOMIC policy KW - INFLATION (Finance) KW - UNITED States N1 - Accession Number: 14310001; Ahmed, Shaghil 1; Levin, Andrew 1; Wilson, Beth Anne 1; Affiliations: 1 : Board of Governors of the Federal Reserve System; Source Info: Aug2004, Vol. 86 Issue 3, p824; Subject Term: VOLATILITY (Finance); Subject Term: GROSS domestic product; Subject Term: ECONOMIC development; Subject Term: AUTOREGRESSION (Statistics); Subject Term: ECONOMIC policy; Subject Term: INFLATION (Finance); Subject: UNITED States; Number of Pages: 9p; Illustrations: 8 Charts, 1 Graph; Document Type: Article; Full Text Word Count: 7528 L3 - 10.1162/0034653041811662 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=24h&AN=14310001&site=ehost-live&scope=site DP - EBSCOhost DB - 24h ER - TY - JOUR AU - Judson, Ruth A. AU - Porter, Richard D. T1 - Currency demand by federal reserve cash office: what do we know? JO - Journal of Economics & Business JF - Journal of Economics & Business Y1 - 2004/07//Jul/Aug2004 VL - 56 IS - 4 M3 - Article SP - 273 EP - 285 SN - 01486195 AB - We evaluate US regional currency demands using a panel dataset covering the 37 Federal Reserve Cash Offices over 25 years from 1974 to 1998. We find strong support for the transaction specification, in which currency depends on a transaction measure and nominal interest rate for all denominations, large denominations, and US $20. This result is generally robust to the inclusion of wide variety of additional economic and demographic variables. Beyond the traditional transaction terms, seven other variables stand out in the specifications we entertain: the age distribution of the population, bankruptcies, crime, employment, housing permits and starts, and transfer payments. Finally, we show that international currency demand was generally an important influence during the period; when its influence is disregarded, the findings are muddied considerably. [Copyright &y& Elsevier] AB - Copyright of Journal of Economics & Business is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY KW - DEMAND for money KW - FINANCIAL crises KW - MONETARY policy KW - Currency KW - Domestic KW - International KW - Money demand KW - Panel N1 - Accession Number: 13563710; Judson, Ruth A. 1; Email Address: rjudson@frb.gov; Porter, Richard D.; Email Address: richard.porter@chi.frb.org; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 2000 C St. NW, Washington, DC 20551, USA; Issue Info: Jul/Aug2004, Vol. 56 Issue 4, p273; Thesaurus Term: MONEY; Thesaurus Term: DEMAND for money; Thesaurus Term: FINANCIAL crises; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: Currency; Author-Supplied Keyword: Domestic; Author-Supplied Keyword: International; Author-Supplied Keyword: Money demand; Author-Supplied Keyword: Panel; Number of Pages: 13p; Document Type: Article L3 - 10.1016/j.jeconbus.2004.03.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13563710&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Covitz, Daniel M. AU - Harrison, Paul T1 - Do banks time bond issuance to trigger disclosure, due diligence, and investor scrutiny? JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2004/07// VL - 13 IS - 3 M3 - Article SP - 299 EP - 323 SN - 10429573 AB - This paper tests a new hypothesis that bank managers issue public debt, at least in part, to convey positive, private information and refrain from issuance to hide negative, private information. This “positive selection” hypothesis is tested against the traditional “adverse selection” hypothesis. We find evidence for “positive selection,” using ratings migrations, equity returns, bond issuance, and balance sheet data for US bank holding companies. The results add to our understanding of “market discipline” in monitoring bank holding companies and also inform upon how proposed regulatory requirements that banking organizations frequently issue public debt might augment “market discipline.” [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry -- Accounting KW - CORPORATIONS -- Finance KW - FINANCIAL disclosure KW - PUBLIC debts KW - Bond issuance KW - Disclosure KW - Due diligence KW - Financial institutions N1 - Accession Number: 13332350; Covitz, Daniel M.; Email Address: dcovitz@frb.gov; Harrison, Paul 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Jul2004, Vol. 13 Issue 3, p299; Thesaurus Term: BANKING industry -- Accounting; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: FINANCIAL disclosure; Thesaurus Term: PUBLIC debts; Author-Supplied Keyword: Bond issuance; Author-Supplied Keyword: Disclosure; Author-Supplied Keyword: Due diligence; Author-Supplied Keyword: Financial institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 25p; Document Type: Article L3 - 10.1016/j.jfi.2003.10.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13332350&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Blomberg, S. Brock AU - Hess, Gregory D. AU - Orphanides, Athanasios T1 - The macroeconomic consequences of terrorism. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2004/07// VL - 51 IS - 5 M3 - Article SP - 1007 EP - 1032 SN - 03043932 AB - We perform an empirical investigation of the macroeconomic consequences of international terrorism and interactions with alternative forms of collective violence. Our analysis is based on a rich unbalanced panel data set with annual observations on 177 countries from 1968 to 2000, which brings together information from the Penn World Table data set, the ITERATE data set for terrorist events, and data sets of external and internal conflict. We explore these data with cross-sectional and panel growth regression analysis and a structural VAR model. We find that, on average, the incidence of terrorism may have an economically significant negative effect on growth, albeit one that is considerably smaller and less persistent than that associated with either external wars or internal conflict. As well, terrorism is associated with a redirection of economic activity away from investment spending and towards government spending. However, our investigation also suggests important differences both regarding the incidence and the economic consequences of terrorism among different sets of countries. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC impact KW - MACROECONOMICS KW - TERRORISM -- Economic aspects KW - TERRORISM KW - Conflict KW - Growth KW - Terrorism N1 - Accession Number: 14306714; Blomberg, S. Brock 1; Email Address: bblomberg@mckenna.edu; Hess, Gregory D. 1; Orphanides, Athanasios 2; Affiliations: 1: Department of Economics, Claremont McKenna College, Claremont, CA 91711, USA.; 2: ECSifo Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Jul2004, Vol. 51 Issue 5, p1007; Thesaurus Term: ECONOMIC impact; Thesaurus Term: MACROECONOMICS; Subject Term: TERRORISM -- Economic aspects; Subject Term: TERRORISM; Author-Supplied Keyword: Conflict; Author-Supplied Keyword: Growth; Author-Supplied Keyword: Terrorism; Number of Pages: 26p; Document Type: Article L3 - 10.1016/j.jmoneco.2004.04.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14306714&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Levin, Andrew T. AU - Natalucci, Fabio M. AU - Piger, Jeremy M. T1 - The Macroeconomic Effects of Inflation Targeting. JO - Review (00149187) JF - Review (00149187) Y1 - 2004/07//Jul/Aug2004 VL - 86 IS - 4 M3 - Article SP - 51 EP - 80 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - Evaluates the extent to which inflation targeting exerts a measurable influence on expectations formation and inflation dynamics. Inflation targeting and inflation expectations in industrialized economies; Inflation targeting and inflation dynamics in industrialized economies; Macroeconomic volatility in industrial economies. KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - CIRCULAR velocity of money KW - FINANCE KW - VOLATILITY (Finance) KW - DEVELOPED countries N1 - Accession Number: 13658215; Levin, Andrew T. Natalucci, Fabio M. 1 Piger, Jeremy M. 2; Affiliation: 1: Economist in the division of international finance at the Board of Governors of the Federal Reserve System 2: Economist at the Federal Reserve Bank of St. Louis; Source Info: Jul/Aug2004, Vol. 86 Issue 4, p51; Subject Term: ECONOMIC forecasting; Subject Term: INFLATION (Finance); Subject Term: CIRCULAR velocity of money; Subject Term: FINANCE; Subject Term: VOLATILITY (Finance); Subject Term: DEVELOPED countries; Number of Pages: 30p; Illustrations: 9 Charts, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=13658215&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Faust, Jon AU - Henderson, Dale W. T1 - Is Inflation Targeting Best-Practice Monetary Policy? JO - Review (00149187) JF - Review (00149187) Y1 - 2004/07//Jul/Aug2004 VL - 86 IS - 4 M3 - Article SP - 117 EP - 143 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - Examines whether the inflation-targeting framework (ITF) constitutes best-practice monetary policy. Central elements of ITF; Relationship between conventional macroeconomics and the ITF; Impact of the communication policy of the ITF on maximizing public understanding. KW - MONETARY policy KW - CENTRAL banking industry KW - BEST practices KW - INFLATION (Finance) KW - CIRCULAR velocity of money KW - ECONOMIC policy N1 - Accession Number: 13658241; Faust, Jon 1 Henderson, Dale W. 2; Affiliation: 1: Assistant director, Board of Governors of the Federal Reserve System 2: Senior advisor in the division of international finance at the Board of Governors of the Federal Reserve System; Source Info: Jul/Aug2004, Vol. 86 Issue 4, p117; Subject Term: MONETARY policy; Subject Term: CENTRAL banking industry; Subject Term: BEST practices; Subject Term: INFLATION (Finance); Subject Term: CIRCULAR velocity of money; Subject Term: ECONOMIC policy; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 27p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=13658241&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Bernanke, Ben S. T1 - Panel Discussion. JO - Review (00149187) JF - Review (00149187) Y1 - 2004/07//Jul/Aug2004 VL - 86 IS - 4 M3 - Article SP - 165 EP - 168 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - Argues on whether the U.S. Federal Reserve should announce an explicit target for inflation as of July 2004. Difference of the board's current environment from that of the 1980s and 1990s; Reasons behind the increase of public expectations and belief in the central bank's plans and objectives when the economy is operating in the region of price stability; Methods of announcing how a long-run inflation objective can help the Federal Reserve communicate better and improve policy decisions. KW - FINANCE KW - INFLATION (Finance) KW - CENTRAL banking industry KW - FEDERAL Reserve monetary policy KW - BANKS of issue -- United States KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 13658381; Bernanke, Ben S. 1; Affiliation: 1: Member of the Board of Governors of the Federal Reserve System; Source Info: Jul/Aug2004, Vol. 86 Issue 4, p165; Subject Term: FINANCE; Subject Term: INFLATION (Finance); Subject Term: CENTRAL banking industry; Subject Term: FEDERAL Reserve monetary policy; Subject Term: BANKS of issue -- United States; Subject Term: UNITED States; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=13658381&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kohn, Donald L. T1 - Inflation Targeting. JO - Review (00149187) JF - Review (00149187) Y1 - 2004/07//Jul/Aug2004 VL - 86 IS - 4 M3 - Article SP - 179 EP - 183 PB - Federal Reserve Bank of St. Louis SN - 00149187 AB - Discusses the reasons behind the skepticism on whether the U.S. Federal Reserve should adopt an inflation-targeting framework to conduct monetary policy, and issues regarding the adoption. Communications and transparency; Political legitimacy; Definition of price stability. KW - MONETARY policy KW - ECONOMIC policy KW - CENTRAL banking industry KW - INFLATION (Finance) KW - FINANCE KW - UNITED States N1 - Accession Number: 13658396; Kohn, Donald L. 1; Affiliation: 1: Member of the Board of Governors of the Federal Reserve System; Source Info: Jul/Aug2004, Vol. 86 Issue 4, p179; Subject Term: MONETARY policy; Subject Term: ECONOMIC policy; Subject Term: CENTRAL banking industry; Subject Term: INFLATION (Finance); Subject Term: FINANCE; Subject Term: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=13658396&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Berger, Allen N. AU - Demirgüç-Kunt, Asli AU - Levine, Ross AU - Haubrich, Joseph G. T1 - Bank Concentration and Competition: An Evolution in the Making. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2004/06/02/Jun2004 Part 2 VL - 36 IS - 3 M3 - Article SP - 433 EP - 451 PB - Ohio State University Press SN - 00222879 AB - The consolidation of banks around the world in recent years is intensifying public policy debates on the influences of concentration and competition on the performance of banks. In light of these developments, this paper first reviews the existing literature on the impact of bank concentration and competition. Second, the paper summarizes the main findings of the papers in this special issue of the JMCB within the context of this active literature. Finally, the paper suggests some directions for future research. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING research KW - CONSOLIDATION & merger of corporations KW - FINANCE KW - OECD countries KW - UNITED States KW - banks KW - competition KW - concentration KW - financial institutions KW - market structure KW - regulation KW - JOURNAL of Money, Credit & Banking (Periodical) N1 - Accession Number: 27249658; Berger, Allen N. 1; Email Address: aberger@frb.gov; Demirgüç-Kunt, Asli 2; Email Address: ademirguckunt@worldbank.org; Levine, Ross 3; Email Address: rlevine@csom.umn.edu; Haubrich, Joseph G. 4; Email Address: jhaubrich@clev.frb.org; Affiliations: 1: Senior economist, Board of Governors of the Federal Reserve System and Wharton Financial Institutions Center; 2: Development Research Group, The World Bank; 3: Professor of Finance, University of Minnesota; 4: Research Department, Federal Reserve Bank of Cleveland; Issue Info: Jun2004 Part 2, Vol. 36 Issue 3, p433; Thesaurus Term: BANKING research; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: FINANCE; Subject: OECD countries; Subject: UNITED States; Author-Supplied Keyword: banks; Author-Supplied Keyword: competition; Author-Supplied Keyword: concentration; Author-Supplied Keyword: financial institutions; Author-Supplied Keyword: market structure; Author-Supplied Keyword: regulation; Reviews & Products: JOURNAL of Money, Credit & Banking (Periodical); NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27249658&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ironside, Brian AU - Joerding, Wayne AU - Kuzyk, Pat T1 - Double-Auction Market Simulation Software for Very Large Classes. JO - Journal of Economic Education JF - Journal of Economic Education J1 - Journal of Economic Education PY - 2004///Summer2004 Y1 - 2004///Summer2004 VL - 35 IS - 3 M3 - Article SP - 284 EP - 289 SN - 00220485 AB - The authors provide a version of a double-auction market simulation designed for classes too large for most computer labs to accommodate in one sitting. Instead, students play the game from remote computers, wherever they may be and at any time during a given time period specified by the instructor. When the window of time expires, students can view the results in a variety of pedagogically relevant displays. The authors also provide a set of on-line activities that take the student "by the hand" through a simple analysis of the simulation. Educators can use, copy, modify, and distribute the source code for this software under the GNU GENERAL PUBLIC LICENSE (www.gnu.org/copyleft/gpl.html). [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Education is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SIMULATION methods & models KW - AUCTIONS KW - GAME theory KW - ECONOMICS -- Study & teaching KW - COMPUTER assisted instruction N1 - Accession Number: 13467178; Source Information: Summer2004, Vol. 35 Issue 3, p284; Subject Term: SIMULATION methods & models; Subject Term: AUCTIONS; Subject Term: GAME theory; Subject Term: ECONOMICS -- Study & teaching; Subject Term: COMPUTER assisted instruction; Subject Term: ; Number of Pages: 6p; ; Illustrations: 1 Chart; ; Document Type: Article; UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=trh&AN=13467178&site=ehost-live&scope=site DP - EBSCOhost DB - trh ER - TY - JOUR AU - Holmes, Thomas J. AU - Stevens, John J. T1 - Geo&gamp;raphic concentration and establishment size: analysis in an alternative economic geography model. JO - Journal of Economic Geography JF - Journal of Economic Geography Y1 - 2004/06// VL - 4 IS - 3 M3 - Article SP - 227 EP - 250 SN - 14682702 AB - Big cities specialize in services rather than manufacturing. Big-city establishments in services are larger than the national average, whereas those in manufacturing are smaller. We propose an explanation of these and other related facts. The theory is developed in an economic geography model that is an alternative to the standard Dixit-Stiglitz structure. In our tractable structure, which has potentially wider application, firms have monopoly power in local markets but are price takers in export markets. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Geography is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC geography KW - ANTITRUST law KW - MONOPOLIES KW - COMPETITIVE advantage KW - MARKETS KW - EARTH sciences KW - establishment size KW - geographic concentration KW - new economic geography. KW - transportation costs N1 - Accession Number: 13825560; Holmes, Thomas J. 1; Email Address: holmes@econ.umn.edu; Stevens, John J. 2; Email Address: john.j.stevens@frb.gov; Affiliations: 1: Department of Economics, University of Minnesota, Minneapolis, MN 55401, USA.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Jun2004, Vol. 4 Issue 3, p227; Thesaurus Term: ECONOMIC geography; Thesaurus Term: ANTITRUST law; Thesaurus Term: MONOPOLIES; Thesaurus Term: COMPETITIVE advantage; Thesaurus Term: MARKETS; Subject Term: EARTH sciences; Author-Supplied Keyword: establishment size; Author-Supplied Keyword: geographic concentration; Author-Supplied Keyword: new economic geography.; Author-Supplied Keyword: transportation costs; Number of Pages: 24p; Document Type: Article L3 - 10.1093/jnlecg/lbh018 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13825560&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2004-14817-001 AN - 2004-14817-001 AU - Hogarth, Jeanne M. AU - Anguelov, Chris E. AU - Lee, Jinkook T1 - Why don't households have a checking account? JF - Journal of Consumer Affairs JO - Journal of Consumer Affairs JA - J Consum Aff Y1 - 2004/06// VL - 38 IS - 1 SP - 1 EP - 34 CY - United Kingdom PB - Blackwell Publishing SN - 0022-0078 SN - 1745-6606 AD - Hogarth, Jeanne M. N1 - Accession Number: 2004-14817-001. Partial author list: First Author & Affiliation: Hogarth, Jeanne M.; Consumer Education and Research, Federal Reserve Board, US. Other Publishers: Wiley-Blackwell Publishing Ltd. Release Date: 20040830. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Print. Document Type: Journal Article. Language: English. Major Descriptor: Consumer Psychology; Home Economics; Household Management; Human Capital; Income Level. Classification: Consumer Psychology (3900). Population: Human (10); Male (30); Female (40). Location: US. Age Group: Adulthood (18 yrs & older) (300). Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 34. Issue Publication Date: Jun, 2004. AB - Using the Surveys of Consumer Finance from 1989 to 2001, this study explores households' reasons for not having a checking account. Reasons have changed over time, shifting away from account features and toward human capital and institutional reasons. We also find that reasons for not having an account are related to income, race/ethnicity, marital status/gender, planning horizon, education, previous account experience, and credit history. We suggest potential responses for community educators, firms, and policy makers. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - checking account KW - households KW - human capital KW - institutional reasons KW - 2004 KW - Consumer Psychology KW - Home Economics KW - Household Management KW - Human Capital KW - Income Level KW - 2004 DO - 10.1111/j.1745-6606.2004.tb00463.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2004-14817-001&site=ehost-live&scope=site UR - jeanne.m.hogarth@frb.gov DP - EBSCOhost DB - psyh ER - TY - JOUR ID - 2004-13222-002 AN - 2004-13222-002 AU - Amuedo-Dorantes, Catalina AU - Mach, Traci AU - Clapp, John D. T1 - The Impact of Schools on Juvenile Substance Initiation and Use. JF - Prevention Science JO - Prevention Science JA - Prev Sci Y1 - 2004/06// VL - 5 IS - 2 SP - 91 EP - 99 CY - Germany PB - Springer SN - 1389-4986 SN - 1573-6695 AD - Amuedo-Dorantes, Catalina, Department of Economics, San Diego State University, 5500 Campanile Drive, San Diego, CA, US, 92182 N1 - Accession Number: 2004-13222-002. PMID: 15134314 Partial author list: First Author & Affiliation: Amuedo-Dorantes, Catalina; San Diego State University, San Diego, CA, US. Release Date: 20040517. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Electronic. Document Type: Journal Article. Language: English. Major Descriptor: Adolescent Development; Curriculum; Drug Abuse Prevention; Drug Usage; Schools. Minor Descriptor: Alcohols; Marijuana Usage; Tobacco Smoking. Classification: Curriculum & Programs & Teaching Methods (3530). Population: Human (10). Age Group: Adolescence (13-17 yrs) (200). References Available: Y. Page Count: 9. Issue Publication Date: Jun, 2004. AB - We use data from the two rounds of the NLSY97 and the corresponding QED data to examine the effectiveness of school endowments and curricula in targeting juvenile use of tobacco, alcohol, and marijuana. Our results support the notion that schools matter in reducing juvenile involvement in substance use. Higher discretionary dollars per pupil are linked to reduced rates of juvenile initiation and repetitive use rates of cigarettes and marijuana. Additionally, school curricula, as indicated by the implementation of year round classes and some innovative and after-school programs affect both juvenile initiation to tobacco and alcohol use and juvenile repetitive use of tobacco and alcohol. In particular, we find that juvenile initiation to cigarette use is approximately between 2 percentage points and 3 percentage points lower among youths attending schools with gifted and talented and international baccalaureate programs. In sum, while these programs are not implemented to address substance use problems among the student body, we find that the implementation of these programs is often accompanied by a reduction in juvenile initiation and repetitive substance use. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - school endowments KW - school curricula KW - juvenile drug use KW - tobacco usage KW - alcohol usage KW - marijuana usage KW - substance use initiation KW - 2004 KW - Adolescent Development KW - Curriculum KW - Drug Abuse Prevention KW - Drug Usage KW - Schools KW - Alcohols KW - Marijuana Usage KW - Tobacco Smoking KW - 2004 DO - 10.1023/B:PREV.0000023079.30466.23 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2004-13222-002&site=ehost-live&scope=site UR - camuedod@mail.sdsu.edu DP - EBSCOhost DB - psyh ER - TY - JOUR AU - Durham, J. Benson T1 - Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth JO - European Economic Review JF - European Economic Review Y1 - 2004/04// VL - 48 IS - 2 M3 - Article SP - 285 SN - 00142921 AB - This study examines the effects of foreign direct investment (FDI) and equity foreign portfolio investment (EFPI) on economic growth using data on 80 countries from 1979 through 1998. The results largely suggest that lagged FDI and EFPI do not have direct, unmitigated positive effects on growth, but some data are consistent with the view that the effects of FDI and EFPI are contingent on the ‘absorptive capacity’ of host countries, with particular respect to financial or institutional development. Moreover, extreme bound analysis (EBA) of significant results indicates that the estimates are robust compared to other empirical studies on growth. [Copyright &y& Elsevier] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - ABSORPTIVE capacity (Economics) KW - ECONOMIC development KW - INVESTMENTS KW - PORTFOLIO management (Investments) KW - Economic growth KW - Equity foreign portfolio investment KW - F4 KW - Financial development KW - Foreign direct investment N1 - Accession Number: 12309241; Durham, J. Benson 1; Email Address: j.benson.durham@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Mail Stop 71, Washington, DC 20551, USA; Issue Info: Apr2004, Vol. 48 Issue 2, p285; Thesaurus Term: FOREIGN investments; Thesaurus Term: ABSORPTIVE capacity (Economics); Thesaurus Term: ECONOMIC development; Thesaurus Term: INVESTMENTS; Thesaurus Term: PORTFOLIO management (Investments); Author-Supplied Keyword: Economic growth; Author-Supplied Keyword: Equity foreign portfolio investment; Author-Supplied Keyword: F4; Author-Supplied Keyword: Financial development; Author-Supplied Keyword: Foreign direct investment; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 22p; Document Type: Article L3 - 10.1016/S0014-2921(02)00264-7 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12309241&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Perli, Roberto AU - Nayda, William I. T1 - Economic and regulatory capital allocation for revolving retail exposures JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2004/04// VL - 28 IS - 4 M3 - Article SP - 789 SN - 03784266 AB - We present two internal capital allocation models and compare the capital ratios they generate with those prescribed by the latest revision of Basel’s New Capital Accord proposal for advanced retail portfolios, which allows for explicit future margin income recognition. Given a test portfolio of credit card exposures that we assemble, we find that Basel’s ratios are closer to those generated by our models for low credit risk segments. We attribute the discrepancies to the different ways Basel and our models account for future margin income, to Basel’s assumptions about asset correlations and to one model taking macroeconomic conditions into account. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - RESOURCE allocation KW - PORTFOLIO management (Investments) KW - CREDIT risk KW - MACROECONOMICS KW - Capital allocation KW - Credit risk models KW - Future margin income KW - Revolving retail exposures N1 - Accession Number: 12309343; Perli, Roberto 1; Email Address: roberto.perli@frb.gov; Nayda, William I. 2; Email Address: bill.nayda@capitalone.com; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 75, Washington, DC 20551, USA; 2: Capital One Financial Corp., McLean, VA, USA; Issue Info: Apr2004, Vol. 28 Issue 4, p789; Thesaurus Term: CAPITAL; Thesaurus Term: RESOURCE allocation; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: CREDIT risk; Thesaurus Term: MACROECONOMICS; Author-Supplied Keyword: Capital allocation; Author-Supplied Keyword: Credit risk models; Author-Supplied Keyword: Future margin income; Author-Supplied Keyword: Revolving retail exposures; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jbankfin.2003.10.007 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12309343&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Calem, Paul S. AU - Canner, Glenn B. T1 - Consumer credit scoring: Do situational circumstances matter? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2004/04// VL - 28 IS - 4 M3 - Article SP - 835 SN - 03784266 AB - Although credit history scoring offers benefits to lenders and borrowers, failure to consider situational circumstances raises important statistical issues that may affect the ability of scoring systems to accurately quantify an individual’s credit risk. Evidence from a national sample of credit reporting agency records suggests that failure to consider measures of local economic circumstances and individual trigger events when developing credit history scores can diminish the potential effectiveness of such models. There are practical difficulties, however, associated with developing scoring models that incorporate situational data, arising largely because of inherent limitations of the credit reporting agency databases used to build scoring models. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT scoring systems KW - CREDIT risk KW - LOANS KW - CONSUMER credit KW - CREDIT bureaus KW - Consumer credit KW - Credit risk KW - Credit scoring N1 - Accession Number: 12309345; Avery, Robert B. 1; Calem, Paul S.; Email Address: pcalem@frb.gov; Canner, Glenn B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research & Statistics, Stop 153, Washington, DC 20551, USA; Issue Info: Apr2004, Vol. 28 Issue 4, p835; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: CREDIT risk; Thesaurus Term: LOANS; Thesaurus Term: CONSUMER credit; Thesaurus Term: CREDIT bureaus; Author-Supplied Keyword: Consumer credit; Author-Supplied Keyword: Credit risk; Author-Supplied Keyword: Credit scoring; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 22p; Document Type: Article L3 - 10.1016/j.jbankfin.2003.10.009 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12309345&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Hasan, Iftekhar AU - Klapper, Leora E. T1 - Further Evidence on the Link between Finance and Growth: an International Analysis of Community Banking and Economic Performance. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2004/04//Apr/Jun2004 VL - 25 IS - 2/3 M3 - Article SP - 169 EP - 202 SN - 09208550 AB - We try to contribute to both the finance-growth literature and the community banking literature by testing the effects of the relative health of community banks on economic growth, and investigating potential transmission mechanisms for these effects using data from 1993 to 2000 on 49 nations. Data from both developed and developing nations suggest that greater market shares and efficiency ranks of small, private, domestically owned banks are associated with better economic performance, and that the marginal benefits of higher shares are greater when these banks are more efficient. Only mixed support is found for hypothesized transmission mechanisms through improved financing for small and medium enterprises or greater overall bank credit flows. Data from developing nations are also consistent with favorable economic effects of foreign-owned banks, but unfavorable effects from state-owned banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COMMUNITY banks KW - BANKING industry KW - BANK loans KW - ECONOMIC development KW - BANKERS KW - FINANCIAL services industry KW - Banks KW - community banking KW - economic growth KW - financial development KW - international. KW - SMEs N1 - Accession Number: 13190477; Berger, Allen N. 1; Hasan, Iftekhar 2,3; Klapper, Leora E. 4; Affiliations: 1: Board of Governors of the Federal Reserve System and Wharton Financial Institutions Center.; 2: Rensselaer Polytechnic Institute.; 3: Bank of Finland.; 4: The World Bank.; Issue Info: Apr/Jun2004, Vol. 25 Issue 2/3, p169; Thesaurus Term: COMMUNITY banks; Thesaurus Term: BANKING industry; Thesaurus Term: BANK loans; Thesaurus Term: ECONOMIC development; Thesaurus Term: BANKERS; Thesaurus Term: FINANCIAL services industry; Author-Supplied Keyword: Banks; Author-Supplied Keyword: community banking; Author-Supplied Keyword: economic growth; Author-Supplied Keyword: financial development; Author-Supplied Keyword: international.; Author-Supplied Keyword: SMEs; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 34p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13190477&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Buch, Claudia M. AU - DeLong, Gayle AU - DeYoung, Robert T1 - Exporting financial institutions management via foreign direct investment mergers and acquisitions JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2004/04// VL - 23 IS - 3 M3 - Article SP - 333 SN - 02615606 AB - We test the relevance of the new trade theory and the traditional theory of comparative advantage for explaining the geographic patterns of international M&As of financial institutions between 1985 and 2000. The data provide statistically significant support for both theories. We also find evidence that the U.S. has idiosyncratic comparative advantages at both exporting and importing financial institutions management. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ASSOCIATIONS, institutions, etc. KW - FINANCIAL services industry KW - CONSOLIDATION & merger of corporations KW - FINANCIAL institutions KW - Financial institutions KW - Foreign direct investment KW - Mergers and acquisitions N1 - Accession Number: 12776868; Berger, Allen N. 1; Buch, Claudia M. 2; DeLong, Gayle 3; DeYoung, Robert 4; Email Address: robert.deyoung@frbchi.org; Affiliations: 1: Board of Governors of the Federal Reserve System and Wharton Financial Institutions Center, 20th and C Streets, NW, Washington, DC 20551, USA; 2: The Kiel Institute for World Economics, Düsternbrooker Weg 120, 24105 Kiel, Germany; 3: Baruch College/CUNY, One Bernard Baruch Way, New York, NY 10010, USA; 4: Federal Reserve Bank of Chicago, 230 South LaSalle Street, Chicago, IL 60604, USA; Issue Info: Apr2004, Vol. 23 Issue 3, p333; Thesaurus Term: ASSOCIATIONS, institutions, etc.; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: FINANCIAL institutions; Author-Supplied Keyword: Financial institutions; Author-Supplied Keyword: Foreign direct investment; Author-Supplied Keyword: Mergers and acquisitions; NAICS/Industry Codes: 813990 Other Similar Organizations (except Business, Professional, Labor, and Political Organizations); NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 34p; Document Type: Article L3 - 10.1016/j.jimonfin.2004.01.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12776868&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Driscoll, John C. T1 - Does bank lending affect output? Evidence from the U.S. states JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2004/04// VL - 51 IS - 3 M3 - Article SP - 451 SN - 03043932 AB - This paper uses a panel of state-level data to test whether changes in bank loan supply affect output. Since the U.S. states are small open economies with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using these shocks as an instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans have small, often negative and statistically insignificant effects on output. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - BANKING industry -- United States KW - DEMAND for money KW - FOREIGN exchange rates KW - PRODUCTION (Economic theory) KW - UNITED States KW - Bank lending KW - Credit KW - Money demand KW - U.S. states N1 - Accession Number: 12742191; Driscoll, John C. 1; Email Address: john_driscoll@alum.mit.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Federal Reserve Board, 20th and Constitution Avenue NW, Mail stop 75, Washington, DC 20551, USA; Issue Info: Apr2004, Vol. 51 Issue 3, p451; Thesaurus Term: BANK loans; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: DEMAND for money; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PRODUCTION (Economic theory); Subject: UNITED States; Author-Supplied Keyword: Bank lending; Author-Supplied Keyword: Credit; Author-Supplied Keyword: Money demand; Author-Supplied Keyword: U.S. states; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jmoneco.2004.01.001 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12742191&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2004/04// VL - 36 IS - 2 M3 - Article SP - 151 EP - 175 PB - Ohio State University Press SN - 00222879 AB - I estimate a forward-looking monetary policy reaction function for the Federal Reserve for the periods before and after Paul Volcker's appointment as Chairman in 1979, using information that was available to the FOMC in real time from 1966 to 1995. The results suggest broad similarities in policy and point to a forward-looking approach to policy consistent with a strong reaction to inflation forecasts during both periods. This contradicts the hypothesis, based on analysis with ex post constructed data, that the instability of the Great Inflation was the result of weak FOMC policy responses to expected inflation. A difference is that prior to Volcker's appointment, policy was too activist in reacting to perceived output gaps that retrospectively proved overambitious. Drawing on contemporaneous accounts of FOMC policy, I discuss the implications of the findings for alternative explanations of the Great Inflation and the improvement in macroeconomic stability since then. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INFLATION (Finance) KW - MACROECONOMICS KW - EFFECT of inflation on unemployment KW - ECONOMIC policy KW - Greenbook forecasts KW - monetary policy rules KW - real-time data KW - stagflation N1 - Accession Number: 12613535; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System; Issue Info: Apr2004, Vol. 36 Issue 2, p151; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MACROECONOMICS; Thesaurus Term: EFFECT of inflation on unemployment; Thesaurus Term: ECONOMIC policy; Author-Supplied Keyword: Greenbook forecasts; Author-Supplied Keyword: monetary policy rules; Author-Supplied Keyword: real-time data; Author-Supplied Keyword: stagflation; Number of Pages: 23p; Illustrations: 5 Charts, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12613535&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rodgers III, William M. AU - Holmes, John T1 - NEW ESTIMATES OF WITHIN OCCUPATION AFRICAN AMERICAN-WHITE WAGE GAPS. JO - Review of Black Political Economy JF - Review of Black Political Economy Y1 - 2004///Spring2004 VL - 31 IS - 4 M3 - Article SP - 69 EP - 88 SN - 00346446 AB - Estimates African American-white wage gaps across occupations using data from the 1999 to 2002 Current Population Survey Merged Outgoing Rotation Group files. The article's key feature is the use of decomposition techniques developed by William C. Horrace and Ronald L. Oaxaca in 2001 that generate identified industry-specific estimates of the gender gap. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Black Political Economy is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - AFRICAN Americans KW - WHITES KW - WAGES KW - LABOR costs KW - GENDER KW - BLACKS KW - OCCUPATIONS N1 - Accession Number: 16553159; Rodgers III, William M. 1,2; Holmes, John 3; Affiliations: 1 : Professor of Public Policy at the Bloustein School of Planning and Public Policy at Rutgers University; 2 : Chief Economist of the John J. Heldrich Center for Workforce Development; 3 : Research Assistant at the Board of Governors of the Federal Reserve System; Source Info: Spring2004, Vol. 31 Issue 4, p69; Historical Period: 1999 to 2002; Subject Term: AFRICAN Americans; Subject Term: WHITES; Subject Term: WAGES; Subject Term: LABOR costs; Subject Term: GENDER; Subject Term: BLACKS; Subject Term: OCCUPATIONS; Number of Pages: 20p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=16553159&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Greenspan, Alan T1 - THE EVOLVING U.S. PAYMENTS IMBALANCE AND ITS IMPACT ON EUROPE AND THE REST OF THE WORLD. JO - CATO Journal JF - CATO Journal Y1 - 2004///Spring/Summer2004 VL - 24 IS - 1/2 M3 - Article SP - 1 EP - 11 PB - Cato Institute SN - 02733072 AB - Examines the impact of the international payments imbalance of the U.S. on Europe and the rest of the world. Assessment of the account deficit of the country in the middle of 2001; Gap between domestic investment and domestic saving from 1995 through 2000; Sustainability of the account deficit. KW - BALANCE of payments KW - TERMS of trade KW - FOREIGN exchange KW - INTERNATIONAL finance KW - INTERNATIONAL competition KW - UNITED States -- Economic conditions KW - UNITED States KW - EUROPE N1 - Accession Number: 14490157; Greenspan, Alan 1; Affiliation: 1: Chairman, Board of Governors of the Federal Reserve System; Source Info: Spring/Summer2004, Vol. 24 Issue 1/2, p1; Subject Term: BALANCE of payments; Subject Term: TERMS of trade; Subject Term: FOREIGN exchange; Subject Term: INTERNATIONAL finance; Subject Term: INTERNATIONAL competition; Subject Term: UNITED States -- Economic conditions; Subject Term: UNITED States; Subject Term: EUROPE; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=14490157&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Calem, Paul S. AU - LaCour-Little, Michael T1 - Risk-based capital requirements for mortgage loans JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2004/03// VL - 28 IS - 3 M3 - Article SP - 647 SN - 03784266 AB - We contribute to the debate over the reform of the Basel Accord by developing risk-based capital requirements for mortgage loans held in portfolio by financial intermediaries. Our approach employs simulation of both economic variables that affect default incidence and conditional loss probability distributions. Results indicate that appropriate capital charges for credit risk vary substantially with loan characteristics and portfolio geographic diversification. Hence, rules that offer little risk differentiation, including the current Basel I regime and “standardized” approach proposed in Basel II result in significant divergence between regulatory and economic capital. These results highlight the incentive problems inherent in simplified methods of capital regulation. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL requirements KW - MORTGAGE loans KW - FINANCIAL institutions KW - CREDIT risk KW - DEFAULT (Finance) KW - DISTRIBUTION (Probability theory) KW - Capital KW - Credit risk KW - Mortgage N1 - Accession Number: 12042113; Calem, Paul S. 1; Email Address: pcalem@frb.gov; LaCour-Little, Michael 2,3; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Wells Fargo Home Mortgage, Inc., San Francisco, CA, USA; 3: Washington University in St. Louis, St. Louis, MO 63130, USA; Issue Info: Mar2004, Vol. 28 Issue 3, p647; Thesaurus Term: CAPITAL requirements; Thesaurus Term: MORTGAGE loans; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: CREDIT risk; Thesaurus Term: DEFAULT (Finance); Thesaurus Term: DISTRIBUTION (Probability theory); Author-Supplied Keyword: Capital; Author-Supplied Keyword: Credit risk; Author-Supplied Keyword: Mortgage; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 26p; Document Type: Article L3 - 10.1016/S0378-4266(03)00039-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12042113&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ferguson Jr., Roger W. AU - Wascher, William L. T1 - Distinguished Lecture on Economics in Government: Lessons from Past Productivity Booms. JO - Journal of Economic Perspectives JF - Journal of Economic Perspectives Y1 - 2004///Spring2004 VL - 18 IS - 2 M3 - Article SP - 3 EP - 28 SN - 08953309 AB - Examines three periods of high productivity growth in America between 1865 and the early 1970's - circa 1865-90, 1918-29, and circa 1950-73 - to determine what features they had in common. Each of these eras featured technological innovation, improvements in organizational structure and business financing, and investments of human capital. Supportive government legislation, personal and economic freedoms, broad social willingness to change, and confidence in technological innovation were other critical factors. KW - UNITED States -- Economic conditions KW - ECONOMICS KW - UNITED States -- Politics & government KW - TECHNOLOGY KW - INDUSTRIAL productivity KW - ORGANIZATIONAL structure KW - FINANCE KW - ECONOMIC development KW - UNITED States KW - FERGUSON, Roger Walton, 1951- N1 - Accession Number: 13959163; Ferguson Jr., Roger W. 1; Wascher, William L. 2; Affiliations: 1 : Vice Chairman, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D. C.; 2 : Assistant Director, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D. C.; Source Info: Spring2004, Vol. 18 Issue 2, p3; Historical Period: 1865 to 1999; Subject Term: UNITED States -- Economic conditions; Subject Term: ECONOMICS; Subject Term: UNITED States -- Politics & government; Subject Term: TECHNOLOGY; Subject Term: INDUSTRIAL productivity; Subject Term: ORGANIZATIONAL structure; Subject Term: FINANCE; Subject Term: ECONOMIC development; Subject: UNITED States; Number of Pages: 26p; Illustrations: 1 Chart, 1 Graph; Document Type: Article; Full Text Word Count: 12357 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=13959163&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Ahearne, Alan G. AU - Griever, William L. AU - Warnock, Francis E. T1 - Information costs and home bias: an analysis of US holdings of foreign equities JO - Journal of International Economics JF - Journal of International Economics Y1 - 2004/03// VL - 62 IS - 2 M3 - Article SP - 313 SN - 00221996 AB - We test extant hypotheses of the home bias in equity holdings using high quality cross-border holdings data and quantitative measures of barriers to international investment. The effects of direct barriers to international investment, when statistically significant, are not economically meaningful. More important are information asymmetries that owe to the poor quality and low credibility of financial information in many countries. While a direct measure of information costs is not available, some foreign firms have reduced these costs by publicly listing their securities in the United States, where investor protection regulations elicit standardized, credible financial information. A proxy for the reduction in information asymmetries—the portion of a country’s market that has a public US listing—is a major determinant of a country’s weight in US investors’ portfolios. Foreign countries whose firms do not alleviate information costs by opting into the US regulatory environment are more severely underweighted in US equity portfolios. [Copyright &y& Elsevier] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN investments KW - CAPITALISTS & financiers KW - FOREIGN business enterprises KW - UNITED States KW - Accounting standards KW - Information asymmetries KW - Investor protection KW - K22 KW - M40 KW - Portfolio choice N1 - Accession Number: 12170124; Ahearne, Alan G. 1; Griever, William L. 1; Warnock, Francis E.; Email Address: frank.warnock@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Stop 42A, 20th and C Streets NW, Washington, DC 20551, USA; Issue Info: Mar2004, Vol. 62 Issue 2, p313; Thesaurus Term: FOREIGN investments; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: FOREIGN business enterprises; Subject: UNITED States; Author-Supplied Keyword: Accounting standards; Author-Supplied Keyword: Information asymmetries; Author-Supplied Keyword: Investor protection; Author-Supplied Keyword: K22; Author-Supplied Keyword: M40; Author-Supplied Keyword: Portfolio choice; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 24p; Document Type: Article L3 - 10.1016/S0022-1996(03)00015-1 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12170124&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amato, Jeffery D. AU - Laubach, Thomas T1 - Implications of habit formation for optimal monetary policy JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2004/03// VL - 51 IS - 2 M3 - Article SP - 305 SN - 03043932 AB - We study the implications for optimal monetary policy of introducing habit formation in consumption into a general equilibrium model with sticky prices. Habit formation affects the model's endogenous dynamics through its effects on both aggregate demand and households’ supply of output. We show that the objective of monetary policy consistent with welfare maximization includes output stabilization, as well as inflation and output gap stabilization. We find that the variance of output increases under optimal policy, even though it acquires a higher implicit weight in the welfare function. We also find that a simple interest rate rule nearly achieves the welfare-optimal allocation, regardless of the degree of habit formation. In this rule, the optimal responses to inflation and the lagged interest rate are both declining in the size of the habit, although super-inertial policies remain optimal. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - CONSUMPTION (Economics) KW - EQUILIBRIUM (Economics) KW - INTEREST rates KW - SUPPLY & demand KW - Habit formation KW - Interest rate rules KW - Optimal monetary policy N1 - Accession Number: 12236461; Amato, Jeffery D. 1; Email Address: jeffery.amato@bis.org; Laubach, Thomas 2; Affiliations: 1: Bank for International Settlements, Basel 4002, Switzerland; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Mar2004, Vol. 51 Issue 2, p305; Thesaurus Term: MONETARY policy; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTEREST rates; Thesaurus Term: SUPPLY & demand; Author-Supplied Keyword: Habit formation; Author-Supplied Keyword: Interest rate rules; Author-Supplied Keyword: Optimal monetary policy; Number of Pages: 21p; Document Type: Article L3 - 10.1016/j.jmoneco.2003.05.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12236461&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Heitfield, Erik AU - Prager, Robin A. T1 - The Geographic Scope of Retail Deposit Markets. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2004/02// VL - 25 IS - 1 M3 - Article SP - 37 EP - 55 SN - 09208550 AB - In analyzing the competitive effects of proposed bank mergers and acquisitions, United States antitrust authorities rely on two important assumptions: (1) that markets for at least some types of banking products are local in scope, and (2) that market concentration measures can serve as effective proxies for banks' abilities to extract monopoly rents. This paper uses balance sheet data from most banks operating in the United States in 1988, 1992, 1996, and 1999 to test these assumptions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MARKETS KW - TRADE regulation KW - BANKING industry -- United States KW - CONSOLIDATION & merger of corporations KW - MONOPOLIES KW - ANTITRUST law KW - PROXY statements KW - UNITED States KW - antitrust KW - Banking KW - geographic markets. N1 - Accession Number: 12335470; Heitfield, Erik 1; Prager, Robin A. 1; Affiliations: 1: Board Of Governors Of The Federal Reserve System.; Issue Info: Feb2004, Vol. 25 Issue 1, p37; Thesaurus Term: MARKETS; Thesaurus Term: TRADE regulation; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: MONOPOLIES; Thesaurus Term: ANTITRUST law; Thesaurus Term: PROXY statements; Subject: UNITED States; Author-Supplied Keyword: antitrust; Author-Supplied Keyword: Banking; Author-Supplied Keyword: geographic markets.; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12335470&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Swanson, Eric T. T1 - MEASURING THE CYCLICALITY OF REAL WAGES: HOW IMPORTANT IS THE FIRM'S POINT OF VIEW? JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2004/02// VL - 86 IS - 1 M3 - Article SP - 362 EP - 377 PB - MIT Press SN - 00346535 AB - Abstract--There is a growing consensus among economists that real wages in the postwar United States have been procyclical, greatly bolstering technology-driven theories of business cycles at the expense of more classical models. This paper makes the point that technological movements in firm's labor demand curves should be tested with a wage that is deflated by the firm's own price of output, with appropriate controls for intermediate inputs, and with respect to the cyclical state of the firm's own industry, as opposed to the state of the aggregate economy. Failure to control for these factors is found to lead to substantial overrejection of the classical model. In detailed industry data, with controls for changes in worker composition, I find that a vast majority of sectors have paid real product wages that vary inversely (that is, countercyclically) with the state of their industry. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REAL wages KW - WAGES KW - PURCHASING power KW - ECONOMIC activity KW - ECONOMICS KW - BUSINESS cycles KW - UNITED States N1 - Accession Number: 12908658; Swanson, Eric T. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Feb2004, Vol. 86 Issue 1, p362; Thesaurus Term: REAL wages; Thesaurus Term: WAGES; Thesaurus Term: PURCHASING power; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMICS; Thesaurus Term: BUSINESS cycles; Subject: UNITED States; Number of Pages: 16p; Illustrations: 3 Charts, 5 Graphs; Document Type: Article; Full Text Word Count: 11473 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12908658&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David AU - Wascher, William T1 - MINIMUM WAGES, LABOR MARKET INSTITUTIONS, AND YOUTH EMPLOYMENT: A CROSS-NATIONAL ANALYSIS. JO - ILR Review JF - ILR Review Y1 - 2004/01// VL - 57 IS - 2 M3 - Article SP - 223 EP - 248 PB - Sage Publications Inc. SN - 00197939 AB - The authors estimate the employment effects of changes in national minimum wages using a pooled cross-section time-series data set comprising 17 OECD countries for the period 1975-2000. The average effects they find are consistent with the view that minimum wages cause employment losses among youths. However, the evidence also shows considerable variation across countries. In particular, disemployment effects of minimum wages appear to be smaller in countries that have subminimum wage provisions for youths. Regarding other labor market policies and institutions, the authors find that more restrictive labor standards and higher union coverage strengthen the disemployment effects of minimum wages, while employment protection laws and active labor market policies designed to bring unemployed individuals into the work force help to offset these effects. Overall, the disemployment effects of minimum wages are strongest in the countries with the least regulated labor markets. [ABSTRACT FROM AUTHOR] AB - Copyright of ILR Review is the property of Sage Publications Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MINIMUM wage KW - LABOR unions KW - EMPLOYMENT policy KW - INCOME KW - EMPLOYMENT (Economic theory) KW - LABOR KW - LABOR laws & legislation KW - REAL wages KW - YOUTH N1 - Accession Number: 11731797; Neumark, David 1; Wascher, William 2; Affiliations: 1: Senior Fellow, Public Policy Institute of California, Professor of Economics at Michigan State University, and Research Associate of the NBER.; 2: Assistant Director in the Division of Research and Statistics at the Board of Governors of the Federal Reserve System; Issue Info: Jan2004, Vol. 57 Issue 2, p223; Thesaurus Term: MINIMUM wage; Thesaurus Term: LABOR unions; Thesaurus Term: EMPLOYMENT policy; Thesaurus Term: INCOME; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: LABOR; Thesaurus Term: LABOR laws & legislation; Thesaurus Term: REAL wages; Subject Term: YOUTH; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 813930 Labor Unions and Similar Labor Organizations; Number of Pages: 26p; Illustrations: 7 Charts; Document Type: Article; Full Text Word Count: 15376 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11731797&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mills Jr., David C. T1 - Mechanism design and the role of enforcement in Freeman's model of payments JO - Review of Economic Dynamics JF - Review of Economic Dynamics Y1 - 2004/01// VL - 7 IS - 1 M3 - Article SP - 219 SN - 10942025 AB - Freeman (1996, American Economic Review 86 (5), 1126–1138) is the first to formulate a model in which (i) debts are repaid with money and (ii) there can arise liquidity problems which give rise to a role for a central bank discount window. I ask whether this payment system is truly essential in his model. It is not because there is another mechanism—one without features (i) and (ii)—that works as well. This is because of a strong assumption regarding the enforcement of debt contracts. I then present a slightly different model of enforcement based on collateralized lending where (i) is necessary, but (ii) is not. [Copyright &y& Elsevier] AB - Copyright of Review of Economic Dynamics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCOUNT KW - MONEY KW - LIQUIDITY (Economics) KW - DEBT KW - Discount window KW - E40 KW - Payments system N1 - Accession Number: 11470223; Mills Jr., David C. 1; Email Address: david.c.mills@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Reserve Bank Operations and Payment Systems, Washington, DC 20551, USA; Issue Info: Jan2004, Vol. 7 Issue 1, p219; Thesaurus Term: DISCOUNT; Thesaurus Term: MONEY; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: DEBT; Author-Supplied Keyword: Discount window; Author-Supplied Keyword: E40; Author-Supplied Keyword: Payments system; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 18p; Document Type: Article L3 - 10.1016/S1094-2025(03)00045-0 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11470223&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Orphanides, Athanasios T1 - Monetary Policy in Deflation: The Liquidity Trap in History and Practice. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 35 AB - The experience of the U.S. economy during the mid-1930s, when short-term nominal interest rates were continuously close to zero, is sometimes taken as evidence that monetary policy was ineffective and the economy was in a "liquidity trap." Close examination of the historical policy record for the period indicates that the evidence does not support such assertions. The incomplete and erratic recovery from the Great Depression can be traced to a failure to pursue consistently expansionary policy resulting from an incorrect understanding of monetary policy in an environment of very low short-term nominal interest rates. Commonalities with the Japanese experience during the late 1990s, and the inadequacy of short-term interest rates as indicators of the stance of monetary policy are discussed and a robust operating procedure for implementing monetary policy in a low interest rate environment by adjusting the maturity of targeted interest rate instruments is described. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - FINANCIAL crises KW - DEFLATION (Finance) KW - ECONOMIC recovery KW - UNITED States -- Economic conditions -- 1918-1945 KW - JAPAN -- Economic conditions -- 1989- KW - UNITED States KW - JAPAN KW - great depression KW - Japan KW - liquidity trap KW - Zero interest-rate bound N1 - Accession Number: 20919156; Orphanides, Athanasios 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2004, Preceding p1; Thesaurus Term: MONETARY policy; Thesaurus Term: FINANCIAL crises; Thesaurus Term: DEFLATION (Finance); Thesaurus Term: ECONOMIC recovery; Subject Term: UNITED States -- Economic conditions -- 1918-1945; Subject Term: JAPAN -- Economic conditions -- 1989-; Subject: UNITED States; Subject: JAPAN; Author-Supplied Keyword: great depression; Author-Supplied Keyword: Japan; Author-Supplied Keyword: liquidity trap; Author-Supplied Keyword: Zero interest-rate bound; Number of Pages: 36p; Illustrations: 14 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20919156&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Chaboud, Alain P. AU - Chernenko, Sergey V. AU - Howorka, Edward AU - Iyer, Raj S. Krishnasami AU - Liu, David AU - Wright, Jonathan H. T1 - The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 40 AB - We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange KW - RATES KW - MACROECONOMICS KW - INTERNATIONAL trade KW - BALANCE of payments KW - ECONOMIC models KW - CAPITAL market KW - INTERNATIONAL finance KW - ECONOMIC policy KW - Conditional Mean KW - Conditional Volatility KW - Foreign Exchange KW - High Frequency Data KW - News Announcements KW - Trading Volume N1 - Accession Number: 23647426; Chaboud, Alain P. 1; Chernenko, Sergey V. 1; Howorka, Edward 2; Iyer, Raj S. Krishnasami 2; Liu, David 2; Wright, Jonathan H. 1; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551; 2: EBS, 535 Madison Avenue, New York NY 10022; Issue Info: 2004, p1; Thesaurus Term: FOREIGN exchange; Thesaurus Term: RATES; Thesaurus Term: MACROECONOMICS; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: BALANCE of payments; Thesaurus Term: ECONOMIC models; Thesaurus Term: CAPITAL market; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: ECONOMIC policy; Author-Supplied Keyword: Conditional Mean; Author-Supplied Keyword: Conditional Volatility; Author-Supplied Keyword: Foreign Exchange; Author-Supplied Keyword: High Frequency Data; Author-Supplied Keyword: News Announcements; Author-Supplied Keyword: Trading Volume; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 41p; Illustrations: 3 Charts, 8 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647426&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Chernenko, Sergey V. AU - Schwarz, Krista B. AU - Wright, Jonathan H. T1 - The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 23 AB - Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational expectations of future actual prices. The forward and futures rates that we study under a common methodology include foreign exchange forward rates, U.S. and foreign interest rate futures and forward rates, oil futures and natural gas futures. For most, but not all, of these instruments, we find that we can reject the hypothesis that the forward or futures rates are rational expectations of actual future prices. It is well known that foreign exchange forward rates give less accurate forecasts than a random walk, but we show that this is also true for some interest rate futures and forward rates. We conclude that forward and futures prices are not generally pure measures of market expectations: they are also heavily affected by the market price of risk. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange KW - FINANCIAL futures KW - INTEREST rate futures KW - FOREIGN exchange futures KW - ECONOMIC forecasting KW - MARKET prices KW - SECURITIES -- Prices KW - UNITED States -- Economic conditions KW - UNITED States KW - forecast evaluation KW - forward contracts KW - futures KW - random walk KW - risk premia N1 - Accession Number: 23647411; Chernenko, Sergey V. 1; Schwarz, Krista B. 1; Wright, Jonathan H. 2; Affiliations: 1: Markets Group, Federal Reserve Bank of New York, 33 Liberty Street, New York NY 10045; 2: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2004, p1; Thesaurus Term: FOREIGN exchange; Thesaurus Term: FINANCIAL futures; Thesaurus Term: INTEREST rate futures; Thesaurus Term: FOREIGN exchange futures; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MARKET prices; Thesaurus Term: SECURITIES -- Prices; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Author-Supplied Keyword: forecast evaluation; Author-Supplied Keyword: forward contracts; Author-Supplied Keyword: futures; Author-Supplied Keyword: random walk; Author-Supplied Keyword: risk premia; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 24p; Illustrations: 3 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647411&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Chugh, Sanjay T1 - Does Monetary Policy Keep Up with the Joneses? Optimal Interest-Rate Smoothing with Consumption Externalities. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 33 AB - Changes in monetary policy are typically implemented gradually, an empirical observation known as interest-rate smoothing. We propose the explanation that time-non-separable preferences may render interest-rate smoothing optimal. We find that when consumers have ‘catching-up-with-the-Joneses‘ preferences, optimal monetary policy reacts gradually to shocks to prevent inefficiently fast adjustments in consumption. We also extend our basic model to investigate the effects of capital formation and nominal rigidities on the dynamics of optimal monetary policy. Optimal policy responses continue to be gradual in the presence of capital and sticky prices, with a size and speed that are in line with empirical findings for the U.S. economy. Our results emphasize that gradualism in monetary policy may be needed simply to guide the economy on an optimally smooth path. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INTEREST rates KW - CONSUMPTION (Economics) KW - CONSUMERS KW - EXTERNALITIES (Economics) KW - CAPITAL KW - SAVING & investment KW - ECONOMIC stabilization KW - UNITED States -- Economic conditions KW - UNITED States KW - catching up with the Joneses KW - habit persistence KW - optimal monetary policy N1 - Accession Number: 23647415; Chugh, Sanjay 1; Email Address: sanjay.k.chugh@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2004, p1; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rates; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: CONSUMERS; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: CAPITAL; Thesaurus Term: SAVING & investment; Thesaurus Term: ECONOMIC stabilization; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Author-Supplied Keyword: catching up with the Joneses; Author-Supplied Keyword: habit persistence; Author-Supplied Keyword: optimal monetary policy; Number of Pages: 33p; Illustrations: 1 Diagram, 5 Charts, 2 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647415&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Erceg, Christopher J. AU - Guerrieri, Luca AU - Gust, Christopher T1 - Can Long-Run Restrictions Identify Technology Shocks? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 57 AB - Galí's innovative approach of imposing long-run restrictions on a vector autoregression (VAR) to identify the effects of a technology shock has become widely utilized. In this paper, we investigate its reliability through Monte Carlo simulations using calibrated business cycle models. We find it encouraging that the impulse responses derived from applying the Galí methodology to the artificial data generally have the same sign and qualitative pattern as the true responses. However, we find considerable estimation uncertainty about the quantitative impact of a technology shock on macroeconomic variables, and little precision in estimating the contribution of technology shocks to business cycle fluctuations. More generally, our analysis emphasizes that the conditions under which the methodology performs well appear considerably more restrictive than implied by the key identifying assumption, and depend on model structure, the nature of the underlying shocks, and variable selection in the VAR. This cautions against interpreting responses derived from this approach as model-independent stylized facts. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - BUSINESS cycles KW - TECHNOLOGICAL innovations KW - HIGH technology KW - MACROECONOMICS KW - STATISTICAL reliability KW - REGRESSION analysis KW - MONTE Carlo method KW - AUTOREGRESSION (Statistics) KW - business cycle models KW - Technology shocks KW - vector autoregressions N1 - Accession Number: 23647395; Erceg, Christopher J. 1; Guerrieri, Luca 1; Email Address: Luca.Guerrieri@frb.gov; Gust, Christopher 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System, Washington D.C. 20551-0001; Issue Info: 2004, p1; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: BUSINESS cycles; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: HIGH technology; Thesaurus Term: MACROECONOMICS; Thesaurus Term: STATISTICAL reliability; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MONTE Carlo method; Subject Term: AUTOREGRESSION (Statistics); Author-Supplied Keyword: business cycle models; Author-Supplied Keyword: Technology shocks; Author-Supplied Keyword: vector autoregressions; Number of Pages: 58p; Illustrations: 9 Charts, 10 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647395&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gagnon, Joseph E. T1 - Growth-Led Exports: Is Variety the Spice of Trade? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 25 AB - Fast-growing countries tend to experience rapid export growth with little secular change in their terms of trade. This contradicts the standard Armington trade model, which predicts that fast-growing countries can experience rapid export growth only to the extent that they accept declining terms of trade. This paper generalizes the monopolistic competition trade model of Helpman and Krugman (1985), providing a basis for growth-led exports without declining terms of trade. The key mechanism behind this result is that fast-growing countries are able to develop new varieties of products that can be exported without pushing down the prices of existing products. There is strong support for the new model in long-run export growth of many countries in the post-war era. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL trade KW - EMERGING markets KW - EXPORTS KW - INTERNATIONAL competition KW - TERMS of trade KW - INTERNATIONAL economic relations KW - COMMERCIAL policy KW - ECONOMIC development KW - DEVELOPING countries KW - export demand KW - international trade KW - product differentiation N1 - Accession Number: 23647425; Gagnon, Joseph E. 1; Email Address: joseph.e.gagnon@frb.gov; Affiliations: 1: Assistant Director, Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 19, 2000 C Street NW, Washington, DC 20551; Issue Info: 2004, p1; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: EMERGING markets; Thesaurus Term: EXPORTS; Thesaurus Term: INTERNATIONAL competition; Thesaurus Term: TERMS of trade; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: ECONOMIC development; Subject Term: DEVELOPING countries; Author-Supplied Keyword: export demand; Author-Supplied Keyword: international trade; Author-Supplied Keyword: product differentiation; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 26p; Illustrations: 2 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647425&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Vigfusson, Robert J. T1 - The Delayed Response To A Technology Shock. A Flexible Price Explanation. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2004/01// M3 - Working Paper SP - 1 EP - 44 AB - I present empirical evidence of how the U.S. economy, including per-capita hours worked, responds to a technology shock. In particular, I present results based on permanent changes to a constructed direct measure of technological change for U.S. manufacturing industries. Based on empirical evidence, some claim that hours worked declines and never recovers in response to a positive technology shock. This paper's empirical evidence suggests that emphasizing the drop in hours worked is misdirected. Because the sharp drop in hours is not present here, the emphasis rather should be on the small (perhaps negative) initial response followed by a subsequent large positive response. Investment, consumption, and output have similar dynamic responses. In response to a positive technology shock, a standard flexible price model would have an immediate increase in hours worked. Therefore, such a model is inconsistent with the empirical dynamic responses. I show, however, that a flexible price model with habit persistence in consumption and certain kinds of capital adjustment costs can better match the empirical responses. Some recent papers have critiqued the use of long run VARs to identify the dynamic responses to a technology shock. In particular they report that, when long run VARs are applied to data simulated from particular economic models, the point estimates of the impulse responses may be imprecisely estimated. However, based on additional simulation evidence, I find that, although the impact response may be imprecisely estimated, a finding of a delayed response is much more likely when the true model response also has a delayed response. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TECHNOLOGICAL innovations KW - MANUFACTURING industries KW - PER capita KW - PRICES KW - ECONOMIC models KW - INVESTMENTS KW - CONSUMPTION (Economics) KW - UNITED States -- Economic conditions KW - UNITED States KW - impulse responses KW - long-run identification assumption KW - macroeconomic models KW - vector autoregressions KW - weak instruments N1 - Accession Number: 23647413; Vigfusson, Robert J. 1; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2004, p1; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: PER capita; Thesaurus Term: PRICES; Thesaurus Term: ECONOMIC models; Thesaurus Term: INVESTMENTS; Thesaurus Term: CONSUMPTION (Economics); Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Author-Supplied Keyword: impulse responses; Author-Supplied Keyword: long-run identification assumption; Author-Supplied Keyword: macroeconomic models; Author-Supplied Keyword: vector autoregressions; Author-Supplied Keyword: weak instruments; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 43p; Illustrations: 4 Charts, 15 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647413&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Board of Governors of the Federal Reserve System, Federal Reserve Board,Washington, D.C. 20551,USA. AD - Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105,USA. T1 - The decline of activist stabilization policy: Natural rate misperceptions, learning and expectations. PB - European Central Bank, Working Paper Series: 337 Y1 - 2004/// SP - 44 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0820672; Keywords: Monetary policy; stagflation; rational expectations; learning.; Publication Type: Working Paper; Update Code: 200603 N2 - We develop an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy. We explore the effects of policymakers' misperceptions of the natural rate of unemployment during the late 1960s and 1970s on the formation of expectations and macroeconomic outcomes. We find that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent inflation expectations and destabilized the economy. Had policy reacted less aggressively to perceived unemployment gaps, inflation expectations would have remained anchored and the stagflation of the 1970s would have been avoided. Learning from the experience of the 1970s, policymakers eschewed activist policies in favor of policies that concentrated on the achievement of price stability, contributing to the subsequent improvements in macroeconomic performance. KW - Monetary Policy E52 L3 - http://www.ecb.int/pub/pdf/scpwps/ecbwp337.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0820672&site=ehost-live&scope=site UR - http://www.ecb.int/pub/pdf/scpwps/ecbwp337.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barnett, William AU - Jones, Barry AU - Kirova, Milka AU - Nesmith, Travis AU - Pasupathy1, Meenakshi AD - Department of Economics, The University of Kansas AD - State University of New York at Binghamton AD - Washington University AD - Board of Governors of the Federal Reserve System AD - Bernard Baruch School--CUNY T1 - The Nonlinear Skeletons in the Closet PB - University of Kansas, Department of Economics, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS: 200403 Y1 - 2004/// SP - 45 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0787986; Publication Type: Working Paper; Update Code: 200508 L3 - http://www.ku.edu/~bgju/2004Papers/200403Barnett.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0787986&site=ehost-live&scope=site UR - http://www.ku.edu/~bgju/2004Papers/200403Barnett.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Holland, Sara B. AU - Smith, David C. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Look at me now: the role of cross-listing in attracting U.S. investors PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 815 Y1 - 2004/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752666; Keywords: Investments, Foreign; Publication Type: Working Paper; Update Code: 200411 N2 - We use a comprehensive 1997 survey to examine U.S. investors' preferences for foreign equities. We document a variety of firm characteristics that can influence U.S. investment, but the most important determinant is whether the stock is cross-listed on a U.S. exchange. Our selection bias-corrected estimates imply that firms that cross-list can increase their U.S. holdings by 8 to 11 percent of their market capitalization, roughly doubling the amount held without cross-listing. All else equal, we find that firms experience smaller increases in U.S. shareholdings upon cross-listing if they are Canadian, from English-speaking countries, are members of the MSCI World index, or had higher quality accounting standards prior to cross-listing. We argue that these findings suggest that improvements in information production explain U.S. investors' attraction to foreign stocks that cross-list in the United States. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/815/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752666&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/815/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Birchler, Urs AU - Hancock, Diana AD - Swiss National Bank AD - Board of Governors of the Federal Reserve System T1 - What Does the Yield on Subordinated Bank Debt Measure? PB - Swiss National Bank, Working Papers: 2004-2 Y1 - 2004/// SP - 53 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1034570; Keywords: market discipline; subordinated debt; bank supervision; Publication Type: Working Paper; Update Code: 200905 N2 - We provide evidence that a bank's subordinated debt yield spread is not, by itself, a sufficient measure of default risk. We use a model in which subordinated debt is held by investors with superior knowledge (informed investor). First, we show that in theory the yield spread on subordinated debt must compensate investors for expected loss plus give them an incentive not to prefer senior debt. Second we present strong empirical evidence in favor of the informed investor hypothesis and of the existence of the incentive premium predicted by the model. Using data on the timing and pricing of public debt issues made by large U.S. banking organizations during the 1985-2002 period, we find that banks issue relatively more subordinated debt in good times, i.e. when informed investors have good news. Spreads at issuance (corrected for sample selection bias) react to (superior) private and to public information, in line with the comparative statics of the postulated incentive premium. Interestingly, as the model predicts, the influence of sophisticated investors' information on the subordinated yield spread became weaker after the introduction of prompt corrective action and depositor preference reforms, while the influence of public risk perception grew stronger. Finally, our model explains anomalies from the empirical literature on subordinated debt spreads and from market interviews (e.g. limited sensitivity to bank-specific risk and the ballooning of spreads in bad times). We conclude that a bank's subordinated yield spread conveys important information if interpreted together with its senior spread and with other banks' subordinated yield spreads. KW - Information, Knowledge, and Uncertainty: General D80 KW - Financial Institutions and Services: General G20 KW - Regulation and Business Law: General K20 L3 - http://www.snb.ch/n/mmr/reference/working_paper_2004_02/source/working_paper_2004_02.n.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1034570&site=ehost-live&scope=site UR - http://www.snb.ch/n/mmr/reference/working_paper_2004_02/source/working_paper_2004_02.n.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Jeffrey R. AU - Liang, Nellie AU - Weisbenner, Scott AD - Unlisted AD - Unlisted AD - Unlisted T1 - 401(k) matching contributions in company stock: costs and benefits for firms and workers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-23 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740572; Keywords: 401(k) plans; Stocks; Publication Type: Working Paper; Update Code: 200408 N2 - This paper examines why some employers provide matching contributions to 401(k) plans in company stock and explores the implications of match policy for employee retirement wealth. Unlike stock option grants to non-executives, a firm's decision to match in company stock does not appear to be strongly correlated with cash flow or with measures of the benefits of aligning incentives of employees and employers. Rather, we find evidence that firms are more likely to provide the match in company stock if firm risk is low (i.e. lower stock price volatility and lower bankruptcy risk) and employees are also covered by a defined benefit plan. These findings suggest that firms consider the retirement security of their workers in making the match decision, either because firms want to minimize the risk of violating their fiduciary responsibility or because employees more fully value company stock at companies with lower firm-specific risk. Evidence also indicates that firms may want to match in company stock to boost employee ownership, perhaps to help deter takeovers, or because of the tax advantages for dividends on the company stock match. Simulation results suggest that sufficiently risk-tolerant individuals actually prefer a 401(k) plan at a company with a company stock match to a plan at a company with an unrestricted match, unless the equity premium is reduced substantially. L3 - http://www.federalreserve.gov/pubs/feds/2004/200423/200423abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740572&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200423/200423abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Andrew AD - Unlisted T1 - A computationally efficient characterization of pure strategy Nash equilibria in large entry games PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-37 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0799111; Publication Type: Working Paper; Update Code: 200511 N2 - This note presents a simple algorithm for characterizing the set of pure strategy Nash equilibria in a broad class of entry games. The algorithm alleviates much of the computational burden associated with recently developed econometric techniques for estimating payoff functions inferred from entry games with multiple equlibria. L3 - http://www.federalreserve.gov/pubs/feds/2005/200537/200537abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0799111&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200537/200537abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AU - Beaulieu, J. Joseph AD - Unlisted AD - Unlisted T1 - A consistent accounting of U.S. productivity growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-55 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753756; Keywords: Industrial productivity ; Labor productivity ; Database design; Publication Type: Working Paper; Update Code: 200412 N2 - This paper is an exploration in the relative performance and sources of productivity growth of U.S. private businesses across industries and legal structure. In order to assemble the disparate data from various sources to develop a coherent productivity database, we developed a general system to manage data. The paper describes this system and then applies it by building such a database. The paper presents updated estimates of gross output, intermediate input use, and value added using the BEA's GPO data set. It supplements these data with estimates of missing data on intermediate input use and prices for the 1977-1986 period, and it concords these data, which are organized on a 1972 SIC basis, to the 1987 SIC in order to have consistent time series covering the last twenty-four years. It further refines these data by disaggregating them by legal form of organization. The paper also presents estimates of labor hours, labor quality, investment, capital services and, consequently, multifactor productivity disaggregated by industry and legal form of organization, and it analyzes the contribution of various industries and business organizations to aggregate productivity. The paper also reconsiders these estimates in light of the surge in spending in advance of the century-date change. L3 - http://www.federalreserve.gov/pubs/feds/2004/200455/200455abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753756&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200455/200455abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cummins, Jason G. AD - Unlisted T1 - A new approach to the valuation of intangible capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-17 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740557; Keywords: Intangible property; Capital; Publication Type: Working Paper; Update Code: 200408 N2 - Intangible capital is not a distinct factor of production as is physical capital or labor. Rather it is the "glue" that creates value from other factor inputs. This perspective naturally suggests an empirical model in which intangible capital is defined in terms of adjustment costs. My estimates of these adjustment costs from firm-level panel data suggest that no appreciable intangibles are associated with R&D and advertising, whereas information technology creates intangibles with a 72% annual rate of return--a sizable figure that is nevertheless much smaller than that reported in previous studies. To build a bridge to previous research, I show that much larger estimates can be obtained with ordinary least squares, a method that ignores the possibility that the value of the firm and its investment policy are simultaneously determined. L3 - http://www.federalreserve.gov/pubs/feds/2004/200417/200417abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740557&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200417/200417abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AU - Li, Canlin AD - Unlisted AD - Unlisted T1 - Alternative estimates of the Presidential premium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-69 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762802; Publication Type: Working Paper; Update Code: 200502 N2 - Since the early 1980s much research, including the most recent contribution of Santa-Clara and Valkanov (2003), has concluded that there is a stable, robust and significant relationship between Democratic presidential administrations and robust stock returns. Moreover, the difference in returns does not appear to be accompanied by any significant differences in risk across the presidential cycle. These conclusions are largely based on OLS estimates of the difference in returns across the presidential cycle. We re-examine this issue using more efficient estimators of the presidential premium. Specifically, we exploit the considerable and persistent heteroskedasticity in stock returns to construct more efficient weighted least squares (WLS) and generalized autoregressive conditional heteroskedasticity (GARCH) estimators of the difference in expected excess stock returns across the presidential cycle. Our findings provide considerable contrast to the findings of previous research. Across the different WLS and GARCH estimates we find that the point estimates are considerably smaller than the OLS estimates and fluctuate considerably across different sub samples. We show that the large difference between the WLS, GARCH and OLS estimates is driven by differing stock market performance during very volatile market environments. During periods of elevated market volatility, excess stock returns have been markedly higher under Democratic than Republican administrations. Accordingly, the WLS and GARCH estimators are less sensitive to these episodes than the OLS estimator. Ultimately, these results are consistent with the conclusion that neither risk nor return varies significantly across the presidential cycle. L3 - http://www.federalreserve.gov/pubs/feds/2004/200469/200469abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762802&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200469/200469abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel AU - Han, Song AD - Unlisted AD - Unlisted T1 - An empirical analysis of bond recovery rates: exploring a structural view of default PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-10 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0769021; Keywords: Bonds ; Default (Finance) ; Risk management; Publication Type: Working Paper; Update Code: 200504 N2 - A frictionless, structural view of default has the unrealistic implication that recovery rates on bonds, measured at default, should be close to 100 percent. This suggests that standard "frictions" such as default delays, corporate-valuation jumps, and bankruptcy costs may be important drivers of recovery rates. A structural view also suggests the existence of nonlinearities in the empirical relationship between recovery rates and their determinants. We explore these implications empirically and find direct evidence of jumps, and also evidence of the predicted nonlinearities. In particular, recovery rates increase as economic conditions improve from low levels, but decrease as economic conditions become robust. This suggests that improving economic conditions tend to boost firm values, but firms may tend to default during particularly robust times only when they have experienced large, negative shocks. L3 - http://www.federalreserve.gov/pubs/feds/2005/200510/200510abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0769021&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200510/200510abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bayoumi, Tamim AU - Laxton, Douglas AU - Pesenti, Paolo AD - Unlisted AD - Unlisted AD - Unlisted T1 - Benefits and spillovers of greater competition in Europe: a macroeconomic assessment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 803 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740583; Keywords: Macroeconomics; Econometric models; Competition - Europe; Publication Type: Working Paper; Update Code: 200408 N2 - Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labor markets, this paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the rest of the industrial world, the paper draws three conclusions. First, greater competition produces large effects on macroeconomic performance, as measured by standard indicators. In particular, we show that differences in competition can account for over half of the current gap in GDP per capita between the euro area and the US. Second, it may improve macroeconomic management by increasing the responsiveness of wages and prices to market conditions. Third, greater competition can generate positive spillovers to the rest of the world through its impact on the terms of trade. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/803/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740583&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/803/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher AU - Guerrieri, Luca AU - Gust, Christopher AD - Unlisted AD - Unlisted AD - Unlisted T1 - Can long-run restrictions identify technology shocks? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 792 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701209; Keywords: Technology ; Vector autoregression; Publication Type: Working Paper; Update Code: 200404 N2 - Gali's innovative approach of imposing long-run restrictions on a vector autoregression (VAR) to identify the effects of a technology shock has become widely utilized. In this paper, we investigate its reliability through Monte Carlo simulations of several relatively standard business cycle models. We find it encouraging that the impulse responses derived from applying the Gali methodology to the artificial data generally have the same sign and qualitative pattern as the true responses. However, we highlight the importance of small-sample bias in the estimated impulse responses and show that the magnitude and sign of this bias depend on the model structure. Accordingly, we caution against interpreting responses derived from this approach as "model-independent" stylized facts. Moreover, we find considerable estimation uncertainty about the quantitative impact of a technology shock on macroeconomic variables, and a corresponding level of uncertainty about the contribution of technology shocks to the business cycle. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/792/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701209&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/792/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Wongswan, Jon AD - Unlisted AD - Unlisted T1 - Cash flows and discount rates, industry and country effects, and co-movement in stock returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 818 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765203; Keywords: Stock market ; International finance ; Globalization; Publication Type: Working Paper; Update Code: 200503 N2 - This paper examines the relative importance of global, country-specific, and industry-specific factors in both the cash flow and discount rate components of equity returns between 1995 and 2003. Our framework draws upon previously separate literatures on country versus industry effects and (forward-looking) cash flow versus discount rate components of equity return innovations. We apply the Campbell (1991) decomposition for industry-by-country, all-country, global industry, and world market index returns so we can produce a richer characterization of same-industry and same-country effects in stock returns. Unlike previous equity return decomposition papers, we exploit information in equity analysts' earnings forecasts when projecting future variables from our reduced-form equation systems. Our findings confirm previous research that finds patterns of correlation that suggest a richer underlying structure than just a single common global factor. Furthermore, our results suggest that global, within-country, and same-industry effects are all important for both of the two key components of stock returns: news about future dividends and news about future discount rates. In particular, within-industry covariation in news about future discount rates appears to be just as important as within-country covariation in news about future discount rates. We also find that the idiosyncratic component of cash flow news is more important than the global component, while the reverse is true for news about future discount rates. Our results are broadly consistent with co-movement in future discount rates arising from perceptions of common elements of risk, rather than national market segmentation. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/818/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/818/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brevoort, Kenneth P. AU - Hannan, Timothy H. AD - Unlisted AD - Unlisted T1 - Commercial lending and distance: evidence from Community Reinvestment Act data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-24 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740568; Keywords: Bank loans; Publication Type: Working Paper; Update Code: 200408 N2 - Innovations such as credit scoring have increased the ability of banks to lend to distant business borrowers, which could expand the geographic market for small business loans. However, if this effect is limited to a few large banks, the market may become segmented and lending distance at local banks actually decreases. This paper, using a new data source and a spatial econometric model, empirically estimates the relationship between distance and commercial lending and how this relationship is evolving over time. We find distance is negatively associated with the likelihood of a local commercial loan being made and that the deterrent effect of distance is consistently more important, the smaller the size of the bank. We find no evidence that distance is becoming less important in the United States in recent years. In fact, the bulk of the evidence suggests that distance may be of increasing importance in local market lending. L3 - http://www.federalreserve.gov/pubs/feds/2004/200424/200424abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740568&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200424/200424abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Andrew AU - Mazzeo, Michael J. AD - Unlisted AD - Unlisted T1 - Competition, product differentiation and quality provision: an empirical equilibrium analysis of bank branching decisions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-46 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752659; Keywords: Bank management ; Branch banks; Publication Type: Working Paper; Update Code: 200411 N2 - We analyze the effects of market structure on the branching decisions of three types of depository institution: multimarket banks, single-market banks, and thrift institutions. We argue that additional branches increase quality for an institution's consumers, and examine the interaction between market structure and this particular measure of quality. We account for endogenous market structure using an equilibrium structural model, which corrects for bias caused by correlation in the unobservables that may drive entry and branching activity. We estimate the model using data from over 1,750 concentrated rural markets. Our results demonstrate the importance of product differentiation, as competition from multimarket banks is associated with denser branch networks for all types of firm while the opposite correlation holds when competitors are single-market banks or thrifts. L3 - http://www.federalreserve.gov/pubs/feds/2004/200446/200446abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752659&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200446/200446abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doms, Mark AU - Morin, Norman AD - Unlisted AD - Unlisted T1 - Consumer sentiment, the economy, and the news media PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-51 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753759; Keywords: Consumer behavior ; Consumption (Economics); Publication Type: Working Paper; Update Code: 200412 N2 - The news media affects consumers' perceptions of the economy through three channels. First, the news media conveys the latest economic data and the opinions of professionals to consumers. Second, consumers receive a signal about the economy through the tone and volume of economic reporting. Last, the greater the volume of news about the economy, the greater the likelihood that consumers will update their expectations about the economy. We find evidence that all three of these channels affect consumer sentiment. We derive measures of the tone and volume of economic reporting, building upon the R-word index of The Economist. We find that there are periods when reporting on the economy has not been consistent with actual economic events, especially during the early 1990s. As a consequence, there are times during which consumer sentiment is driven away from what economic fundamentals would suggest. We also find evidence supporting that consumers update their expectations about the economy much more frequently during periods of high news coverage than in periods of low news coverage; high news coverage of the economy is concentrated during recessions and immediately after recessions, implying that "stickiness" in expectations is countercyclical. Finally, because the model of consumer sentiment is highly nonlinear, month-to-month changes in sentiment are difficult to interpret. For instance, although an increase in the number of articles that mention "recession" typically is associated with a decline in sentiment, under certain conditions it can actually result in an increase in various sentiment indexes. L3 - http://www.federalreserve.gov/pubs/feds/2004/200451/200451abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753759&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200451/200451abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AD - Unlisted T1 - Convenience or necessity? understanding the recent rise in credit card debt PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-47 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752657; Keywords: Credit cards ; Debt; Publication Type: Working Paper; Update Code: 200411 N2 - Economist disagree whether the recent increase in credit card debt has been detrimental to U.S. houseold. However, many rely on a measure of revolving credit published by the Federal Reserve, which captures transactions in which a credit card is used because of its advantages over cash or a check. An increase in debt stemming from such convenience use likely would not signal greater financial vulnerability for households. In this paper, I present evidence that some of the significant increase in both the level of credit card debt and it growth from 1992 to 2001 was due to convenience use. L3 - http://www.federalreserve.gov/pubs/feds/2004/200447/200447abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752657&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200447/200447abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lins, Karl V. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - Corporate governance and the shareholder base PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 816 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752667; Keywords: Corporate governance ; Investments, Foreign; Publication Type: Working Paper; Update Code: 200411 N2 - This paper uses a sample of 4,410 firms from 29 countries to investigate the relation between corporate governance and the shareholder base. In contrast to previous work, our results strongly support the notion that poor corporate governance, at both the firm and country level, negatively impacts the willingness of foreign investors to hold a firm's equity. Specifically, we find that firms whose managers have sufficiently high control rights that they may reasonably be expected to expropriate minority equity investors attract significantly less U.S. investment, especially in countries with poor external governance. Our findings suggest that the prices U.S. investors are asked to pay for firms with poor governance are not low enough to fully compensate them for expected expropriation or increased estimation risk associated with expected poor disclosure by these firms. Because prior research shows that a smaller shareholder base is associated with a lower firm value, our results are consistent with the notion that the shareholder base represents an important channel through which poor expected corporate governance contributes to a reduction in firm value. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/816/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752667&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/816/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Buch, Claudia M. AU - Driscoll, John C. AU - Ostergaard, Charlotte AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cross-border diversification in bank asset portfolios PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-26 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740573; Keywords: Investments, Foreign; Publication Type: Working Paper; Update Code: 200408 N2 - Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks from 1995-1999 and try to explain the deviations. We find that banks over-invest domestically to a considerable extent and that cross-border diversification entails considerable gain. Banks underweight countries which are culturally less similar or have capital controls in place. Capital controls have a strong impact on the degree of underinvestment whereas less political risk increases the degree of over-investment. L3 - http://www.federalreserve.gov/pubs/feds/2004/200426/200426abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740573&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200426/200426abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Espinosa-Vega, Marco A. AU - Frame, W. Scott AU - Miller, Nathan H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Debt maturity, risk, and asymmetric information PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-60 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753764; Keywords: Risk ; Debt; Publication Type: Working Paper; Update Code: 200412 N2 - We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric information in determining debt maturity, and we examine the overall importance of informational asymmetries in debt maturity choices. We employ data on over 6,000 commercial loans from 53 large U.S. banks. Our results for low-risk firms are consistent with the predictions of both theoretical models, but our findings for high-risk firms conflict with the predictions of Diamond's model and with much of the empirical literature. Our findings also suggest a strong quantitative role for asymmetric information in explaining debt maturity. L3 - http://www.federalreserve.gov/pubs/feds/2004/200460/200460abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753764&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200460/200460abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morin, Norman AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Diverging measures of capacity utilization: an explanation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-58 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753763; Keywords: Industrial capacity ; Statistical methods; Publication Type: Working Paper; Update Code: 200412 N2 - In the wake of the recent recovery in manufacturing production, the capacity utilization rates published by the Federal Reserve Board (FRB) have rebounded much more slowly than those published by the Institute for Supply Management (ISM). As a result, some observers have speculated that the manufacturing sector may have considerably less slack than is indicated by the FRB measures. Our view is that the two characterizations of manufacturing slack are not as incongruent as they first appear. This paper discusses the practical and conceptual differences between these measures of capacity utilization, and concludes that the recent divergence simply reflects the character of the latest business cycle. L3 - http://www.federalreserve.gov/pubs/feds/2004/200458/200458abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753763&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200458/200458abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet AU - Sack, Brian AU - Swanson, Eric AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do actions speak louder than words? the response of asset prices to monetary policy actions and statements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-66 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762798; Keywords: Federal funds rate ; Federal Open Market Committee ; Securities ; Assets (Accounting) - Prices ; Monetary policy; Publication Type: Working Paper; Update Code: 200502 N2 - We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields. L3 - http://www.federalreserve.gov/pubs/feds/2004/200466/200466abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762798&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200466/200466abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moore, Kevin AD - Unlisted T1 - Do liquidity constraints matter for new entrepreneurs? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-42 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752658; Keywords: Liquidity (Economics); Publication Type: Working Paper; Update Code: 200411 N2 - Numerous studies have found a positive relationship between wealth and entering entrepreneurship, and interpret this as evidence of the existence of liquidity constraints. However, recent research has shown that the relationship between wealth and entering entrepreneurship may be non-linear and only significant for high-wealth households; this result cannot be interpreted as evidence of liquidity constraints. Using data from the SCF, we construct a proxy for wealth based on the household's home equity wealth at the time of the entrepreneurial decision. The results provide further evidence that the relationship between wealth and entering entrepreneurship is only significant for high-wealth households and that liquidity constraints do not appear to bind for the majority of new entrepreneurs. Possible explanations for the relationship between wealth and becoming an entrepreneur include lower risk aversion and differences in the types of businesses started by high-wealth households. L3 - http://www.federalreserve.gov/pubs/feds/2004/200442/200442abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752658&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200442/200442abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chugh, Sanjay K. AD - Unlisted T1 - Does monetary policy keep up with the Joneses? Optimal interest-rate smoothing with consumption externalities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 812 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752664; Keywords: Monetary policy ; Interest rates; Publication Type: Working Paper; Update Code: 200411 N2 - Changes in monetary policy are typically implemented gradually, an empirical observation known as interest-rate smoothing. We propose the explanation that time-non-separable preferences may render interest-rate smoothing optimal. We find that when consumers have "catching-up-with-the-Joneses" preferences, optimal monetary policy reacts gradually to shocks to prevent inefficiently fast adjustments in consumption. We also extend our basic model to investigate the effects of capital formation and nominal rigidities on the dynamics of optimal monetary policy. Optimal policy responses continue to be gradual in the presence of capital and sticky prices, with a size and speed that are in line with empirical findings for the U.S. economy. Our results emphasize that gradualism in monetary policy may be needed simply to guide the economy on an optimally smooth path. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/812/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752664&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/812/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bianchi, Christopher AU - Hancock, Diana AU - Kawano, Laura AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does trading frequency affect subordinated debt spreads? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-08 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765198; Keywords: Bonds ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200503 N2 - Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period. Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading frequency does significantly affect observed subordinated debt spreads. We also provide estimates for the premium of illiquidity. L3 - http://www.federalreserve.gov/pubs/feds/2005/200508/200508abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2005/200508/200508abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bollerslev, Tim AU - Gibson, Michael AU - Zhou, Hao AD - Unlisted AD - Unlisted AD - Unlisted T1 - Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-56 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762799; Keywords: Stochastic analysis ; Risk ; Uncertainty; Publication Type: Working Paper; Update Code: 200502 N2 - This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment suggests that the procedure works well in practice. Implementing the procedure with actual S&P 500 option-implied volatilities and high-frequency five-minute-based realized volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps predict future stock market returns. L3 - http://www.federalreserve.gov/pubs/feds/2004/200456/200456abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762799&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200456/200456abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce AU - Fleischman, Charles A. AD - Unlisted AD - Unlisted T1 - Employer-to-employer flows in the U.S. labor market: the complete picture of gross worker flows PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-34 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744980; Keywords: Labor mobility ; Labor market; Publication Type: Working Paper; Update Code: 200410 N2 - Despite the importance of employer-to-employer (EE) flows to our understanding of labor market and business cycle dynamics, the literature has lacked a comprehensive and representative measure of the size and character of these flows. To construct the first reliable measures of EE flows for the United States, this paper exploits the "dependent interviewing" techniques introduced in the Current Population Survey in 1994. The paper concludes that EE flows are large: On average 2.6 percent of employed persons change employers each month, a flow more than twice as large as that from employment to unemployment. Indeed, on-the-job search appears to be an important element in hiring, as nearly two-fifths of new jobs started between 1994 and 2003 represented employer changes. EE flows are also markedly procyclical, although the cyclicality is concentrated around the recession: EE flows did not increase as the labor market tightened between 1994 and 2000, but they did drop sharply as the labor market loosened during the period 2001 through 2003. We view the uneven cyclical pattern of EE flows as a pattern to be incorporated into future models. L3 - http://www.federalreserve.gov/pubs/feds/2004/200434/200434abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744980&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200434/200434abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ehrmann, Michael AU - Fratzscher, Marcel AD - Unlisted AD - Unlisted T1 - Equal size, equal role? interest rate interdependence between the euro area and the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 800 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740588; Keywords: Economic and Monetary Union; Interest rates; Interest rates - Europe; Publication Type: Working Paper; Update Code: 200408 N2 - This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United States and the euro area. First, the paper finds that the interdependence of money markets has increased strongly around EMU. Although spillover effects from the United States to the euro area remain stronger than in the opposite direction, we present evidence that US markets have started reacting also to euro area developments since the onset of EMU. Second, beyond these general linkages, the paper finds that certain macroeconomic news about the US economy have a large and significant effect on euro area money markets, and that these effects have become stronger in recent years. Finally, we show that US macroeconomic news have become good leading indicators for economic developments in the euro area. This indicates that the higher money market interdependence between the United States and the euro area is at least partly explained by the increased real integration of the two economies in recent years. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/800/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740588&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/800/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morin, Norman AU - Stevens, John AD - Unlisted AD - Unlisted T1 - Estimating capacity utilization from survey data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-49 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753758; Keywords: Industrial capacity ; Statistical methods; Publication Type: Working Paper; Update Code: 200412 N2 - In this paper, we review the history and concepts behind the Federal Reserve's measures of capacity and capacity utilization, summarize the methods used to construct the measures, and describe the principal source data for these measures--the Census Bureau's Survey of Plant Capacity. We show that the aggregate manufacturing utilization rate from the Survey of Plant Capacity does not exhibit the "cyclical bias" possessed by utilization rates from the less statistically rigorous utilization rate surveys previously used to estimate the Federal Reserve's measures. At the detailed industry level, utilization rates from the Survey of Plant Capacity for several industries do appear to possess a cyclical bias, but we demonstrate that this bias is removed in the construction of the Federal Reserve capacity measures. We further show that the Federal Reserve measures, by combining the Census survey utilization rates with other indicators of capacity, do not discard significant information contained in the Census rates. In fact, the Federal Reserve procedures add to the predictive content of the Census utilization rates in models of capital spending, capacity expansion, and changes in price inflation. L3 - http://www.federalreserve.gov/pubs/feds/2004/200449/200449abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753758&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200449/200449abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AD - Unlisted T1 - Expectation traps in a new Keynesian open economy model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-45 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752656; Keywords: Keynesian economics ; Monetary policy; Publication Type: Working Paper; Update Code: 200411 N2 - This paper illustrates that the introduction of a money demand distortion into an otherwise standard New Keynesian Open Economy model generates multiple discretionary equilibria. These equilibria arise in the form of expectations traps whereby the monetary authority is trapped into validating expectations of the private sector because failing to do so is costly. One implication of the model is that provided initial inflation expectations are sufficiently anchored the global Friedman rule emerges as an equilibrium under discretion. It is therefore a time-consistent outcome and hence fully sustainable even in absence of a commitment device or reputational considerations. L3 - http://www.federalreserve.gov/pubs/feds/2004/200445/200445abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752656&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200445/200445abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swanson, Eric T. AD - Unlisted T1 - Federal Reserve transparency and financial market forecasts of short-term interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-06 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700417; Keywords: Monetary policy ; Transparency; Publication Type: Working Paper; Update Code: 200404 N2 - The 1990s and early 2000s witnessed an unprecedented increase in central bank transparency around the world, yet there has been little empirical work that convincingly demonstrates any economic benefits of increased central bank transparency. This paper shows that, since the late 1980s, U.S, financial markets and private sector forecasters have become: 1) better able to forecast the federal funds rate at horizons out to several months, 2) less surprised by Federal Reserve announcements, 3) more certain of their interest rate forecasts ex ante, as measured by interest rate options, and 4) less diverse in the cross-sectional variety of their interest rate forecasts. We also show that increases in Federal Reserve transparency are likely to have played a role: for example, private sector forecasts of GDP and inflation have not experienced similar improvements over the same period, indicating that the improvement in interest rate forecasts has been special. L3 - http://www.federalreserve.gov/pubs/feds/2004/200406/200406abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700417&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200406/200406abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Burger, John D. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - Foreign participation in local-currency bond markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 794 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701211; Keywords: Bond market; Publication Type: Working Paper; Update Code: 200404 N2 - We analyze the development of, and foreign participation in, 49 local bond markets. Countries with stable inflation rates and strong creditor rights have more developed local bond markets and rely less on foreign-currency-denominated bonds. Less developed bond markets have returns characterized by high variance and negative skewness, factors eschewed by U.S. investors. Results based on a three-moment CAPM indicate, however, that it is diversifiable idiosyncratic risk that U.S. investors appear to shun. Taken as a whole our results hint at a virtuous cycle of bond market development: Creditor friendly policies and laws can spark local bond market development that enables the development of derivatives markets and, in turn, attracts foreign participation. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/794/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701211&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/794/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Li, Wenli AD - Unlisted AD - Unlisted T1 - Fresh start or head start? The effect of filing for personal bankruptcy on the labor supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-28 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740567; Keywords: Bankruptcy; Labor supply; Publication Type: Working Paper; Update Code: 200408 N2 - The key feature of the modern U.S. personal bankruptcy law is to provide debtors a financial fresh start through debt discharge. The primary justification for the discharge policy is to preserve human capital by maintaining incentives for work. In this paper, we test this fresh start argument by providing the first estimate of the effect of personal bankruptcy filing on the labor supply using data from the Panel Study of Income Dynamics (PSID). Our econometric approach controls for the endogenous self-selection of bankruptcy filing and allows for dependence over time for the same household. We find that filing for bankruptcy does not have a positive impact on annual hours worked by bankrupt households, a result mainly due to the wealth effects of debt discharge. The finding is robust to a number of alternative model specifications and sample selections. Therefore, our analysis does not find supporting evidence for the human capital argument for bankruptcy discharge. L3 - http://www.federalreserve.gov/pubs/feds/2004/200428/200428abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740567&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200428/200428abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AD - Unlisted T1 - Global financial integration: a collection of new research PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 821 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762808; Keywords: International finance ; International economic integration; Publication Type: Working Paper; Update Code: 200502 N2 - This introductory note summarizes and draws together the work reported in eight research papers written by staff economists of the Board's Division of International Finance as part of a project on global financial integration. The eight papers are also International Discussion Finance Discussion Papers (IFDPs), the numbers of which are specified on the table of contents that appears herein. When viewing this introduction online, the paper titles appearing on the table-of-contents page are web links that may be used to navigate directly to each paper's on-line file. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/821/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762808&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/821/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Clinton, Nathanael AD - Unlisted AD - Unlisted T1 - Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 809 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762811; Keywords: Asset-backed financing ; Credit ratings; Publication Type: Working Paper; Update Code: 200502 N2 - We assess the impact of credit ratings on the pricing of structured financial products, using a sample of more than 1300 changes in Moody's or Standard and Poor's (S&P) ratings of U.S. asset-backed securities (ABS). We find that rating downgrades tend to be accompanied by negative returns and widening spreads, with the average effects stronger than those that have been reported in prior research on corporate and sovereign bond ratings. A portion of the negative implications of ABS downgrades are anticipated by price movements ahead of the rating action, although to a lesser degree than has been found for bond ratings. Accordingly, ABS market participants appear to rely somewhat more on rating agencies as a source of negative news about credit risk. Nevertheless, because ABS rating downgrades are relatively rare events, their effects account for only a small fraction of the variance of returns. In contrast to our results on downgrades, market reactions to ABS rating upgrades are virtually zero, on average. Together, the results imply even greater asymmetry in the value-relevance of ABS rating changes than has been found in event studies of changes in bond ratings. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/809/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762811&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/809/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Growth-led exports: is variety the spice of trade? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 822 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762809; Keywords: International trade ; Product differentiation; Publication Type: Working Paper; Update Code: 200502 N2 - Fast-growing countries tend to experience rapid export growth with little secular change in their terms of trade. This contradicts the standard Armington trade model, which predicts that fast-growing countries can experience rapid export growth only to the extent that they accept declining terms of trade. This paper generalizes the monopolistic competition trade model of Helpman and Krugman (1985), providing a basis for growth-led exports without declining terms of trade. The key mechanism behind this result is that fast-growing countries are able to develop new varieties of products that can be exported without pushing down the prices of existing products. There is strong support for the new model in long-run export growth of many countries in the post-war era. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/822/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762809&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/822/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris AU - Heathcote, Jonathan AD - Unlisted AD - Unlisted T1 - Housing and the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-11 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700418; Keywords: Housing - Finance ; Investments ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - In the United States, the percentage standard deviation of residential investment is more than twice that of non-residential investment. In addition, GDP, consumption, and both types of investment co-move positively. We reproduce these facts in a calibrated multi-sector growth model where construction, manufacturing and services are combined, in different proportions, to produce consumption, business investment and residential structures. New housing requires land in addition to new structures. The model can also account for important features of industry-level data. In particular, hours and output in all industries are positively correlated, and are most volatile in construction. L3 - http://www.federalreserve.gov/pubs/feds/2004/200411/200411abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700418&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200411/200411abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AD - Unlisted T1 - Housing, consumption, and credit constraints PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-63 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762795; Keywords: Consumption (Economics) ; Housing - Prices ; Consumer credit; Publication Type: Working Paper; Update Code: 200502 N2 - I test the credit-market effects of housing wealth shocks by estimating the consumption elasticity of house price shocks among households in different age quintiles. Younger households face faster expected income growth and hence would like to borrow more than older households. I estimate consumption elasticities from housing wealth by age quintile to be {4; 0; 3; 8; 3} percent. As predicted by theory, the youngest group has a higher elasticity of consumption than the next two age quintiles. That the consumption of the age quintile on the verge of retirement is responsive to housing wealth is also not surprising: I show that these households are likeliest to "downsize" their house and thus realize any capital gains. L3 - http://www.federalreserve.gov/pubs/feds/2004/200463/200463abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762795&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200463/200463abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doms, Mark E. AU - Dunn, Wendy E. AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - How fast do personal computers depreciate? concepts and new estimates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-31 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744983; Keywords: Microcomputers - Valuation ; Depreciation; Publication Type: Working Paper; Update Code: 200410 N2 - This paper provides new estimates of depreciation rates for personal computers using an extensive database of prices of used PCs. Our results show that PCs lose roughly half their remaining value, on average, with each additional year of use. We decompose that decline into age-related depreciation and a revaluation effect, where the latter effect is driven by the steep ongoing drop in the constant-quality prices of newly-introduced PCs. Our results are directly applicable for measuring the depreciation of PCs in the National Income and Product Accounts (NIPAs) and were incorporated into the December 2003 comprehensive NIPA revision. Regarding tax policy, our estimates suggest that the current tax depreciation schedule for PCs closely tracks the actual loss of value in a zero-inflation environment. However, because the tax code is not indexed for inflation, the tax allowances would be too small in present value for inflation rates above the very low level now prevailing. L3 - http://www.federalreserve.gov/pubs/feds/2004/200431/200431abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744983&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200431/200431abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Andrew AD - Unlisted T1 - Identifying price discrimination when product menus are endogenous PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-10 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700415; Keywords: Price discrimination ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - The standard approach to identifying second degree price discrimination is based on examining correlations between product menus and prices. When product menus are endogenous, however, tests for price discrimination may be biased by the fact that unobservables affecting costs or demand may jointly determine product menus and prices leading one to falsely infer price discrimination. Attempts to correct for this potential bias using observed product characteristics or fixed effects are shown to potentially confound inference on price discrimination leading one to reject it when firms are actually price discriminating. I propose a difference in differences type test that exploits the potential correlation between unobserved product attributes, product menus, and prices. L3 - http://www.federalreserve.gov/pubs/feds/2004/200410/200410abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700415&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200410/200410abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Batini, Nicoletta AU - Levine, Paul AU - Pearlman, Joseph AD - Unlisted AD - Unlisted AD - Unlisted T1 - Indeterminacy with inflation-forecast-based rules in a two-bloc model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 797 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740585; Keywords: Inflation (Finance); Forecasting; Publication Type: Working Paper; Update Code: 200408 N2 - We examine the performance of forward-looking inflation-forecast-based rules in open economies. In a New Keynesian two-bloc model, a methodology first employed by Batini and Pearlman (2002) is used to obtain analytically the feedback parameters/horizon pairs associated with unique and stable equilibria. Three key findings emerge: First, indeterminacy occurs for any value of the feedback parameter on inflation if the forecast horizon lies too far into the future. Second, the problem of indeterminacy is intrinsically more serious in the open economy. Third, the problem is compounded further in the open economy when central banks respond to expected consumer, rather than producer price inflation. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/797/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740585&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/797/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Antoniewicz, Rochelle AU - McIntosh, Susan Hume AU - Mead, Charles Ian AU - Moses, Karin AU - Moulton, Brent AU - Palumbo, Michael AU - Solomon, Genevieve AU - Teplin, Albert M. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Integrated macroeconomic accounts for the United States: draft SNA-USA PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-54 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753761; Keywords: National income ; Economic conditions - United States ; Flow of funds; Publication Type: Working Paper; Update Code: 200412 N2 - This paper presents integrated macroeconomic accounts for the United States for the period 1985 to 2002 and discusses issues related to their construction and use. Specifically, it focuses on tying together the national income and product accounts (NIPAs) and international transaction accounts (ITA) published by the Bureau of Economic Analysis and the flow of funds accounts (FFA) published by the Federal Reserve Board. The paper provides integrated accounts for seven sectors: households and nonprofit organizations serving households, nonfinancial noncorporate businesses, nonfinancial corporate businesses, financial businesses, federal government, state and local governments, and the rest of the world. Each sector table has a full complement of accounts: current accounts (production and income accounts), accumulation accounts (capital account, financial account, and other changes in volume account), revaluation account, and balance sheet account. As a result, the sector statements trace the factors leading to changes in sector net worth. Relative to current publications of the two agencies, the tables go quite a bit further toward providing for the United States the sequence of accounts suggested in the System of National Accounts 1993 (SNA93), the recognized international standard. The tables use official data as of June 10, 2004; however, a few series have been created by the authors, and they are unofficial preliminary estimates at this time. L3 - http://www.federalreserve.gov/pubs/feds/2004/200454/200454abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753761&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200454/200454abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, J. Joseph AU - Bartelsman, Eric J. AD - Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington AD - Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam T1 - Integrating Expenditure and Income Data: What to do with the Statistical Discrepancy? PB - Tinbergen Institute, Tinbergen Institute Discussion Papers: 04-078/3 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1364334; Keywords: industry data; input-output; national accounts; statistical discrepancy; Publication Type: Working Paper; Update Code: 201305 N2 - This discussion paper led to a publication in (D.W. Jorgenson, J.S. Landefeld, W.D. Nordhaus, eds.) 'A New Architecture for the U.S. National Accounts', NBER Studies in Income and Wealth, vol. 66, 309-54, University of Chicago Press, 2006. The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that sum to either GDP or GDI and compare the two in order to see where the discrepancy resides. We find a few "problem" industries that appear to explain most of the statistical discrepancy. Second, we explore what combination of the expenditure data and the income data seem to produce the most sensible data according to a few economic criteria. A mixture of data that do not aggregate either to GDP or to GDI appears optimal. KW - Input-Output Models C67 KW - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access C82 L3 - http://papers.tinbergen.nl/04078.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1364334&site=ehost-live&scope=site UR - http://papers.tinbergen.nl/04078.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, J. Joseph AU - Bartelsman, Eric J. AD - Unlisted AD - Unlisted T1 - Integrating expenditure and income data: what to do with the statistical discrepancy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-39 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744988; Keywords: Gross domestic product ; Statistical methods ; Income; Publication Type: Working Paper; Update Code: 200410 N2 - The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that sum to either GDP or GDI and compare the two in order to see where the discrepancy resides. We find a few "problem" industries that appear to explain most of the statistical discrepancy. Second, we explore what combination of the expenditure data and the income data seem to produce the most sensible data according to a few economic criteria. A mixture of data that do not aggregate either to GDP or to GDI appears optimal. L3 - http://www.federalreserve.gov/pubs/feds/2004/200439/200439abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744988&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200439/200439abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, J. Joseph AU - Bartelsman, Eric J. AD - Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington AD - Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam T1 - Integrating Expenditure and Income Data: What to do with the Statistical Discrepancy? PB - Tinbergen Institute, Tinbergen Institute Discussion Papers: 04-078/3 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0908400; Keywords: industry data; input-output; national accounts; statistical discrepancy; Publication Type: Working Paper; Update Code: 200706 N2 - The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that sum to either GDP or GDI and compare the two in order to see where the discrepancy resides. We find a few "problem" industries that appear to explain most of the statistical discrepancy. Second, we explore what combination of the expenditure data and the income data seem to produce the most sensible data according to a few economic criteria. A mixture of data that do not aggregate either to GDP or to GDI appears optimal. KW - Input-Output Models C67 KW - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access C82 L3 - http://www.tinbergen.nl/discussionpapers/04078.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0908400&site=ehost-live&scope=site UR - http://www.tinbergen.nl/discussionpapers/04078.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - International diversification at home and abroad PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 793 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701210; Keywords: Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 N2 - We analyze foreigners' and domestic institutional investors' holdings of U.S. equities and find common preferences for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that investors might obtain substantial international diversification by investing at home. Using an international factor model, we show that exposure to foreign equity markets is indeed greater for domestic firms that are more diversified internationally, suggesting that at least some of the home-grown foreign exposure translates into international diversification benefits. After accounting for home-grown foreign exposure, the share of 'foreign' equities in U.S. portfolios doubles to 24 percent, greatly reducing the observed home bias. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/793/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701210&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/793/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Marazzi, Mario AU - Schindler, John W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Is China 'exporting deflation'? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 791 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701208; Keywords: Exports - China; Publication Type: Working Paper; Update Code: 200404 N2 - In the past few years, observers increasingly have pointed to China as a source of downward pressure on global prices. This paper evaluates the theoretical and empirical evidence bearing on the question of whether China's buoyant export growth has led to significant changes in the inflation performance of its trading partners. This evidence suggests that the impact of Chinese exports on global prices has been, while non-negligible, fairly modest. On a priori grounds, our theoretical analysis suggests that China's economy is still too small relative to the world economy to have much effect on global inflation: a back-of-the-envelope calculation puts that effect at about 1/3 percentage point in recent years. In terms of the empirical evidence, we identify a statistically significant effect of U.S. imports from China on U.S. import prices, but given the size of this effect and the relatively low share of imports in U.S. GDP, the ultimate impact on the U.S. consumer prices has likely been quite small. Moreover, imports from China had little apparent effect on U.S. producer prices. Finally, using a multi-country database of trade transactions, we estimate that since 1993, Chinese exports lowered annual import inflation in a large set of economies by 1/4 percentage point or less on average, similar to the prediction of our theoretical model. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/791/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701208&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/791/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Is inflation targeting best-practice monetary policy? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 807 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744989; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200410 N2 - We describe the inflation targeting framework (ITF) and compare it against hypothetical best-practice based on optimization. The core requirements of the ITF are an explicit long-run inflation goal and a commitment to transparency in policymaking. Advocates and practitioners of the ITF have made many contributions to clear goal setting and communication by central banks. However, we contend that ITF communication policies both as advocated and practiced often have some elements that either obfuscate or, in some cases, explicitly contradict the dictates of optimization in a stabilization-policy paradigm. In this paradigm, the central bank has an objective function that places weight on both inflation and output-gap stabilization and faces a conventional (exploitable) Phillips-curve trade-off. We point out some problems that the ITF communication policy may generate in this setting. Our analysis leads us to make four suggestions for communication policy intended to help central banks avoid these problems. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/807/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744989&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/807/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Is moderate-to-high inflation inherently unstable? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-43 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752654; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200411 N2 - The data across time and countries suggest the level and variance of inflation are highly correlated. This paper examines the effect of trend inflation on the ability of the monetary authority to ensure a determinate equilibrium and macroeconomic stability in a sticky-price model. Trend inflation increases the importance of future marginal costs for current price-setters in a staggered price-setting model. The greater importance of expectations makes it more difficult for the monetary authority to ensure stability; in fact, equilibrium determinacy cannot be achieved through reasonable specifications of nominal interest rate (Taylor) rules at moderate-to-high levels of inflation (for example, at levels around 4 percent per year). If monetary policymakers have followed these types of policy rules in the past, this result may explain why moderate-to-high inflation is associated with inflation volatility. It also suggests a revision to interpretations of the 1970s. At that time, inflation in many countries was at least moderate, which can contribute to economic instability. The results suggest that some moderate-inflation countries that have recently adopted inflation targeting may want to commit to low target inflation rates. L3 - http://www.federalreserve.gov/pubs/feds/2004/200443/200443abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752654&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200443/200443abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AU - Nini, Greg AD - Unlisted AD - Unlisted T1 - Is the corporate loan market globally integrated? a pricing puzzle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 813 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752665; Keywords: Globalization ; Commercial loans; Publication Type: Working Paper; Update Code: 200411 N2 - We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the U.S., other things equal. Differences in borrower, loan and lender characteristics associated with equilibrium mechanisms suggested in the literature do not appear to explain the phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display significant home "bias." This may explain why pricing discrepancies are not competed away, but the fundamental causes of the discrepancies remain a puzzle. Thus, important determinants of loan origination market outcomes remain to be identified, home "bias" appears to be material for pricing, and corporate financing costs differ in Europe and the U.S. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/813/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752665&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/813/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Laubach, Thomas AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Learning and shifts in long-run productivity growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-21 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740558; Keywords: Productivity; Economic development; Publication Type: Working Paper; Update Code: 200408 N2 - Shifts in the long-run rate of productivity growth--such as those experienced by the U.S. economy in the 1970s and 1990s--are difficult, in real time, to distinguish from transitory fluctuations. In this paper, we analyze the evolution of forecasts of long-run productivity growth during the 1970s and 1990s and examine in the context of a dynamic general equilibrium model the consequences of gradual real-time learning on the responses to shifts in the long-run productivity growth rate. We find that a simple updating rule based on an estimated Kalman filter model using real-time data describes economists' long-run productivity growth forecasts during these periods extremely well. We then show that incorporating this process of learning has profound implications for the effects of shifts in trend productivity growth and can dramatically improve the model's ability to generate responses that resemble historical experience. If immediately recognized, an increase in the long-run growth rate causes long-term interest rates to rise and produces a sharp decline in employment and investment, contrary to the experiences of the 1970s and 1990s. In contrast, with learning, a rise in the long-run rate of productivity growth sets off a sustained boom in employment and investment, with long-term interest rates rising only gradually. We find the characterization of learning to be crucial regardless of whether shifts in long-run productivity growth owe to movements in TFP growth concentrated in the investment goods sector or economy-wide TFP. L3 - http://www.federalreserve.gov/pubs/feds/2004/200421/200421abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740558&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200421/200421abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copeland, Adam AD - Unlisted T1 - Learning dynamics with private and public signals PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-67 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762800; Publication Type: Working Paper; Update Code: 200502 N2 - This paper studies the evolution of firms' beliefs in a dynamic model of technology adoption. Firms play a simple variant of the classic two-armed bandit problem, where one arm represents a known, deterministic production technology and the other arm an unknown, stochastic technology. Firms learn about the unknown technology by observing both private and public signals. I find that because of the externality associated with the public signal, the evolution of beliefs under a market equilibrium can differ significantly from that under a planner. In particular, firms experiment earlier under the planner than they do under the market equilibrium and thus firms under the planner generate more information at the start of the model. This intertemporal effect brings about the unusual result that, on a per period basis, there exist cases where firms in a market equilibrium over-experiment relative to the planner in the latter periods of the model. L3 - http://www.federalreserve.gov/pubs/feds/2004/200467/200467abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762800&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200467/200467abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arrow, Kenneth J. AU - Borzekowski, Ron AD - Unlisted AD - Unlisted T1 - Limited network connections and the distribution of wages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-41 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744987; Keywords: Wages ; Labor market; Publication Type: Working Paper; Update Code: 200410 N2 - It is well-known that 50% or more of all jobs are obtained through informal channels i.e. connections to family or friends. As well, statistical studies show that observable individual factors account for only about 50% of the very wide variation in earnings. We seek to explain these two facts by assuming that the linking of workers and firms is mediated by limited network connections. The model implies that essentially similar workers can have markedly different wages and further that the inequality of wages is partly explained by variations in the sizes of workers' networks. Our results indicate that differences in the number of ties can induce substantial inequality and can explain roughly 15% of the unexplained variation in wages. We also show that reasonable differences in the average number of links between blacks and whites can explain the disparity in black and white income distributions. L3 - http://www.federalreserve.gov/pubs/feds/2004/200441/200441abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744987&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200441/200441abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Agarwal, Sumit AU - Chomsisengphet, Souphala AU - Driscoll, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Loan commitments and private firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-27 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740570; Keywords: Bank loans; Publication Type: Working Paper; Update Code: 200408 N2 - Bank lending is an important source of funding for firms. Most loans are in the form of credit lines. Empirical studies of line demand have been complicated by their use of data on publicly traded firms, which have a wide menu of financing options. We avoid this problem by using a unique proprietary data set from a large financial institution of loan commitments made to 712 privately-held firms. We test Martin and Santomero's (1997) model, in which lines give firms the speed and flexibility to pursue investment opportunities. Our findings are consistent with their predictions. Firms facing higher rates and fees have smaller credit lines. Firms with higher growth commit to larger lines of credit and have a higher rate of line utilization. Firms experiencing more uncertainty in their funding needs commit to smaller credit lines. Almost all firms convert unused credit line portions into spot loans and take out new lines. L3 - http://www.federalreserve.gov/pubs/feds/2004/200427/200427abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740570&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200427/200427abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campbell, Sean D. AD - Unlisted T1 - Macroeconomic volatility, predictability and uncertainty in the great moderation: evidence from the survey of professional forecasters PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-52 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753760; Keywords: Macroeconomics ; Uncertainty ; Forecasting; Publication Type: Working Paper; Update Code: 200412 N2 - An emerging and influential literature finds a large and significant decline in macroeconomic volatility since the middle of the 1980's. In this paper, I examine the extent to which the decline in annual and quarterly real output volatility since the onset of this period of Great Moderation can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability. I use point forecasts of future real output growth from the Survey of Professional Forecasters (SPF) between 1969 and 2003 as a proxy for the predictable component of real output growth. The results indicate that declining predictability has played a significant role in the Great Moderation. Prior to the Great Moderation, professional forecasts explained roughly 30 percent of the variance in output growth. Post-moderation, the predictive ability of professional forecasts quickly vanished. This decline in predictability implies that interpreting the decline in the volatility of output shocks identified from a fixed parameter autoregressive model overstates the decline in macroeconomic uncertainty by between 20-40 percent. I also examine forecasts of the probability of a decline in real output from the SPF. Consistent with the findings from the point forecast data, these probability forecasts indicate that the decline in macroeconomic uncertainty as measured from an autoregressive model is overstated. While both the average probability of a decline in output and the uncertainty surrounding future declines in output computed from an autoregressive model decrease sharply after the mid-1980's, the SPF probability forecasts exhibit no such decrease. I assess the economic significance of the overstatement in the decline of macroeconomic uncertainty in terms of its effects on forecasts of the future equity premium. These results indicate that using the decline in the total volatility of real output growth along with the standard CCAPM model overstates the decline in the future equity premium by roughly 20 percent. L3 - http://www.federalreserve.gov/pubs/feds/2004/200452/200452abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753760&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200452/200452abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Hancock, Diana AU - Kwast, Myron L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market discipline in banking reconsidered: the roles of funding manager decisions and deposit insurance reform PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-53 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753755; Keywords: Banks and banking ; Risk management ; Deposit insurance; Publication Type: Working Paper; Update Code: 200412 N2 - We find that the risk-sensitivity of bank holding company subordinated debt spreads at issuance increased with regulatory reforms that were designed to reduce conjectural government guarantees, but declined somewhat with subsequent reforms that were aimed in part at reducing regulatory forbearance. In addition, we test and find evidence for a straightforward form of "market discipline:" The extent to which bond issuance penalizes relatively risky banks. Evidence for such discipline only appears in the periods after conjectural government guarantees were reduced. L3 - http://www.federalreserve.gov/pubs/feds/2004/200453/200453abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753755&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200453/200453abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Andrew AU - Mazzeo, Michael AD - Unlisted AD - Unlisted T1 - Market structure and competition among retail depository institutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-04 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700419; Keywords: Banks and banking, American ; Banking structure; Publication Type: Working Paper; Update Code: 200404 N2 - We assess the competitive impact that single-market banks and thrift institutions have on multi-market banks (and vice-versa) in 1,884 non-MSA markets. We estimate a model of equilibrium market structure which endogenizes entry for three types: multi-market banks, single-market banks, and thrift institutions. Observed market structures and the solution to an entry-type game identify the parameters of a latent (unobserved) profit function. We find significant evidence of product differentiation--particularly in the case of thrifts. Furthermore, product differentiation appears to depend upon differences in market geography. L3 - http://www.federalreserve.gov/pubs/feds/2004/200404/200404abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700419&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200404/200404abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Andrew AD - Unlisted T1 - Market structure and market definition: the case of small market banks and thrifts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-02 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700411; Keywords: Banking market ; Banking structure; Publication Type: Working Paper; Update Code: 200404 N2 - This paper introduces a simple method to test between two general approaches to defining bank and thrift product markets. I estimate two models that endogenize market structure using data on banks and thrifts from 1,884 rural markets for the year 2000. The first model assumes that banks and thrifts are in "independent product markets," i.e., that bank profitability depends only on competition from other banks and that thrift profitability depends only on competition from other thrifts. An alternative model is then estimated assuming that banks and thrifts are "perfect strategic substitutes," i.e., that a bank's equilibrium profitability falls equally with the presence of another bank or an additional thrift (and vice-versa). A transformation of the likelihood for the "independent markets" model allows me to test it against the "perfect strategic substitutes" model using Vuong's (1989) non-nested likelihood ratio test. The hypothesis that banks and thrifts compete in independent product markets is soundly rejected against the hypothesis that banks and thrifts are perfect strategic substitutes. L3 - http://www.federalreserve.gov/pubs/feds/2004/200402/200402abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700411&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200402/200402abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Hulten, Charles AU - Sichel, Daniel AD - Unlisted AD - Unlisted AD - Unlisted T1 - Measuring capital and technology: an expanded framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-65 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762797; Keywords: Capital investments ; Industrial productivity; Publication Type: Working Paper; Update Code: 200502 N2 - Business outlays on intangible assets are usually expensed in economic and financial accounts. Following Hulten (1979), this paper develops an intertemporal framework for measuring capital in which consumer utility maximization governs the expenditures that are current consumption versus those that are capital investment. This framework suggests that any business outlay that is intended to increase future rather than current consumption should be treated as capital investment. Applying this principle to newly developed estimates of business spending on intangibles, we find that, by about the mid-1990s, business investment in intangible capital was as large as business investment in traditional, tangible capital. Relative to official measures, our framework portrays the U.S. economy as having had higher gross private saving and, under plausible assumptions, fractionally higher average annual rates of change in real output and labor productivity from 1995 to 2002. L3 - http://www.federalreserve.gov/pubs/feds/2004/200465/200465abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762797&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200465/200465abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bernanke, Ben S. AU - Boivin, Jean AU - Eliasz, Piotr AD - Unlisted AD - Unlisted AD - Unlisted T1 - Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-03 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700416; Keywords: Vector autoregression ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. A second problem is that impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policymaker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy. L3 - http://www.federalreserve.gov/pubs/feds/2004/200403/200403abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700416&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200403/200403abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bassett, William F. AD - Unlisted T1 - Medicaid's nursing home coverage and asset transfers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-15 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740565; Keywords: Medicaid; Nursing home care; Inheritance and succession; Publication Type: Working Paper; Update Code: 200408 N2 - Medicaid covers the costs of a long nursing home stay. This coverage may create an incentive for the elderly to transfer their assets to their children in order to qualify for Medicaid before entering a nursing home. Previous researchers had found little evidence that such behavior was widespread or that asset transfers were large. However, data from AHEAD suggest that the self-assessed probability of entering a nursing home is a significant determinant of the likelihood of making an asset transfer. The budgetary implications of these Medicaid-induced asset transfers are probably fairly small, but not insignificant. L3 - http://www.federalreserve.gov/pubs/feds/2004/200415/200415abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740565&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200415/200415abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiser, Elizabeth K. AD - Unlisted T1 - Modeling the whole firm: the effect of multiple inputs and financial intermediation on bank deposit rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-07 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700412; Keywords: Bank deposits ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - Empirical studies of price competition typically analyze the direct effects of market structure, cost, and local demand on prices; this approach has been applied widely to studies of bank deposit rates. However, the theory of the banking firm suggests that substitutability between sources of deposits and conditions in the bank loan market should also affect the pricing of retail deposits. This paper develops a theoretical model to incorporate these effects, and tests the predictions empirically using institution-level deposit rate data from Bank Rate Monitor. The results suggest that the cost of large-scale deposits affects how banks price retail deposits, and that conditions in lending markets feed back into retail deposit rates. L3 - http://www.federalreserve.gov/pubs/feds/2004/200407/200407abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700412&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200407/200407abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - King, Robert G. AU - Wolman, Alexander L. AD - Unlisted AD - Unlisted T1 - Monetary discretion, pricing complementarity and dynamic multiple equilibria PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 802 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740582; Keywords: Equilibrium (Economics); Monetary policy; Publication Type: Working Paper; Update Code: 200408 N2 - In a plain-vanilla New Keynesian model with two-period staggered price-setting, discretionary monetary policy leads to multiple equilibria. Complementarity between the pricing decisions of forward-looking firms underlies the multiplicity, which is intrinsically dynamic in nature. At each point in time, the discretionary monetary authority optimally accommodates the level of predetermined prices when setting the money supply because it is concerned solely about real activity. Hence, if other firms set a high price in the current period, an individual firm will optimally choose a high price because it knows that the monetary authority next period will accommodate with a high money supply. Under commitment, the mechanism generating complementarity is absent: the monetary authority commits not to respond to future predetermined prices. Multiple equilibria also arise in other similar contexts where (i) a policymaker cannot commit, and (ii) forward-looking agents determine a state variable to which future policy responds. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/802/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740582&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/802/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bernanke, Ben S. AU - Reinhart, Vincent R. AU - Sack, Brian P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy alternatives at the zero bound: an empirical assessment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-48 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752660; Keywords: Deflation (Finance) ; Deflation (Finance) - Japan ; Monetary policy - United States ; Monetary policy - Japan; Publication Type: Working Paper; Update Code: 200411 N2 - The success over the years in reducing inflation and, consequently, the average level of nominal interest rates has increased the likelihood that the nominal policy interest rate may become constrained by the zero lower bound. When that happens, a central bank can no longer stimulate aggregate demand by further interest-rate reductions and must rely on "non-standard" policy alternatives. To assess the potential effectiveness of such policies, we analyze the behavior of selected asset prices over short periods surrounding central bank statements or other types of financial or economic news and estimate "noarbitrage" models of the term structure for the United States and Japan. There is some evidence that central bank communications can help to shape public expectations of future policy actions and that asset purchases in large volume by a central bank would be able to affect the price or yield of the targeted asset. L3 - http://www.federalreserve.gov/pubs/feds/2004/200448/200448abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752660&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200448/200448abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - Monetary policy and inflation dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-62 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762794; Keywords: Monetary policy - United States ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200502 N2 - Since the early 1980s, the United States economy has changed in some important ways: Inflation now rises considerably less when unemployment falls and the volatility of output and inflation have fallen sharply. This paper examines whether changes in monetary policy can account for these phenomena. The results suggest that changes in the parameters and shock volatility of monetary policy reaction functions can account for most or all of the change in the inflation-unemployment relationship. As in other work, monetary-policy changes can explain only a small portion of the output growth volatility decline. However, changes in policy can explain a large proportion of the reduction in the volatility of the output gap. In addition, a broader concept of monetary-policy changes--one that includes improvements in the central bank's ability to measure potential output--enhances the ability of monetary policy to account for the changes in the economy. L3 - http://www.federalreserve.gov/pubs/feds/2004/200462/200462abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762794&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200462/200462abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feroli, Michael AD - Unlisted T1 - Monetary policy and the information content of the yield spread PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-44 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752655; Keywords: Monetary policy ; Economic forecasting ; Business cycles; Publication Type: Working Paper; Update Code: 200411 N2 - This paper demonstrates that the ability of the yield spread to predict output fluctuations is contingent on the monetary authority's reaction function. In particular, expectations of monetary policy actions are crucial for the spread to predict output conditional on the short-rate. Furthermore, numerical experiments suggest that the post-1979 decrease in the yield spread's predictive power is due to a shift in the monetary policy reaction function at that time. L3 - http://www.federalreserve.gov/pubs/feds/2004/200444/200444abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752655&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200444/200444abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Monetary policy in deflation: the liquidity trap in history and practice PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-01 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700410; Keywords: Deflation (Finance) - Japan ; Monetary policy - Japan ; Liquidity (Economics) - Japan; Publication Type: Working Paper; Update Code: 200404 N2 - The experience of the U.S. economy during the mid-1930s, when short-term nominal interest rates were continuously close to zero, is sometimes taken as evidence that monetary policy was ineffective and the economy was in a "liquidity trap." Close examination of the historical policy record for the period indicates that the evidence does not support such assertions. The incomplete and erratic recovery from the Great Depression can be traced to a failure to pursue consistently expansionary policy resulting from an incorrect understanding of monetary policy in an environment of very low short-term nominal interest rates. Commonalities with the Japanese experience during the late 1990s and the inadequacy of short-term interest rates as indicators of the stance of monetary policy are discussed, and a robust operating procedure for implementing monetary policy in a low interest rate environment by adjusting the maturity of targeted interest rate instruments is described. L3 - http://www.federalreserve.gov/pubs/feds/2004/200401/200401abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700410&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200401/200401abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Prager, Robin A. AD - Unlisted AD - Unlisted T1 - Multimarket bank pricing: an empirical investigation of deposit interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-38 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744986; Keywords: Bank deposits ; Banks and banking; Publication Type: Working Paper; Update Code: 200410 N2 - In recent years, the number of large, geographically diversified banking organizations operating in the U.S. has grown. Empirical studies have found that, at least in the case of deposit interest rates, many of these banks offer the same rate for a given type of account throughout a state, or, in some cases, a broader geographical area. This phenomenon of uniform pricing raises questions as to what competitive factors are relevant in explaining the deposit interest rates offered by large multimarket banks. In this paper, we provide empirical evidence regarding the determinants of the deposit interest rates offered by these banking organizations. L3 - http://www.federalreserve.gov/pubs/feds/2004/200438/200438abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744986&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200438/200438abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arseneau, David M. AD - Unlisted T1 - Optimal inflation in an open economy with imperfect competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-25 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740569; Keywords: Monetary policy; Inflation (Finance); Publication Type: Working Paper; Update Code: 200408 N2 - This paper uses a two-country, monetary general equilibrium model with imperfect competition to study the optimal rate of inflation in an open economy. In contrast with the closed economy literature, when policy is set non-cooperatively in the open economy, the optimality of the Friedman rule is not a general result. Monetary authorities face an incentive to use the inflation tax to gain a "beggar-thy-neighbor" advantage over the terms of trade. Strategic use of the inflation tax, however, results in coordination failure. International monetary cooperation helps to mitigate this coordination failure and, as a result, can lead to more efficient equilibria. Monetary union ensures the maximum gain from cooperation by restoring the optimality of the global Friedman rule, placing the world economy at the Pareto frontier. L3 - http://www.federalreserve.gov/pubs/feds/2004/200425/200425abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740569&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200425/200425abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benigno, Pierpaolo AU - Woodford, Michael AD - Unlisted AD - Unlisted T1 - Optimal monetary and fiscal policy: a linear-quadratic approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 806 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740578; Keywords: Monetary policy; Fiscal policy; Publication Type: Working Paper; Update Code: 200408 N2 - We propose an integrated treatment of the problems of optimal monetary and fiscal policy, for an economy in which prices are sticky (so that the supply-side effects of tax changes are more complex than in standard fiscal analyses) and the only available sources of government revenue are distorting taxes (so that the fiscal consequences of monetary policy must be considered alongside the usual stabilization objectives). Our linear-quadratic approach allows us to nest both conventional analyses of optimal monetary stabilization policy and analyses of optimal tax-smoothing as special cases of our more general framework. We show how a linear-quadratic policy problem can be derived which yields a correct linear approximation to the optimal policy rules from the point of view of the maximization of expected discounted utility in a dynamic stochastic general-equilibrium model. Finally, in addition to characterizing the optimal dynamic responses to shocks under an optimal policy, we derive policy rules through which the monetary and fiscal authorities may implement the optimal equilibrium. These take the form of optimal targeting rules, specifying an appropriate target criterion for each authority. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/806/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740578&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/806/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Demiralp, Selva AU - Preslopsky, Brian AU - Whitesell, William AD - Unlisted AD - Unlisted AD - Unlisted T1 - Overnight interbank loan markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-29 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740571; Keywords: Bank loans; Federal funds; Federal funds market (United States); Publication Type: Working Paper; Update Code: 200408 N2 - This paper investigates transactions and interest rates on brokered and direct trades in federal funds, Eurodollar transactions, and repurchase agreements, all of which are used by banks in overnight funding. We expand on earlier work on calendar-day effects in these markets, investigating also volumes of funding in recent years. Our data include daily trades in federal funds reported by major brokers and also records of uncollateralized transactions over the wire transfer system operated by the Federal Reserve. We find that the share of the overnight interbank loan market represented by brokered fed funds has decreased and is now only about one-third of the total. We also show evidence of close but incomplete arbitrage among the major segments of the overnight interbank market, though the specific calendarday patterns of spreads and volatilities have evolved relative to the literature using earlier sample periods. L3 - http://www.federalreserve.gov/pubs/feds/2004/200429/200429abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740571&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200429/200429abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - Potential competitive effects of Basel II on banks in SME credit markets in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-12 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740559; Keywords: Risk management; Bank capital - Law and legislation; Commercial credit; Publication Type: Working Paper; Update Code: 200408 N2 - We examine the likely competitive effects of the proposed implementation of the Basel II capital requirements on banks in the market for credit to SMEs in the U.S. Specifically, we address whether reduced risk weights for SME credits extended by large banking organizations that adopt the Advanced Internal Ratings-Based (A-IRB) approach of Basel II might significantly adversely affect the competitive positions of organizations that do not adopt A-IRB. The analyses suggest only a relatively minor competitive effect on the majority of community banks primarily because the organizations that are likely to adopt A-IRB tend to make very different types of SME loans to different types of borrowers than community banks. However, the analyses suggest the possibility of significant adverse effects on the competitive positions of large banking organizations that do not adopt A-IRB because the data do not suggest any strong segmentation in SME credit markets among large organizations. L3 - http://www.federalreserve.gov/pubs/feds/2004/200412/200412abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740559&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200412/200412abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zanna, Luis-Felipe AD - Unlisted T1 - PPP rules, macroeconomic (In)stability and learning PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 814 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752661; Keywords: Purchasing power parity ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200411 N2 - Governments in emerging economies have pursued real exchange rate targeting through Purchasing Power Parity (PPP) rules that link the nominal depreciation rate to either the deviation of the real exchange rate from its long run level or to the difference between the domestic and the foreign CPI-inflation rates. In this paper we disentangle the conditions under which these rules may lead to endogenous fluctuations due to self-fulfilling expectations in a small open economy that faces nominal rigidities. We find that besides the specification of the rule, structural parameters such as the share of traded goods (that measures the degree of openness of the economy) and the degrees of imperfect competition and price stickiness in the non-traded sector play a crucial role in the determinacy of equilibrium. To evaluate the relevance of the real (in)determinacy results we pursue a learnability (E-stability) analysis for the aforementioned PPP rules. We show that for rules that guarantee a unique equilibrium, the fundamental solution that represents this equilibrium is learnable in the E-stability sense. Similarly we show that for PPP rules that open the possibility of sunspot equilibria, a common factor representation that describes these equilibria is also E-stable. In this sense sunspot equilibria and therefore aggregate instability are more likely to occur due to PPP rules than previously recognized. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/814/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752661&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/814/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Alstadheim, Ragna AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Price-level determinacy, lower bounds on the nominal interest rate, and liquidity traps PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 795 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740579; Keywords: Interest rates; Prices; Monetary policy; Econometric models; Publication Type: Working Paper; Update Code: 200408 N2 - We consider monetary-policy rules with inflation-rate targets and interest-rate or money-growth instruments using a flexible-price, perfect-foresight model. There is always a locally-unique target equilibrium. There may also be below-target equilibria (BTE) with inflation always below target and constant, asymptotically approaching or eventually reaching a below-target value, or oscillating. Liquidity traps are neither necessary nor sufficient for BTE which can arise if monetary policy keeps the interest rate above a lower bound. We construct monetary rules that preclude BTE when fiscal policy does not. Plausible fiscal policies preclude BTE for any monetary policy; those policies exclude surpluses and, possibly, balanced budgets. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/795/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740579&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/795/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kimura, Takeshi AU - Small, David AD - Unlisted AD - Unlisted T1 - Quantitative monetary easing and risk in financial asset markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-57 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753762; Keywords: Interest rates - Japan ; Monetary policy - Japan; Publication Type: Working Paper; Update Code: 200412 N2 - In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of "quantitative monetary easing" recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. But, they may have generated the adverse effects of increasing risk premiums on assets with pro-cyclical returns, such as equities and low-grade corporate bonds. These results are consistent with a CAPM framework in which business-cycle risk importantly affects risk premiums. Our estimates capture only some of the effects of quantitative easing and thus do not imply that the complete set of effects were adverse on net for Japan's economy. However, our analysis counsels caution in accepting the view that, ceteris paribus, a massive large-scale purchase of long-term government bonds by a central bank provides unambiguously positive net benefits to financial markets at zero short-term interest rates. L3 - http://www.federalreserve.gov/pubs/feds/2004/200457/200457abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753762&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200457/200457abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faia, Ester AU - Monacelli, Tommaso AD - Unlisted AD - Unlisted T1 - Ramsey monetary policy and international relative prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 798 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740580; Keywords: Monetary policy; Prices; Publication Type: Working Paper; Update Code: 200408 N2 - We analyze welfare maximizing monetary policy in a dynamic two-country model with price stickiness and imperfect competition. In this context, a typical terms of trade externality affects policy interaction between independent monetary authorities. Unlike the existing literature, we remain consistent to a public finance approach by an explicit consideration of all the distortions that are relevant to the Ramsey planner. This strategy entails two main advantages. First, it allows an accurate characterization of optimal policy in an economy that evolves around a steady-state which is not necessarily efficient. Second, it allows to describe a full range of alternative dynamic equilibria when price setters in both countries are completely forward-looking and households' preferences are not restricted. In this context, we study optimal policy both in the long-run and along a dynamic path, and we compare optimal commitment policy under Nash competition and under cooperation. By deriving a second order accurate solution to the policy functions, we also characterize the welfare gains from international policy cooperation. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/798/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740580&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/798/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, Jim AD - Unlisted T1 - Reading the minds of investors: an empirical term structure model for policy analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-64 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762796; Keywords: Econometric models ; Economic forecasting ; Interest rates ; Economic indicators; Publication Type: Working Paper; Update Code: 200502 N2 - Building on the recent macro finance literature, this paper develops an empirical term structure model in which investors' judgmental forecasts of macro variables play an important role. The model allows for a limited form of time-variation in the dynamics describing the behavior of short-term interest rates and macro variables. As a result, changes in economic forecasts over time reflect the influence of both economic shocks and perceived changes in economic structure. The latter, in particular, are shown to be important in explaining the evolution of the yield curve over time. An interest rate accounting framework based on the model is applied in parsing changes in long-term interest rates into portions associated with changes in term premiums and changes in expected future short-rates. The changes in expected future short rates are then further decomposed into portions attributable to changes in the expected future paths for inflation, the unemployment rate, and GDP growth and also to a fourth factor interpreted as changes in the "stance of monetary policy." The model results indicate that changes in long-term interest rates, on average, have been about equal parts changes in term premia and changes in expected future short rates. Changes in expected future short rates seem to be driven largely by changes in the stance of monetary policy and in the outlook for inflation while the estimated influence of changes in the outlook for the unemployment rate and GDP growth is more muted. L3 - http://www.federalreserve.gov/pubs/feds/2004/200464/200464abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762796&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200464/200464abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Michelis, Andrea De AD - Unlisted T1 - Sand in the wheels of the labor market: the effect of firing costs on employment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 796 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740587; Keywords: Labor market - Europe; Labor economics; Labor policy - Europe; Publication Type: Working Paper; Update Code: 200408 N2 - This paper examines the effects of firing costs in a dynamic general equilibrium model where firms face stochastic demand. It derives analytically two simple closed-form equations, one for the supply of labor, the other for its demand. These equations determine the comparative static effects of changes in firing costs on the labor market. When negative shocks are more likely to occur than positive shocks, and when the frequency of these shocks is high, firing costs have a substantial negative impact on aggregate employment. In addition, product market integration, as it has occurred in the formation of the European Union, induces firms to be more wary of future possible downturns and therefore intensifies the negative consequences of firing costs. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/796/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740587&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/796/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bansak, Cynthia AU - Morin, Norman AU - Starr, Martha AD - Unlisted AD - Unlisted AD - Unlisted T1 - Technology, capital spending, and capacity utilization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-30 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740574; Keywords: Industrial capacity; Technology; Publication Type: Working Paper; Update Code: 200408 N2 - This paper examines the relationships between technology, capital spending, and capacity utilization. Recent technological changes have increased the flexibility of relationships between inputs and outputs in manufacturing, which may have eroded the predictive value of the utilization rate. This paper considers how technology might be expected to affect utilization. We show that recent changes could either lower average utilization by making it cheaper to hold excess capacity, or raise utilization by making further changes in capacity less costly and time-consuming. We then examine the effects of technology on utilization, using data on 111 manufacturing industries from 1974 to 2000. The results suggest that, for the average industry, the technological change of that period had a modest but appreciable effect, shaving between 0.2 percentage point and 2.3 percentage points off the utilization rate. L3 - http://www.federalreserve.gov/pubs/feds/2004/200430/200430abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740574&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200430/200430abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edelberg, Wendy AD - Unlisted T1 - Testing for adverse selection and moral hazard in consumer loan markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-09 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700414; Keywords: Loans, Personal; Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores the significance of unobservable default risk in mortgage and automobile loan markets. I develop and estimate a two-period model that allows for heterogeneous forms of simultaneous adverse selection and moral hazard. Controlling for income levels, loan size and risk aversion, I find robust evidence of adverse selection, with borrowers self-selecting into contracts with varying interest rates and collateral requirements. For example, ex-post higher-risk borrowers pledge less collateral and pay higher interest rates. Moreover, there is strongly suggestive evidence of moral hazard such that collateral is used to induce a borrower's effort to avoid repayment problems. Thus, loan terms may have a feedback effect on behavior. Also, higher-risk borrowers are more difficult to induce into exerting effort, explaining the counter-intuitive result that higher-risk borrowers sometimes pay lower interest rates than observably lower-risk borrowers. L3 - http://www.federalreserve.gov/pubs/feds/2004/200409/200409abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700414&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200409/200409abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Juster, F. Thomas AU - Lupton, Joseph P. AU - Smith, James P. AU - Stafford, Frank AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The decline in household saving and the wealth effect PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-32 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744982; Keywords: Households - Economic aspects ; Saving and investment; Publication Type: Working Paper; Update Code: 200410 N2 - Using a unique set of household level panel data, we estimate the effect of capital gains on saving by asset type, controlling for observable and unobservable household specific fixed effects. The results suggest that the decline in the personal saving rate since 1984 is largely due to the significant capital gains in corporate equities experienced over this period. Over five-year periods, the effect of capital gains in corporate equities on saving is substantially larger than the effect of capital gains in housing or other assets. Failure to differentiate wealth affects across asset types results in a significant understatement or overstatement of the size of their impact, depending on the asset. L3 - http://www.federalreserve.gov/pubs/feds/2004/200432/200432abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744982&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200432/200432abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 804 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740584; Keywords: Monetary policy - United States; Econometric models; Publication Type: Working Paper; Update Code: 200408 N2 - We develop an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy. We explore the effects of policymakers' misperceptions of the natural rate of unemployment during the late 1960s and 1970s on the formation of expectations and macroeconomic outcomes. We find that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent inflation expectations and destabilized the economy. Had monetary policy reacted less aggressively to perceived unemployment gaps, inflation expectations would have remained anchored and the stagflation of the 1970s would have been avoided. Indeed, we find that less activist policies would have been more effective at stabilizing *both* inflation and unemployment. We argue that policymakers, learning from the experience of the 1970s, eschewed activist policies in favor of policies that concentrated on the achievement of price stability, contributing to the subsequent improvements in macroeconomic performance of the U.S. economy. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/804/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740584&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/804/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vigfusson, Robert J. AD - Unlisted T1 - The delayed response to a technology shock: a flexible price explanation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 810 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744991; Keywords: Technology - Economic aspects ; Hours of labor - Mathematical models; Publication Type: Working Paper; Update Code: 200410 N2 - I present empirical evidence of how the U.S. economy, including per-capita hours worked, responds to a technology shock. In particular, I present results based on permanent changes to a constructed direct measure of technological change for U.S. manufacturing industries. Based on empirical evidence, some claim that hours worked declines and never recovers in response to a positive technology shock. This paper's empirical evidence suggests that emphasizing the drop in hours worked is misdirected. Because the sharp drop in hours is not present here, the emphasis rather should be on the small (perhaps negative) initial response followed by a subsequent large positive response. Investment, consumption, and output have similar dynamic responses. In response to a positive technology shock, a standard flexible price model would have an immediate increase in hours worked. Therefore, such a model is inconsistent with the empirical dynamic responses. I show, however, that a flexible price model with habit persistence in consumption and certain kinds of capital adjustment costs can better match the empirical responses. Some recent papers have critiqued the use of long run VARs to identify the dynamic responses to a technology shock. In particular they report that, when long run VARs are applied to data simulated from particular economic models, the point estimates of the impulse responses may be imprecisely estimated. However, based on additional simulation evidence, I find that, although the impact response may be imprecisely estimated, a finding of a delayed response is much more likely when the true model response also has a delayed response. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/810/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744991&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/810/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheiner, Louise AD - Unlisted T1 - The effects of technology on the age distribution of health spending: a cross-country perspective PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-14 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740561; Keywords: Medical care, Cost of; Population; Publication Type: Working Paper; Update Code: 200408 N2 - The conventional method used to project a country's future health care expenditures is to assume that relative health spending by age remains constant. This method has been criticized as being too pessimistic, on the one hand, because of continued improvements in the health status of older people, and as too optimistic, on the other, because of the effects of technological innovations on increasing health spending on the elderly relative to the nonelderly. This paper uses cross-country data to shed light on this question. I find that, contrary to conventional wisdom, the theoretical effects of technology on health spending are to decrease the concentration of health spending on the elderly. Empirically, I find that relative health spending by age has been quite stable over time. I also find that countries with the most technologically intensive health sectors spend relatively less on the oldest old compared to the younger old. L3 - http://www.federalreserve.gov/pubs/feds/2004/200414/200414abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740561&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200414/200414abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Moore, Kevin AD - Unlisted T1 - The effects of the 1986 and 1993 tax reforms on self-employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-05 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700420; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - This paper adds a new dimension to the literature that uses individual level data to assess the effects of tax policy on self-employment. Specifically, this study uses repeated cross-section data from the Surveys of Consumer Finances (SCF) against the background of the tax reforms of 1986 and 1993 to gauge the influence of taxes on self-employment. Using the 1986 and 1993 tax rate reforms as natural experiments allows for the identification of the effect of taxes on the choice to become self-employed. The findings of this paper indicate that marginal and average tax rates are negatively related to the propensity to become self-employed. However, these effects are only significant for the 1986 tax reforms and are sensitive to the model specification. Other factors, such as education, industry, wealth, and attitude toward risks, are consistently more important influences on the choice to become self-employed. L3 - http://www.federalreserve.gov/pubs/feds/2004/200405/200405abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700420&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200405/200405abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil AD - Unlisted T1 - The ET interview: professor David F. Hendry PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 811 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752663; Keywords: Hendry, David F. ; Econometrics; Publication Type: Working Paper; Update Code: 200411 N2 - This interview for Econometric Theory explores David Hendry's research. Issues discussed include estimation and inference for nonstationary time series; econometric methodology; strategies, concepts, and criteria for empirical modeling; the general-to-specific approach, as implemented in the computer packages PcGive and PcGets; computer-automated model selection procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets; economic forecasting and policy analysis; the history of econometric thought; and the use of computers for live empirical and Monte Carlo econometrics. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/811/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752663&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/811/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Jeffrey R. AU - Ivkovic, Zoran AU - Smith, Paul A. AU - Weisbenner, Scott AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The geography of stock market participation: the influence of communities and local firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-22 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740566; Keywords: Stock markets; Investments; Geography; Publication Type: Working Paper; Update Code: 200408 N2 - This paper is the first to investigate the importance of geography in explaining equity market participation. We provide evidence to support two distinct local area effects. The first is a community ownership effect, that is, individuals are influenced by the investment behavior of members of their community. Specifically, a ten percentage-point increase in equity market participation of the other members of one's community makes it two percentage points more likely that the individual will invest in stocks, conditional on a rich set of controls. We find further evidence that the influence of community members is strongest for less financially sophisticated households and strongest within "peer groups" as defined by age and income categories. The second is that proximity to publicly-traded firms also increases equity market participation. In particular, the presence of publicly-traded firms within 50 miles and the share of U.S. market value headquartered within the community are significantly correlated with equity ownership of individuals. These results are quite robust, holding up in the presence of a wide range of individual and community controls, the inclusion of individual fixed effects, and specification checks to rule out that the relations are driven solely by ownership of the stock of one's employer. L3 - http://www.federalreserve.gov/pubs/feds/2004/200422/200422abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740566&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200422/200422abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Collard, Fabrice AU - Dellas, Harris AD - Unlisted AD - Unlisted T1 - The great inflation of the 1970s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 799 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740586; Keywords: Inflation (Finance); Economic conditions - United States; Publication Type: Working Paper; Update Code: 200408 N2 - Was the high inflation of the 1970s mostly due to incomplete information about the structure of the economy (an unavoidable mistake as suggested by Orphanides, 2000)? Or, to weak reaction to expected inflation and/or excessive policy activism that led to indeterminacies (a policy mistake, a scenario suggested by Clarida, Gali and Gertler, 2000)? We study this question within the NNS model with policy commitment and imperfect information, requiring that the model have satisfactory overall empirical performance. We find that both explanations do a good job in accounting for the great inflation. Even with the commonly used specification of the interest policy rule, high and persistent inflation can occur following a significant productivity slowdown if policymakers significantly and persistently underestimate "core" inflation. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/799/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740586&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/799/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain P. AU - Chernenko, Sergey AU - Howorka, Edward AU - Iyer, Raj S. Krishnasami AU - Liu, David AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 823 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762810; Keywords: Foreign exchange ; Foreign exchange rates ; International trade; Publication Type: Working Paper; Update Code: 200502 N2 - We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/823/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762810&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/823/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chernenko, Sergey V. AD - Unlisted T1 - The information content of forward and futures prices: market expectations and the price of risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 808 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744990; Keywords: Interest rate futures ; Markets; Publication Type: Working Paper; Update Code: 200410 N2 - Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational expectations of future actual prices. The forward and futures rates that we study under a common methodology include foreign exchange forward rates, U.S. and foreign interest rate futures and forward rates, oil futures and natural gas futures. For most, but not all, of these instruments, we find that we can reject the hypothesis that the forward or futures rates are rational expectations of actual future prices. It is well known that foreign exchange forward rates give less accurate forecasts than a random walk, but we show that this is also true for some interest rate futures and forward rates. We conclude that forward and futures prices are not generally pure measures of market expectations: they are also heavily affected by the market price of risk. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/808/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744990&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/808/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth AU - Demiralp, Selva AD - Unlisted AD - Unlisted T1 - The liquidity effect in the federal funds market: evidence from daily open market operations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-61 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753765; Keywords: Federal funds market (United States) ; Federal funds rate ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200412 N2 - We use forecast errors made by the Federal Reserve while preparing open market operations to identify a liquidity effect at a daily frequency in the federal funds market. Unlike Hamilton (1997), we find a liquidity effect on many days of the reserve maintenance period besides settlement day. The effect is non-linear; large changes in supply have a measurable effect, but small changes do not. In addition, a higher aggregate level of reserve balances in the banking system is associated with a smaller liquidity effect during the maintenance period but a larger liquidity effect on the last days of the period. L3 - http://www.federalreserve.gov/pubs/feds/2004/200461/200461abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753765&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200461/200461abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gallin, Joshua AD - Unlisted T1 - The long-run relationship between house prices and rents PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-50 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753766; Keywords: Housing - Prices ; Rental housing - Prices; Publication Type: Working Paper; Update Code: 200412 N2 - I show that when house prices are high relative to rents (that is, when the rent-price ratio is low) changes in real rents tend to be larger than usual and changes in real prices tend to be smaller than usual. Standard error-correction models provide inconclusive results about the predictive power of the rent-price ratio at a quarterly frequency. I use a long-horizon regression approach to show that the rent-price ratio helps predict changes in real rents and real prices over three-year periods. This result withstands the inclusion of a measure of the user cost of capital. I show that a long-horizon regression approach can yield biased estimates of the degree of error correction if prices have a unit root but do not follow a random walk. I construct bootstrap distributions to conduct appropriate inference in the presence of this bias. The results lend empirical support to the view that the rent-price ratio is an indicator of valuation in the housing market. L3 - http://www.federalreserve.gov/pubs/feds/2004/200450/200450abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753766&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200450/200450abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levin, Andrew T. AU - Natalucci, Fabio M. AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted T1 - The magnitude and cyclical behavior of financial market frictions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-70 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762803; Publication Type: Working Paper; Update Code: 200502 N2 - We quantify the cross-sectional and time-series behavior of the wedge between the cost of external and internal finance by estimating the structural parameters of a canonical debt-contracting model with informational frictions. For this purpose, we construct a new dataset that includes balance sheet information, measures of expected default risk, and credit spreads on publicly traded debt for about 900 U.S. firms over the period 1997Q1 to 2003Q3. Using nonlinear least squares, we obtain precise time-specific estimates of the bankruptcy cost parameter and consistently reject the null hypothesis of frictionless financial markets. For most of the firms in our sample, the estimated premium on external finance was very low during the expansionary period 1997-99, but rose sharply in 2000--especially for firms with higher ratios of debt to equity--and remained elevated until early 2003. L3 - http://www.federalreserve.gov/pubs/feds/2004/200470/200470abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762803&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200470/200470abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Athey, Susan AU - Atkeson, Andrew AU - Kehoe, Patrick J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The optimal degree of discretion in monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 801 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740581; Keywords: Monetary policy; Policy sciences; Publication Type: Working Paper; Update Code: 200408 N2 - How much discretion should the monetary authority have in setting its policy? This question is analyzed in an economy with an agreed-upon social welfare function that depends on the randomly fluctuating state of the economy. The monetary authority has private information about that state. In the model, well-designed rules trade off society's desire to give the monetary authority discretion to react to its private information against society's need to guard against the time inconsistency problem arising from the temptation to stimulate the economy with unexpected inflation. Although this dynamic mechanism design problem seems complex, society can implement the optimal policy simply by legislating an inflation cap that specifies the highest allowable inflation rate. The more severe the time inconsistency problem, the more tightly the cap constrains policy and the smaller is the degree of discretion. As this problem becomes sufficiently severe, the optimal degree of discretion is none. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/801/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740581&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/801/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thomas, Charles P. AU - Warnock, Francis E. AU - Wongswan, Jon AD - Unlisted AD - Unlisted AD - Unlisted T1 - The performance of international portfolios PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 817 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0752662; Keywords: Investments, Foreign; Publication Type: Working Paper; Update Code: 200411 N2 - We evaluate the performance of U.S. investors' international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in reported capital flows data. In their foreign equity portfolios, U.S. investors achieved a significantly higher Sharpe ratio than global benchmarks, especially since 1990. We uncover three potential reasons for this success. First, they abstained from returns-chasing behavior and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, well-documented preferences for cross-listed and well-governed foreign firms appear to have served U.S. investors well. We also evaluate the unconditional performance of bond portfolios, about which less information is available, and find that U.S. investors achieved higher Sharpe ratios than global benchmarks, although the difference here is not statistically significant. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/817/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0752662&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/817/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris A. AU - Heathcote, Jonathan AD - Unlisted AD - Unlisted T1 - The price and quantity of residential land in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-37 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744985; Keywords: Housing - Prices ; Real property; Publication Type: Working Paper; Update Code: 200410 N2 - We combine publicly available data from Freddie Mac, the Decennial Census of Housing, and the Bureau of Economic Analysis to construct the first constant-quality aggregate price index for the stock of residential land in the United States. We uncover five main results: (a) since 1970, residential land prices have grown faster but (b) have also been twice as volatile as existing home prices; (c) averaged from 1970 to 2003, the nominal stock of residential land under 1-4 unit structures accounts for 38% of the market value of the housing stock and is equal to 50% of nominal annual GDP; (d) the real stock of residential land under 1-4 unit structures has increased an average of 0.6% per year since 1970; and (e) residential investment leads the price of residential land by three quarters. We also estimate that in 2003:Q3 the nominal value of the entire stock of residential land is the same as annual GDP. Finally, we show for the US data that the logarithms of the nominal price index for residential land, disposable income, and interest rates are cointegrated. L3 - http://www.federalreserve.gov/pubs/feds/2004/200437/200437abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744985&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200437/200437abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - van Norden, Simon AD - Unlisted AD - Unlisted T1 - The reliability of inflation forecasts based on output gap estimates in real time PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-68 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0762801; Publication Type: Working Paper; Update Code: 200502 N2 - A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation. L3 - http://www.federalreserve.gov/pubs/feds/2004/200468/200468abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0762801&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200468/200468abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Small, David H. AU - Clouse, James A. AD - Unlisted AD - Unlisted T1 - The scope of monetary policy actions authorized under the Federal Reserve Act PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-40 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744984; Keywords: Monetary policy ; Federal Reserve Act; Publication Type: Working Paper; Update Code: 200410 N2 - The Federal Reserve Act authorizes the Federal Reserve to undertake various types of discount window loans and open market operations. While the Federal Reserve generally has not found it necessary to use all types of such authority, there could be circumstances in which the Federal Reserve might need to consider utilizing its statutory authority more broadly than it has in the past. We examine the limits imposed by the Federal Reserve Act along two dimensions: those types of counterparties and financial instruments with which the Federal Reserve may conduct monetary policy. In doing so, we develop a theme not commonly pursued in the literature--the ways and extent to which the Federal Reserve Act limits the Federal Reserve from taking credit risk onto its balance sheet. We also provide some historical perspective on how the current powers of the Federal Reserve came to be authorized. L3 - http://www.federalreserve.gov/pubs/feds/2004/200440/200440abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744984&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200440/200440abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AU - Oliner, Stephen AD - Unlisted AD - Unlisted T1 - The term structure of commercial paper rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-18 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740563; Keywords: Commercial paper issues; Publication Type: Working Paper; Update Code: 200408 N2 - This paper tests the expectations hypothesis in the market for commercial paper. Our main dataset, which is new to the literature, consists of daily indexes constructed from the actual market yields for nearly all commercial paper issued by U.S. corporations between January 1998 and August 2003. We show that the term premia built into commercial paper yields rise dramatically at year-end, causing the expectations hypothesis to be rejected. However, once we control for these predictable year-end effects, we find the reverse--that commercial paper yields largely conform with the expectations hypothesis. L3 - http://www.federalreserve.gov/pubs/feds/2004/200418/200418abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740563&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200418/200418abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nini, Gregory P. AD - Unlisted T1 - The value of financial intermediaries: empirical evidence from syndicated loans to emerging market borrowers PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 820 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765205; Keywords: Bank loans ; Developing countries; Publication Type: Working Paper; Update Code: 200503 N2 - Empirical estimates of the benefit of financial intermediation are constructed by examining the role played by local banks in facilitating syndicated loans to borrowers in emerging market countries. Assuming that local banks possess a superior monitoring ability, the market is ideal for studying the value of intermediation since cross-border lending into emerging markets is plagued by particularly high information and agency costs and the supply of local bank capital is in limited short run supply. Using variation in the propensity of local banks to participate in foreign arranged syndicates, there are two economically important results. First, local banks are much more likely to participate in unconditionally riskier loans. Second, after controlling for borrower characteristics, loan characteristics, and the endogeneity of the local bank lending decision, loans with local bank participation have spreads that are 10 percent lower (29 basis points) than otherwise similar loans. Combined, the results support the conclusion that local banks, a particularly special type of financial intermediary, provide value by considerably reducing financing costs, especially for riskier borrowers. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/820/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/820/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kopczuk, Wojciech AU - Lupton, Joseph P. AD - Unlisted AD - Unlisted T1 - To leave or not to leave: the distribution of bequest motives PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-33 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744979; Keywords: Inheritance and succession; Publication Type: Working Paper; Update Code: 200410 N2 - In this paper, we examine the effect of observed and unobserved heterogeneity in the desire to die with positive net worth. Using a structural life-cycle model nested in a switching regression with unknown sample separation, we find that roughly 70 percent of the elderly single population has a bequest motive that may or may not be active depending on the level of resources at a given age. Both the presence and the magnitude of the bequest motive are statistically and economically significant. All else being equal, households with an operative bequest motive spend between $4,000 and $9,000 a year less on consumption expenditures on average. We conclude that, among the elderly single households in our sample, approximately half of bequeathed wealth will be due to a bequest motive. L3 - http://www.federalreserve.gov/pubs/feds/2004/200433/200433abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744979&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200433/200433abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AD - Unlisted T1 - Transparency and monetary policy: what does the academic literature tell policymakers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-35 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744981; Keywords: Transparency in government ; Monetary policy; Publication Type: Working Paper; Update Code: 200410 N2 - Transparency in monetary policy has become a popular topic over the past decade. However, the majority of the economic research is theoretical, calling into question its value as a practical guide to monetary policy. This paper surveys the literature to assess what conclusions a central bank can draw from the academic study of transparency and how beneficial transparency may be. L3 - http://www.federalreserve.gov/pubs/feds/2004/200435/200435abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744981&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200435/200435abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bond, Stephen R. AU - Cummins, Jason G. AD - Unlisted AD - Unlisted T1 - Uncertainty and investment: an empirical investigation using data on analysts' profits forecasts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-20 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740564; Keywords: Investments; Risk; Uncertainty; Publication Type: Working Paper; Update Code: 200408 N2 - We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived from (1) the volatility in the firm's stock returns; (2) disagreement among securities analysts in their forecasts of the firm's future profits; and (3) the variance of forecast errors in analysts' forecasts of the firm's future profits. We consider two controls for expected profitability: (1) a standard measure of Brainard-Tobin's q constructed from the firm's stock market valuation; and (2) an alternative measure of the q ratio constructed from discounted forecasts of the firm's future profits. Our sample consists of publicly-traded U.S. companies that were tracked by two or more securities analysts for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are positively correlated and appear to pick up underlying movements in uncertainty. When we consider these measures individually, we find a significantly negative long-run effect of higher uncertainty on capital accumulation, which is robust to the inclusion of either of our controls for expected profitability. When we consider our uncertainty measures jointly, we find that the level of disagreement among analysts provides the most informative indicator for identifying this long-run effect of uncertainty on capital accumulation. In addition, we find a significantly negative short-run interaction term between share price volatility and current sales growth, consistent with the idea that investment will respond less to a given demand shock at higher levels of uncertainty. These effects of uncertainty on investment are shown to be quantitatively as well as statistically significant. L3 - http://www.federalreserve.gov/pubs/feds/2004/200420/200420abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740564&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200420/200420abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gali, Jordi AU - Lopez-Salido, J. David AU - Valles, Javier AD - Unlisted AD - Unlisted AD - Unlisted T1 - Understanding the effects of government spending on consumption PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 805 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740589; Keywords: Consumption (Economics); Government spending policy; Publication Type: Working Paper; Update Code: 200408 N2 - Recent evidence on the effect of government spending shocks on consumption cannot be easily reconciled with existing optimizing business cycle models. We extend the standard New Keynesian model to allow for the presence of rule-of-thumb (non-Ricardian) consumers. We show how the interaction of the latter with sticky prices and deficit financing can account for the existing evidence on the effects of government spending. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/805/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740589&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/805/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Understanding the risk of synthetic CDOs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-36 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0744978; Keywords: Risk; Publication Type: Working Paper; Update Code: 200410 N2 - Synthetic collateralized debt obligations, or synthetic CDOs, are popular vehicles for trading the credit risk of a portfolio of assets. Following a brief summary of the development of the synthetic CDO market, I draw on recent innovations in modeling to present a pricing model for CDO tranches that does not require Monte Carlo simulation. I use the model to analyze the risk characteristics of the tranches of synthetic CDOs. The analysis shows that although the more junior CDO tranches--equity and mezzanine tranches--typically contain a small fraction of the notional amount of the CDO's reference portfolio, they bear a majority of the credit risk. One implication is that credit risk disclosures relying on notional amounts are especially inadequate for firms that invest in CDOs. I show how the equity and mezzanine tranches can be viewed as leveraged exposures to the underlying credit risk of the CDO's reference portfolio. Even though mezzanine tranches are typically rated investment-grade, the leverage they possess implies their risk (and expected return) can be many times that of an investment-grade corporate bond. The paper goes on to show how CDO tranches and other innovative credit products, such as single-tranche CDOs and first-to-default basket swaps, are sensitive to the correlation of defaults among the credits in the reference portfolio. Differences of opinion among market participants as to the correct default correlation can create trading opportunities. Finally, the paper shows how the dependence of CDO tranches on default correlation can also be characterized and measured as an exposure to the business cycle, or as "business cycle risk." A mezzanine tranche, in particular, is highly sensitive to business cycle risk. L3 - http://www.federalreserve.gov/pubs/feds/2004/200436/200436abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0744978&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200436/200436abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lafourcade, Pierre AD - Unlisted T1 - Valuation, investment and the pure profit share PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-08 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700413; Keywords: Investments ; Rent (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores some implications for valuation and investment of challenging the standard assumption that there are no aggregate pure profits in the US economy. First, it highlights the theoretical importance of monopoly rents for fluctuations in average Q. A series for such rents is then computed by assuming that production is Cobb-Douglas, as fluctuations in the output share of pure profits may be inferred from variations in the labor share. Consequently, the paper focuses on the correlation between a measure of rents and observable average Q. It also reassesses the empirical disconnection between investment and a measure of marginal q purged of monopoly rents. The paper finds that the existence of pure profits as constructed from unit labor costs only accounts for about 5% of fluctuations in observed Q, and alters only minimally the empirical relationship between q and investment. L3 - http://www.federalreserve.gov/pubs/feds/2004/200408/200408abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700413&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200408/200408abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bernanke, Ben S. AU - Kuttner, Kenneth N. AD - Unlisted AD - Unlisted T1 - What explains the stock market's reaction to Federal Reserve policy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-16 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740562; Keywords: Monetary policy; Stock exchanges; Publication Type: Working Paper; Update Code: 200408 N2 - This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives both of measuring the average reaction of the stock market and also of understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25-basis-point cut in the federal funds rate target is associated with about a one percent increase in broad stock indexes. Adapting a methodology due to Campbell (1991) and Campbell and Ammer (1993), we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices. L3 - http://www.federalreserve.gov/pubs/feds/2004/200416/200416abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740562&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200416/200416abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Kole, Linda S. AD - Unlisted AD - Unlisted T1 - What makes investors over or underweight? explaining international appetites for foreign equities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 819 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0765204; Keywords: Investments, Foreign ; International finance; Publication Type: Working Paper; Update Code: 200503 N2 - Using data from the IMF Coordinated Portfolio Investment Surveys conducted in 2001, we analyze the determinants of 31 countries' international equity holdings. We show that investors in all countries underweight U.S. equities in their portfolios, many by more than they underweight foreign equities in general. Such behavior is surprising given the common perception of the United States as a desirable investment destination due to its well-developed legal and regulatory environment. Instead we find that investors in some countries are overweight in equities from other countries with which they have close regional or political ties. Such ties, along with distance, trade, issuance of U.S. ADRs or cross-listing on the London Stock exchange, market concentration, and estimated betas, help explain patterns of diversification. However, even when all these variables are included, we find significant fixed effects for most countries, suggesting that a considerable amount of cross-country variation in investment positions and in home bias remains to be explained. Our work confirms previous findings and extends results most completely documented for the United States to other major investor countries. But it also suggests caution should be used when interpreting results derived from studies of one or a few countries. L3 - http://www.federalreserve.gov/pubs/ifdp/2004/819/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0765204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2004/819/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Pilloff, Steven J. AD - Unlisted AD - Unlisted T1 - Will the proposed application of Basel II in the United States encourage increased bank merger activity? evidence from past merger activity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-13 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740560; Keywords: Bank capital - Law and legislation; Bank mergers; Publication Type: Working Paper; Update Code: 200408 N2 - This paper presents two tests of the hypothesis that adoption of the internal ratings-based approach to determining minimum capital requirements, as proposed in applying the Basel II capital accord in the United States, will cause adopting banking organizations to increase acquisition activity. The first test estimates the relationship between excess regulatory capital and subsequent merger activity, including organization and time fixed effects, while the second test employs a "difference in difference" analysis of the change in merger activity that occurred the last time regulatory capital standards were changed. Estimated coefficients and observed differences have signs consistent with the hypothesis, but results are either statistically insignificant or imply differences that are small in magnitude. L3 - http://www.federalreserve.gov/pubs/feds/2004/200413/200413abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740560&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200413/200413abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - Workweek flexibility and hours variation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-59 Y1 - 2004/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0753757; Keywords: Hours of labor, Flexible ; Workweek ; Labor productivity; Publication Type: Working Paper; Update Code: 200412 N2 - I use the term workweek flexibility to describe the ease of changing output by altering the number of hours per worker. Despite the fact that workweek flexibility is potentially important for understanding the cyclical behavior of marginal cost and prices, as well as cyclical movements in hours and output, it has received little attention. Using insights from a simple model of employment and the workweek, I use mean workweek levels to identify the effect of workweek flexibility and then show that it is an important determinant of firms' marginal cost schedules and the variance of industry workweeks and hours. I use the same identification scheme with panel data to see if an increase in workweek flexibility has been behind the rise in hours per worker over the past 30 years and find that it has not. L3 - http://www.federalreserve.gov/pubs/feds/2004/200459/200459abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0753757&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200459/200459abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Demiralp, Selva AU - Hoover, Kevin D. T1 - Searching for the Causal Structure of a Vector Autoregression. JO - Oxford Bulletin of Economics & Statistics JF - Oxford Bulletin of Economics & Statistics Y1 - 2003/12/02/Dec2003 Supplement 1 VL - 65 M3 - Article SP - 745 EP - 767 PB - Wiley-Blackwell SN - 03059049 AB - We provide an accessible introduction to graph-theoretic methods for causal analysis. Building on the work of Swanson and Granger (Journal of the American Statistical Association, Vol. 92, pp. 357-367, 1997), and generalizing to a larger class of models, we show how to apply graph-theoretic methods to selecting the causal order for a structural vector autoregression (SVAR). We evaluate the PC (causal search) algorithm in a Monte Carlo study. The PC algorithm uses tests of conditional independence to select among the possible causal orders -- or at least to reduce the admissible causal orders to a narrow equivalence class. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. [ABSTRACT FROM AUTHOR] AB - Copyright of Oxford Bulletin of Economics & Statistics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REGRESSION analysis KW - MATHEMATICAL statistics KW - ECONOMIC models KW - STOCHASTIC processes KW - ECONOMETRICS KW - AUTOREGRESSION (Statistics) N1 - Accession Number: 12223468; Demiralp, Selva 1; Email Address: selva.demiralp@frb.gov; Hoover, Kevin D. 2; Email Address: kdhoover@ucdavis.edu; Affiliations: 1: Division of Monetary Affairs, Monetary and Reserve Analysis, Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Department of Economics, University of California, Davis, CA, USA; Issue Info: Dec2003 Supplement 1, Vol. 65, p745; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: ECONOMIC models; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: ECONOMETRICS; Subject Term: AUTOREGRESSION (Statistics); Number of Pages: 23p; Illustrations: 8 Diagrams, 2 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12223468&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Laubach, Thomas T1 - Signalling commitment with monetary and inflation targets JO - European Economic Review JF - European Economic Review Y1 - 2003/12// VL - 47 IS - 6 M3 - Article SP - 985 SN - 00142921 AB - This article studies a two-period game between the public and a central bank about whose ability to commit to an announced target the public is uncertain. The central bank chooses between announcing a target for an intermediate variable (money growth) and its goal variable, inflation. Prior to setting its instrument, the central bank receives private, noisy information about the link between money growth and inflation. Monetary targeting facilitates communication of the central bank''s type, in that the probability of separation is always higher than under inflation targeting. This advantage of monetary targets from a dependable central bank''s perspective is outweighed for most parameter values by the advantage of inflation targeting in terms of inflation control. If the regime choice is treated as a strategic decision, over a large range of parameter values both central banks choose the regime that a dependable central bank would prefer. [Copyright &y& Elsevier] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - BANKING industry KW - INFLATION (Finance) KW - FINANCE KW - MONEY KW - Imperfect monitoring KW - Inflation targeting KW - Monetary targeting KW - Signalling N1 - Accession Number: 11251859; Laubach, Thomas 1; Email Address: tlaubach@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Dec2003, Vol. 47 Issue 6, p985; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: BANKING industry; Thesaurus Term: INFLATION (Finance); Thesaurus Term: FINANCE; Thesaurus Term: MONEY; Author-Supplied Keyword: Imperfect monitoring; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Monetary targeting; Author-Supplied Keyword: Signalling; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 25p; Document Type: Article L3 - 10.1016/S0014-2921(02)00232-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11251859&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Li, Wenli AU - Sarte, Pierre-Daniel G. T1 - Credit market frictions and their direct effects on U.S. manufacturing fluctuations JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2003/12// VL - 28 IS - 3 M3 - Article SP - 419 SN - 01651889 AB - In this paper, we explore how informational frictions in credit markets directly affect U.S. manufacturing fluctuations. Within the context of a dynamic industry model, we propose a strategy for identifying intermediation costs related to informational asymmetries between lenders and borrowers. The analysis suggests that these costs have been steadily falling over the post-war period. We also present evidence that changes in the cost of intermediation should directly affect output, as opposed to just propagating the effects of other shocks. In particular, we find that shocks to the cost of intermediation account for a larger share of manufacturing output fluctuations at long horizons than at short horizons. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LOANS KW - INFORMATION services KW - MANUFACTURING industries KW - UNITED States KW - Credit market frictions KW - Economic fluctuations KW - Intermediation N1 - Accession Number: 10635246; Li, Wenli 1; Sarte, Pierre-Daniel G. 2; Email Address: pierre.sarte@rich.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Research Department, Federal Reserve Bank of Richmond, P.O. Box 27622, Richmond, VA 23261, USA; Issue Info: Dec2003, Vol. 28 Issue 3, p419; Thesaurus Term: LOANS; Thesaurus Term: INFORMATION services; Thesaurus Term: MANUFACTURING industries; Subject: UNITED States; Author-Supplied Keyword: Credit market frictions; Author-Supplied Keyword: Economic fluctuations; Author-Supplied Keyword: Intermediation; NAICS/Industry Codes: 519190 All Other Information Services; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 25p; Document Type: Article L3 - 10.1016/S0165-1889(02)00182-3 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10635246&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Barakova, Irina AU - Bostic, Raphael W. AU - Calem, Paul S. AU - Wachter, Susan M. T1 - Does credit quality matter for homeownership? JO - Journal of Housing Economics JF - Journal of Housing Economics Y1 - 2003/12// VL - 12 IS - 4 M3 - Article SP - 318 SN - 10511377 AB - While micro-level household data on wealth and income are available for assessing income- and wealth-based constraints to homeownership, lack of data on household credit ratings has precluded evaluation of credit quality as a potential barrier to homeownership. The study, for the first time, measures the relative importance of credit-, income-, and wealth-based constraints and estimates how the effects of these constraints have evolved over the past decade. The results show that financing constraints continue to have an important impact on potential homebuyers. The wealth constraint has the largest impact, although its importance declined substantially during the 1990s. Credit quality based constraints have become more important barriers to homeownership during the 1990s, mostly reflecting an increase in the number of households with impaired credit quality. Thus, both wealth and credit constraints persist as barriers to the attainment of homeownership. [Copyright &y& Elsevier] AB - Copyright of Journal of Housing Economics is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOME ownership KW - HOUSE buying KW - HOUSING N1 - Accession Number: 11399454; Barakova, Irina 1 Bostic, Raphael W. 2 Calem, Paul S. 1 Wachter, Susan M. 3; Email Address: wachter@wharton.upenn.edu; Affiliation: 1: Board of Governors of the Federal Reserve System, USA 2: University of Southern California, USA 3: University of Pennsylvania, Wharton School, Real Estate Department, Lauder-Fisher Hall, Room 303, 19104, Philadelphia, PA, USA; Source Info: Dec2003, Vol. 12 Issue 4, p318; Subject Term: HOME ownership; Subject Term: HOUSE buying; Subject Term: HOUSING; NAICS/Industry Codes: 624229 Other Community Housing Services; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jhe.2003.09.002 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=11399454&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Cooper, Daniel AU - Woglom, Geoffrey T1 - The S&P 500 Effect: Not So Good in the Long Run. JO - Journal of Investing JF - Journal of Investing Y1 - 2003///Winter2003 VL - 12 IS - 4 M3 - Article SP - 62 EP - 73 PB - Euromoney Institutional Investor PLC SN - 10680896 AB - This article focuses on effects of Standard & Poor's 500 stock index on the stock price behavior of firms. The effect is divided into two categories namely trading effects and fundamental effects. When a firm is added to the Standard & Poor's 500 stock index, its stock price rises on announcement, returns become more volatile and a fraction of the announcement gains is reversed in the subsequent weeks. The permanent price change also includes a price decline that is related to the increased volatility of a company's stock returns post-addition. KW - STOCK price indexes KW - STANDARD & Poor's 500 Index KW - STOCKS (Finance) -- Prices KW - EARNINGS per share KW - STOCKS (Finance) -- Rate of return N1 - Accession Number: 11586631; Cooper, Daniel 1; Woglom, Geoffrey 2; Affiliations: 1: Research assistant, Board of Governors of the Federal Reserve System.; 2: Richard S. Volpert `56 Professor of Economics, Amherst College.; Issue Info: Winter2003, Vol. 12 Issue 4, p62; Thesaurus Term: STOCK price indexes; Thesaurus Term: STANDARD & Poor's 500 Index; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: EARNINGS per share; Thesaurus Term: STOCKS (Finance) -- Rate of return; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11586631&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lange, Joe AU - Sack, Brian AU - Whitesell, William T1 - Anticipations of Monetary Policy in Financial Markets. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2003/12//Dec2003 Part 1 of 2 VL - 35 IS - 6 M3 - Article SP - 889 EP - 909 PB - Ohio State University Press SN - 00222879 AB - In recent years, financial markets appear better able to anticipate Federal Open Market Committee (FOMC) policy changes. Beginning in the late 1980s and early 1990s, longer-term interest rates and futures rates have tended to incorporate movements in the federal funds rate several months in advance, in contrast to the largely contemporaneous response typically observed before that time. After identifying these emerging trends, the paper parses the enhanced predictability into a component that can be attributed to the autoregressive behavior of the funds rate and a nonautoregressive component. The paper considers institutional developments in FOMC policy making that may have contributed to each of these components, including gradualism in adjusting the federal funds rate target and transparency regarding the setting of the target and future policy intentions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - SECURITIES markets KW - FINANCE KW - FEDERAL funds market (U.S.) KW - UNITED States KW - UNITED States. Federal Open Market Committee N1 - Accession Number: 11272799; Lange, Joe 1; Sack, Brian 2; Whitesell, William 3; Email Address: william.c.whitesell@frb.gov; Affiliations: 1: Economist at Cornerstone Research; 2: Senior Economist in the Division of Monetary Affairs of the Board of Governors of the Federal Reserve System; 3: Deputy Associate Director of Division of Monetary Affairs of the Board of Governors of the Federal Reserve System; Issue Info: Dec2003 Part 1 of 2, Vol. 35 Issue 6, p889; Thesaurus Term: MONETARY policy; Thesaurus Term: SECURITIES markets; Thesaurus Term: FINANCE; Thesaurus Term: FEDERAL funds market (U.S.); Subject: UNITED States ; Company/Entity: UNITED States. Federal Open Market Committee; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11272799&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. T1 - The efficiency effects of a single market for financial services in Europe JO - European Journal of Operational Research JF - European Journal of Operational Research Y1 - 2003/11// VL - 150 IS - 3 M3 - Article SP - 466 SN - 03772217 AB - This paper examines the potential efficiency effects of a single market for financial services in Europe. The topics covered include universal banking, the merger and acquisition process itself, cross-border ownership and management of financial institutions, and the effects of consolidation of financial institutions on the supply of relationship lending services to informationally opaque small businesses. The research reviewed here suggests that the creation of a single market for the European financial services industry is not likely to bring about strong efficiency gains and that cross-border efficiency barriers may prevent the single market from becoming a reality. [Copyright &y& Elsevier] AB - Copyright of European Journal of Operational Research is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL finance KW - FINANCIAL services industry KW - EUROPE KW - Banks KW - Efficiency KW - Insurance KW - International finance KW - Mergers KW - Securities firms N1 - Accession Number: 10322641; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 153, Federal Reserve Board, 20th and C Streets NW, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; Issue Info: Nov2003, Vol. 150 Issue 3, p466; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: FINANCIAL services industry; Subject: EUROPE; Author-Supplied Keyword: Banks; Author-Supplied Keyword: Efficiency; Author-Supplied Keyword: Insurance; Author-Supplied Keyword: International finance; Author-Supplied Keyword: Mergers; Author-Supplied Keyword: Securities firms; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 16p; Document Type: Article L3 - 10.1016/S0377-2217(02)00772-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10322641&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. T1 - Inflation Scares and Forecast-Based Monetary Policy. JO - Working Paper Series (Federal Reserve Bank of Atlanta) JF - Working Paper Series (Federal Reserve Bank of Atlanta) Y1 - 2003/10/08/ VL - 2003 IS - 21 M3 - Working Paper SP - 1 AB - Central banks pay close attention to inflation expectations. In standard models, however, inflation expectations are tied down by the assumption of rational expectations and should be of little independent interest to policy makers. In this paper, the authors relax the assumption of rational expectations with perfect knowledge and reexamine the role of inflation expectations in the economy and in the conduct of monetary policy. Agents are assumed to have imperfect knowledge of the precise structure of the economy and the policymakers' preferences. Expectations are governed by a perpetual learning technology. With learning, disturbances can give rise to endogenous inflation scares, that is, significant and persistent deviations of inflation expectations from those implied by rational expectations. The presence of learning increases the sensitivity of inflation expectations and the term structure of interest rates to economic shocks, in line with the empirical evidence. The authors also explore the role of private inflation expectations for the conduct of efficient monetary policy. Under rational expectations, inflation expectations equal a linear combination of macroeconomic variables and as such provide no additional information to the policy maker. In contrast, under learning, private inflation expectations follow a time-varying process and provide useful information for the conduct of monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Paper Series (Federal Reserve Bank of Atlanta) is the property of Federal Reserve Bank of Atlanta and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - MONETARY policy KW - ECONOMIC forecasting KW - CENTRAL banking industry KW - inflation forecasts KW - learning. KW - policy rules KW - rational expectations N1 - Accession Number: 11076126; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov Williams, John C. 2; Email Address: john.c.williams@sf.frb.org; Affiliation: 1: Board of Governors of the Federal Reserve System 2: Federal Reserve Bank of San Francisco; Source Info: Oct2003, Vol. 2003 Issue 21, p1; Subject Term: INFLATION (Finance); Subject Term: MONETARY policy; Subject Term: ECONOMIC forecasting; Subject Term: CENTRAL banking industry; Author-Supplied Keyword: inflation forecasts; Author-Supplied Keyword: learning.; Author-Supplied Keyword: policy rules; Author-Supplied Keyword: rational expectations; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 38p; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=11076126&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Amato, Jeffery D. AU - Laubach, Thomas T1 - Rule-of-thumb behaviour and monetary policy JO - European Economic Review JF - European Economic Review Y1 - 2003/10// VL - 47 IS - 5 M3 - Article SP - 791 SN - 00142921 AB - We investigate the implications of rule-of-thumb behaviour by consumers or price setters for optimal monetary policy and simple interest rate rules. This behaviour leads to endogenous persistence in output and inflation and alters the policymaker''s welfare objective. Our main finding is that highly inertial policy is optimal regardless of what fraction of agents occasionally follow a rule of thumb. We also find that a first-difference version of Taylor''s (Carnegie–Rochester Conf. Ser. Public Policy 39 (1993) 195–214) rule generally has desirable properties. By contrast, the coefficients in other optimised simple rules tend to be extremely sensitive with respect to the fraction of rule-of-thumb behaviour. [Copyright &y& Elsevier] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INFLATION (Finance) KW - ECONOMIC policy KW - CONSUMERS KW - Interest rate rules KW - Optimal monetary policy KW - Rule of thumb N1 - Accession Number: 10695031; Amato, Jeffery D. 1; Email Address: jeffery.amato@bis.org; Laubach, Thomas 2; Affiliations: 1: Bank for International Settlements, Basel 4002, Switzerland; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Oct2003, Vol. 47 Issue 5, p791; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC policy; Thesaurus Term: CONSUMERS; Author-Supplied Keyword: Interest rate rules; Author-Supplied Keyword: Optimal monetary policy; Author-Supplied Keyword: Rule of thumb; Number of Pages: 41p; Document Type: Article L3 - 10.1016/S0014-2921(02)00270-2 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10695031&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ahmed, Shaghil T1 - Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes JO - Journal of Development Economics JF - Journal of Development Economics Y1 - 2003/10// VL - 72 IS - 1 M3 - Article SP - 181 SN - 03043878 AB - This paper studies the sources of economic fluctuations and their implications for exchange rate regime choice in key Latin American countries. In general, external shocks play a limited role in driving output fluctuations in these countries; this absence of common business cycles undermines the case for fixed exchange rates. On the other hand, although there is some evidence that real exchange rates depreciate in response to adverse external shocks, this depreciation, in turn, tends to contract output in the short run. This suggests that exchange rate rigidity may not be as costly for these economies as conventional economic theory predicts. [Copyright &y& Elsevier] AB - Copyright of Journal of Development Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - FOREIGN exchange rates KW - LATIN America KW - Dollarization KW - Economic fluctuations KW - Exchange rate regimes KW - Latin America N1 - Accession Number: 10322670; Ahmed, Shaghil 1; Email Address: shaghil.ahmed@frb.gov; Affiliations: 1: International Finance Division, Mail Stop 24, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Oct2003, Vol. 72 Issue 1, p181; Thesaurus Term: BUSINESS cycles; Thesaurus Term: FOREIGN exchange rates; Subject: LATIN America; Author-Supplied Keyword: Dollarization; Author-Supplied Keyword: Economic fluctuations; Author-Supplied Keyword: Exchange rate regimes; Author-Supplied Keyword: Latin America; Number of Pages: 22p; Document Type: Article L3 - 10.1016/S0304-3878(03)00073-7 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10322670&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amromin, Gene T1 - Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle? JO - European Finance Review JF - European Finance Review Y1 - 2003/09// VL - 7 IS - 3 M3 - Article SP - 547 EP - 582 SN - 13826662 AB - This paper provides a survey of existing literature on portfolio allocations in conventional and tax-deferred investment habitats. A long-standing puzzle in this literature has been the dissonance between the theoretical prediction of tax-efficient portfolio choices and observed portfolio allocations. I clarify this prediction and offer a different perspective by emphasizing the importance of uninsurable labor income risk and restrictions on accessibility of tax-deferred assets. I identify the key factors in dual-habitat portfolio decisions and highlight the necessary ingredients for producing non-tax-efficient, or precautionary, allocations. [ABSTRACT FROM AUTHOR] AB - Copyright of European Finance Review is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PORTFOLIO management (Investments) KW - DEFERRED tax KW - INCOME KW - INVESTMENT analysis KW - DEFERRED compensation -- Taxation KW - SURVEYS KW - household portfolio choice KW - precautionary savings KW - tax-efficiency N1 - Accession Number: 18753636; Amromin, Gene 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: 2003, Vol. 7 Issue 3, p547; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: DEFERRED tax; Thesaurus Term: INCOME; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: DEFERRED compensation -- Taxation; Subject Term: SURVEYS; Author-Supplied Keyword: household portfolio choice; Author-Supplied Keyword: precautionary savings; Author-Supplied Keyword: tax-efficiency; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 36p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18753636&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amuedo-Dorantes, Catalina AU - Mach, Traci T1 - Performance pay and fringe benefits: Work incentives or compensating wage differentials? JO - International Journal of Manpower JF - International Journal of Manpower Y1 - 2003/09// VL - 24 IS - 6 M3 - Article SP - 672 EP - 698 SN - 01437720 AB - Uses longitudinal data from the NLSY79 to examine the effect of a broad variety of performance-based pay schemes and fringe benefits on male and female wages between 1988 and 1998. Specifically, analyzes whether the offer of various performance-based pay schemes and fringe benefits functions as an alternative work incentive, eliciting greater effort and raising wages or, instead, it is accompanied by lower wages, as predicted by compensating wage theory. The results indicate that, while most performance-based pay schemes are associated with higher wages to differing extents across gender, tips are commonly accompanied by lower wages among men. Similarly, while the offer of a retirement plan appears to as a work incentive raising male and female wages, workers are willing to trade wages for jobs offering life and medical insurance. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Manpower is the property of Emerald Publishing and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCENTIVES in industry KW - EMPLOYEE fringe benefits KW - EMPLOYEE motivation KW - PERSONNEL management KW - Benefits KW - Incentive schemes KW - Performance related pay N1 - Accession Number: 11541009; Amuedo-Dorantes, Catalina 1 Mach, Traci 2; Affiliation: 1: Department of Economics, San Diego State University, San Diego, California, USA 2: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC, USA; Source Info: 2003, Vol. 24 Issue 6, p672; Subject Term: INCENTIVES in industry; Subject Term: EMPLOYEE fringe benefits; Subject Term: EMPLOYEE motivation; Subject Term: PERSONNEL management; Author-Supplied Keyword: Benefits; Author-Supplied Keyword: Incentive schemes; Author-Supplied Keyword: Performance related pay; NAICS/Industry Codes: 525190 Other Insurance Funds; NAICS/Industry Codes: 525120 Health and Welfare Funds; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 541612 Human Resources Consulting Services; Number of Pages: 27p; Document Type: Article; Full Text Word Count: 6088 L3 - 10.1108/01437720310496157 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=11541009&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Smith, David C. T1 - Loans to Japanese borrowers JO - Journal of the Japanese & International Economies JF - Journal of the Japanese & International Economies Y1 - 2003/09// VL - 17 IS - 3 M3 - Article SP - 283 SN - 08891583 AB - This paper examines the characteristics of loans to Japanese borrowers using a relatively unexplored, contract-specific data set. I find that Japanese banks charge less on loans to Japanese borrowers than do foreign banks, holding constant many of the risk characteristics of the borrower. Moreover, Japanese banks vary pricing less across these risks than do foreign banks, suggesting that Japanese banks tend not to distinguish good risks from bad. Taken together, the results suggest that problems at Japanese banks stem from the behavior of the banks themselves, not simply from poor economic conditions. I also document a significant shortening in the maturity structure of Japanese loans in the late 1990s. [Copyright &y& Elsevier] AB - Copyright of Journal of the Japanese & International Economies is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LOANS KW - BANKING industry KW - JAPAN N1 - Accession Number: 10508459; Smith, David C. 1; Email Address: david.c.smith@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 19 20th and C Streets NW, Washington, DC 20551, USA; Issue Info: Sep2003, Vol. 17 Issue 3, p283; Thesaurus Term: LOANS; Thesaurus Term: BANKING industry; Subject: JAPAN; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 22p; Document Type: Article L3 - 10.1016/S0889-1583(03)00043-1 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10508459&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernanke, Ben S. T1 - A Perspective on Inflation Targeting. JO - Business Economics JF - Business Economics Y1 - 2003/07// VL - 38 IS - 3 M3 - Article SP - 7 EP - 15 PB - Palgrave Macmillan Ltd. SN - 0007666X AB - Comments on the use of inflation targeting as a monetary policy instrument by central banks in the U.S. Features of inflation targeting; Benefits to central banks of constrained discretion as an element of best-practice inflation targeting; Information on the communications strategy of inflation targeting. KW - INFLATION (Finance) KW - MONETARY policy KW - CENTRAL banking industry KW - BEST practices KW - UNITED States N1 - Accession Number: 10450485; Bernanke, Ben S. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System; Issue Info: Jul2003, Vol. 38 Issue 3, p7; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: BEST practices; Subject: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 9p; Document Type: Article; Full Text Word Count: 6485 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10450485&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Durham, J. Benson T1 - Monetary Policy and Stock Price Returns. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 2003/07//Jul/Aug2003 VL - 59 IS - 4 M3 - Article SP - 26 PB - CFA Institute SN - 0015198X AB - Evaluates the robustness of the relationship between monetary policy and stock prices. Results of sensitivity analyses; Alternative proxies for the stance of monetary policy; Implications of the results for investors, portfolio managers and central bank policymakers. KW - MONETARY policy KW - STOCK exchanges KW - CAPITALISTS & financiers N1 - Accession Number: 10613613; Durham, J. Benson 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington D.C.; Issue Info: Jul/Aug2003, Vol. 59 Issue 4, p26; Thesaurus Term: MONETARY policy; Thesaurus Term: STOCK exchanges; Thesaurus Term: CAPITALISTS & financiers; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 10p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10613613&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gordy, Michael B. T1 - A risk-factor model foundation for ratings-based bank capital rules JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2003/07// VL - 12 IS - 3 M3 - Article SP - 199 SN - 10429573 AB - I demonstrate that ratings-based capital rules, including both the current Basel Accord and its proposed revision, can be reconciled with the general class of credit value-at-risk models. Each exposure''s contribution to VaR is portfolio-invariant only if (a) dependence across exposures is driven by a single systematic risk factor, and (b) no exposure accounts for more than an arbitrarily small share of total portfolio exposure. Analysis of rates of convergence to asymptotic VaR leads to a simple and accurate portfolio-level add-on charge for undiversified idiosyncratic risk. There is no similarly simple way to address violation of the single factor assumption. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ACCOUNTS KW - BUSINESS KW - Banking regulation KW - Capital allocation KW - G38 KW - Value-at-risk N1 - Accession Number: 10508451; Gordy, Michael B. 1; Email Address: mgordy@frb.gov; Affiliations: 1: Board of Governors of the Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Jul2003, Vol. 12 Issue 3, p199; Thesaurus Term: ACCOUNTS; Thesaurus Term: BUSINESS; Author-Supplied Keyword: Banking regulation; Author-Supplied Keyword: Capital allocation; Author-Supplied Keyword: G38; Author-Supplied Keyword: Value-at-risk; Number of Pages: 34p; Document Type: Article L3 - 10.1016/S1042-9573(03)00040-8 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10508451&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Levin, Andrew T. AU - Williams, John C. T1 - Robust monetary policy with competing reference models. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2003/07// VL - 50 IS - 5 M3 - Article SP - 945 EP - 975 SN - 03043932 AB - The existing literature on robust monetary policy rules has largely focused on the case in which the policymaker has a single reference model while the true economy lies within a specified neighborhood of the reference model. In this paper, we show that such rules may perform very poorly in the more general case in which non-nested models represent competing perspectives about controversial issues such as expectations formation and inflation persistence. Using Bayesian and minimax strategies, we then consider whether any simple rule can provide robust performance across such divergent representations of the economy. We find that a robust outcome is attainable only in cases where the objective function places substantial weight on stabilizing both output and inflation; in contrast, we are unable to find a robust policy rule when the sole policy objective is to stabilize inflation. We analyze these results using a new diagnostic approach, namely, by quantifying the fault tolerance of each model economy with respect to deviations from optimal policy. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - FISCAL policy KW - MONETARY theory KW - ECONOMIC policy KW - PUBLIC spending KW - INFLATION (Finance) KW - Bayesian control KW - E61 KW - Model uncertainty KW - Optimal control KW - Robust control N1 - Accession Number: 10570057; Levin, Andrew T. 1; Email Address: andrew.levin@frb.gov; Williams, John C. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, USA.; 2: Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105, USA.; Issue Info: Jul2003, Vol. 50 Issue 5, p945; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY theory; Thesaurus Term: ECONOMIC policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: INFLATION (Finance); Author-Supplied Keyword: Bayesian control; Author-Supplied Keyword: E61; Author-Supplied Keyword: Model uncertainty; Author-Supplied Keyword: Optimal control; Author-Supplied Keyword: Robust control; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 31p; Document Type: Article L3 - 10.1016/S0304-3932(03)00059-X UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10570057&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - Historical monetary policy analysis and the Taylor rule. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2003/07// VL - 50 IS - 5 M3 - Article SP - 983 EP - 1022 SN - 03043932 AB - This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability serving as implicit or explicit guides. As early as the 1920s, measures of real economic activity relative to “normal” or “potential” supply appear to have influenced policy analysis and deliberations. Confidence in such measures as guides for activist monetary policy proved counterproductive at times, resulting in excessive activism, such as during the Great Inflation and at the brink of the Great Depression. Policy during the past two decades is broadly consistent with natural growth targeting variants of the Taylor rule that exhibit less activism. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC policy KW - MONETARY policy KW - FINANCE KW - ECONOMIC activity KW - ECONOMIC indicators KW - UNITED States KW - Monetary policy KW - Taylor rule N1 - Accession Number: 10570059; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Washington, DC 20551, USA.; Issue Info: Jul2003, Vol. 50 Issue 5, p983; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY policy; Thesaurus Term: FINANCE; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMIC indicators; Subject: UNITED States; Author-Supplied Keyword: Monetary policy; Author-Supplied Keyword: Taylor rule; Number of Pages: 40p; Document Type: Article L3 - 10.1016/S0304-3932(03)00065-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10570059&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oliner, Stephen D. AU - Sichel, Daniel E. T1 - Information technology and productivity: where are we now and where are we going? JO - Journal of Policy Modeling JF - Journal of Policy Modeling Y1 - 2003/07// VL - 25 IS - 5 M3 - Article SP - 477 SN - 01618938 AB - Provides information on estimates of the proximate sources of economic growth in the U.S. during the 1990s. Application of a neoclassical growth-accounting framework on the analysis of growth in labor productivity; Discussion on the decomposition of labor productivity and growth; Analysis of the steady-state properties of a multisector growth model. KW - ECONOMIC development KW - LABOR productivity KW - PRODUCTIVITY accounting KW - GROWTH rate KW - UNITED States KW - Information technology KW - Labor productivity KW - Multifactor productivity N1 - Accession Number: 10233248; Oliner, Stephen D.; Email Address: stephend.oliner@frb.gov Sichel, Daniel E. 1; Affiliation: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Source Info: Jul2003, Vol. 25 Issue 5, p477; Subject Term: ECONOMIC development; Subject Term: LABOR productivity; Subject Term: PRODUCTIVITY accounting; Subject Term: GROWTH rate; Subject Term: UNITED States; Author-Supplied Keyword: Information technology; Author-Supplied Keyword: Labor productivity; Author-Supplied Keyword: Multifactor productivity; Number of Pages: 27p; Illustrations: 5 Charts, 14 Graphs; Document Type: Article L3 - 10.1016/S0161-8938(03)00042-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=10233248&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Dunn, Wendy E. T1 - The effects of precautionary saving motives on (S,s) bands for home purchases JO - Regional Science & Urban Economics JF - Regional Science & Urban Economics Y1 - 2003/07// VL - 33 IS - 4 M3 - Article SP - 467 SN - 01660462 AB - In a buffer-stock model with both nondurable and durable goods, the optimal policy for consumption of the durable good follows an (S,s) rule, where the precise trigger point at which the consumer decides to make a purchase depends on both the anticipated risk of unemployment and the available stock of liquid assets. In this paper I evaluate whether microeconomic data are consistent with this type of behavior by examining the relationship between income uncertainty, liquid assets and the characteristics of the (S,s) bands for home purchases using data from the Panel Study of Income Dynamics. The results demonstrate that, as predicted by the model, the home purchase trigger values are negatively related to the level of income uncertainty faced by households. In addition, liquid assets held by the household before and after a home purchase are significant and positively related to both the home purchase trigger and target values, suggesting that households are indeed concerned about their balance sheet positions after the home purchase takes place. Although the target values do not seem to be affected by uncertainty, there is some evidence that the overall (S,s) bandwidth widens in response to greater income uncertainty. [Copyright &y& Elsevier] AB - Copyright of Regional Science & Urban Economics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Consumers KW - Unemployment KW - Stocks (Finance) KW - Assets (Accounting) KW - Income KW - Housing demand KW - Income uncertainty KW - Precautionary saving N1 - Accession Number: 9907668; Dunn, Wendy E. 1; Email Address: wdunn@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Stop 82, Washington, DC 20551, USA; Issue Info: Jul2003, Vol. 33 Issue 4, p467; Subject Term: Consumers; Subject Term: Unemployment; Subject Term: Stocks (Finance); Subject Term: Assets (Accounting); Subject Term: Income; Author-Supplied Keyword: Housing demand; Author-Supplied Keyword: Income uncertainty; Author-Supplied Keyword: Precautionary saving; Number of Pages: 22p; Document Type: Article L3 - 10.1016/S0166-0462(02)00057-1 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=9907668&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Warnock, Francis E. T1 - Exchange rate dynamics and the welfare effects of monetary policy in a two-country model with home-product bias JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2003/06// VL - 22 IS - 3 M3 - Article SP - 343 SN - 02615606 AB - International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that nests and allows for home-product bias in consumption patterns. Allowing for home bias changes the results in three ways. Wealth transfers associated with net foreign asset positions induce movements in the real exchange rate and produce large short-run and small long-run deviations from consumption-based purchasing power parity. Interest rates, both real and nominal, can differ across countries; home bias is a necessary but not sufficient condition for type exchange rate overshooting. And the welfare effects of monetary policy depend not only on world demand but also on the expenditure-switching effect of an exchange rate depreciation; expansionary monetary policy is ‘beggar-thy-neighbor’ if individuals have strong preferences for domestic goods. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - PURCHASING power KW - Beggar-thy-neighbor KW - Dynamic optimizing model KW - Exchange rate overshooting KW - F4 KW - Purchasing power parity N1 - Accession Number: 9791376; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, Washington, DC 20551, USA; Issue Info: Jun2003, Vol. 22 Issue 3, p343; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PURCHASING power; Author-Supplied Keyword: Beggar-thy-neighbor; Author-Supplied Keyword: Dynamic optimizing model; Author-Supplied Keyword: Exchange rate overshooting; Author-Supplied Keyword: F4; Author-Supplied Keyword: Purchasing power parity; Number of Pages: 21p; Document Type: Article L3 - 10.1016/S0261-5606(03)00011-1 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9791376&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amato, Jeffery D. AU - Laubach, Thomas T1 - Estimation and control of an optimization-based model with sticky prices and wages JO - Journal of Economic Dynamics & Control JF - Journal of Economic Dynamics & Control Y1 - 2003/05// VL - 27 IS - 7 M3 - Article SP - 1181 SN - 01651889 AB - This paper provides estimates of an optimization-based equilibrium model with sticky prices and wages. The estimated model is used to analyse the welfare properties of various interest rate rules for conducting monetary policy. An important feature of this model is that it involves a tradeoff between the variances of price and wage inflation and the output gap. This tradeoff implies that it is desirable for the monetary authority to respond to wage inflation, in addition to price inflation, output, and past interest rates, when setting the current interest rate. The issue whether wages and prices can be indexed to steady-state inflation has important implications both for the characterization of optimal interest rate rules and interest rate volatility. In particular, optimal policy in the presence of indexation induces implausibly high steady-state inflation. [Copyright &y& Elsevier] AB - Copyright of Journal of Economic Dynamics & Control is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCOMES policy (Economics) KW - INTEREST rates KW - Interest rate rules KW - Minimum distance estimation KW - Nominal wage and price rigidity N1 - Accession Number: 9009987; Amato, Jeffery D. 1; Laubach, Thomas 2; Email Address: tlaubach@frb.gov; Affiliations: 1: Bank for International Settlements, 4002 Basel, Switzerland; 2: Board of Governors of the Federal Reserve System, Mail Stop 77, Washington, DC 20551, USA; Issue Info: May2003, Vol. 27 Issue 7, p1181; Thesaurus Term: INCOMES policy (Economics); Thesaurus Term: INTEREST rates; Author-Supplied Keyword: Interest rate rules; Author-Supplied Keyword: Minimum distance estimation; Author-Supplied Keyword: Nominal wage and price rigidity; Number of Pages: 35p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9009987&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Christiano, Lawrence J. AU - Vigfusson, Robert J. T1 - Maximum likelihood in the frequency domain: the importance of time-to-plan. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2003/05// VL - 50 IS - 4 M3 - Article SP - 789 EP - 815 SN - 03043932 AB - We illustrate the use of various frequency-domain tools for estimating and testing dynamic, stochastic general equilibrium models. We show how to exploit the well-known fact that the log, Gaussian density function has a linear decomposition in the frequency domain. We also propose a new resolution to the problem that the phase angle between two variables is not uniquely determined. These methods are applied to the analysis of business cycles. Our substantive findings confirm existing results in the literature, which suggest that time-to-plan in the investment technology has a potentially useful role to play in business cycle analysis. [Copyright &y& Elsevier] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - INVESTMENTS KW - EQUILIBRIUM (Economics) KW - FINANCE KW - ECONOMICS KW - ECONOMETRIC models KW - Business cycles KW - Frequency domain KW - Investment KW - Likelihood ratio KW - Phase angle KW - Time-to-build KW - Time-to-plan N1 - Accession Number: 9951598; Christiano, Lawrence J. 1; Vigfusson, Robert J. 2; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Department of Economics, Northwestern University, 2003 Sheridan Road, Evanston, IL 60208-2600, USA; 2: Board of Governors of the Federal Reserve System, Division of International Finance, Mail Stop 42-B, Washington, DC 20551, USA; Issue Info: May2003, Vol. 50 Issue 4, p789; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INVESTMENTS; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: FINANCE; Thesaurus Term: ECONOMICS; Thesaurus Term: ECONOMETRIC models; Author-Supplied Keyword: Business cycles; Author-Supplied Keyword: Frequency domain; Author-Supplied Keyword: Investment; Author-Supplied Keyword: Likelihood ratio; Author-Supplied Keyword: Phase angle; Author-Supplied Keyword: Time-to-build; Author-Supplied Keyword: Time-to-plan; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 27p; Document Type: Article L3 - 10.1016/S0304-3932(03)00033-3 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9951598&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warnock, Francis E. AU - Cleaver, Chad T1 - Financial Centres and the Geography of Capital Flows. JO - International Finance JF - International Finance Y1 - 2003///Spring2003 VL - 6 IS - 1 M3 - Article SP - 27 EP - 59 PB - Wiley-Blackwell SN - 13670271 AB - Abstract A geographical mismatch is evident in portfolio flows data. Because the data collection system was designed to measure cross-border transactions with foreign counterparties who are often intermediaries, the majority of flows are attributed to financial centres. We quantify this geographical mismatch by using the bilateral capital flows data to estimate bilateral debt and equity positions between the USA and over 40 countries and comparing those estimates with data from benchmark surveys. Our findings have implications for researchers and policy makers who use capital flows data or flows-based positions estimates. [ABSTRACT FROM AUTHOR] AB - Copyright of International Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL movements KW - DEBT KW - UNITED States N1 - Accession Number: 10053713; Warnock, Francis E. 1; Cleaver, Chad 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance; Issue Info: Spring2003, Vol. 6 Issue 1, p27; Thesaurus Term: CAPITAL movements; Thesaurus Term: DEBT; Subject: UNITED States; Number of Pages: 33p; Document Type: Article L3 - 10.1111/1468-2362.00107 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=10053713&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - Monetary policy evaluation with noisy information. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2003/04// VL - 50 IS - 3 M3 - Article SP - 605 EP - 631 SN - 03043932 AB - This study investigates the implications of noisy information regarding the measurement of economic activity for the evaluation of monetary policy. Using a simple model of the U.S. economy, I show that failing to account for the actual level of information noise in the historical data provides a seriously distorted picture of feasible macro economic outcomes and produces inefficient policy rules. Naive adoption of policies identified as efficient when this difficulty is ignored results in macro economic performance worse than actual experience. When the noise content of the data is properly taken into account, policy reactions are cautious and less sensitive to the apparent imbalances in the unfiltered data. The resulting policy prescriptions reflect the recognition that excessively activist policy can increase rather than decrease economic instability. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - PUBLIC spending KW - ECONOMIC policy KW - ECONOMIC activity KW - BUSINESS cycles KW - ECONOMIC indicators KW - Inflation targeting KW - Natural growth targeting KW - Observation noise KW - Optimal control KW - Policy evaluation KW - Taylor rule N1 - Accession Number: 9856484; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Apr2003, Vol. 50 Issue 3, p605; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMIC activity; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC indicators; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Natural growth targeting; Author-Supplied Keyword: Observation noise; Author-Supplied Keyword: Optimal control; Author-Supplied Keyword: Policy evaluation; Author-Supplied Keyword: Taylor rule; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 27p; Document Type: Article L3 - 10.1016/S0304-3932(03)00027-8 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9856484&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - The quest for prosperity without inflation. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2003/04// VL - 50 IS - 3 M3 - Article SP - 633 EP - 663 SN - 03043932 AB - In recent years, activist monetary policy rules responding to inflation and the level of economic activity have been advanced as a means of achieving effective output stabilization without inflation. Advocates of such policies suggest that their flexibility may yield substantial stabilization benefits while avoiding the excesses of overzealous discretionary fine-tuning such as is thought to characterize the experience of the 1960s and 1970s. In this study I present evidence suggesting that these conclusions are misguided. Using an estimated model, I show that when informational limitations are properly accounted for, activist policies would not have averted the Great Inflation but instead would have resulted in worse macroeconomic performance than the actual historical experience. The problem can be attributed, in large part, to the counterproductive reliance of these policies on the output gap. The analysis suggests that the dismal economic outcomes of the Great Inflation may have resulted from an unfortunate pursuit of activist policies in the face of bad measurement, specifically, overoptimistic assessments of the output gap associated with the productivity slowdown of the late 1960s and early 1970s. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - FISCAL policy KW - INDUSTRIAL productivity KW - ECONOMIC policy KW - MONETARY policy KW - ECONOMIC activity KW - Activist monetary policy KW - Arthur Burns KW - FOMC KW - Full employment KW - Great inflation KW - Potential output KW - Prudent policy rule KW - Real-time data KW - Taylor rule N1 - Accession Number: 9856485; Orphanides, Athanasios 1; Email Address: athanasios.orphanides@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Apr2003, Vol. 50 Issue 3, p633; Thesaurus Term: INFLATION (Finance); Thesaurus Term: FISCAL policy; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC activity; Author-Supplied Keyword: Activist monetary policy; Author-Supplied Keyword: Arthur Burns; Author-Supplied Keyword: FOMC; Author-Supplied Keyword: Full employment; Author-Supplied Keyword: Great inflation; Author-Supplied Keyword: Potential output; Author-Supplied Keyword: Prudent policy rule; Author-Supplied Keyword: Real-time data; Author-Supplied Keyword: Taylor rule; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 31p; Document Type: Article L3 - 10.1016/S0304-3932(03)00028-X UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9856485&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Holland, Sara B. AU - Warnock, Francis E. T1 - Firm-level access to international capital markets: evidence from Chilean equities JO - Emerging Markets Review JF - Emerging Markets Review Y1 - 2003/03// VL - 4 IS - 1 M3 - Article SP - 39 SN - 15660141 AB - High growth, liquid Chilean firms have greater relative weights in US equity portfolios, but the most important determinant of a firm''s portfolio weight is whether it is listed on a US exchange. Cross-listing does not, however, appear to have permanent benefits: weights in US portfolios of firms that cross-listed in the mid-1990s increased at the expense of firms that cross-listed earlier. Put another way, firms appear to be able to access international capital at the time of the cross-listing, but this access may well be short-lived. [Copyright &y& Elsevier] AB - Copyright of Emerging Markets Review is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS enterprises KW - CAPITAL market KW - Emerging market KW - Financial liberalization KW - Home bias KW - Portfolio choice N1 - Accession Number: 9188444; Holland, Sara B. 1; Email Address: sara.b.holland@frb.gov Warnock, Francis E.; Email Address: frank.warnock@frb.gov; Affiliation: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC, USA; Source Info: Mar2003, Vol. 4 Issue 1, p39; Subject Term: BUSINESS enterprises; Subject Term: CAPITAL market; Author-Supplied Keyword: Emerging market; Author-Supplied Keyword: Financial liberalization; Author-Supplied Keyword: Home bias; Author-Supplied Keyword: Portfolio choice; Number of Pages: 13p; Document Type: Article L3 - 10.1016/S1566-0141(02)00062-6 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=9188444&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Berger, Allen N. AU - Dai, Qinglei AU - Ongena, Steven AU - Smith, David C. T1 - To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2003/03// VL - 27 IS - 3 M3 - Article SP - 383 SN - 03784266 AB - We model two dimensions of bank globalization – bank nationality (a bank from the firm’s host nation, its home nation, or a third nation) and bank reach (a global, regional, or local bank) using a two-stage nested multinomial logit model. Our data set includes over 2000 foreign affiliates of multinational corporations operating in 20 European nations and over 250 banks that serve them. We find that these firms frequently use host nation banks for cash management services, and that bank reach may be strongly influenced by this choice of bank nationality. Our results suggest limits to the degree of future bank globalization. [Copyright &y& Elsevier] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GLOBALIZATION KW - BANKING industry KW - CASH management KW - DEBT management KW - CORPORATIONS -- Finance KW - EUROPE KW - Bank KW - Europe KW - Globalization KW - Mergers N1 - Accession Number: 9052428; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Dai, Qinglei 3; Email Address: qinglei.dai@bi.no; Ongena, Steven 4; Email Address: steven.ongena@kub.nl; Smith, David C. 1; Email Address: dsmith@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551, USA.; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA.; 3: Norwegian School of Management, (BI) Elias Smiths vei 15, P.O. Box 580, 1301 Sandvika, Norway.; 4: Department of Finance, Tilburg University, P.O. Box 90153, 5000 LE Tilburg, Netherlands.; Issue Info: Mar2003, Vol. 27 Issue 3, p383; Thesaurus Term: GLOBALIZATION; Thesaurus Term: BANKING industry; Thesaurus Term: CASH management; Thesaurus Term: DEBT management; Thesaurus Term: CORPORATIONS -- Finance; Subject: EUROPE; Author-Supplied Keyword: Bank; Author-Supplied Keyword: Europe; Author-Supplied Keyword: Globalization; Author-Supplied Keyword: Mergers; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 33p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9052428&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David AU - Wascher, William T1 - Minimum wages and skill acquisition: another look at schooling effects JO - Economics of Education Review JF - Economics of Education Review Y1 - 2003/02// VL - 22 IS - 1 M3 - Article SP - 1 SN - 02727757 AB - Although economic research on minimum wages has focused predominantly on employment effects, some attention has been devoted to the analysis of the effects of minimum wages on skill acquisition and education. This paper takes another look at evidence on the effects of minimum wages on schooling, seeking to reconcile some of the contradictory results in recent research, using CPS data from the late 1970s through the 1980s. Based on this re-examination, as well as on additional results updating the data through 1998, we conclude that the evidence points to negative effects of minimum wages on school enrollment, bolstering the findings of negative effects of minimum wages on enrollment from a number of recent studies, as well as some older ones, and countering claims that appeared to overturn at least some of this evidence. [Copyright &y& Elsevier] AB - Copyright of Economics of Education Review is the property of Pergamon Press - An Imprint of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MINIMUM wage KW - SKILLED labor KW - EMPLOYMENT (Economic theory) N1 - Accession Number: 8667256; Neumark, David 1; Email Address: neumarkd@msu.edu Wascher, William 2; Affiliation: 1: Department of Economics, Michigan State University, East Lansing, MI 48824, USA 2: Board of Governors of the Federal Reserve System, 20th and Constitution, NW, Washington, DC 20551, USA; Source Info: Feb2003, Vol. 22 Issue 1, p1; Subject Term: MINIMUM wage; Subject Term: SKILLED labor; Subject Term: EMPLOYMENT (Economic theory); NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 10p; Document Type: Article L3 - 10.1016/S0272-7757(02)00006-7 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=8667256&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Edison, Hali J. AU - Warnock, Francis E. T1 - A simple measure of the intensity of capital controls JO - Journal of Empirical Finance JF - Journal of Empirical Finance Y1 - 2003/02// VL - 10 IS - 1/2 M3 - Article SP - 81 SN - 09275398 AB - We propose a monthly measure of the intensity of capital controls across 29 emerging markets. Our measure, which is based on restrictions on foreign ownership of equities, provides information on the extent and evolution of financial liberalization. Using the measure, we show that a complete liberalization results in a much sharper decrease in the cost of capital than previously reported, but following a partial liberalization, the cost of capital increases. Moreover, the more complete the liberalization is, the greater are the subsequent exchange rate appreciation and capital inflows. [Copyright &y& Elsevier] AB - Copyright of Journal of Empirical Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - FINANCE N1 - Accession Number: 9100044; Edison, Hali J. 1; Warnock, Francis E. 2; Email Address: frank.warnock@frb.gov; Affiliations: 1: Research Department, International Monetary Fund, Washington, DC, USA; 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Feb2003, Vol. 10 Issue 1/2, p81; Thesaurus Term: CAPITAL; Thesaurus Term: FINANCE; Number of Pages: 23p; Document Type: Article L3 - 10.1016/S0927-5398(02)00055-5 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9100044&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ongena, Steven AU - Smith, David C. AU - Michalsen, Dag T1 - Firms and their distressed banks: lessons from the Norwegian banking crisis JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2003/01// VL - 67 IS - 1 M3 - Article SP - 81 SN - 0304405X AB - We use the near-collapse of the Norwegian banking system during the period 1988–1991 to measure the impact of bank distress announcements on the stock prices of firms maintaining a relationship with a distressed bank. Although banks experienced large and permanent downward revisions in their equity value during the event period, firms maintaining relationships with these banks faced only small and temporary changes, on average, in stock price. Firms with access to unused liquid bank funds and firms that issued equity just prior to the crisis experience relatively high abnormal returns. Overall, the aggregate impact of bank distress appears small. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - BANK failures KW - STOCKS (Finance) -- Prices KW - NORWAY KW - Bank distress KW - Bank relationship KW - Norwegian banking crisis N1 - Accession Number: 8723394; Ongena, Steven 1; Smith, David C. 2; Email Address: david.c.smith@frb.gov; Michalsen, Dag 3; Affiliations: 1: Department of Finance, Tilburg University, PO Box 90153, 5000 LE Tilburg, The Netherlands; 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 3: Norwegian School of Management, PO Box 58, 1338 Sandvika, Norway; Issue Info: Jan2003, Vol. 67 Issue 1, p81; Thesaurus Term: BANKING industry; Thesaurus Term: BANK failures; Thesaurus Term: STOCKS (Finance) -- Prices; Subject: NORWAY; Author-Supplied Keyword: Bank distress; Author-Supplied Keyword: Bank relationship; Author-Supplied Keyword: Norwegian banking crisis; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 32p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8723394&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Mester, Loretta J. T1 - Explaining the dramatic changes in performance of US banks: technological change, deregulation, and dynamic changes in competition JO - Journal of Financial Intermediation JF - Journal of Financial Intermediation Y1 - 2003/01// VL - 12 IS - 1 M3 - Article SP - 57 SN - 10429573 AB - We investigate the effects of technological change, deregulation, and dynamic changes in competition on the performance of US banks. Our most striking result is that during 1991–1997, cost productivity worsened while profit productivity improved substantially, particularly for banks engaging in mergers. The data are consistent with the hypothesis that banks tried to maximize profits by raising revenues as well as reducing costs. Banks appeared to provide additional or higher quality services that raised costs but also raised revenues by more than the cost increases. The results suggest that methods that exclude revenues when assessing performance may be misleading. [Copyright &y& Elsevier] AB - Copyright of Journal of Financial Intermediation is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - PRODUCTIVITY accounting KW - Bank KW - Cost KW - Efficiency KW - Productivity KW - Profit N1 - Accession Number: 9291621; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Mester, Loretta J. 3,4; Email Address: loretta.mester@phil.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: The Wharton Financial Institutions Center, University of Pennsylvania, Philadelphia, PA 19104, USA; 3: Research Department, Federal Reserve Bank of Philadelphia, Ten Independence Mall, Philadelphia, PA 19106-1574, USA; 4: Finance Department, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA; Issue Info: Jan2003, Vol. 12 Issue 1, p57; Thesaurus Term: BANKING industry; Thesaurus Term: PRODUCTIVITY accounting; Author-Supplied Keyword: Bank; Author-Supplied Keyword: Cost; Author-Supplied Keyword: Efficiency; Author-Supplied Keyword: Productivity; Author-Supplied Keyword: Profit; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 39p; Document Type: Article L3 - 10.1016/S1042-9573(02)00006-2 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9291621&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Carpenter, Seth B. AU - Lange, Joe T1 - Money Demand and Equity Markets. JO - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series JF - Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 22 AB - Money demand in part reflects a portfolio decision. As equities have become a significant store of household wealth, it seems plausible that variations in equity markets could affect money demand. We re-specify a standard money demand equation to include stock market volatility and revisions to analyst earnings projections. We find that these equity market variables are statistically significant and reduce the errors from money demand models. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's Finance & Economic Discussion Series is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEMAND for money KW - SECURITIES markets KW - EFFICIENT market theory KW - VOLATILITY (Finance) KW - INVESTMENT analysis KW - ECONOMIC forecasting KW - ECONOMICS -- Statistical methods KW - DEMAND (Economic theory) N1 - Accession Number: 20919155; Carpenter, Seth B. 1,2; Lange, Joe 1,2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Cornerstone Research; Issue Info: 2003, p1; Thesaurus Term: DEMAND for money; Thesaurus Term: SECURITIES markets; Thesaurus Term: EFFICIENT market theory; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: INVESTMENT analysis; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: DEMAND (Economic theory); NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 22p; Illustrations: 3 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=20919155&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Ahearne, Alan G. AU - Fernald, John G. AU - Prakash6Loungani AU - Schindler, John W. T1 - China and Emerging Asia: Comrades or Competitors? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 37 AB - Do increases in China's exports reduce exports of other emerging Asian economies? We find that correlations between Chinese export growth and that of other emerging Asian economies are actually positive (though usually not significant), even after controlling for trading-partner income growth and real effective exchange rates. We also present results from a VAR estimation of aggregate trade equations on the relative importance of foreign income and exchange rates in determining Asian export growth. Although exchange rates do matter for export performance, the income growth of trading partners matters even more. In addition, we examine specific products and find evidence that a considerable shifting of trade patterns is taking place, consistent with a ‘flying geese’ pattern in which China and ASEAN-4 move into the product space vacated by the NIEs. Our results suggest that China and emerging Asia are both comrades (overall) and competitors (in specific products). [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EXPORTS KW - INTERNATIONAL finance KW - INTERNATIONAL trade KW - MONETARY policy KW - FOREIGN exchange KW - COMMERCIAL policy KW - ECONOMIC policy KW - DEVELOPING countries KW - CHINA KW - ASIA KW - exchange rates KW - exports KW - flying geese KW - trade equations KW - trade links N1 - Accession Number: 23647463; Ahearne, Alan G. 1; Fernald, John G. 2; Prakash6Loungani 3; Schindler, John W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Reserve Bank of Chicago; 3: International Monetary Fund; Issue Info: 2003, p1; Thesaurus Term: EXPORTS; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: MONETARY policy; Thesaurus Term: FOREIGN exchange; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: ECONOMIC policy; Subject Term: DEVELOPING countries; Subject: CHINA; Subject: ASIA; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: exports; Author-Supplied Keyword: flying geese; Author-Supplied Keyword: trade equations; Author-Supplied Keyword: trade links; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 37p; Illustrations: 8 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647463&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Burger, John D. AU - Warnock, Francis E. T1 - Diversification, Original Sin, and International Bond Portfolios. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 36 AB - While there is a severe home bias in U.S. investors' foreign bond portfolios, we find that portfolio weights are greater for countries with more open capital accounts and whose bond returns are less correlated with U.S. returns. Positions in local-currency-denominated bonds are particularly sensitive to past and prospective returns volatility. An analysis of changes in portfolio weights over time indicates that U.S. investors have recently moved out of smaller markets and those with low and declining credit ratings. Our data also allow for an analysis of the size and currency composition of international bond markets. We find that countries with stronger institutions and better inflation performance have larger local currency bond markets. An implication for developing countries is that creditor friendly policies, such as vigilance on the inflation front and the development of strong institutions, can enable local bond market development and may in turn attract global investors. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DIVERSIFICATION in industry KW - BOND funds KW - RATE of return KW - CAPITALISTS & financiers KW - BONDS (Finance) -- Ratings & rankings KW - CREDIT ratings KW - SECURITIES markets KW - MONEY market KW - CREDIT bureaus KW - FINANCE KW - UNITED States KW - bond market development KW - emerging market debt KW - flight to quality KW - home bias KW - portfolio choice N1 - Accession Number: 23647430; Burger, John D. 1; Email Address: jburger@loyola.edu; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Assistant Professor, Sellinger School of Business and Management, Loyola College of Maryland and Economist in the International Finance Division of the Board of, Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: DIVERSIFICATION in industry; Thesaurus Term: BOND funds; Thesaurus Term: RATE of return; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: BONDS (Finance) -- Ratings & rankings; Thesaurus Term: CREDIT ratings; Thesaurus Term: SECURITIES markets; Thesaurus Term: MONEY market; Thesaurus Term: CREDIT bureaus; Thesaurus Term: FINANCE; Subject: UNITED States; Author-Supplied Keyword: bond market development; Author-Supplied Keyword: emerging market debt; Author-Supplied Keyword: flight to quality; Author-Supplied Keyword: home bias; Author-Supplied Keyword: portfolio choice; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 36p; Illustrations: 10 Charts, 1 Graph; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647430&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert T1 - How do Canadian Hours Worked Respond to a Technology Shock? JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 20 AB - This paper investigates the response of hours worked to a permanent technology shock. Based on annual data from Canada, we argue that hours worked rise after a positive technology shock. We obtain a similar result using annual data from the United States. These results contradict a large literature that claims that a positive technology shock causes hours worked to fall. We find that the different results are due to the literature making a specification error in the statistical model of per capita hours worked. Finally, we present results suggesting that Canadian monetary policy has accommodated technology shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TECHNOLOGY KW - TECHNOLOGICAL innovations KW - PER capita KW - MONETARY policy KW - ECONOMIC policy KW - MONETARY theory KW - MARGINAL productivity KW - ECONOMICS KW - CANADA KW - hours worked KW - long-run restriction KW - productivity KW - weak instruments N1 - Accession Number: 23647448; Christiano, Lawrence J. 1; Email Address: l-christiano@northwestern.edu; Eichenbaum, Martin 1; Email Address: eich@northwestern.edu; Vigfusson, Robert 2; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Northwestern University and NBER; 2: Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: TECHNOLOGY; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: PER capita; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY theory; Thesaurus Term: MARGINAL productivity; Thesaurus Term: ECONOMICS; Subject: CANADA; Author-Supplied Keyword: hours worked; Author-Supplied Keyword: long-run restriction; Author-Supplied Keyword: productivity; Author-Supplied Keyword: weak instruments; Number of Pages: 20p; Illustrations: 1 Chart, 6 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647448&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert T1 - The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 15 AB - We investigate what happens to hours worked after a positive shock to technology, using the aggregate technology series computed in Basu, Fernald and Kimball (1999). We conclude that hours worked rise after such a shock. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TECHNOLOGY KW - LABOR economics KW - TECHNOLOGICAL forecasting KW - TECHNOLOGICAL revolution KW - WORKING hours KW - LABOR productivity KW - INDUSTRIAL productivity KW - ECONOMICS KW - TECHNOLOGY assessment KW - Granger-causality KW - Long-Run Identifying Assumption KW - Productivity N1 - Accession Number: 23647464; Christiano, Lawrence J. 1; Email Address: christiano@northwestern.edu; Eichenbaum, Martin 1; Email Address: eich@northwestern.edu; Vigfusson, Robert 2; Email Address: robert.j.vigfusson@frb.gov; Affiliations: 1: Northwestern University; 2: Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: TECHNOLOGY; Thesaurus Term: LABOR economics; Thesaurus Term: TECHNOLOGICAL forecasting; Thesaurus Term: TECHNOLOGICAL revolution; Thesaurus Term: WORKING hours; Thesaurus Term: LABOR productivity; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: ECONOMICS; Subject Term: TECHNOLOGY assessment; Author-Supplied Keyword: Granger-causality; Author-Supplied Keyword: Long-Run Identifying Assumption; Author-Supplied Keyword: Productivity; Number of Pages: 15p; Illustrations: 1 Chart, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647464&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Durham, J. Benson T1 - Foreign Portfolio Investment, Foreign Bank Lending, and Economic Growth. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 33 AB - In contrast to the empirical literature's focus on foreign direct investment (FDI), this study examines the effects of foreign portfolio investment (FPI) and ‘other’ foreign investment (OFI) on economic growth using data on 88 countries from 1977 through 2000. Most measures suggest that FPI has no effect, and some results indicate that OFI has a negative impact on growth that is somewhat mitigated by initial financial and/or legal development. However, these results are questionable due to possible simultaneity bias. The empirical analyses also examine whether non-FDI foreign investment affects growth indirectly. FPI does not correlate positively with macroeconomic volatility, but the results indicate that the negative indirect effect of OFI through macroeconomic volatility comprises a substantial portion of the gross negative effect of OFI on growth. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - FOREIGN investments KW - FOREIGN banking industry KW - FOREIGN source income KW - CAPITAL movements KW - INVESTMENTS KW - ECONOMIC indicators KW - INTERNATIONAL economic relations KW - INTERNATIONAL finance KW - EMERGING markets KW - economic growth KW - financial development KW - foreign portfolio investment N1 - Accession Number: 23647432; Durham, J. Benson 1; Email Address: j.benson.durham@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Mail Stop 71, Washington, DC; Issue Info: 2003, p1; Thesaurus Term: ECONOMIC development; Thesaurus Term: FOREIGN investments; Thesaurus Term: FOREIGN banking industry; Thesaurus Term: FOREIGN source income; Thesaurus Term: CAPITAL movements; Thesaurus Term: INVESTMENTS; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: EMERGING markets; Author-Supplied Keyword: economic growth; Author-Supplied Keyword: financial development; Author-Supplied Keyword: foreign portfolio investment; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 33p; Illustrations: 9 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647432&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Edison, Hali J. AU - Warnock, Francis E. T1 - Cross-Border Listings, Capital Controls, and Equity Flows to Emerging Markets. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 43 AB - We analyze capital flows to emerging markets in a framework that incorporates two quantitative measures of financial integration, the intensity of capital controls and the extent of cross-border listings, while controlling for traditional global (push) and country-specific (pull) factors. Two important results emerge. First, the cross-listing of an emerging market firm on a U.S. exchange is an important but short-lived capital flows event, suggesting that the cross-listed stock is in effect a new security that U.S. investors quickly bring into their portfolios. Second, the effect of financial liberalization on capital flows is more nuanced than is suggested by event studies: A reduction in capital controls results in increased inflows only when the controls were binding. Among the standard push and pull factors, global factors are important—slack U.S. economic activity is associated with increased flows to emerging markets—and U.S. investors appear to chase expected, but not past, returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL movements KW - STOCKS (Finance) KW - EMERGING markets KW - ECONOMIC activity KW - ECONOMIC indicators KW - FOREIGN investments KW - FINANCE KW - CAPITALISTS & financiers KW - TRANSITION economies KW - INTERNATIONAL markets KW - UNITED States KW - ADRs KW - capital flows KW - emerging markets KW - portfolio equity flows N1 - Accession Number: 23647444; Edison, Hali J. 1; Email Address: hedison@imf.org; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Senior Economist, Research Department of the IMF and Economist, International Finance Division of the Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: CAPITAL movements; Thesaurus Term: STOCKS (Finance); Thesaurus Term: EMERGING markets; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: FOREIGN investments; Thesaurus Term: FINANCE; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: TRANSITION economies; Thesaurus Term: INTERNATIONAL markets; Subject: UNITED States; Author-Supplied Keyword: ADRs; Author-Supplied Keyword: capital flows; Author-Supplied Keyword: emerging markets; Author-Supplied Keyword: portfolio equity flows; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 43p; Illustrations: 8 Charts, 10 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647444&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Edison, Hali J. AU - Warnock, Francis E. T1 - U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 32 AB - We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international CAPM weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITALISTS & financiers KW - EMERGING markets KW - STOCKS (Finance) -- Rate of return KW - CAPITAL investments -- Mathematical models KW - FOREIGN investments KW - INTERNATIONAL markets KW - INVESTMENT clubs KW - TRANSITION economies KW - DEVELOPING countries KW - UNITED States KW - emerging markets KW - home bias KW - international risk sharing KW - portfolio choice N1 - Accession Number: 23647445; Edison, Hali J. 1; Email Address: hedison@imf.org; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Senior Economist, Research Department of the IMF and Economist, International Finance Division of the Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: EMERGING markets; Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: CAPITAL investments -- Mathematical models; Thesaurus Term: FOREIGN investments; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: INVESTMENT clubs; Thesaurus Term: TRANSITION economies; Subject Term: DEVELOPING countries; Subject: UNITED States; Author-Supplied Keyword: emerging markets; Author-Supplied Keyword: home bias; Author-Supplied Keyword: international risk sharing; Author-Supplied Keyword: portfolio choice; NAICS/Industry Codes: 523910 Miscellaneous Intermediation; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 32p; Illustrations: 6 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647445&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Shing-Yi B. Wang AU - Wright, Jonathan H. T1 - The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 45 AB - Many recent papers have studied movements in stock, bond, and currency prices over short windows of time around macro announcements. This paper adds to the announcement effects literature in two ways. First, we study the joint announcement effects across a broad range of assets—exchange rates and U.S. and foreign term structures. In order to evaluate whether the joint effects can be reconciled with conventional theory, we interpret the joint movements in light of uncovered interest rate parity or changes in risk premia. For several real macro announcements, we find that a stronger than expected release appreciates the dollar today, but that it must either (i) lower the relative risk premium for holding foreign currency rather than dollars, or (ii) imply considerable future expected dollar depreciation. The latter implies an overshooting behavior akin to that described by Dornbusch (1976). Second, we use a longer span of high frequency data than has been common in announcement work. A longer span of high frequency data contributes to the precision of our estimates and allows us to explore the possibility that the effects of macro surprises on asset prices have varied over time. We find evidence, for example, that PPI releases had a larger effect on U.S. interest rates before about 1992 than subsequently. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - INTEREST rates KW - ECONOMIC indicators KW - MACROECONOMICS KW - ECONOMIC policy KW - FOREIGN exchange KW - MONETARY policy KW - INVESTMENT interest KW - ECONOMIC forecasting KW - Data Releases KW - Exchange Rates KW - Overshooting KW - Uncovered Interest Parity N1 - Accession Number: 23647458; Faust, Jon 1; Rogers, John H. 1; Shing-Yi B. Wang 1; Wright, Jonathan H. 1; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2003, p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FOREIGN exchange; Thesaurus Term: MONETARY policy; Thesaurus Term: INVESTMENT interest; Thesaurus Term: ECONOMIC forecasting; Author-Supplied Keyword: Data Releases; Author-Supplied Keyword: Exchange Rates; Author-Supplied Keyword: Overshooting; Author-Supplied Keyword: Uncovered Interest Parity; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 45p; Illustrations: 6 Charts, 9 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647458&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gagnon, Joseph E. T1 - Long-Run Supply Effects and the Elasticities Approach to Trade. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 21 AB - Krugman (1989) argued that differences across countries in estimated income elasticities of import demand are due to omission of an exporter supply effect. He showed that such an effect can be derived in a theoretical model with economies of scale in production and a taste for variety in consumption. In his model, countries grow by producing new varieties of goods, and they are able to export these goods without suffering any deterioration in their terms of trade. This paper analyzes U.S. import demand from different source countries and finds strong evidence of a supply effect of roughly half the magnitude (0.75) of the income elasticity (1.5). Price elasticities for the most part are estimated close to -1, which is typical for the literature. Exclusion of the supply effect leads to overestimation of the income elasticity. Results based on U.S. exports to different destinations are less robust, but largely corroborate these findings. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUPPLY & demand KW - CONSUMPTION (Economics) KW - ELASTICITY (Economics) KW - EQUILIBRIUM (Economics) KW - SUPPLY-side economics KW - INTERNATIONAL trade KW - PRODUCTION functions (Economic theory) KW - MICROECONOMICS KW - UNITED States KW - import demand KW - income elasticity KW - international trade KW - product differentiation N1 - Accession Number: 23647429; Gagnon, Joseph E. 1; Affiliations: 1: Assistant Director, Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: SUPPLY & demand; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: SUPPLY-side economics; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: PRODUCTION functions (Economic theory); Thesaurus Term: MICROECONOMICS; Subject: UNITED States; Author-Supplied Keyword: import demand; Author-Supplied Keyword: income elasticity; Author-Supplied Keyword: international trade; Author-Supplied Keyword: product differentiation; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 21p; Illustrations: 5 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647429&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gagnon, Joseph E. T1 - The Effect of Exchange Rates on Prices, Wages, and Profits: A Case Study of the United Kingdom in the 1990s. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 16 AB - During the 1990s the United Kingdom experienced large and sudden exchange rate movements that had no apparent impact on overall consumer prices. This paper shows that the stability of U.K. consumer prices was made possible in part by offsetting movements in the price-cost margins of foreign exporters and in part by offsetting price-cost margins in the U.K. distribution sector. At the same time, U.K. manufacturers experienced margin swings in the opposite direction, largely due to their role as exporters. Thus, sterling depreciation boosted the profits of U.K. manufacturers and squeezed the profits of U.K. distributors, while sterling appreciation had the opposite effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - MONETARY policy KW - PRICES KW - WAGES KW - PROFIT KW - STRANDED investment KW - ECONOMIC life of fixed assets KW - RESERVES (Accounting) KW - CASE studies KW - GREAT Britain KW - appreciation KW - depreciation KW - operating surplus KW - pass-through N1 - Accession Number: 23647446; Gagnon, Joseph E. 1; Affiliations: 1: Assistant Director, Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 19, 2000 C Street NW, Washington, DC 20551; Issue Info: 2003, p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONETARY policy; Thesaurus Term: PRICES; Thesaurus Term: WAGES; Thesaurus Term: PROFIT; Thesaurus Term: STRANDED investment; Thesaurus Term: ECONOMIC life of fixed assets; Thesaurus Term: RESERVES (Accounting); Subject Term: CASE studies; Subject: GREAT Britain; Author-Supplied Keyword: appreciation; Author-Supplied Keyword: depreciation; Author-Supplied Keyword: operating surplus; Author-Supplied Keyword: pass-through; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 16p; Illustrations: 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647446&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gagnon, Joseph E. T1 - Productive Capacity, Product Varieties, and the Elasticities Approach to the Trade Balance. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 39 AB - Most macroeconomic models imply that faster output growth tends to lower a country's trade balance by raising its imports with little change to its exports. Krugman (1989) proposed a model in which countries grow by producing new varieties of goods. In his model, faster-growing countries are able to export these new goods and maintain balanced trade without suffering any deterioration in their terms of trade. This paper analyzes the growth of U.S. imports from different source countries and finds strong support for Krugman's model. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MACROECONOMICS KW - BALANCE of trade KW - ECONOMIC policy KW - INTERNATIONAL trade KW - BALANCE of payments KW - FOREIGN trade regulation KW - ECONOMIC models KW - TERMS of trade KW - UNITED States KW - import demand KW - income elasticity KW - international trade KW - product differentiation N1 - Accession Number: 23647455; Gagnon, Joseph E. 1; Email Address: joseph.e.gagnon@frb.gov; Affiliations: 1: Assistant Director, Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 19, 2000 C Street NW, Washington, DC 20551; Issue Info: 2003, p1; Thesaurus Term: MACROECONOMICS; Thesaurus Term: BALANCE of trade; Thesaurus Term: ECONOMIC policy; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: BALANCE of payments; Thesaurus Term: FOREIGN trade regulation; Thesaurus Term: ECONOMIC models; Thesaurus Term: TERMS of trade; Subject: UNITED States; Author-Supplied Keyword: import demand; Author-Supplied Keyword: income elasticity; Author-Supplied Keyword: international trade; Author-Supplied Keyword: product differentiation; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 39p; Illustrations: 3 Charts, 3 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647455&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gruber, Joseph W. AU - Martin, Robert F. T1 - Precautionary Savings and the Wealth Distribution with Illiquid Durables. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 45 AB - We study the role an illiquid durable consumption good plays in determining the level of precautionary savings and the distribution of wealth in a standard Aiyagari model (i.e. a model with heterogeneous agents, idiosyncratic uncertainty, and borrowing constraints). Transactions costs induce an inaction region over which the durable stock and the associated user cost are not adjusted in response to changes in income, increasing, on average, the volatility of non-durable consumption. The volatility of total consumption is then a function of the share of the durable good in the utility function and the width of the inaction region. We are particularly interested in parameterizations which increase the precautionary motive for saving through an increase in ‘committed expenditure risk’. We find, for an empirically relevant share of durable consumption and for all transaction costs below an upper threshold, that the level of precautionary savings is increasing in the transaction costs. Transaction costs have only a modest impact on the degree of wealth dispersion, as measured by the Gini index, as the associated increase in savings is close to linear in wealth. While we are unable to match the dispersion of wealth in the data, we increase the dispersion over a single asset model (Gini index of .71 for financial assets and .37 for total wealth) and we are able to match the relative dispersion of financial to durable assets, i.e. we find financial assets much more unequal than durable assets. We also match the ratio of housing wealth to total wealth for the median agent. We calibrate the model to data from the PSID, the CES, and the SCF. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - SAVING & investment KW - INCOME distribution -- Mathematical models KW - CONSUMPTION (Economics) KW - DISTRIBUTION (Economic theory) KW - SUPPLY-side economics KW - ASSETS (Accounting) KW - ECONOMICS KW - GINI coefficient KW - Durable Goods KW - Precautionary Saving KW - Wealth Distribution N1 - Accession Number: 23647447; Gruber, Joseph W. 1; Martin, Robert F. 1; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: WEALTH; Thesaurus Term: SAVING & investment; Thesaurus Term: INCOME distribution -- Mathematical models; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: DISTRIBUTION (Economic theory); Thesaurus Term: SUPPLY-side economics; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: ECONOMICS; Subject Term: GINI coefficient; Author-Supplied Keyword: Durable Goods; Author-Supplied Keyword: Precautionary Saving; Author-Supplied Keyword: Wealth Distribution; Number of Pages: 45p; Illustrations: 5 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647447&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Holland, Sara B. AU - Warnock, Francis E. T1 - Firm-Level Access To International Capital Markets: Evidence From Chilean Equities. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 19 AB - High growth, liquid Chilean firms have greater relative weights in U.S. equity portfolios, but the most important determinant of a firm's portfolio weight is whether it is listed on a U.S. exchange. Cross-listing does not, however, appear to have permanent benefits: Weights in U.S. portfolios of firms that cross-listed in the mid-1990s increased at the expense of firms that cross-listed earlier. Put another way, firms appear to be able to access international capital at the time of the cross-listing, but this access may well be short-lived. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN business enterprises KW - CAPITAL market KW - STOCKS (Finance) KW - INTERNATIONAL markets KW - MONEY market KW - INTERNATIONAL trade KW - CHILE KW - UNITED States KW - emerging market KW - financial liberalization KW - home bias KW - portfolio choice KW - UNITED States. Securities & Exchange Commission N1 - Accession Number: 23647427; Holland, Sara B. 1; Email Address: sara.b.holland@frb.gov; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Research Assistant, Economist in the International Finance Division of the Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: FOREIGN business enterprises; Thesaurus Term: CAPITAL market; Thesaurus Term: STOCKS (Finance); Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: MONEY market; Thesaurus Term: INTERNATIONAL trade; Subject: CHILE; Subject: UNITED States; Author-Supplied Keyword: emerging market; Author-Supplied Keyword: financial liberalization; Author-Supplied Keyword: home bias; Author-Supplied Keyword: portfolio choice ; Company/Entity: UNITED States. Securities & Exchange Commission; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 19p; Illustrations: 5 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647427&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Ihrig, Jane AU - Prior, David T1 - The Effect of Exchange Rate Fluctuations on Multinationals' Returns. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 25 AB - This paper examines if the type of exchange rate used or size of the movement in the exchange rate matters in estimating exchange-rate exposure of U.S. manufacturing firms. We find that switching from a broad trade-weighted exchange rate to a 2-digit SIC industry exchange rate increases slightly the number of significantly exposed firms in a simple Jorion (1990) regression. We also find that firms' stock returns may be affected differently in periods of crisis and non-crisis. Although the value of exposure does not change much with the size of the exchange rate movement, we find some firms have significant exposure only in crisis periods while others have significant exposure only during normal fluctuations in exchange rates. All told, we find about 1 in 5 firms' returns is significantly affected by movement in the exchange rate between 1995 and 1999. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - FOREIGN exchange KW - DEVALUATION of currency KW - MONETARY policy KW - PRODUCT returns KW - ECONOMIC policy KW - MONEY supply KW - ECONOMICS KW - UNITED States KW - 2-digit SIC industry exchange rate KW - crisis indicators KW - exposure N1 - Accession Number: 23647456; Ihrig, Jane 1; Email Address: Ihrig@frb.gov; Prior, David 1; Email Address: David.M.Prior@frb.gov; Affiliations: 1: nternational Finance Division, Board of Governors of the Federal Reserve System, 2000 C Street NW, Washington, DC 20551; Issue Info: 2003, p1; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange; Thesaurus Term: DEVALUATION of currency; Thesaurus Term: MONETARY policy; Thesaurus Term: PRODUCT returns; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONEY supply; Thesaurus Term: ECONOMICS; Subject: UNITED States; Author-Supplied Keyword: 2-digit SIC industry exchange rate; Author-Supplied Keyword: crisis indicators; Author-Supplied Keyword: exposure; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 25p; Illustrations: 4 Charts, 4 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647456&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Jacques Miniane AU - Rogers, John H. T1 - Capital Controls and the International Transmission of U.S. Money Shocks. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 58 AB - In this paper we assess whether capital controls effectively insulate countries from U.S. monetary shocks, looking simultaneously at a large range of country experiences in a unified estimation framework. We estimate the effect of identified U.S. monetary shocks on the exchange rate and foreign country interest rates, and test whether countries with less open capital accounts exhibit systematically smaller responses. We find essentially no evidence in favor of this notion. Other country factors such as the exchange rate regime or degree of dollarization explain more of the cross-country differences in responses. The significant differences in responses we do find are more pronounced at short horizons. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - CAPITAL investments KW - FACTORS of production KW - MONETARY policy KW - INTEREST rate risk KW - ECONOMIC policy KW - MONETARY theory KW - ECONOMICS KW - UNITED States N1 - Accession Number: 23647452; Jacques Miniane 1; Email Address: jminiane@att.net; Rogers, John H. 2; Email Address: john.h.rogers@frb.g; Affiliations: 1: Department of Economics, Johns Hopkins University; 2: Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: CAPITAL; Thesaurus Term: CAPITAL investments; Thesaurus Term: FACTORS of production; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rate risk; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONETARY theory; Thesaurus Term: ECONOMICS; Subject: UNITED States; Number of Pages: 58p; Illustrations: 1 Graph; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647452&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Jon Wongswan T1 - Transmission of Information Across International Equity Markets. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 56 AB - This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000. Information is defined as important macroeconomic announcements in the U.S., Japan, Korea, and Thailand. Using high-frequency intraday data, I focus the study on return volatility and trading volume because the implications of new information are much clearer than for returns. I find a large and significant association between emerging-economy equity volatility and trading volume and developed-economy macroeconomic announcements at short-time horizons. This is the first strong evidence of this sort of international information transmission. Previous studies' findings of at most weak evidence may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as the measure of information. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL finance KW - ACCESS to information KW - SECURITIES markets KW - INVESTMENT banking KW - INTERNATIONAL economic relations KW - INTERNATIONAL trade KW - JAPAN KW - THAILAND KW - UNITED States KW - KOREA KW - dispersion of expectations KW - high-frequency data KW - information KW - macroeconomic announcements KW - trading volume KW - volatility N1 - Accession Number: 23647434; Jon Wongswan 1; Email Address: Jon.Wongswan@frb.gov; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: ACCESS to information; Thesaurus Term: SECURITIES markets; Thesaurus Term: INVESTMENT banking; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: INTERNATIONAL trade; Subject: JAPAN; Subject: THAILAND; Subject: UNITED States; Subject: KOREA; Author-Supplied Keyword: dispersion of expectations; Author-Supplied Keyword: high-frequency data; Author-Supplied Keyword: information; Author-Supplied Keyword: macroeconomic announcements; Author-Supplied Keyword: trading volume; Author-Supplied Keyword: volatility; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 56p; Illustrations: 1 Diagram, 9 Charts, 8 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647434&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. T1 - The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 34 AB - Tests of the present-value model of the current account are frequently rejected by the data. Standard explanations rely on the ‘usual suspects’ of non-separable preferences, shocks to fiscal policy and the world real interest rate, and imperfect international capital mobility. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model. Monte Carlo experiments reveal that, although each of the suspects matters in some way, a ‘canonical’ RBC model moves closest to the data when it features exogenous world real interest rate shocks. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONTE Carlo method KW - BALANCE of payments KW - FISCAL policy KW - INVESTMENT interest KW - INTEREST rates KW - FEDERAL funds market (U.S.) KW - ECONOMIC indicators KW - ECONOMIC policy KW - INTERNATIONAL finance KW - Bayesian monte carlo KW - current account KW - international capital mobility KW - present-value model KW - world real interest rate N1 - Accession Number: 23647435; Nason, James M. 1; Email Address: nason@econ.ubc.ca; Rogers, John H. 2; Email Address: John.H.Rogers@FRB.GOV; Affiliations: 1: Department of Economics, University of British Columbia, Canada V6T 1Z1; 2: International Finance Division, Board of Governors of the Federal Reserve System, Washington, D.C., U.S.A. 20551; Issue Info: 2003, p1; Thesaurus Term: MONTE Carlo method; Thesaurus Term: BALANCE of payments; Thesaurus Term: FISCAL policy; Thesaurus Term: INVESTMENT interest; Thesaurus Term: INTEREST rates; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: ECONOMIC indicators; Thesaurus Term: ECONOMIC policy; Thesaurus Term: INTERNATIONAL finance; Author-Supplied Keyword: Bayesian monte carlo; Author-Supplied Keyword: current account; Author-Supplied Keyword: international capital mobility; Author-Supplied Keyword: present-value model; Author-Supplied Keyword: world real interest rate; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 34p; Illustrations: 2 Charts, 6 Graphs; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647435&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Smith, David C. T1 - Loans to Japanese Borrowers. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 35 AB - This paper examines the characteristics of loans to Japanese borrowers using a relatively unexplored, contract-specific data set. I find that Japanese banks charge less on loans to Japanese borrowers than do foreign banks, holding constant many of the risk characteristics of the borrower. Moreover, Japanese banks vary pricing less across these risks than do foreign banks, suggesting that Japanese banks tend not to distinguish good risks from bad. Taken together, the results suggest that problems at Japanese banks stem from the behavior of the banks themselves, not simply from poor economic conditions. I also document a significant shortening in the maturity structure of Japanese loans in the late 1990s. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN banking industry KW - DEBTOR & creditor KW - INTERNATIONAL banking industry KW - CREDIT risk KW - CREDIT ratings KW - CREDIT management KW - FINANCIAL institutions KW - INTERNATIONAL finance KW - JAPANESE loans KW - bank loans KW - Japanese banks KW - syndicated lending N1 - Accession Number: 23647443; Smith, David C. 1; Email Address: david.c.smith@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 2003, p1; Thesaurus Term: FOREIGN banking industry; Thesaurus Term: DEBTOR & creditor; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: CREDIT risk; Thesaurus Term: CREDIT ratings; Thesaurus Term: CREDIT management; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: INTERNATIONAL finance; Subject Term: JAPANESE loans; Author-Supplied Keyword: bank loans; Author-Supplied Keyword: Japanese banks; Author-Supplied Keyword: syndicated lending; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 35p; Illustrations: 5 Charts, 1 Graph; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647443&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Wright, Jonathan H. T1 - Bayesian Model Averaging and Exchange Rate Forecasts. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 30 AB - Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, has never really been overturned despite much effort at constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in recent years have considered methods for forecasting that combine the information in a large number of time series. One method that has been found to be remarkably useful for out-of-sample prediction is simple averaging of the forecasts of different models. This often seems to work better than the forecasts from any one model. Bayesian Model Averaging is a closely related method that has also been found to be useful for out-of-sample prediction. This starts out with many possible models and prior beliefs about the probability that each model is the true one. It then involves computing the posterior probability that each model is the true one, and averages the forecasts from the different models, weighting them by these posterior probabilities. This is effectively a shrinkage methodology, but with shrinkage over models not just over parameters. I apply this Bayesian Model Averaging approach to pseudo-out-of-sample exchange rate forecasting over the last ten years. I find that it compares quite favorably to a driftless random walk forecast. Depending on the currency-horizon pair, the Bayesian Model Averaging forecasts sometimes do quite a bit better than the random walk benchmark (in terms of mean square prediction error), while they never do much worse. The forecasts generated by this model averaging methodology are however very close to (but not identical to) those from the random walk forecast. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BAYESIAN analysis KW - FOREIGN exchange rates KW - BUSINESS forecasting KW - FOREIGN exchange KW - BUSINESS cycles KW - ECONOMIC forecasting KW - INTEREST rates KW - INTERNATIONAL trade KW - ECONOMICS KW - bootstrap KW - exchange rates KW - forecasting KW - model uncertainty KW - Shrinkage N1 - Accession Number: 23647453; Wright, Jonathan H. 1; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2003, p1; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: BUSINESS forecasting; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INTEREST rates; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: ECONOMICS; Author-Supplied Keyword: bootstrap; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: forecasting; Author-Supplied Keyword: model uncertainty; Author-Supplied Keyword: Shrinkage; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 30p; Illustrations: 1 Graph; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647453&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Wright, Jonathan H. T1 - Forecasting U.S. Inflation by Bayesian Model Averaging. JO - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers JF - Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers Y1 - 2003/01// M3 - Working Paper SP - 1 EP - 31 AB - Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal weighted averaging of the forecasts over a large number of different models, each of which is a linear regression model that relates inflation to a single predictor and a lagged dependent variable. In this paper, I consider using Bayesian Model Averaging for pseudo out-of-sample prediction of US inflation, and find that it gives more accurate forecasts than simple equal weighted averaging. This superior performance is consistent across subsamples and inflation measures. Meanwhile, both methods substantially outperform a naive time series benchmark of predicting inflation by an autoregression. [ABSTRACT FROM AUTHOR] AB - Copyright of Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers is the property of US Federal Reserve Board and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - ECONOMIC policy KW - BUSINESS forecasting KW - ECONOMIC forecasting KW - BUSINESS cycles KW - FINANCIAL performance KW - REGRESSION analysis KW - BAYESIAN analysis KW - UNITED States KW - forecasting KW - inflation KW - model uncertainty KW - Phillips curve KW - Shrinkage N1 - Accession Number: 23647454; Wright, Jonathan H. 1; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551; Issue Info: 2003, p1; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC policy; Thesaurus Term: BUSINESS forecasting; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: BUSINESS cycles; Thesaurus Term: FINANCIAL performance; Thesaurus Term: REGRESSION analysis; Thesaurus Term: BAYESIAN analysis; Subject: UNITED States; Author-Supplied Keyword: forecasting; Author-Supplied Keyword: inflation; Author-Supplied Keyword: model uncertainty; Author-Supplied Keyword: Phillips curve; Author-Supplied Keyword: Shrinkage; Number of Pages: 31p; Illustrations: 10 Charts; Document Type: Working Paper UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=23647454&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - A monetary policy rule based on nominal and inflation-indexed treasury yields PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-07 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700346; Keywords: Monetary policy ; Government securities ; Inflation-indexed bonds; Publication Type: Working Paper; Update Code: 200404 N2 - The yields on nominal and inflation-indexed Treasury debt securities can be used to derive a proxy for the inflation expectations of market participants. This paper investigates whether such a measure has provided a useful guide for monetary policy decisions by the Federal Reserve. The results indicate that since 1999, U.S. monetary policy decisions can be effectively characterized by a simple policy rule in which changes in the federal funds rate respond to the forward rate of inflation compensation. L3 - http://www.federalreserve.gov/pubs/feds/2003/200307/200307abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700346&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200307/200307abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - A rolling tide: changes in the distribution of wealth in the U.S., 1989-2001 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-24 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700364; Keywords: Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - Over the period from 1989 to 2001, wealth in real terms grew broadly across U.S. families. Characterizing distributional changes is much more complex, and much more dependent on the specific questions asked. For example, there is evidence both from Forbes data on the 400 wealthiest Americans and from the SCF, which explicitly excludes families in the Forbes list, that wealth grew relatively strongly at the very top of the distribution. At the same time, the share of total household wealth held by the Forbes group rose. However, while the point estimate of the share of total wealth held by the wealthiest one percent of families as measured by the SCF also rose, the change is not statistically significant. In 2001, the division of wealth observed in the SCF attributed about a third each to the wealthiest 1 percent, the next wealthiest 9 percent, and the remaining 90 percent of the population. The paper decomposes wealth holdings and distributional shifts in a variety of other ways. Particular attention is given to families with negative net worth, families of older "baby boomer," and African American families. L3 - http://www.federalreserve.gov/pubs/feds/2003/200324/200324abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700364&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200324/200324abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AD - Unlisted T1 - A utility-based welfare criterion in a model with endogenous capital accumulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-66 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700407; Keywords: Welfare; Publication Type: Working Paper; Update Code: 200404 N2 - This paper extends the utility-based welfare criterion developed by Rotemberg and Woodford (1997) and Woodford (2003) to a model with endogenous capital accumulation. The welfare criterion obtained for this model shares several features with the corresponding expressions that have been derived in simpler models without capital accumulation. In particular, a criterion can be specified such that welfare losses depend solely on quadratic functions of the model's variables, thus confirming that policy should be oriented toward stabilization of macroeconomic aggregates, rather than toward attaining particular levels of those aggregates. That said, an important difference that obtains in this case is that the composition of output directly affects welfare in the endogenous-capital model--a result that is not present in standard treatments. L3 - http://www.federalreserve.gov/pubs/feds/2003/200366/200366abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700407&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200366/200366abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - An empirical analysis of inflation in OECD countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 765 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701183; Keywords: Inflation (Finance) ; Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - One of the most remarkable macroeconomic developments of the past decade has been the widespread decline in inflation despite declines in unemployment rates. For the United States, these seemingly contradictory developments have been reconciled in terms of three factors: (1) an acceleration in productivity, (2) structural changes in labor markets that lowered the natural unemployment rate (NAIRU), and (3) improved credibility of monetary policy. Here we ask whether comparable factors were at work in foreign industrial countries. To address this question, we empirically characterize the relationship between inflation, the unemployment rate, and structural factors using an extended Phillips curve model with quarterly data through 1994. By undertaking counterfactual simulations from 1995 to 2001, we quantify the separate contributions of unemployment-rate movements, labor-market reforms (that affected the NAIRU), and productivity developments on inflation. In line with previous work on the United States, we find that productivity advancements were the main structural factor reducing inflation in the United States. For foreign countries, persistent labor-market slack was the main factor exerting downward pressure on inflation. This persistence stemmed, in part, from structural reforms that lowered the NAIRU while the unemployment rate was declining. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/765/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701183&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/765/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AU - Stanton, Richard AU - Wallace, Nancy AD - Unlisted AD - Unlisted AD - Unlisted T1 - An empirical test of a two-factor mortgage valuation model: how much do house prices matter? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-42 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700382; Keywords: Mortgages ; Econometric models ; Asset-backed financing ; Housing - Costs; Publication Type: Working Paper; Update Code: 200404 N2 - Mortgage-backed securities, with their relative structural simplicity and their lack of recovery rate uncertainty if default occurs, are particularly suitable for developing and testing risky debt valuation models. In this paper, we develop a two-factor structural mortgage pricing model in which rational mortgage-holders endogenously choose when to prepay and default subject to i. explicit frictions (transaction costs) payable when terminating their mortgages, ii. exogenous background terminations, and iii. a credit-related impact of the loan-to-value ratio (LTV) on prepayment. We estimate the model using pool-level mortgage termination data for Freddie Mac Participation Certificates, and find that the effect of the house price factor on the results is both statistically and economically significant. Out-of-sample estimates of MBS prices produce option adjusted spreads of between 5 and 25 basis points, well within quoted values for these securities. L3 - http://www.federalreserve.gov/pubs/feds/2003/200342/200342abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700382&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200342/200342abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arteta, Carlos O. AD - Unlisted T1 - Are financially dollarized countries more prone to costly crises? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 763 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701180; Keywords: Financial crises ; International finance ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 N2 - In view of the role of liability dollarization in recent financial crises, whether or not the widespread presence of foreign-currency-denominated deposits and credits in developing-country banking systems leads to greater financial fragility is an open and pressing question. Using a comprehensive dataset on deposit and credit dollarization for a large number of developing and transition economies, I find little evidence that high dollarization heightens the probability of banking crises or currency crashes. Furthermore, while empirical results suggest that banking crises and currency crashes are contractionary, there is no robust evidence that they are more costly in highly dollarized countries than in countries where dollarization is low. This extensive empirical search highlights that macroeconomic and exchange rate policies are far more important than bank dollarization in determining crisis risks and costs. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/763/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701180&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/763/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lafourcade, Pierre AD - Unlisted T1 - Asset prices and rents in a GE model with imperfect competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-60 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700401; Keywords: Stock market ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyses the general equilibrium effects on asset valuation and capital accumulation of an exogenous drop in the rate of return required by investors in a model of production with imperfectly competitive product markets. The model improves substantially on the standard perfectly competitive neo-classical framework, by dissociating the behavior of marginal and average q. It tracks more closely current observed data on the ratio of stock-market value to the economy's capital base, while uncoupling this valuation ratio from investment behavior. The model does so by assuming that asset holders price not only the future marginal productivity of capital, but also the value of monopoly franchises, which arise from the interplay of market power and returns to scale. L3 - http://www.federalreserve.gov/pubs/feds/2003/200360/200360abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700401&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200360/200360abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Walraven, Nick AU - Barry, Peter AD - Unlisted AD - Unlisted T1 - Bank risk ratings and the pricing of agricultural loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-53 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700398; Keywords: Agricultural credit ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we review the prevalence of the use of risk ratings by commercial banks that participated in the Federal Reserve's Survey of Terms of Bank Lending to Farmers between 1997 and 2002. We find that adoption of risk rating procedures held about steady over the period, with a little less than half the banks on the panel either not using a risk rating system, or reporting the same rating for all their loans in the survey. However, most of these banks were small, and roughly four-fifths of all sample loans carried an informative risk rating. We found that after controlling for the size and performance of the bank and as many nonprice terms of the loan as possible, banks consistently charged higher rates of interest for the farm loans that they characterized as riskier, with an average difference in rates between the most risky and least risky loans of about 1-1/2 percentage points. L3 - http://www.federalreserve.gov/pubs/feds/2003/200353/200353abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700398&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200353/200353abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Bayesian Model Averaging and exchange rate forecasts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 779 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701197; Keywords: Foreign exchange rates ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, has never really been overturned despite much effort at constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in recent years have considered methods for forecasting that combine the information in a large number of time series. One method that has been found to be remarkably useful for out-of-sample prediction is simple averaging of the forecasts of different models. This often seems to work better than the forecasts from any one model. Bayesian Model Averaging is a closely related method that has also been found to be useful for out-of-sample prediction. This starts out with many possible models and prior beliefs about the probability that each model is the true one. It then involves computing the posterior probability that each model is the true one, and averages the forecasts from the different models, weighting them by these posterior probabilities. This is effectively a shrinkage methodology, but with shrinkage over models not just over parameters. I apply this Bayesian Model Averaging approach to pseudo-out-of-sample exchange rate forecasting over the last ten years. I find that it compares quite favorably to a driftless random walk forecast. Depending on the currency-horizon pair, the Bayesian Model Averaging forecasts sometimes do quite a bit better than the random walk benchmark (in terms of mean square prediction error), while they never do much worse. The forecasts generated by this model averaging methodology are however very close to (but not identical to) those from the random walk forecast. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/779/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701197&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/779/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doyle, Brian M. AU - Faust, Jon AD - Unlisted AD - Unlisted T1 - Breaks in the variability and co-movement of G-7 economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 786 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701202; Keywords: Group of Seven countries ; Economic development; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates breaks in the variability and co-movement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on co-movement, we test for changes in co-movement allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, and for the members of the euro area in the G-7. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/786/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/786/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Kim, Sunghyun AU - Schaumburg, Ernst AU - Sims, Christopher A. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Calculating and using second order accurate solutions of discrete time dynamic equilibrium models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-61 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700402; Keywords: Econometric models ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - We describe an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectation models. The paper also explains methods for using such an approximate solution to generate forecasts, simulated time paths for the model, and evaluations of expected welfare differences across different versions of a model. The paper gives conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process. L3 - http://www.federalreserve.gov/pubs/feds/2003/200361/200361abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700402&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200361/200361abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - Can rational expectations sticky-price models explain inflation dynamics? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-46 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700389; Keywords: Inflation (Finance) ; Phillips curve; Publication Type: Working Paper; Update Code: 200404 N2 - The canonical inflation specification in sticky-price rational expectations models (the new-Keynesian Phillips curve) is often criticized on the grounds that it fails to account for the dependence of inflation on its own lags. In response, many recent studies have employed a "hybrid" sticky-price specification in which inflation depends on a weighted average of lagged and expected future values of itself, in addition to a driving variable such as the output gap. In this paper, we consider some simple tests of the hybrid model that are derived from the model's closed-form solution. Our results suggest that the hybrid model provides a poor description of empirical inflation dynamics, and that there is little evidence of the type of rational forward-looking behavior implied by the model. L3 - http://www.federalreserve.gov/pubs/feds/2003/200346/200346abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700389&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200346/200346abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Miniane, Jacques AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Capital controls and the international transmission of U.S. money shocks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 778 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701196; Keywords: Capital market ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper we assess whether capital controls effectively insulate countries from U.S. monetary shocks, looking simultaneously at a large range of country experiences in a unified estimation framework. We estimate the effect of identified U.S. monetary shocks on the exchange rate and foreign country interest rates, and test whether countries with less open capital accounts exhibit systematically smaller responses. We find essentially no evidence in favor of this notion. Other country factors such as the exchange rate regime or degree of dollarization explain more of the cross-country differences in responses. The significant differences in responses we do find are more pronounced at short horizons. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/778/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701196&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/778/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feroli, Michael AD - Unlisted T1 - Capital flows among the G-7 nations: a demographic perspective PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-54 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700405; Keywords: Capital movements - Group of Seven countries; Publication Type: Working Paper; Update Code: 200404 N2 - The standard life-cycle model of consumption behavior predicts that a household's age will influence its saving behavior. Moreover, simple national accounting identities reveal that a country's current account balance reflects its savings-investment imbalance. Thus, differences in national age-profiles should affect the current account. To test this theory's plausibility and significance, I simulate a multi-region overlapping generations model that is calibrated to match the demographic differences among the major industrialized countries over the past 50 years. In the model, it is found that these differences can explain some of the observed long-term capital movements in the G-7. In particular, the model does a good job of predicting the size and timing of American current account deficits as well as Japanese current account surpluses. L3 - http://www.federalreserve.gov/pubs/feds/2003/200354/200354abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700405&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200354/200354abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coronado, Julia Lynn AU - Copeland, Phillip C. AD - Unlisted AD - Unlisted T1 - Cash balance pension plan conversions and the new economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-63 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700404; Keywords: Pensions ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - Many firms that sponsor traditional defined benefit pensions have converted their plans to cash balance plans in the last ten years. Cash balance plans combine features of defined benefit (DB) and defined contribution (DC) plans, and yet their introduction has proven considerably more controversial than has the increasing popularity of DC plans. The goal of this study is to estimate a hierarchy of the influences on the decision of a firm to convert its traditional defined benefit pension plan to a cash balance plan. Our results indicate that cash balance conversions have been undertaken in competitive industries with tight labor markets and can be viewed largely as a response to better compensate a more mobile labor force. Indeed, many firms appear to increase their pension liabilities through such conversions. The results also shed light on the possible determinants of the broader shift from DB to DC pension coverage. L3 - http://www.federalreserve.gov/pubs/feds/2003/200363/200363abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700404&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200363/200363abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kohn, Donald L. AU - Sack, Brian P. AD - Unlisted AD - Unlisted T1 - Central bank talk: does it matter and why? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-55 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700392; Keywords: Monetary policy ; Banks and banking, Central; Publication Type: Working Paper; Update Code: 200404 N2 - Statements released by the Federal Open Market Committee (FOMC) and congressional testimony by Chairman Greenspan are found to significantly affect market interest rates, indicating that central bank "talk" conveys important information to market participants. These effects arise not only because the statements provide information about the near-term policy inclinations of the FOMC but also because the statements convey information about the outlook for the economy. By contrast, statements raising questions about asset valuations typically have not generated a significant response of those asset prices. L3 - http://www.federalreserve.gov/pubs/feds/2003/200355/200355abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700392&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200355/200355abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahearne, Alan G. AU - Fernald, John G. AU - Loungani, Prakash AU - Schindler, John W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - China and emerging Asia: comrades or competitors? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 789 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701207; Keywords: Exports - China ; Exports - Asia; Publication Type: Working Paper; Update Code: 200404 N2 - Do increases in China's exports reduce exports of other emerging Asian economies? We find that correlations between Chinese export growth and that of other emerging Asian economies are actually positive (though usually not significant), even after controlling for trading-partner income growth and real effective exchange rates. We also present results from a VAR estimation of aggregate trade equations on the relative importance of foreign income and exchange rates in determining Asian export growth. Although exchange rates do matter for export performance, the income growth of trading partners matters even more. In addition, we examine specific products and find evidence that a considerable shifting of trade patterns is taking place, consistent with a 'flying geese' pattern in which China and ASEAN-4 move into the product space vacated by the NIEs. Our results suggest that China and emerging Asia are both comrades (overall) and competitors (in specific products). L3 - http://www.federalreserve.gov/pubs/ifdp/2003/789/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/789/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Martin, Robert F. AD - Unlisted T1 - Consumption, durable goods, and transaction costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 756 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701173; Keywords: Consumption (Economics) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We study consumption of durable and nondurable goods when the durable good is subject to transaction costs. In the model, agents derive utility from a service flow of a durable good and a consumption flow of a nondurable good. The key feature of the model is the existence of a fixed transaction cost in the durable good market. The fixed cost induces an inaction region in the purchase of the durable good. More importantly, the inability to adjust the durable stock induces variation in consumption of the nondurable good over the inaction region. The variation is a function of the degree of complementarity between durable and nondurable goods in the period utility function, the rate of intertemporal substitution, and a precautionary motive induced by incomplete markets. We test the model using the PSID. Housing serves as the durable good. The data indicate an increase in consumption before moving to a smaller house and a decrease in consumption before moving to a larger house. This result is consistent with the model when there exists complementarity between the durable and nondurable good or when there is a strong precautionary effect. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/756/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701173&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/756/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wongswan, Jon AD - Unlisted T1 - Contagion: an empirical test PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 775 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701190; Keywords: Capital market ; Banks and banking, International; Publication Type: Working Paper; Update Code: 200404 N2 - Using the conditional Capital Asset Pricing Model (CAPM), this paper tests for the existence and pattern of contagion and capital market integration in global equity markets. Contagion is defined as significant excess conditional correlation among different countries' asset returns above what could be explained by economic fundamentals (systematic risks). Capital market integration is defined as the situation in which only systematic risks are priced. The paper uses a panel of sixteen countries, divided into three blocs: Asia, Latin America, and Germany-U.K.-U.S., for the period from 1990 through 1999. The results show evidence of contagion and capital market integration. In addition, contagion is found to be a regional phenomenon. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/775/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701190&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/775/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AU - Holden, Steinar AD - Unlisted AD - Unlisted T1 - Coordination, fair treatment and inflation persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-34 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700378; Keywords: Inflation (Finance) ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - Most wage-contracting models with rational expectations fail to replicate the persistence in inflation observed in the data. We argue that coordination problems and multiple equilibria are the keys to explaining inflation persistence. We develop a wage-contracting model in which workers are concerned about being treated fairly. This model generates a continuum of equilibria (consistent with a range for the rate of unemployment), where workers want to match the wage set by other workers. If workers' expectations are based on the past behavior of wage growth, these beliefs will be self-fulfilling and thus rational. Based on quarterly U.S. data over the period 1955-2000, we find evidence that inflation is more persistent between unemployment rates of 4.7 and 6.5 percent, than outside these bounds, as predicted by our model. L3 - http://www.federalreserve.gov/pubs/feds/2003/200334/200334abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700378&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200334/200334abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Counterparty credit risk in interest rate swaps during times of market stress PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-09 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700349; Keywords: Swaps (Finance) ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines whether empirical and theoretical results suggesting a relatively small role for counterparty credit risk in the determination of interest rate swap rates hold during periods of stress in the financial markets, such as the chain of events that followed the Russian default crisis of 1998. The analysis sheds light on the robustness of netting and credit enhancement mechanisms, which are common in interest rate swaps, to widespread turmoil in the financial markets. L3 - http://www.federalreserve.gov/pubs/feds/2003/200309/200309abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700349&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200309/200309abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - Cross-board listings, capital controls, and equity flows to emerging markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 770 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701187; Keywords: Capital movements ; Developing countries; Publication Type: Working Paper; Update Code: 200404 N2 - We analyze capital flows to emerging markets in a framework that incorporates two quantitative measures of financial integration, the intensity of capital controls and the extent of cross-border listings, while controlling for traditional global (push) and country-specific (pull) factors. Two important results emerge. First, the cross-listing of an emerging market firm on a U.S. exchange is an important but short-lived capital flows event, suggesting that the cross-listed stock is in effect a new security that U.S. investors quickly bring into their portfolios. Second, the effect of financial liberalization on capital flows is more nuanced than is suggested by event studies: A reduction in capital controls results in increased inflows only when the controls were binding. Among the standard push and pull factors, global factors are important---slack U.S. economic activity is associated with increased flows to emerging markets---and U.S. investors appear to chase expected, but not past, returns. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/770/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701187&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/770/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Farley, Dennis AU - Demiralp, Selva AD - Unlisted AD - T1 - Declining required reserves, funds rate volatility, and open market operations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-27 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700367; Keywords: Open market operations ; Bank reserves; Publication Type: Working Paper; Update Code: 200404 N2 - The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling the reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the U.S. accompanied at first by an increase in the funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of a structural break in volatility. We then estimate a tobit model of the major types of temporary open market operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility. L3 - http://www.federalreserve.gov/pubs/feds/2003/200327/200327abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700367&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200327/200327abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coronado, Julia Lynn AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Did pension plan accounting contribute to a stock market bubble? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-38 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700374; Keywords: Stock market ; Pensions; Publication Type: Working Paper; Update Code: 200404 N2 - During the 1990s, the asset portfolios of defined-benefit (DB) pension plans ballooned with the booming stock market. Due to current accounting guidelines, the robust growth in pension assets resulted in a stealthy but substantial boost to the profits of sponsoring corporations. This study assesses the extent to which equity investors were fooled by pension accounting. First, we test whether stock prices reflected the fair market value of sponsoring firms' net pension assets reported in footnotes to the 10-K or, instead, some capitalization rate on the pension cost accruals embedded in the income statement. The results strongly favor the latter view. Additional tests indicate that the market does not value a firm's "pension earnings" differently from its "core earnings", suggesting that pension earnings are often overvalued. Simulations show that a failure to differentiate between core and pension earnings induces large valuation errors for many firms, although this pension effect did not materially contribute to aggregate in overvaluation 2000. However, overvaluation from pension earnings reached 5 percent in the aggregate in 2001, when the steep stock price decline and the drop in interest rates had slashed pension net asset values but not pension earnings. L3 - http://www.federalreserve.gov/pubs/feds/2003/200338/200338abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700374&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200338/200338abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Evans, Carolyn AU - Harrigan, James AD - Unlisted AD - Unlisted T1 - Distance, time, and specialization PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 766 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701182; Keywords: International trade ; Transportation - Fares; Publication Type: Working Paper; Update Code: 200404 N2 - Time is money, and distance matters. We model the interaction of these truisms, and show the implications for global specialization and trade: products where timely delivery is important will be produced near the source of final demand, where wages will be higher as a result. In the model, timely delivery is important because it allows retailers to respond to fluctuating final demand without holding costly inventories, and timely delivery is only possible from nearby locations. Using a unique dataset that allows us to measure the retail demand for timely delivery, we show that the sources of US apparel imports have shifted in the way predicted by the model, with products where timeliness matters increasingly imported from nearby countries. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/766/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701182&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/766/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Burger, John D. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - Diversification, original sin, and international bond portfolios PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 755 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701172; Keywords: Bonds ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the development of bond markets around the world. In the primary analysis, we find that country weights in U.S. investors' foreign bond portfolios are determined by the openness of capital accounts and potential diversification benefits. Positions in local-currency-denominated bonds are particularly sensitive to past and prospective volatility of returns. Analysis of reallocations in bond portfolios from 1997 to 2001 reveals a flight to quality from countries with low and declining credit ratings; reallocations in U.S. investors' equity portfolios also reveal a discriminating flight from higher credit risks. In the secondary analysis, we present measures of the size and currency composition of bond markets and analyze the development of local currency bond markets. We find that while country size and the level of economic development influence the level of bond market development, past policies---as evidenced in the level and volatility of historical inflation---play an important role. An implication for developing countries is that creditor friendly policies, such as vigilance on the inflation front, can enable local bond market development and in turn attract global investors, in part by promoting the development of derivative instruments that allow the decoupling of bond and currency investments. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/755/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701172&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/755/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Harrison, Paul AD - Unlisted AD - Unlisted T1 - Do banks strategically time public bond issuance because of the accompanying disclosure, due diligence, and investor scrutiny? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-37 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700373; Keywords: Financial institutions ; Bonds; Publication Type: Working Paper; Update Code: 200404 N2 - This paper tests a new hypothesis that bank managers issue bonds, at least in part, to convey positive, private information and refrain from issuance to hide negative, private information. We find evidence for this hypothesis, using rating migrations, equity returns, bond issuance, and balance sheet data for US bank holding companies. The results add to our understanding of the role of "market discipline" in monitoring bank holding companies and also inform upon how proposed regulatory requirements that banking organizations frequently issue public bonds might augment "market discipline." L3 - http://www.federalreserve.gov/pubs/feds/2003/200337/200337abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700373&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200337/200337abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AD - Unlisted T1 - Does bank lending affect output? evidence from the U.S. states PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-31 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700369; Keywords: Bank loans ; Income; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses a panel of state-level data to test whether changes in bank loan supply affect output. Since the U.S. states are small open economies with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using these shocks as an instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans have small, often negative, and statistically insignificant effects on output. L3 - http://www.federalreserve.gov/pubs/feds/2003/200331/200331abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700369&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200331/200331abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Does monetary policy affect stock prices and treasury yields? An error correction and simultaneous equation approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-10 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700350; Keywords: Capital ; Prices ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This study pursues two addenda to the practitioner and academic on the effect of monetary policy on asset prices. First, this paper applies cointegration theory, and, second, relaxes the stringent assumption in the literature that changes in 10-year Treasury yields, stock returns, and changes in the stance of monetary policy are exogenous. Given quarterly data from 1978:Q4 to 2002:Q3, two-stage least squares (2SLS) regressions suggest that changes in the exogenous component of the federal funds rate affect changes in Treasury yields but not stock returns, ceteris paribus. However, this result is sensitive to alternative proxies for the stance of monetary policy. Also, little evidence suggests that monetary policy responds to the exogenous components of changes in financial asset prices. L3 - http://www.federalreserve.gov/pubs/feds/2003/200310/200310abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700350&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200310/200310abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Perli, Roberto AU - Sack, Brian AD - Unlisted AD - Unlisted T1 - Does mortgage hedging amplify movements in long-term interest rates? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-49 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700388; Keywords: Mortgages ; Mortgage loans; Publication Type: Working Paper; Update Code: 200404 N2 - The growth of the mortgage market in recent years has raised the question of what effects, if any, the hedging of mortgage portfolios has on the behavior of long-term interest rates. This paper finds that the volatility of the ten-year swap rate implied by swaptions increases when the prepayment risk of outstanding mortgages increases--most likely because investors expect the hedging of prepayment risk to amplify future interest rate movements. These amplification effects can be considerable in magnitude, but they are generally expected to persist only for several months. L3 - http://www.federalreserve.gov/pubs/feds/2003/200349/200349abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700388&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200349/200349abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Perli, Roberto AU - Nayda, William I. AD - Unlisted AD - Unlisted T1 - Economic and regulatory capital allocation for revolving retail exposures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-39 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700379; Keywords: Risk ; Bank capital; Publication Type: Working Paper; Update Code: 200404 N2 - The latest revision of the Internal Ratings Based approach of the Basel Committee on Banking Supervision's New Capital Accord Proposal for retail portfolios contains a significant innovation relative to previous versions: the recognition that, for revolving credits, future margin income will be available to cover losses before a bank's capital is threatened. We assemble a mini-portfolio of revolving exposures and we compare the capital charges generated by the latest Basel's formula with the capital charges generated by two possible earnings-at-risk internal capital allocation models. We find that in general, Basel's capital ratios are closer to those generated by our models for the groups with lower credit risk. We attribute the discrepancies to the different ways Basel and our models account for future margin income, to Basel assumptions about asset correlations, and to one our models taking macroeconomic conditions explicitly into account. L3 - http://www.federalreserve.gov/pubs/feds/2003/200339/200339abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700379&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200339/200339abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Estimates of the term premium on near-dated federal funds futures contracts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-19 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700359; Keywords: Federal funds rate; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines estimates of the term premium on federal funds futures rates, with a focus on near-dated contracts and therefore the more immediate policy horizon. The first set of methods assumes that the term premium is constant over time. Under this framework, calculations that use survey data to proxy for forecast errors produce more intuitive results than estimates based on the restrictive assumption that forecast errors average to zero over the sample. The second set of methods allows the term premium to vary over time, but the results based on the term structure of near-dated federal funds futures contracts are highly volatile, which perhaps reflects numerous technical factors in the underlying federal funds market. Finally, under an asset-pricing approach, the CAPM suggests that the risk premium on federal funds futures is either less than or equal to zero, while APT indicates that it can be positive. L3 - http://www.federalreserve.gov/pubs/feds/2003/200319/200319abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700359&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200319/200319abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AU - Porter, Richard AD - Unlisted AD - Unlisted T1 - Estimating the worldwide volume of counterfeit U.S. currency: data and extrapolation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-52 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700397; Keywords: Counterfeits and counterfeiting ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 N2 - The incidence of currency counterfeiting and the possible total stock of counterfeits in circulation are popular topics of speculation and discussion in the press and are of substantial practical interest to the U.S. Treasury and the U.S. Secret Service. This paper assembles data from Federal Reserve and U.S. Secret Service sources and presents a range of estimates for the number of counterfeits in circulation. In addition, the paper presents figures on counterfeit passing activity by denomination, location, and method of production. The paper has two main conclusions: first, the stock of counterfeits in the world as a whole is likely on the order of 1 or fewer per 10,000 in both piece and value terms; second, losses to the U.S. public from the most commonly used note, the $20, are relatively small, and are miniscule when only counterfeit notes of reasonable quality are considered. L3 - http://www.federalreserve.gov/pubs/feds/2003/200352/200352abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700397&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200352/200352abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Quintin, Erwan AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Firm specific human capital vs. job matching: a new test PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-33 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700385; Keywords: Employment; Publication Type: Working Paper; Update Code: 200404 N2 - We use a unique data set on employee turnover by industry in Arizona to test competing theories of turnover. We find that industries with lower establishment survival rates have more employee turnover, even after controlling for differences in the distribution of employee tenure. This result is consistent with a model of turnover where employees choose how much firm specific human capital to accumulate, but it is inconsistent with job matching models. L3 - http://www.federalreserve.gov/pubs/feds/2003/200333/200333abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700385&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200333/200333abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holland, Sara B. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - Firm-level access to international capital markets: evidence from Chilean equities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 753 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701171; Keywords: International finance ; Capital market; Publication Type: Working Paper; Update Code: 200404 N2 - High growth, liquid Chilean firms have greater relative weights in U.S. equity portfolios, but the most important determinant of a firm's portfolio weight is whether it is listed on a U.S. exchange. Cross-listing does not, however, appear to have permanent benefits: Weights in U.S. portfolios of firms that cross-listed in the mid-1990s increased at the expense of firms that cross-listed earlier. Put another way, firms appear to be able to access international capital at the time of the cross-listing, but this access may well be short-lived. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/753/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701171&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/753/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AU - Follette, Glenn AD - Unlisted AD - Unlisted T1 - Forecasting exogenous fiscal variables in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-59 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700394; Keywords: Fiscal policy ; Expenditures, Public; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides an introduction to the practice of forecasting "exogenous" components of federal government taxes and spending-policy actions, for short--in the United States. First, we estimate simple models of defense expenditures that are useful for constructing current-quarter forecasts based on incoming daily and monthly spending data. Also, we discuss forecasting policy changes in the context of extending recent empirical work of Alan Auerbach (2002, 2003) on fiscal reaction functions. Forecasts of exogenous fiscal actions are an important input into forecasts of the budget deficit, and we compare the forecasts of the budget deficit prepared by the Congressional Budget Office (CBO), the President's Office of Management and Budget (OMB), and the staff o the Federal Reserve Board (FRB). To our knowledge, analysis of the FRB forecasts has not been done before. L3 - http://www.federalreserve.gov/pubs/feds/2003/200359/200359abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700394&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200359/200359abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Forecasting U.S. inflation by Bayesian Model Averaging PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 780 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701198; Keywords: Inflation (Finance) ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal weighted averaging of the forecasts over a large number of different models, each of which is a linear regression model that relates inflation to a single predictor and a lagged dependent variable. In this paper, I consider using Bayesian Model Averaging for pseudo out-of-sample prediction of US inflation, and find that it gives more accurate forecasts than simple equal weighted averaging. This superior performance is consistent across subsamples and inflation measures. Meanwhile, both methods substantially outperform a naive time series benchmark of predicting inflation by an autoregression. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/780/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/780/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pence, Karen M. AD - Unlisted T1 - Foreclosing on opportunity: state laws and mortgage credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-16 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700355; Keywords: Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - Foreclosure laws govern the rights of borrowers and lenders when borrowers default on mortgages. Many states protect borrowers by imposing restrictions on the foreclosure process; these restrictions, in turn, impose large costs on lenders. Lenders may respond to these higher costs by reducing loan supply; borrowers may respond to the protections imbedded in these laws by demanding larger mortgages. I examine empirically the effect of the laws on equilibrium loan size. I exploit the rich geographic information available in the 1994 and 1995 Home Mortgage Disclosure Act data to compare mortgage applications for properties located in census tracts that border each other, yet are located in different states. Using semiparametric estimation methods, I find that defaulter-friendly foreclosure laws are correlated with a four percent to six percent decrease in loan size. This result suggests that defaulter-friendly foreclosure laws impose costs on borrowers at the time of loan origination. L3 - http://www.federalreserve.gov/pubs/feds/2003/200316/200316abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700355&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200316/200316abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Foreign portfolio investment, foreign bank lending, and economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 757 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701176; Keywords: Investments, Foreign ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - In contrast to the empirical literature's focus on foreign direct investment (FDI), this study examines the effects of foreign portfolio investment (FPI) and "other" foreign investment (OFI) on economic growth using data on 88 countries from 1977 through 2000. Most measures suggest that FPI has no effect, and some results indicate that OFI has a negative impact on growth that is somewhat mitigated by initial financial and/or legal development. However, these results are questionable due to possible simultaneity bias. The empirical analyses also examine whether non-FDI foreign investment affects growth indirectly. FPI does not correlate positively with macroeconomic volatility, but the results indicate that the negative indirect effect of OFI through macroeconomic volatility comprises a substantial portion of the gross negative effect of OFI on growth. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/757/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701176&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/757/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Hasan, Iftekhar AU - Klapper, Leora F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Further evidence on the link between finance and growth: an international analysis of community banking and economic performance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-47 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700390; Keywords: Community banks ; Economic development ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - We try to contribute to both the finance-growth literature and the community banking literature by testing the effects of the relative health of community banks on economic growth, and investigating potential transmission mechanisms for these effects using data from 1993-2000 on 49 nations. Data from both developed and developing nations suggest that greater market shares and efficiency ranks of small, private, domestically-owned banks are associated with better economic performance, and that the marginal benefits of higher shares are greater when the banks are more efficient. Only mixed support is found for hypothesized transmission mechanisms through improved financing for SMEs or greater overall bank credit flows. Data from developing nations are also consistent with favorable economic effects of foreign-owned banks, but unfavorable effects from state-owned banks. L3 - http://www.federalreserve.gov/pubs/feds/2003/200347/200347abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700390&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200347/200347abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AU - Sharpe, Steve AD - Unlisted AD - Unlisted T1 - Getting bad news out early: does it really help stock prices? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-58 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700400; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we examine the stock price benefit of meeting or beating earnings expectations. Using a general methodology, we find no evidence that the timing of earnings news has any benefit for firms' stock returns. In fact, in many cases we find firms attempting to engineer positive earnings surprises by beating down expectations only to discover that their efforts are counterproductive. Our results appear to overturn the findings of previous authors who, using less general methodologies, have suggested that firms can boost their stock returns by getting bad news out early. Our results are robust across time periods, for different scaling factors on earnings revisions and surprises, when controlling for firm size and growth prospects, and when conditioned on past earnings news. L3 - http://www.federalreserve.gov/pubs/feds/2003/200358/200358abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700400&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200358/200358abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Historical monetary policy analysis and the Taylor rule PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-36 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700372; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability serving as implicit or explicit guides. As early as the 1920s, measures of real economic activity relative to "normal" or "potential" supply appear to have influenced policy analysis and deliberations. Confidence in such measures as guides for activist monetary policy proved counterproductive at times, resulting in excessive activism, such as during the Great Inflation and at the brink of the Great Depression. Policy during the past two decades is broadly consistent with natural-growth targeting variants of the Taylor rule that exhibit less activism. L3 - http://www.federalreserve.gov/pubs/feds/2003/200336/200336abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700372&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200336/200336abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J AU - Eichenbaum, Martin AU - Vigfusson, Robert AD - Unlisted AD - Unlisted AD - Unlisted T1 - How do Canadian hours worked respond to a technology shock? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 774 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701191; Keywords: Productivity ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the response of hours worked to a permanent technology shock. Based on annual data from Canada, we argue that hours worked rise after a positive technology shock. We obtain a similar result using annual data from the United States. These results contradict a large literature that claims that a positive technology shock causes hours worked to fall. We find that the different results are due to the literature making a specification error in the statistical model of per capital hours worked. Finally, we present results that Canadian monetary policy has accommodated technology shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/774/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701191&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/774/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Vigfusson, Robert J. AD - Unlisted T1 - How does the border affect productivity? evidence from American and Canadian manufacturing industries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 788 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701206; Keywords: Productivity - United States ; Productivity - Canada; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies how much of productivity fluctuations are industry specific versus how much are country specific. Using data on manufacturing industries in Canada and the United States, the paper shows that the correlation between cross-border pairings of the same industry are more often highly correlated than previously thought. In addition, the paper confirms earlier findings that the similarity of input use can help describe the co-movement of productivity fluctuations across industries. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/788/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701206&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/788/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - How should unemployment benefits respond to the business cycle? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-01 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700348; Keywords: Unemployment insurance; Publication Type: Working Paper; Update Code: 200404 N2 - Unemployment insurance programs balance the benefits of consumption smoothing for unemployed workers against the disincentive effects of unemployment benefits. Such a balancing of benefits and costs is likely sensitive to the cyclical state of the economy, and hence the generosity of benefits should also respond to the cyclical state of the economy. The nature of such responses in an optimal unemployment insurance (UI) program is analyzed in a simple model. The results suggest that an optimal UI program would increase the initial level of benefits and probably extend higher benefits over time in response to a recessionary shock. A simple extension of benefits, such as exists automatically in the system in the United States, provides both poorer insurance and poorer incentives than the optimal program, and does so at a higher cost. Moreover, the current UI system in the U.S. provides a substantially higher level of welfare to workers who lose jobs during tight labor markets. L3 - http://www.federalreserve.gov/pubs/feds/2003/200301/200301abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700348&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200301/200301abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AU - Holden, Steinar AD - Unlisted AD - Unlisted T1 - Inflation persistence and relative contracting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-29 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700384; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Macroeconomists have for some time been aware that the New Keynesian Phillips curve, though highly popular in the literature, cannot explain the persistence observed in actual inflation. We argue that one of the more prominent alternative formulations, the Fuhrer and Moore (1995) relative contracting model, is highly problematic. Fuhrer and Moore's 1995 formulation generates inflation persistence, but this is a consequence of their assuming that workers care about the past real wages of other workers. Making the more reasonable assumption that workers care about the current real wages of other workers, one obtains the standard formulation with no inflation persistence. L3 - http://www.federalreserve.gov/pubs/feds/2003/200329/200329abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700384&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200329/200329abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Inflation scares and forecast-based monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-41 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700376; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Central banks pay close attention to inflation expectations. In standard models, however, inflation expectations are tied down by the assumption of rational expectations and should be of little independent interest to policy makers. In this paper, we relax the assumption of rational expectations with perfect knowledge and reexamine the role of inflation expectations in the economy and in the conduct of monetary policy. Agents are assumed to have imperfect knowledge of the precise structure of the economy and the policymakers' preferences. Expectations are governed by a perpetual learning technology. With learning, disturbances can give rise to endogenous inflation scares, that is, significant and persistent deviations of inflation expectations from those implied by rational expectations. The presence of learning increases the sensitivity of inflation expectations and the term structure of interest rates to economic shocks, in line with the empirical evidence. We also explore the role of private inflation expectations for the conduct of efficient monetary policy. Under rational expectations, inflation expectations equal a linear combination of macroeconomic variables and as such provide no additional information to the policy maker. In contrast, under learning, private inflation expectations follow a time-varying process and provide useful information for the conduct of monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2003/200341/200341abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700376&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200341/200341abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - Inflation targets, credibility, and persistence in a simple sticky-price framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-43 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700380; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a re-formulated version of a canonical sticky-price model that has been extended to account for variations over time in the central bank's inflation target. We derive a closed-form solution for the model, and analyze its properties under various parameter values. The model is used to explore topics relating to the effects of disinflationary monetary policies and inflation persistence. In particular, we employ the model to illustrate and assess the critique that standard sticky-price models generate counterfactual predictions for the effects of monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2003/200343/200343abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700380&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200343/200343abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Initial public offerings in hot and cold markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-04 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700343; Keywords: Markets; Publication Type: Working Paper; Update Code: 200404 N2 - The literature on IPOs offers a wide variety of explanations to justify the dramatic swings in the volume of IPOs observed in the market. Many theories predict that hot IPO markets are characterized by clusters of firms in particular industries for which a technological innovation has occurred, suggesting that hot and cold market IPO firms will differ in quality, prospects, or types of business. Others suggest hot market IPOs are firms that take advantage of irrational investors. We compare firms that go public in a number of hot and cold markets during 1975-2000, examining them at the time of the IPO and during the following five years. We find that both hot and cold market IPOs are largely concentrated in the same narrow set of industries and hot markets for many industries occur at the same time. We also find few distinctions in quality and scant evidence that hot market IPOs have better growth prospects. Our results suggest that technological innovations are not the primary determinant of hot markets because IPO markets cycle with greater frequency than the underlying innovations, and are more in line with the view that hot markets reflect greater investor optimism, though not necessarily active manipulation by managers. L3 - http://www.federalreserve.gov/pubs/feds/2003/200304/200304abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700343&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200304/200304abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zanna, Luis-Felipe AD - Unlisted T1 - Interest rate rules and multiple equilibria in the small open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 785 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701205; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - In a small open economy model with traded and non-traded goods this paper characterizes conditions under which interest rate rules induce aggregate instability by generating multiple equilibria. These conditions depend not only on how aggressively the rule responds to inflation, but also on the measure of inflation to which the government responds, on the degree of openness of the economy and on the degree of exchange rate pass-through. As an important policy implication, this paper finds that to avoid aggregate instability in the economy the government should implement an aggressive rule with respect to the inflation rate of the sector that has sticky prices. That is the non-traded goods inflation rate. As a by-product of this analysis, it is shown that "fear-of-floating" governments that follow a rule that responds to both the CPI-inflation rate and the nominal depreciation rate or governments that implement "super-inertial" interest rate smoothing rules may actually induce multiple equilibria in their economies. This paper also shows that for forward-looking rules, the determinacy of equilibrium conditions depends not only on the degree of openness of the economy but also on the weight that the government puts on expected future CPI-inflation rates. In fact rules that are "excessively" forward-looking always lead to multiple equilibria. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/785/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/785/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Interest rates as options: assessing the markets' view of the liquidity trap PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-45 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700377; Keywords: Interest rates ; Federal funds rate; Publication Type: Working Paper; Update Code: 200404 N2 - Nominal short term interest rates have been low in the United States, so low that some have wondered whether the federal funds rate is likely to hit its lower bound at 0 percent. Such a scenario, which some economists have called the liquidity trap, would imply that the Federal Reserve could no longer lower short-term interest rates to counter any deflationary tendencies in the economy. In this paper, I use an affine term structure model to infer what interest rates tell us about the probability, as assessed by financial market participants, of such an event taking place. I also examine whether U.S. short-term rates have been low enough to distort the shape of the yield curve. L3 - http://www.federalreserve.gov/pubs/feds/2003/200345/200345abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700377&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200345/200345abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zakrajsek, Egon AD - Unlisted T1 - Inventory dynamics and business cycles: what has changed? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-26 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700365; Keywords: Business cycles ; Inventories; Publication Type: Working Paper; Update Code: 200404 N2 - Despite the recent patch of sluggish growth, the U.S. economy has experienced a period of remarkable stability since the mid-1980s. One popular explanation attributes the diminished variability of economic activity to information-technology-led improvements in inventory management. Our results, however, indicate that the changes in inventory dynamics since the mid-1980s played a reinforcing---rather than a leading---role in the volatility reduction. Movements in the volatility of manufacturing output over the past three decades almost entirely reflect changes in the variability of the growth contribution of sales. Although the volatility of total inventory investment has fallen, the decline occurred well before the mid-1980s and was driven by the reduced variability of materials and supplies. Our analysis does show that since the mid-1980s, inventory dynamics have played a role in stabilizing manufacturing production: Inventory "imbalances" tend to correct more rapidly, and the quicker response of inventories to monetary policy and commodity price shocks buffers production from fluctuations in sales to a greater extent. But more extensive production smoothing and faster dissolution of inventory imbalances appear to be a consequence of changes in the way industry-level sales and aggregate economic activity respond to shocks, rather than a cause of changes in macroeconomic behavior. L3 - http://www.federalreserve.gov/pubs/feds/2003/200326/200326abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700365&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200326/200326abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Wang, Shing-Yi AD - Unlisted AD - Unlisted T1 - IT investment and Hicks' composite-good theorem: the U.S. experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 767 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701186; Keywords: Information technology ; Econometric models ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - We study whether aggregation residuals in U.S. private investment in information technology (IT) exhibit a predictable pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one can extract such a pattern, we apply the general-to-specific strategy developed by Krolzig and Hendry (2001). This strategy combines ordinary least squares with a computer-automated algorithm that selects a specification based on coefficients' statistical significance, residual properties, and parameter constancy. Then, we derive the testable implications from Hicks' theorem and evaluate them with econometric formulations; we find qualified support for these implications. Having obtained these formulations, we evaluate their ex-post predictive accuracy and compare it to that of an autoregressive model. The key finding is that ignoring movement in relative prices results in a loss of information for predicting aggregation residuals. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/767/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701186&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/767/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Hao AD - Unlisted T1 - Ito conditional moment generator and the estimation of short rate processes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-32 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700370; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper exploits the Ito's formula to derive the conditional moments vector for the class of interest rate models that allow for nonlinear volatility and flexible jump specifications. Such a characterization of continuous-time processes by the Ito Conditional Moment Generator noticeably enlarges the admissible set beyond the affine jump-diffusion class. A simple GMM estimator can be constructed based on the analytical solution to the lower order moments, with natural diagnostics of the conditional mean, variance, skewness, and kurtosis. Monte Carlo evidence suggests that the proposed estimator has desirable finite sample properties, relative to the asymptotically efficient MLE. The empirical application singles out the nonlinear quadratic variance as the key feature of the U.S. short rate dynamics. L3 - http://www.federalreserve.gov/pubs/feds/2003/200332/200332abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700370&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200332/200332abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Smith, David C. AD - Unlisted T1 - Loans to Japanese borrowers PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 769 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701184; Keywords: Bank loans ; Banks and banking - Japan; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the characteristics of loans to Japanese borrowers using a relatively unexplored, contract-specific data set. I find that Japanese banks charge less on loans to Japanese borrowers than do foreign banks, holding constant many of the risk characteristics of the borrower. Moreover, Japanese banks vary pricing less across these risks than do foreign banks, suggesting that Japanese banks tend not to distinguish good risks from bad. Taken together, the results suggest that problems at Japanese banks stem from the behavior of the banks themselves, not simply from poor economic conditions. I also document a significant shortening in the maturity structure of Japanese loans in the late 1990s. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/769/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701184&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/769/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Long-run supply effects and the elasticities approach to trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 754 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701169; Keywords: Imports ; International trade; Publication Type: Working Paper; Update Code: 200404 N2 - Krugman (1989) argued that differences across countries in estimated income elasticities of import demand are due to omission of an exporter supply effect. He showed that such an effect can be derived in a theoretical model with economies of scale in production and a taste for variety in consumption. In his model, countries grow by producing new varieties of goods, and they are able to export these goods without suffering any deterioration in their terms of trade. This paper analyzes U.S. import demand from different source countries and finds strong evidence of a supply effect of roughly half the magnitude (0.75) of the income elasticity (1.5). Price elasticities for the most part are estimated close to -1, which is typical for the literature. Exclusion of the supply effect leads to overestimation of the income elasticity. Results based on U.S. exports to different destinations are less robust, but largely corroborate these findings. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/754/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701169&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/754/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AD - Unlisted T1 - Market power and inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 783 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701195; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the extent to which a decline in market power could have contributed to the general decline in inflation rates experienced in developed countries during the 1990s. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/783/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701195&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/783/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dick, Astrid A. AD - Unlisted T1 - Market structure and quality: an application to the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-14 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700353; Keywords: Banking market ; Banking structure; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents empirical evidence consistent with the predictions of the endogenous sunk cost model of Sutton (1991), with an application to banks. In particular, banking markets remain concentrated regardless of market size. Given an asymmetric oligopoly where dominant and fringe firms coexist, the number of dominant banks remains unchanged with market size, with only the number of fringe banks varying across markets. Such structure is sustained by competitive investments in quality, with the level of quality increasing with market size and dominant banks providing higher quality than fringe banks. The analysis has implications for antitrust policy. L3 - http://www.federalreserve.gov/pubs/feds/2003/200314/200314abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700353&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200314/200314abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wascher, William AU - Naumark, David AD - Unlisted AD - T1 - Minimum wages, labor market institutions, and youth employment: a cross-national analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-23 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700360; Keywords: Minimum wage ; Labor market ; Employment; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate the employment effects of changes in national minimum wages using a pooled cross-section time-series data set comprising 17 OECD countries for the period 1975-2000, focusing on the impact of cross-country differences in minimum wage systems and in other labor market institutions and policies that may either offset or amplify the effects of minimum wages. The average minimum wage effects we estimate using this sample are consistent with the view that minimum wages cause employment losses among youths. However, the evidence also suggests that the employment effects of minimum wages vary considerably across countries. In particular, disemployment effects of minimum wages appear to be smaller in countries that have subminimum wage provisions for youths. Regarding other labor market policies and institutions, we find that more restrictive labor standards and higher union coverage strengthen the disemployment effects of minimum wages, while employment protection laws and active labor market policies designed to bring unemployed individuals into the work force help to offset these effects. Overall, the disemployment effects of minimum wages are strongest in the countries with the least regulated labor markets. L3 - http://www.federalreserve.gov/pubs/feds/2003/200323/200323abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700360&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200323/200323abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - Modeling aggregate investment: a fundamentalist approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-48 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700387; Keywords: Capital ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper applies some lessons from recent estimation of investment models with firm-level data to the aggregate data with an eye to rehabilitating convex costs of adjusting the capital stock. In recent firm-level work, the response of investment to output and other "fundamental" variables is interpreted in terms of the traditional convex-adjustment-cost model, implying annual capital-stock adjustment speeds on the order of 15 to 35 percent. In aggregate data, I find that this "fundamentalist" model can account for the reduced-form effect of output on investment and the estimated capital-stock adjustment speed is similar to those from firm-level studies B--around 25 percent per year. To account for the slower adjustment to changes in the cost of capital, I consider a model in which the capital-intensity of production is also costly to adjust. I find that this model can account for the reduced-form effects of both output and the cost of capital on investment. L3 - http://www.federalreserve.gov/pubs/feds/2003/200348/200348abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700387&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200348/200348abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Monetary policy and the yield curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-15 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700354; Keywords: Interest rates ; Swaps (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve. L3 - http://www.federalreserve.gov/pubs/feds/2003/200315/200315abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700354&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200315/200315abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Lange, Joe AD - Unlisted AD - Unlisted T1 - Money demand and equity markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-03 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700345; Keywords: Stock exchanges ; Demand for money; Publication Type: Working Paper; Update Code: 200404 N2 - Money demand in part reflects a portfolio decision. As equities have become a significant store of household wealth, it seems plausible that variations in equity markets could affect money demand. We re-specify a standard money demand equation to include stock market volatility and revisions to analyst earnings projections. We find that these equity market variables are statistically significant and reduce the errors from money demand models. L3 - http://www.federalreserve.gov/pubs/feds/2003/200303/200303abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700345&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200303/200303abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dick, Astrid A. AD - Unlisted T1 - Nationwide branching and its impact on market structure, quality and bank performance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-35 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700371; Keywords: Industrial organization (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - Based on a sample for 1993-1999, this paper examines the effects of nationwide branching, following the Riegle-Neal Act, on various aspects of banking markets and bank service and performance. While concentration at the regional level has increased dramatically, deregulation has left almost intact the market structure of urban markets, which have between two to three dominant firms--controlling over half of a market's deposits--in 1999 just as they did in 1993. A significant portion of the observed increase in bank quality can be traced to the implementation of nationwide branching. By allowing banks to open branches in any state, the new regime has permitted consumers to enjoy greater networks, free of fees, throughout large geographic regions. Consistent with an increase in service quality, costs and service fees increase. Credit risk increases as greater geographic diversification might provide a hedge against greater risk-return choices. Coherent with these findings and an increase in lending competition and profit efficiency, spreads fall and profits are unaffected. L3 - http://www.federalreserve.gov/pubs/feds/2003/200335/200335abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700371&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200335/200335abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Selaive, Jorge AU - Tuesta, Vincente AD - Unlisted AD - Unlisted T1 - Net foreign assets and imperfect pass-through: the consumption real exchange rate anomaly PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 764 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701181; Keywords: Risk ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - An unresolved issue in international macroeconomics is the apparent lack of risk-sharing across countries, which contradicts the prediction of models based on the assumption of complete markets. We assess the importance of financial frictions in this issue by constructing an incomplete market model with stationary net foreign assets (NFA) and imperfect pass-through (IPT). In this paper, there is a cost of bond holdings that allows us to incorporate the dynamics of NFA into the risk-sharing condition. On theoretical grounds, our results suggest that the dynamics of NFA may account for the lack of risk-sharing across countries. In addition, the IPT mechanism, by closing the current account channel, does not help to explain this feature of the data. On empirical grounds, we test the risk-sharing condition derived in the paper, and we find that growth factors of consumption and real exchange rates behave in a manner that may be consistent with a significant role for the net foreign asset position. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/764/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701181&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/764/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laubach, Thomas AD - Unlisted T1 - New evidence on the interest rate effects of budget deficits and debt PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-12 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700352; Keywords: Debts, Public ; Budget deficits ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - Estimating the effects of government debt and deficits on Treasury yields is complicated by the need to isolate the effects of fiscal policy from other influences. To abstract from the effects of the business cycle, and associated monetary policy actions, on debt, deficits, and interest rates, this paper studies the relationship between long-horizon expected government debt and deficits, measured by CBO and OMB projections, and expected future long-term interest rates. The estimated effects of government debt and deficits on interest rates are statistically and economically significant: a one percentage point increase in the projected deficit-to-GDP ratio is estimated to raise long-term interest rates by roughly 25 basis points. Under plausible assumptions these estimates are shown to be consistent with predictions of the neoclassical growth model. L3 - http://www.federalreserve.gov/pubs/feds/2003/200312/200312abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700352&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200312/200312abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Doyle, Brian M. AD - Unlisted AD - Unlisted T1 - New Keynesian, open-economy models and their implications for monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 762 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701179; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - The considerable amount of research in recent years on New Keynesian, open-economy models--models with nominal price rigidities and intertemporally maximizing agents--has yielded fresh insights for what Alan Blinder has called the "dark art" of making monetary policy. The literature has made its greatest contributions in understanding the transmission of shocks across countries, exchange rate pass-through and the effects of different pricing rules, and how these impact optimal monetary policy rules and international policy coordination. While the literature has by no means solved the great mysteries of open-economy macroeconomics, it has laid out a framework where we can ask normative questions of monetary policy, such as how much a central bank should react to movements in the exchange rate. However, monetary policy remains an empirical endeavour, and would be helped by further work which empirically estimates or calibrates these new models. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/762/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701179&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/762/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Palis, Rebeca de la Rocque AU - Ramos, Roberto Luis Olinto AU - Robitaille, Patrice AD - Unlisted AD - Unlisted AD - Unlisted T1 - News or noise? an analysis of Brazilian GDP announcements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 776 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701192; Publication Type: Working Paper; Update Code: 200404 N2 - Revisions to GDP announcements in many countries are often large, and Faust, Rogers, and Wright (2003) have found that G-7 GDP revisions are predictable to varying degrees. In this paper, we extend FRW to study revisions to Brazilian GDP announcements. We document that revisions to Brazilian GDP are large relative to those of G-7 countries. Brazilian GDP revisions are also predictable, which is consistent with the view that GDP revisions correct errors in preliminary GDP rather than reflect news. However, GDP revisions are far from being entirely predictable. Although GDP revisions are largest only one year following the initial GDP release, those revisions are nearly unpredictable. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/776/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701192&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/776/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kimura, Takeshi AU - Kurozumi, Takushi AD - Unlisted AD - Unlisted T1 - Optimal monetary policy in a micro-founded model with parameter uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-67 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700409; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we structurally model uncertainty with a micro-founded model, and investigate its implications for optimal monetary policy. Uncertainty about deep parameters of the model implies that the central bank simultaneously faces both uncertainty about the structural dynamic equations and about the social loss function. Considering both uncertainties with cross-parameter restrictions based on the micro-foundations of the model, we use Bayesian methods to determine the optimal monetary policy that minimizes the expected loss. Our analysis shows how uncertainty can lead the central bank to pursue a more aggressive monetary policy, overturning Brainard's common wisdom. As the degree of uncertainty about inflation dynamics increases, the central bank should place much more weight on price stability, and should respond to shocks more aggressively. In addition, when the central bank is uncertain about output dynamics, an aggressive policy response can be justified by the positive correlation between policy multiplier and transmission of natural rate of interest shock as well as the effect of loss-function uncertainty. We also show that combining a more aggressive policy response with a highly inertial interest rate policy reduces Bayesian risk. L3 - http://www.federalreserve.gov/pubs/feds/2003/200367/200367abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700409&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200367/200367abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph AU - Martin, Robert AD - Unlisted AD - Unlisted T1 - Precautionary savings and the wealth distribution with illiquid durables PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 773 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701201; Keywords: Durable goods, Consumer ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - We study the role an illiquid durable consumption good plays in determining the level of precautionary savings and the distribution of wealth in a standard Aiyagari model (i.e. a model with heterogeneous agents, idiosyncratic uncertainty, and borrowing constraints). Transactions costs induce an inaction region over which the durable stock and the associated user cost are not adjusted in response to changes in income, increasing, on average, the volatility of non-durable consumption. The volatility of total consumption is then a function of the share of the durable good in the utility function and the width of the inaction region. We are particularly interested in parameterizations which increase the precautionary motive for saving through an increase in "committed expenditure risk." We find, for an empirically relevant share of durable consumption and for all transaction costs below an upper threshold, that the level of precautionary savings is increasing in the transaction costs. Transaction costs have only a modest impact on the degree of wealth dispersion, as measured by the Gini index, as the associated increase in savings is close to linear in wealth. While we are unable to match the dispersion of wealth in the data, we increase the dispersion over a single asset model (Gini index of .71 for financial assets and .37 for total wealth) and we are able to match the relative dispersion of financial to durable assets, i.e. we find financial assets much more unequal than durable assets. We also match the ratio of housing wealth to total wealth for the median agent. We calibrate the model to data from the PSID, the CES, and the SCF. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/773/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/773/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Guenter AU - Orphanides, Athanasios AU - Wieland, Volker AD - European Central Bank AD - Board of Governors of the Federal Reserve System, Washington D.C. AD - Goethe University of Frankfurt and CEPR T1 - Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero PB - European Central Bank, Working Paper Series: 231 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0820778; Publication Type: Working Paper; Update Code: 200603 N2 - This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zero bound are negligible for target inflation rates as low as 2 percent. However, the effects of the constraint are non-linear with respect to the inflation target and produce a quantitatively significant deterioration of the performance of the economy with targets between 0 and 1 percent. The variability of output increases significantly and that of inflation also rises somewhat. Also, we show that the asymmetry of the policy ineffectiveness induced by the zero bound generates a non-vertical long-run Phillips curve. Output falls increasingly short of potential with lower inflation targets. KW - Price Level; Inflation; Deflation E31 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 L3 - http://www.ecb.int/pub/pdf/scpwps/ecbwp231.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0820778&site=ehost-live&scope=site UR - http://www.ecb.int/pub/pdf/scpwps/ecbwp231.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Productive capacity, product varieties, and the elasticities approach to the trade balance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 781 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701194; Keywords: International trade ; Productivity ; Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - Most macroeconomic models imply that faster output growth tends to lower a country's trade balance by raising its imports with little change to its exports. Krugman (1989) proposed a model in which countries grow by producing new varieties of goods. In his model, faster-growing countries are able to export these new goods and maintain balanced trade without suffering any deterioration in their terms of trade. This paper analyzes the growth of U.S. imports from different source countries and finds strong support for Krugman's model. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/781/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701194&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/781/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AD - Unlisted T1 - Productivity growth and the Phillips curve in Canada PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 787 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701203; Keywords: Inflation (Finance) - Canada ; Phillips curve ; Unemployment - Canada; Publication Type: Working Paper; Update Code: 200404 N2 - This study examines the impact of productivity growth on the relationship between inflation and unemployment in Canada. Recently it has been suggested that higher productivity growth is responsible for a shift in the U.S. Phillips curve that occurred in the late 1990s. This paper examines whether the Phillips curve in Canada shifted in a manner similar to that of the United States, and the degree to which higher productivity growth explains this shift. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/787/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/787/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leeper, Eric M. AU - Roush, Jennifer E. AD - Unlisted AD - Unlisted T1 - Putting 'M' back in monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 761 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701175; Keywords: Demand for money ; Money supply ; Money theory; Publication Type: Working Paper; Update Code: 200404 N2 - Money demand and the stock of money have all but disappeared from monetary policy analyses. This paper is an empirical contribution to the debate over the role of money in monetary policy analysis. The paper models supply and demand interactions in the money market and finds evidence of an essential role for money in the transmission of policy. Across sub-samples, it finds evidence consistent with the following inferences: (1) the money stock and the interest rate jointly transmit monetary policy; (2) for a given exogenous change in the nominal interest rate, the estimated impact of policy on economic activity increases monotonically with the response of the money supply; (3) the path of the real rate is not sufficient for determining policy impacts. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/761/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701175&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/761/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bansal, Ravi AU - Zhou, Hao AD - Unlisted AD - T1 - Regime-shifts, risk premiums in the term structure, and the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-21 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700363; Keywords: Interest rates ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We examine various dynamic term structure models for monthly US Treasury yields from 1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent evidence indicates that using multiple forward rates can sharply predict future excess returns on bonds; the R2 of this predictability regression can be as high as 30%. In addition, the projection coefficients in these predictability regressions exhibit a tent shaped pattern that relates to the maturity of the forward rate. This dimension of the data in conjunction with the transition dynamics of bond yields (i.e., conditional volatility and cross-correlation of bond yields) poses an serious challenge to term structure models. In this paper we present and estimate a regime-shifts term structure model, and our findings show that this model can account for all aspects of the predictability regression and the transition dynamics of yields. Alternative models, such as affine factor models, cannot account for these features of the data. We find that the regimes in the model are related to the NBER business-cycle indicator. L3 - http://www.federalreserve.gov/pubs/feds/2003/200321/200321abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700363&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200321/200321abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AU - Wang, Shing-Yi B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Revisiting the Border: an assessment of the law of one price using very disaggregated consumer price data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 777 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701193; Keywords: Prices ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - We reexamine the evidence for border effects in deviations from the law of one price, using data for consumer prices from Canadian and U.S. cities. The study parallels Engel and Rogers (1996), except that this study uses actual price data rather than price index data. We find evidence of border effects both in the levels of prices and the percentage change in prices. Even accounting for distance between cities and relative population sizes, we find that the absolute difference between prices in the U.S. and Canada in our data (annual from 1990 to 2002) is greater than seven percent. This difference exists among tradables and nontradables, though for some categories of tradables (clothing and durables) the difference is smaller. The findings are similar for annual changes, though the magnitude is smaller: the border accounts for a difference in 1.5 percent in annual (log) price changes. Relative population sizes and distance are helpful in explaining price level differences (between Canadian and U.S. cities) for traded goods, but are less helpful in explaining price level differences for nontraded goods or for accounting for differences in price changes for either traded or nontraded goods. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/777/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701193&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/777/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edelberg, Wendy AD - Unlisted T1 - Risk-based pricing of interest rates in household loan markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-62 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700403; Keywords: Loans, Personal ; Household - Finance; Publication Type: Working Paper; Update Code: 200404 N2 - Focusing on observable default risk's role in loan terms and the subsequent consequences for household behavior, this paper shows that lenders increasingly used risk-based pricing of interest rates in consumer loan markets during the mid-1990s. It tests three resulting predictions. First, the premium paid per unit of risk should have increased over this period. Second, debt levels should react accordingly. Third, fewer high-risk households should be denied credit, further contributing to the interest rate spread between the highest- and lowest-risk borrowers. For those obtaining loans, the premium paid per unit of risk did indeed become significantly larger over this time period. For example, given a 0.01 increase in the probability of bankruptcy, the corresponding interest rate increase tripled for first mortgages, doubled for automobile loans and rose nearly six times for second mortgages. Additionally, changes in borrowing levels and debt access reflected these new pricing practices, particularly for secured debt. Borrowing increased most for the low-risk households who saw their relative borrowing costs fall. Furthermore, while credit access increased for very high-risk households, the increases in their risk premiums implied that their borrowing as a whole either rose less or, sometimes, fell. L3 - http://www.federalreserve.gov/pubs/feds/2003/200362/200362abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700403&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200362/200362abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Robust monetary policy rules with unknown natural rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-11 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700351; Keywords: Monetary policy ; Unemployment ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the performance and robustness properties of alternative monetary policy rules in the presence of structural change that renders the natural rates of interest and unemployment uncertain. Using a forward-looking quarterly model of the U.S. economy, estimated over the 1969-2002 period, we show that the cost of underestimating the extent of misperceptions regarding the natural rates significantly exceeds the costs of overestimating such errors. Naive adoption of policy rules optimized under the false presumption that misperceptions regarding the natural rates are likely to be small proves particularly costly. Our results suggest that a simple and effective approach for dealing with ignorance about the degree of uncertainty in estimates of the natural rates is to adopt difference rules for monetary policy, in which the short-term nominal interest rate is raised or lowered from its existing level in response to inflation and changes in economic activity. These rules do not require knowledge of the natural rates of interest or unemployment for setting policy and are consequently immune to the likely misperceptions in these concepts. To illustrate the differences in outcomes that could be attributed to the alternative policies we also examine the role of misperceptions for the stagflationary experience of the 1970s and the disinflationary boom of the 1990s. L3 - http://www.federalreserve.gov/pubs/feds/2003/200311/200311abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700351&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200311/200311abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hoover, Kevin AU - Demiralp, Selva AD - U of California, Davis AD - Board of Governors of the Federal Reserve System T1 - Searching for the Causal Structure of a Vector Autoregression PB - University of California at Davis, Department of Economics, Working Papers Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1014041; Publication Type: Working Paper; Update Code: 200902 N2 - Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form (the SVAR) in which the contemporaneous variables stand in a well-defined causal order. These identifying transformations are not unique. It is widely believed that practitioners must choose among them using a priori theory or other criteria not rooted in the data under analysis. We show how to apply graph-theoretic methods of searching for causal structure based on relations of conditional independence to select among the possible causal orders--or at least to reduce the admissible causal orders to a narrow equivalence class. The graph-theoretic approaches were developed by computer scientists and philosophers (Pearl, Glymour, Spirtes among others) and applied to cross-sectional data. We provide an accessible introduction to this work. Then building on the work of Swanson and Granger (1997), we show how to apply it to searching for the causal order of an SVAR. We present simulation results to show how the efficacy of the search method algorithm varies with signal strength for realistic sample lengths. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. KW - Statistical Simulation Methods: General C15 L3 - http://www.econ.ucdavis.edu/working_papers/03-3.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1014041&site=ehost-live&scope=site UR - http://www.econ.ucdavis.edu/working_papers/03-3.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rigobon, Roberto AU - Sack, Brian AD - Unlisted AD - Unlisted T1 - Spillovers across U.S. financial markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-13 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700356; Keywords: Financial markets ; Assets (Accounting) - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Movements in the prices of different assets are likely to directly influence one another. This paper identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we estimate a "structural-form GARCH" model that includes the short-term interest rate, the long-term interest rate, and the stock market. The results indicate that there are strong contemporaneous interactions between these variables. Accounting for this behavior is critical for interpreting daily changes in asset prices and for predicting the future paths of their variances and correlations. We demonstrate the importance of this consideration in a risk-management application. L3 - http://www.federalreserve.gov/pubs/feds/2003/200313/200313abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700356&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200313/200313abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Driscoll, John C. AU - Ito, Harumi AD - Unlisted AD - Unlisted T1 - Sticky prices, coordination and enforcement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-30 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700381; Keywords: Monopolistic competition ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Price-setting models with monopolistic competition and costs of changing prices exhibit coordination failure: In response to a monetary policy shock, individual agents lack incentives to change prices even when it would be Pareto-improving if all agents did so. The potential welfare gains are in part evaluated relative to a benchmark equilibrium of perfect, costless coordination; in practice, since agents will still have incentives to deviate from the benchmark equilibrium, coordination is likely to require enforcement. We consider an alternative benchmark equilibrium in which coordination is enforced by punishing deviators. This is formally equivalent to modeling agents as a cartel playing a punishment game. We show that this new benchmark implies that the welfare losses from coordination failure are smaller. Moreover, at the new benchmark equilibrium, prices are upwards-flexible but downwards-sticky. These last results suggest that the dynamic behavior of sticky-price models may more generally depend on the kind of imperfect competition assumed. L3 - http://www.federalreserve.gov/pubs/feds/2003/200330/200330abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700381&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200330/200330abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Harrison, Paul AD - Unlisted AD - Unlisted T1 - Testing conflicts of interest at bond rating agencies with market anticipation: evidence that reputation incentives dominate PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-68 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700408; Keywords: Bonds; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents the first comprehensive test of whether well-known conflicts of interest at bond rating agencies importantly influence their actions. This hypothesis is tested against the alternative that rating agency actions are primarily influenced by a countervailing incentive to protect their reputations as delegated monitors. These two hypotheses generate a number of testable predictions regarding the anticipation of credit-rating downgrades by the bond market, which we investigate using a new data set of about 2,000 credit rating migrations from Moody's and Standard & Poor's, and matching issuer-level bond prices. The findings strongly indicate that rating changes do not appear to be importantly influenced by rating agency conflicts of interest but, rather, suggest that rating agencies are motivated primarily by reputation-related incentives. L3 - http://www.federalreserve.gov/pubs/feds/2003/200368/200368abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700408&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200368/200368abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Prior, David AD - Unlisted AD - Unlisted T1 - The effect of exchange rate fluctuations on multinationals' returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 782 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701199; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines if the type of exchange rate used or size of the movement in the exchange rate matters in estimating exchange-rate exposure of U.S. nonfinancial multinationals. We find that switching from a broad trade-weighted exchange rate to a 2-digit SIC industry exchange rate increases the number of significantly exposed firms in a simple Jorion (1990) regression by 60 percent. Then separating crisis from non-crisis months we find additional evidence of exposure. Although the value of exposure does not change with the size of the exchange rate movement, we find some firms have significant exposure only in crisis periods while others have significant exposure only during normal fluctuations in exchange rates. All told, we find about 1 in 4 firms' returns is significantly affected by movement in the exchange rate between 1995 and 1999. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/782/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/782/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - The effect of exchange rates on prices, wages, and profits: a case study of the United Kingdom in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 772 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701189; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - During the 1990s the United Kingdom experienced large and sudden exchange rate movements that had no apparent impact on overall consumer prices. This paper shows that the stability of U.K. consumer prices was made possible in part by offsetting movements in the price-cost margins of foreign exporters and in part by offsetting price-cost margins in the U.K. distribution sector. At the same time, U.K. manufacturers experienced margin swings in the opposite direction, largely due to their role as exporters. Thus, sterling depreciation boosted the profits of U.K. manufacturers and squeezed the profits of U.K. distributors, while sterling appreciation had the opposite effects. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/772/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701189&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/772/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - The effect of restructuring on unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-56 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700393; Keywords: Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - This paper finds that the permanent job losses associated with industrial restructuring have significantly boosted the variance of unemployment, causing it to rise much higher in recessions than it would have without cyclically correlated restructuring. Moreover, the influence of restructuring has increased noticeably in the 1980s and 1990s, acting to increase economic instability at a time when other factors were operating to reduce it. L3 - http://www.federalreserve.gov/pubs/feds/2003/200356/200356abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700393&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200356/200356abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rigobon, Roberto AU - Sack, Brian AD - Unlisted AD - Unlisted T1 - The effects of war risk on U.S. financial markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-18 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700358; Keywords: War - Economic aspects; Publication Type: Working Paper; Update Code: 200404 N2 - This paper measures the effects of the risks associated with the war in Iraq on various U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in what we call the "war risk" factor caused declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This factor accounted for a considerable portion of the variances of these financial variables over the three months leading up to the arrival of coalition forces in central Baghdad. L3 - http://www.federalreserve.gov/pubs/feds/2003/200318/200318abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700358&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200318/200318abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AU - Sack, Brian AU - Swanson, Eric AD - Unlisted AD - Unlisted AD - Unlisted T1 - The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-50 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700396; Keywords: Interest rates ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper demonstrates that long-term forward interest rates in the U.S. often react considerably to surprises in macroeconomic data releases and monetary policy announcements. This behavior is inconsistent with the assumption of many macroeconomic models that the long-run properties of the economy are time-invariant and perfectly known by all economic agents. Under those conditions, the shocks we consider would have only transitory effects on short-term interest rates, and hence would not generate large responses in forward rates. Our empirical findings suggest that private agents adjust their expectations of the long-run inflation rate in response to macroeconomic and monetary policy surprises. Consistent with our hypothesis, forward rates derived from inflation-indexed Treasury debt show little sensitivity to these shocks, indicating that the response of nominal forward rates is mostly driven by inflation compensation. In addition, we find that in the U.K., where the long-run inflation target is known by the private sector, long-term forward rates have not demonstrated excess sensitivity since the Bank of England achieved independence in mid-1997. We present an alternative model in which agents' perceptions of long-run inflation are not completely anchored, which fits all of our empirical results. L3 - http://www.federalreserve.gov/pubs/feds/2003/200350/200350abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700396&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200350/200350abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AD - Unlisted T1 - The GSE implicit subsidy and value of government ambiguity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-64 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700395; Keywords: Federal National Mortgage Association ; Federal Home Loan Mortgage Corporation ; Federal Home Loan Bank System ; Government-sponsored enterprises; Publication Type: Working Paper; Update Code: 200404 N2 - The housing-related government-sponsored enterprises Fannie Mae and Freddie Mac (the "GSEs") have an ambiguous relationship with the federal government. Most purchasers of the GSEs' debt securities believe that this debt is implicitly backed by the U.S. government despite the lack of a legal basis for such a belief. In this paper, I estimate how much GSE shareholders gain from this ambiguous government relationship. I find that (1) the federal government's implicit subsidy of Fannie Mae and Freddie Mac has resulted in a funding advantage for the GSEs over private sector institutions, (2) the actions of GSEs result in slightly lower mortgage rates for some homeowners, (3) the government's ambiguous relationship with Fannie Mae and Freddie Mac imparts a substantial implicit subsidy to GSE shareholders, (4) the implicit government subsidy accounts for much of the GSEs' market value, (5) the GSEs would hold far fewer of their mortgage-backed securities in portfolio and their capital-to-asset ratios would be higher if they were purely private, and (6) the GSEs' implicit subsidy does not appear to have substantially increased homeownership or homebuilding. L3 - http://www.federalreserve.gov/pubs/feds/2003/200364/200364abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700395&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200364/200364abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Wang, Shing-Yi B. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The high-frequency response of exchange rates and interest rates to macroeconomic announcements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 784 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701200; Keywords: Interest rates ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - Many recent papers have studied movements in stock, bond, and currency prices over short windows of time around macro announcements. This paper adds to the announcement effects literature in two ways. First, we study the joint announcement effects across a broad range of assets--exchange rates and U.S. and foreign term structures. In order to evaluate whether the joint effects can be reconciled with conventional theory, we interpret the joint movements in light of uncovered interest rate parity or changes in risk premia. For several real macro announcements, we find that a stronger than expected release appreciates the dollar today, but that it must either (i) lower the relative risk premium for holding foreign currency rather than dollars, or (ii) imply considerable future expected dollar depreciation. The latter implies an overshooting behavior akin to that described by Dornbusch (1976). Second, we use a longer span of high frequency data than has been common in announcement work. A longer span of high frequency data contributes to the precision of our estimates and allows us to explore the possibility that the effects of macro surprises on asset prices have varied over time. We find evidence, for example, that PPI releases had a larger effect on U.S. interest rates before about 1992 than subsequently. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/784/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/784/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - The impact of credit unions on the rates offered for retail deposits by banks and thrift institutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-06 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700344; Keywords: Credit unions; Publication Type: Working Paper; Update Code: 200404 N2 - Because of the increasing significance of credit unions as potential competitors for consumer deposits, this paper examines the impact of the market presence of credit unions, variously measured, on the rates for three different types of consumer deposits offered by banks and thrift institutions. In contrast to previous studies, the sample employed covers the nation as a whole, incorporates all large urban areas, and employs survey data on deposit rates for a substantially larger number of institutions than previously employed. Despite circumstance that are argued to militate against the finding of a relationship, regression analyses yield positive coefficients of the measures of credit union presence, with statistical significance in a number of cases. L3 - http://www.federalreserve.gov/pubs/feds/2003/200306/200306abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700344&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200306/200306abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - The institutional memory hypothesis and the procyclicality of bank lending behavior PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-02 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700342; Keywords: Bank loans ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - Stylized facts suggest that bank lending behavior is highly procyclical. We offer a new hypothesis that may help explain why this occurs. The institutional memory hypothesis is driven by deterioration in the ability of loan officers over the bank's lending cycle that results in an easing of credit standards. This easing of standards may be compounded by simultaneous deterioration in the capacity of bank management to discipline its loan officers and reduction in the capacities of external stakeholders to discipline bank management. We test the empirical implications of this hypothesis using data from individual U.S. banks over the period 1980-2000. We employ over 200,000 observations on commercial loan growth measured at the bank level, over 2,000,000 observations on interest rate premiums on individual loans, and over 2,000 observations on credit standards and bank-level loan spreads from bank management survey responses. The empirical analysis provides support for the hypothesis. L3 - http://www.federalreserve.gov/pubs/feds/2003/200302/200302abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700342&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200302/200302abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gallin, Joshua AD - Unlisted T1 - The long-run relationship between house prices and income: evidence from local housing markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-17 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700357; Keywords: Housing ; Housing - Costs; Publication Type: Working Paper; Update Code: 200404 N2 - The proposition that "housing prices can't continue to outpace growth in household income" (Wall Street Journal; July 25, 2002) is the received wisdom among many housing-market observers. More formally, many in the housing literature argue that house prices and income are cointegrated. In this paper, I show that the data do not support this view. Standard tests using 27 years of national-level data do not find evidence of cointegration. However, it is known that tests for cointegration have low power, especially in small samples. I use panel-data tests for cointegration that have been shown to be more powerful than their standard time-series counterparts to test for cointegration in a panel of 95 metro areas over 23 years. Using a bootstrap approach to allow for cross-correlations in city-level house-price shocks, I show that even these more powerful tests do not reject the hypothesis of no cointegration. Thus the error-correction specification for house prices and income commonly found in the literature may be inappropriate. L3 - http://www.federalreserve.gov/pubs/feds/2003/200317/200317abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700357&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200317/200317abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - The present-value model of the current account has been rejected: round up the usual suspects PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 760 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701174; Keywords: Balance of payments ; International finance ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Tests of the present-value model of the current account are frequently rejected by the data. Standard explanations rely on the "usual suspects" of non-separable preferences, shocks to fiscal policy and the world real interest rate, and imperfect international capital mobility. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model. Monte Carlo experiments reveal that, although each of the suspects matters in some way, a "canonical" RBC model moves closest to the data when it features exogenous world real interest rate shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/760/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701174&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/760/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce AU - Ryu, Keunkwan AD - Unlisted AD - Unlisted T1 - The recall and new job search of laid-off workers: a bivariate proportional hazard model with unobserved heterogeneity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-22 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700361; Keywords: Employment; Publication Type: Working Paper; Update Code: 200404 N2 - Workers who lose their jobs can become re-employed either by being recalled to their previous employers or by finding new jobs. Workers' chances for recall should influence their job search strategies, so the rates of exit from unemployment by these two routes should be directly related. We solve a job search model to establish, in theory, a negative relationship between the recall and new job hazard rates. We look for evidence in the PSID by estimating a semi-parametric competing risks model with explicitly related hazards. We find only a small negative behavioral relationship between recall and new job hazard rates. L3 - http://www.federalreserve.gov/pubs/feds/2003/200322/200322abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700361&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200322/200322abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AU - Starr, Martha AU - Hickman, James T. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The replacement demand for motor vehicles: evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-44 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700383; Keywords: Automobile industry and trade - Finance ; Consumers ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - The motor vehicle industry has undergone important changes in recent years, including a shift in production from autos to light trucks and growth of vehicle leasing. This paper uses household-level data from the Federal Reserve's Survey of Consumer Finances to document changes in households' acquisitions and financing of motor vehicles from 1989 to 2001. We examine what types of vehicles households had, what financing arrangements were used to acquire them, and how vehicle holdings vary with such household characteristics as income, age, wealth, and creditworthiness. The data provide useful insights into the determinants of replacement demand and the use of alternative financing arrangements like leasing. L3 - http://www.federalreserve.gov/pubs/feds/2003/200344/200344abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700383&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200344/200344abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The response of hours to a technology shock: evidence based on direct measures of technology PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 790 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701204; Keywords: Technology; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate what happens to hours worked after a positive shock to technology, using the aggregate technology series computed in Basu, Fernald and Kimball (1999). We conclude that hours worked rise after such a shock. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/790/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/790/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Laubach, Thomas AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The responses of wages and prices to technology shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-65 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700406; Keywords: Wages ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reexamines wage and price dynamics in response to permanent shocks to productivity. We estimate a micro-founded dynamic general equilibrium (DGE) model of the U.S. economy with sticky wages and sticky prices using impulse responses to technology and monetary policy shocks. We utilize a flexible specification for wage- and price-setting that allows for the sluggish adjustment of both the levels of these variables-as in standard contracting models-as well as intrinsic inertia in wage and price inflation. On the price front, we find that in our VAR inflation jumps in response to an identified permanent technology shock, implying that, on average, prices adjust quickly and that there is little evidence for any intrinsic inflation inertia like that commonly found in models used for monetary policy evaluation. On the wage front, we find evidence for significant inertia in wages and some intrinsic inertia in nominal wage inflation. Our results provide support for the standard sticky-price specification of the New Keynesian model; however, the evidence on the high degree of wage inertia presents a challenge for standard models of wage setting. L3 - http://www.federalreserve.gov/pubs/feds/2003/200365/200365abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700406&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200365/200365abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AD - Unlisted T1 - The stability of dummy variable price measures obtained from hedonic regressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-05 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700386; Keywords: Price indexes; Publication Type: Working Paper; Update Code: 200404 N2 - Although the stability of coefficients from hedonic regressions has received much attention recently, that of dummy variable (DV) price indexes obtained from these regressions has not. In principle, one problem translates into the other only when some prices are not observed in the data. Numerically, however, DV measures obtained from a "typical" specification can be quite unstable even when the number of missing prices is small. To the extent that collinearity is an important source of the problem, functional forms that use (orthogonal) fixed effects to control for quality differences across goods should yield more stable estimates. Data for Intel's microprocessors are used to illustrate these points. L3 - http://www.federalreserve.gov/pubs/feds/2003/200305/200305abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700386&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200305/200305abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copeland, Adam AU - Monnet, Cyril AD - Unlisted AD - Unlisted T1 - The welfare effects of incentive schemes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-08 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700347; Keywords: Welfare; Publication Type: Working Paper; Update Code: 200404 N2 - This paper computes the change in welfare associated with the introduction of incentives. Specifically, we calculate by how much the welfare gains of increased output due to incentives outweigh workers' disutility from increased effort. We accomplish this by studying the use of incentives by a firm in the check-clearing industry. Using this firm's production records, we model and estimate the worker's dynamic effort decision problem. We find that the firm's incentive scheme has a large effect on productivity, raising it by 14% over the sample period. Using our parameter estimates, we show that the cost of increased effort due to incentives is equal to the dollar value of a 9% rise in productivity. Welfare is measured as the output produced minus the cost of effort, hence the net increase in welfare due to the introduction of the firm's bonus plan is 5%. Under a first-best scheme, we find that the net increase in welfare is 6%. L3 - http://www.federalreserve.gov/pubs/feds/2003/200308/200308abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700347&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200308/200308abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wongswan, Jon AD - Unlisted T1 - Transmission of information across international equity markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 759 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701178; Keywords: Stock exchanges ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000. Information is defined as important macroeconomic announcements in the U.S., Japan, Korea, and Thailand. Using high-frequency intraday data, I focus the study on return volatility and trading volume because the implications of new information are much clearer than for returns. I find a large and significant association between emerging-economy equity volatility and trading volume and developed-economy macroeconomic announcements at short-time horizons. This is the first strong evidence of this sort of international information transmission. Previous studies' findings of at most weak evidence may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as the measure of information. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/759/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701178&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/759/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William AD - Unlisted T1 - Tunnels and reserves in monetary policy implementation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-28 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700368; Keywords: Bank reserves ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, some central banks have implemented monetary policy without reserve requirements by using a ceiling and floor for overnight interest rates established by central bank lending and deposit facilities. This paper analyzes a theoretical model of such a "tunnel" system and the benefits of adding reserve requirements to it. However, reserve requirements may involve social costs owing to the reserve avoidance activities of banks. The paper also presents a modified model with no reserve avoidance, where banks optimally choose to hold voluntary reserve requirements. The paper highlights the importance for central banks to consider such models in light of idiosyncratic features of their own institutional environment, which may importantly condition the advisability of any particular approach. ; In recent years, some central banks have implemented monetary policy without reserve requirements by using a ceiling and floor for overnight interest rates established by central bank lending and deposit facilities. This paper analyzes a theoretical model of such a "tunnel" system and the benefits of adding reserve requirements to it. However, reserve requirements may involve social costs owing to the reserve avoidance activities of banks. The paper also presents a modified model with no reserve avoidance, where banks optimally choose to hold voluntary reserve requirements. The paper highlights the importance for central banks to consider such models in light of idiosyncratic features of their own institutional environment, which may importantly condition the advisability of any particular approach. L3 - http://www.federalreserve.gov/pubs/feds/2003/200328/200328abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700368&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200328/200328abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - U.S. investors' emerging market equity portfolios: a security-level analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 771 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701188; Keywords: Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 N2 - We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international CAPM weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/771/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701188&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/771/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chaboud, Alain P. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted T1 - Uncovered interest parity: it works, but not for long PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 752 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701170; Keywords: Interest rates ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - The failure of uncovered interest parity can be ascribed to the existence of a risk premium. The size of this risk premium may shrink to zero over sufficiently small intervals of time. In contrast, because no interest is paid on intradaily positions and interest is instead paid discretely at the point when a position is rolled over from one day to the next, the size of the interest differential remains fixed over any interval that covers the time of the discrete interest payment. This is true no matter how short that interval is. Using a large dataset of high frequency exchange rate data, we run uncovered interest parity regressions over different time intervals. We replicate the rejection of the uncovered interest parity hypothesis with daily data, but find results that are consistently much more supportive of the uncovered interest parity hypothesis over short windows of intradaily data that span the time of the discrete interest payment. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/752/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701170&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/752/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bollerslev, Tim AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Volatility puzzles: a unified framework for gauging return-volatility regressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-40 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700375; Keywords: Financial markets; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides a simple unified framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, the correlation between return and implied volatility is unambiguously positive for all reasonable parameter configurations. Second, the lagged return-volatility asymmetry, or the leverage effect, is always stronger for implied than realized volatility. Third, implied volatilities generally provide downward biased forecasts of subsequent realized volatilities. Our results help explain previous findings reported in the extant empirical literature, and is further corroborated by new estimation results for a sample of monthly returns and implied and realized volatilities for the aggregate S&P market index. L3 - http://www.federalreserve.gov/pubs/feds/2003/200340/200340abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700375&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200340/200340abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cai, Fang AD - Unlisted T1 - Was there front running during the LTCM crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 758 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701177; Keywords: Capital market ; Financial crises; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses a unique dataset of audit trail transactions to examine the trading behavior of market makers in the Treasury bond futures market when Long-Term Capital Management (LTCM) faced binding margin constraints in 1998. Although identities are concealed in the dataset, I find strong evidence that during the crisis market makers in the aggregate engaged in front running against customer orders from a particular clearing firm (coded "PI7") that closely match various features of LTCM's trades through Bear Stearns. That is, market makers traded on their own accounts in the same direction as PI7 customers did, but one or two minutes beforehand. Furthermore, a significant percentage of market makers made abnormal profits on most of the trading days during the crisis. Their aggregate abnormal profits, however, were more than offset by abnormal losses realized after the private sector recapitalization of LTCM. Moreover, I show that before the rescue, a market maker's cumulative abnormal profit was positively correlated both to her tie as contra party with PI7 and to the intensity of her front running, but these relationships turned negative after the rescue. The overall evidence suggests that the recapitalization plan effectively relaxed LTCM's binding constraints and therefore reversed the profitability of front running. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/758/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701177&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/758/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Perozek, Maria AU - Coronado, Julia Lynn AD - Unlisted AD - T1 - Wealth effects and the consumption of leisure: retirement decisions during the stock market boom of the 1900s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-20 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700362; Keywords: Stock market ; Retirement ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - It is well accepted that households increase consumption of goods and services in response to an unexpected increase in wealth. Consensus estimates of this wealth effect are in the range of 3 to 5 cents of additional consumption spending in the long run for each additional dollar of wealth. Economic theory also suggests that consumption of leisure, like consumption of goods and services, should increase with positive shocks to wealth. In this paper, we ask whether the run-up in equity prices during the 1990s led older workers to retire earlier than they had previously planned. We identify the effect by exploiting unique data on retirement expectations from the Health and Retirement Survey. Our econometric results suggest that respondents who held corporate equity immediately prior to the bull market of the 1990s retired, on average, 7 months earlier than other respondents. L3 - http://www.federalreserve.gov/pubs/feds/2003/200320/200320abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700362&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200320/200320abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Kim, Sunghyun Henry AD - Unlisted AD - Unlisted T1 - Welfare effects of tax policy in open economies: stabilization and cooperation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-51 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700391; Keywords: Welfare ; Income tax; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies an international tax policy design problem by employing a two-country dynamic general equilibrium model with incomplete asset markets. We investigate the possibility of welfareimproving active tax policies, in particular capital and labor income tax, under the non-cooperative Nash equilibrium and the cooperative equilibrium. Unlike the conventional wisdom regarding stabilization policies, optimal tax policies in our economy are procyclical. Relative to the non-cooperative setting, international tax policy cooperation requires more active tax policies (about two times) and generates large extra welfare gains (by about a third). L3 - http://www.federalreserve.gov/pubs/feds/2003/200351/200351abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700391&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200351/200351abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhang, Frank X. AD - Unlisted T1 - What did the credit market expect of Argentina default? Evidence from default swap data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-25 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700366; Keywords: Credit - Argentina ; Swaps (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This article explores the expectations of the credit market by developing a parsimonious default swap model, which is versatile enough to disentangle default probability from the expected recovery rate, accommodate counterparty default risk, and allow flexible correlation between state variables. We implements the model to a unique sample of default swaps on Argentine sovereign debt, and found that the risk-neutral default probability was always higher than its physical counterpart, and the wedge between the two was affected by changes in the business cycle, the U.S. and Argentine credit conditions, and the overall strength of the Argentine economy. We also found that major rating agencies had assigned over-generous ratings to the Argentine debt, and they lagged the market in downgrading the debt. L3 - http://www.federalreserve.gov/pubs/feds/2003/200325/200325abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700366&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200325/200325abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Birchler, Urs W. AU - Hancock, Diana AD - Unlisted AD - Unlisted T1 - What does the yield on subordinated bank debt measure? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2004-19 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740556; Keywords: Debt; Banking market; Publication Type: Working Paper; Update Code: 200408 N2 - We provide evidence that a bank's subordinated debt yield spread is not, by itself, a sufficient measure of default risk. We use a model in which subordinated debt is held by investors with superior knowledge ("informed investor hypothesis"). First, we show that in theory the yield spread on subordinated debt must compensate investors for expected loss plus give them an incentive not to prefer senior debt. Second we present strong empirical evidence in favor of the informed investor hypothesis and of the existence of the incentive premium predicted by the model. Using data on the timing and pricing of public debt issues made by large U.S. banking organizations during the 1985-2002 period, we find that banks issue relatively more subordinated debt in good times, i.e. when informed investors have good news. Spreads at issuance (corrected for sample selection bias) react to (superior) private and to public information, in line with the comparative statics of the postulated incentive premium. Interestingly, as the model predicts, the influence of sophisticated investors' information on the subordinated yield spread became weaker after the introduction of prompt corrective action and depositor preference reforms, while the influence of public risk perception grew stronger. Finally, our model explains anomalies from the empirical literature on subordinated debt spreads and from market interviews (e.g. limited sensitivity to bank-specific risk and the "ballooning" of spreads in bad times). We conclude that a bank's subordinated yield spread conveys important information if interpreted together with its senior spread and with other banks' subordinated yield spreads. L3 - http://www.federalreserve.gov/pubs/feds/2004/200419/200419abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740556&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2004/200419/200419abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Eichenbaum, Martin AU - Vigfusson, Robert AD - Unlisted AD - Unlisted AD - Unlisted T1 - What happens after a technology shock? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 768 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701185; Keywords: Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - We provide empirical evidence that a positive shock to technology drives up per capita hours worked, consumption, investment, average productivity and output . This evidence contrasts sharply with the results reported in a large and growing literature that argues, on the basis of aggregate data, that per capita hours worked fall after a positive technology shock. We argue that the difference in results primarily reflects specification error in the way that the literature models the low-frequency component of hours worked. L3 - http://www.federalreserve.gov/pubs/ifdp/2003/768/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701185&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2003/768/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pingle, Jonathan F. AD - Unlisted T1 - What if welfare had no work requirements? the age of youngest child exemption and the rise in employment of single mothers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2003-57 Y1 - 2003/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700399; Keywords: Welfare; Publication Type: Working Paper; Update Code: 200404 N2 - The Personal Responsibility and Work Opportunity Reconciliation Act of 1996 required states to increase welfare recipient employment and participation in welfare-to-work programs. These work requirements are sometimes credited for bringing about large employment increases among single mothers. However, this paper finds that employment among single mothers who were exempted from work requirements because they had young children rose as much as that of other single mothers. The results imply that the employment gains among single mothers in the late 1990s were due to economic growth and other policy changes rather than to the work requirements. L3 - http://www.federalreserve.gov/pubs/feds/2003/200357/200357abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700399&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2003/200357/200357abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Wright, Jonathan H. T1 - LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. JO - Econometric Reviews JF - Econometric Reviews Y1 - 2002/11// VL - 21 IS - 4 M3 - Article SP - 397 PB - Taylor & Francis Ltd SN - 07474938 AB - Many recent papers have used semiparametric methods, especially the logperiodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometric Reviews is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REGRESSION analysis KW - MONTE Carlo method KW - SECURITIES markets KW - ESTIMATES KW - ESTIMATION theory KW - WEIGHTS & measures KW - UNITED States KW - Fractional integration KW - Heavy tails KW - Semiparametric methods KW - Stochastic volatility KW - Stock returns N1 - Accession Number: 7918837; Wright, Jonathan H. 1; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Nov2002, Vol. 21 Issue 4, p397; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MONTE Carlo method; Thesaurus Term: SECURITIES markets; Thesaurus Term: ESTIMATES; Thesaurus Term: ESTIMATION theory; Subject Term: WEIGHTS & measures; Subject: UNITED States; Author-Supplied Keyword: Fractional integration; Author-Supplied Keyword: Heavy tails; Author-Supplied Keyword: Semiparametric methods; Author-Supplied Keyword: Stochastic volatility; Author-Supplied Keyword: Stock returns; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 21p; Document Type: Article L3 - 10.1081/ETC-120015382 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7918837&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warnock, Francis E. T1 - Home bias and high turnover reconsidered JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2002/11// VL - 21 IS - 6 M3 - Article SP - 795 SN - 02615606 AB - The Tesar and Werner (J. Int. Money Finance 14 (1995) 467) finding of very high turnover rates on foreign equity portfolios is based on an underestimation of cross-border equity positions. Foreign turnover rates calculated using information from comprehensive benchmark surveys on cross-border holdings are much lower than previously reported and comparable to domestic turnover rates. However, the basic intuition from the Tesar–Werner study, that transaction costs do not help explain the observed home bias, is confirmed using data on transaction costs in 41 markets. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TURNOVER (Business) KW - EQUITY N1 - Accession Number: 7917302; Warnock, Francis E. 1; Email Address: frank.warnock@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, Washington, DC 20551, USA; Issue Info: Nov2002, Vol. 21 Issue 6, p795; Thesaurus Term: TURNOVER (Business); Subject Term: EQUITY; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7917302&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cavalluzzo, Ken S. AU - Cavalluzzo, Linda C. AU - Wolken, John D. T1 - Competition, Small Business Financing, and Discrimination: Evidence from a New Survey. JO - Journal of Business JF - Journal of Business Y1 - 2002/10// VL - 75 IS - 4 M3 - Article SP - 641 EP - 679 PB - University of Chicago Press SN - 00219398 AB - We analyze credit applications, loan denials, and interest rates paid by small businesses across owner gender, race, and ethnicity. In addition, we examine data from owners who said they did not apply for credit because they believed that their applications would have been turned down. After controlling for a rich set of explanatory variables, including personal and business credit histories, substantial differences in denial rates between firms owned by African Americans and white males remain. Moreover, consistent with Becker's classic theories (1957), we find evidence that increases in competition in the firm's local banking market reduces these differences. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - LOANS KW - CORPORATIONS -- Finance KW - SMALL business loans KW - DISCRIMINATION in financial services KW - COMPETITION N1 - Accession Number: 7678952; Cavalluzzo, Ken S. 1; Cavalluzzo, Linda C. 2; Wolken, John D. 3; Affiliations: 1: Georgetown University.; 2: The CNA Corporation.; 3: Board of Governors of the Federal Reserve System.; Issue Info: Oct2002, Vol. 75 Issue 4, p641; Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: SMALL business loans; Thesaurus Term: DISCRIMINATION in financial services; Subject Term: COMPETITION; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 39p; Document Type: Article; Full Text Word Count: 15659 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7678952&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Carpenter, S.B. AU - Jensen, R.T. T1 - Household Participation in Formal and Informal Savings Mechanisms: Evidence from Pakistan. JO - Review of Development Economics JF - Review of Development Economics Y1 - 2002/10// VL - 6 IS - 3 M3 - Article SP - 314 EP - 328 PB - Wiley-Blackwell SN - 13636669 AB - Savings are an important determinant of both individual and national wellbeing. Typically, households employ a wide range of mechanisms for saving, including both formal and informal institutions. The choice of savings instrument has important micro- and macroeconomic implications. However, little is known empirically about the patterns of use of these instruments, or the factors affecting household decisions/ abilities to use them. The authors apply household-level data from a nationally representative survey for Pakistan to explore these issues in detail. In particular, they focus on the choice between banks and bisi, an informal saving committee similar in nature to a rotating-savings-and-credit association. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Development Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAVING & investment KW - MICROECONOMICS KW - MACROECONOMICS N1 - Accession Number: 7275857; Carpenter, S.B. 1; Jensen, R.T. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Harvard University; Issue Info: Oct2002, Vol. 6 Issue 3, p314; Thesaurus Term: SAVING & investment; Thesaurus Term: MICROECONOMICS; Thesaurus Term: MACROECONOMICS; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7275857&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Benson Durham, J. T1 - The effects of stock market development on growth and private investment in lower-income countries JO - Emerging Markets Review JF - Emerging Markets Review Y1 - 2002/09// VL - 3 IS - 3 M3 - Article SP - 211 SN - 15660141 AB - Recent literature argues that stock market liberalisation has positive long- and short-run effects on macroeconomic growth and private investment, respectively. However, given a sample of up to 64 countries from 1981 through 1998, positive results for long-run growth are largely dependent on the inclusion of higher-income countries in regression samples, which limits the relevance for lower-income nations. Indeed, some evidence in this study indicates that stock market development has a more positive impact on growth for greater levels of per capita GDP, lower levels of country credit risk, and higher levels of legal development. Similarly, using a sample of 26 countries from 1981 through 1998, lagged equity price appreciation seems to boost private investment growth in the short-run, but only in rich countries. All in all, these results imply subdued enthusiasm regarding emerging equity market development. [ABSTRACT FROM AUTHOR] AB - Copyright of Emerging Markets Review is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK exchanges KW - ECONOMIC development KW - INVESTMENTS KW - Economic growth KW - Private investment KW - Stock market liberalisation N1 - Accession Number: 7875645; Benson Durham, J. 1; Email Address: j.benson.durham@frb.gov; Affiliation: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Mail Stop 71, Washington, DC 20551, USA; Source Info: Sep2002, Vol. 3 Issue 3, p211; Subject Term: STOCK exchanges; Subject Term: ECONOMIC development; Subject Term: INVESTMENTS; Author-Supplied Keyword: Economic growth; Author-Supplied Keyword: Private investment; Author-Supplied Keyword: Stock market liberalisation; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 22p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=7875645&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - GEN AU - Goldfarb, Robert S. AU - Stekler, H. O. AU - Neumark, David AU - Wascher, William AU - Stanley, T. D. T1 - Comments. JO - Journal of Economic Perspectives JF - Journal of Economic Perspectives Y1 - 2002///Summer2002 VL - 16 IS - 3 M3 - Letter SP - 225 EP - 229 PB - American Economic Association SN - 08953309 AB - Presents letters to the editor referencing topics and articles published in the previous issues. Problems being faced by a meta-analysis involving economic studies; Information on the study of journalist T. D. Stanley on meta-analysis. KW - ECONOMICS KW - JOURNALISTS KW - LETTERS to the editor KW - META-analysis KW - SOCIAL sciences -- Statistical methods N1 - Accession Number: 7479663; Goldfarb, Robert S. 1; Stekler, H. O. 1; Neumark, David 2; Wascher, William 3; Stanley, T. D. 4; Affiliations: 1: George Washington University, Washington, D.C.; 2: Michigan State University, East Lansing, Michigan; 3: Board of Governors of the Federal Reserve System, Washington, D.C.; 4: Hendrix College, Conway, Arkansas; Issue Info: Summer2002, Vol. 16 Issue 3, p225; Thesaurus Term: ECONOMICS; Thesaurus Term: JOURNALISTS; Subject Term: LETTERS to the editor; Subject Term: META-analysis; Subject Term: SOCIAL sciences -- Statistical methods; NAICS/Industry Codes: 711513 Independent writers and authors; NAICS/Industry Codes: 711512 Independent actors, comedians and performers; NAICS/Industry Codes: 711510 Independent Artists, Writers, and Performers; Number of Pages: 5p; Document Type: Letter; Full Text Word Count: 2897 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7479663&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gordy, Michael B. T1 - Saddlepoint approximation of CreditRisk+. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2002/07// VL - 26 IS - 7 M3 - Article SP - 1335 SN - 03784266 AB - CreditRisk+ is an influential and widely implemented model of portfolio credit risk. As a close variant of models long used for insurance risk, it retains the analytical tractability for which the insurance models were designed. Value-at-risk (VaR) can be obtained via a recurrence-rule algorithm, so Monte Carlo simulation can be avoided. Little recognized, however, is that the algorithm is fragile. Under empirically realistic conditions, numerical error can accumulate in the execution of the recurrence rule and produce wildly inaccurate results for VaR. This paper provides new tools for users of CreditRisk+ based on the cumulant generating function (cgf) of the portfolio loss distribution. Direct solution for the moments of the loss distribution from the cgf is almost instantaneous and is computationally robust. Thus, the moments provide a convenient, quick and independent diagnostic on the implementation and execution of the standard solution algorithm. I show how tail percentiles of the loss distribution can be calculated quickly and easily by saddlepoint approximation. On a large and varied sample of simulated test portfolios, I find a natural complementarity between the two algorithms: Saddlepoint approximation is accurate and robust in those situations for which the standard algorithm performs least well, and is less accurate in those situations for which the standard algorithm is fast and reliable. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PORTFOLIO management (Investments) KW - RISK KW - FINANCE -- Mathematical models KW - CREDIT risk KW - ESTIMATION theory KW - METHOD of steepest descent (Numerical analysis) KW - Approximation of quantiles. KW - Portfolio credit risk KW - Value at risk N1 - Accession Number: 7205774; Gordy, Michael B. 1; Email Address: mgordy@frb.gov; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Mail Stop 153, Washington, DC 20551, USA; Issue Info: Jul2002, Vol. 26 Issue 7, p1335; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: RISK; Thesaurus Term: FINANCE -- Mathematical models; Thesaurus Term: CREDIT risk; Thesaurus Term: ESTIMATION theory; Subject Term: METHOD of steepest descent (Numerical analysis); Author-Supplied Keyword: Approximation of quantiles.; Author-Supplied Keyword: Portfolio credit risk; Author-Supplied Keyword: Value at risk; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 19p; Illustrations: 1 Chart, 9 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7205774&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FAUST, JON AU - SVENSSON, LARS E. O. T1 - The Equilibrium Degree of Transparency and Control in Monetary Policy. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2002/05// VL - 34 IS - 2 M3 - Article SP - 520 EP - 539 PB - Ohio State University Press SN - 00222879 AB - We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. We argue that discretion is the more realistic assumption for the choice of control and that commitment is more realistic for the choice of transparency. For the choice of control, under discretion maximum degree of control is the only equilibrium. For the choice of transparency, under commitment, a sufficiently patient bank with sufficiently low average inflation bias will always choose minimum transparency. Thus. a maximum feasible degree of control with a minimum degree of transparency is a likely outcome. The Bundesbank and the Federal Reserve System are, arguably, examples of this. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - MONETARY policy KW - INFLATION (Finance) KW - MONEY supply KW - ECONOMIC policy KW - PUBLIC spending N1 - Accession Number: 6920109; FAUST, JON 1; Email Address: faustj@frb.gov; SVENSSON, LARS E. O. 2; Email Address: Svensson@princeton.edu; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System.; 2: Professor of Economies, Princeton University.; Issue Info: May2002, Vol. 34 Issue 2, p520; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONEY supply; Thesaurus Term: ECONOMIC policy; Thesaurus Term: PUBLIC spending; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6920109&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR ID - 2002-15745-005 AN - 2002-15745-005 AU - Avery, Robert B. AU - Rendall, Michael S. T1 - Lifetime Inheritances of Three Generations of Whites and Blacks. JF - American Journal of Sociology JO - American Journal of Sociology JA - AJS Y1 - 2002/03// VL - 107 IS - 5 SP - 1300 EP - 1346 CY - US PB - Univ of Chicago Press SN - 0002-9602 AD - Avery, Robert B., Board of Governors of the Federal Reserve System, Mail Stop 153, Washington, DC, US, 20551 N1 - Accession Number: 2002-15745-005. Partial author list: First Author & Affiliation: Avery, Robert B.; Board of Governors of the Federal Reserve System, Washington, DC, US. Release Date: 20031110. Publication Type: Journal (0100), Peer Reviewed Journal (0110). Format Covered: Print. Document Type: Journal Article. Language: English. Major Descriptor: Blacks; Income (Economic); Racial and Ethnic Differences; Whites; Generational Differences. Minor Descriptor: Self-Report. Classification: Social Structure & Organization (2910). Population: Human (10); Male (30); Female (40). Location: US. Age Group: Adulthood (18 yrs & older) (300); Young Adulthood (18-29 yrs) (320); Thirties (30-39 yrs) (340); Middle Age (40-64 yrs) (360); Aged (65 yrs & older) (380). Methodology: Empirical Study; Quantitative Study. References Available: Y. Page Count: 47. Issue Publication Date: Mar, 2002. AB - This article estimates lifetime inheritances by combining survey selfreports of inheritances received with forecasts of prospective inheritances. These estimates encompass whites and blacks of the baby boom generation and the two preceding generations. The white-black gap in lifetime inheritances is found to increase both absolute black and relative racial wealth inequality. The gap is estimated to be much larger for the baby boom generation than for previous generations. Combined with the stalling of blacks' progress in earnings relative to whites' since the 1980s, the baby boom generation may thus have begun a reversal of progress toward racial economic equality, with inheritances playing a key role in this reversal. (PsycINFO Database Record (c) 2016 APA, all rights reserved) KW - lifetime inheritances KW - three generations KW - whites KW - blacks KW - white-black gap KW - racial wealth inequality KW - baby boom generation KW - 2002 KW - Blacks KW - Income (Economic) KW - Racial and Ethnic Differences KW - Whites KW - Generational Differences KW - Self-Report KW - 2002 DO - 10.1086/344840 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=psyh&AN=2002-15745-005&site=ehost-live&scope=site UR - Robert.B.Avery@frb.gov DP - EBSCOhost DB - psyh ER - TY - UNPB AU - Pence, Karen M. AD - Unlisted T1 - 401(k)s and household saving: new evidence from the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-6 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700289; Keywords: Pensions ; Retirement ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - Although households have invested billions in 401(k) accounts, these balances may not be new saving if workers invest money that they would have saved in the program's absence. In this paper, I assess the effect of the 401(k) program on saving by comparing changes in the wealth of 401(k) eligible and ineligible households over the 1989-1998 period using data from the Survey of Consumer Finances (SCF). This comparison may yield misleading estimates of the effect of 401(k)s on saving if eligible households have a higher taste for saving than ineligible households or if they begin the 1989-1998 period with greater amounts of wealth. I adjust for these potential biases by constructing subjective measures of saving taste from questions on the SCF and by transforming the wealth measure with the inverse hyperbolic sine. Incorporating these adjustments suggests that 401(k)s have little to no effect on saving. L3 - http://www.federalreserve.gov/pubs/feds/2002/200206/200206abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700289&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200206/200206abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AD - Unlisted T1 - A guide to choosing absolute bank capital requirements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 726 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701144; Keywords: Bank capital ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Resampling implementation of a stress-scenario approach to estimating portfolio default loss distributions is proposed as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk. Estimates are presented for stress scenarios of varying severity. Implications of use of different analysis time horizons are analyzed. Results for a numeraire portfolio are quite sensitive to such variations. Although the analysis is framed in terms of recent proposals to revise regulatory capital requirements for banks, the arguments and results are also relevant for bankers making capital structure decisions. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/726/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701144&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/726/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - A note on the cointegration of consumption, income, and wealth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-53 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700336; Keywords: Consumption (Economics) ; Income ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - Lettau and Ludvigson (2001) argue that a log-linearized approximation to an aggregate budget constraint predicts that log consumption, assets, and labor income will be cointegrated. They conclude that this cointegrating relationship is present in U.S. data, and that the estimated cointegrating residual forecasts future asset growth. This note examines whether the cointegrating relationship suggested by Lettau and Ludvigson's theoretical framework actually exists. We demonstrate that we cannot reject the hypothesis that cointegration is absent from the data once we employ measures of consumption, assets, and labor income that are jointly consistent with an underlying budget constraint. By contrast, Lettau and Ludvigson use a set of variables that do not belong together in an aggregate budget constraint, thereby testing a cointegrating relationship that is not implied by their theory. L3 - http://www.federalreserve.gov/pubs/feds/2002/200253/200253abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700336&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200253/200253abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AD - Unlisted T1 - A risk-factor model foundation for ratings-based bank capital rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-55 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700334; Keywords: Risk ; Econometric models ; Capital; Publication Type: Working Paper; Update Code: 200404 N2 - When economic capital is calculated using a portfolio model of credit value-at-risk, the marginal capital requirement for an instrument depends, in general, on the properties of the portfolio in which it is held. By contrast, ratings-based capital rules, including both the current Basel Accord and its proposed revision, assign a capital charge to an instrument based only on its own characteristics. I demonstrate that ratings-based capital rules can be reconciled with the general class of credit VaR models. Contributions to VaR are portfolio-invariant only if (a) there is only a single systematic risk factor driving correlations across obligors, and (b) no exposure in a portfolio accounts for more than an arbitrarily small share of total exposure. Analysis of rates of convergence to asymptotic VaR leads to a simple and accurate portfolio-level add-on charge for undiversified idiosyncratic risk. There is no similarly simple way to address violation of the single factor assumption. L3 - http://www.federalreserve.gov/pubs/feds/2002/200255/200255abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700334&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200255/200255abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bacchetta, Philippe AU - Wincoop, Eric van AD - Unlisted AD - Unlisted T1 - A theory of the currency denomination of international trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 747 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701164; Keywords: Macroeconomics ; Econometric models ; Monetary unions; Publication Type: Working Paper; Update Code: 200404 N2 - Nominal rigidities due to menu costs have become a standard element in closed economy macroeconomic modeling. The "New Open Economy Macroeconomics" literature has investigated the implications of nominal rigidities in an open economy context and found that the currency in which prices are set has significant macroeconomic and policy implications. In this paper we solve for the optimal invoicing choice by integrating this microeconomic decision at the firm level into a general equilibrium open economy model. Strategic interactions between firms play a critical role in the analysis. We find that the less competition firms face in foreign markets, as reflected in market share and product differentiation, the more likely they will price in their own currency. We also show that when a set of countries forms a monetary union, the new currency is likely to be used more extensively in trade than the sum of the currencies it replaces. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/747/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701164&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/747/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Gust, Christopher J. AU - Kamin, Steven B. AU - Huntley, Jonathan AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are depreciations as contractionary as devaluations? A comparison of selected emerging and industrial economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 737 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701153; Keywords: Foreign exchange rates ; Developing countries; Publication Type: Working Paper; Update Code: 200404 N2 - According to conventional models, flexible exchange rates play an equilibrating role in open economies, depreciating in response to adverse shocks, boosting net exports, and stimulating aggregate demand. However, critics argue that, at least in developing countries, devaluations are more contractionary and more inflationary than conventional theories would predict. Yet, it is not clear whether devaluations per se have led to adverse outcomes, or rather the disruptive abandonments of pegged exchange-rate regimes associated with devaluations. To explore this hypothesis, we estimate VAR models to compare the responses to devaluation of developing economies and two types of industrial economies: those that have consistently floated, and those that have sustained fixed exchange-rate regimes as well. We find that both of these types of industrial economies exhibit conventional (i.e., expansionary) responses to devaluation shocks, compared with the contractionary responses exhibited by developing countries. This finding suggests that exchange rate movements may be more destabilizing in developing countries than in industrial countries, regardless of exchange rate regime. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/737/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701153&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/737/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - von zur Muehlen, Peter AD - Unlisted AD - Unlisted T1 - Avoiding Nash inflation: Bayesian and robust responses to model uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-9 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700291; Keywords: Inflation (Finance) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In his 1999 monograph The Conquest of American Inflation Tom Sargent describes how a policymaker, who applies a constant-gain algorithm in estimating the Phillips curve, can fall into the grip of an induction problem: concluding on the basis of reduced-form evidence that the trade-off between inflation and output is more favorable than it actually is. This results in oscillations between periods of disinflation and reflation. The problem arises because the policymaker is naive about possible misspecification, her role in creating that misspecification, and its role in policy design. In particular, while her use of a constant-gain algorithm admits the possibility that her model may be misspecified, she does not take this into consideration when designing policy. In this paper, we relax this assumption. We derive five policy rules which treat possible misspecification in three different ways. First, the linear-quadratic Gaussian (LQG) rule exhibits the familiar pattern of escape dynamics described by Sargent. We show a rule that takes uncertainty seriously, but in a Bayesian fashion, does no better. Finally, we consider three rules that are robust in the sense of Knight. The robust rules do a worse job than the LQG approach, and sometimes a lot worse. This is so even though the induction problem faced by the policymaker provides a prima facie case for being robust. We conclude that there appears to be no obvious tool that can be applied mechanically to alleviate the induction problem. A corollary of this finding is that Sargent's story for the inflation of the 1970s is robust to relaxing a key assumption in the original monograph. L3 - http://www.federalreserve.gov/pubs/feds/2002/200209/200209abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700291&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200209/200209abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - di Patti, Emilia Bonaccorsi AD - Unlisted AD - Unlisted T1 - Capital structure and firm performance: a new approach to testing agency theory and an application to the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-54 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700337; Keywords: Bank capital ; Capitalization ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - Corporate governance theory predicts that leverage affects agency costs and thereby influences firm performance. We propose a new approach to test this theory using profit efficiency, or how close a firm's profits are to the benchmark of a best-practice firm facing the same exogenous conditions. We are also the first to employ a simultaneous-equations model that accounts for reverse causality from performance to capital structure. We also control for measures of ownership structure in the tests. We find that data on the U.S. banking industry are consistent with the theory, and the results are statistically significant, economically significant, and robust. L3 - http://www.federalreserve.gov/pubs/feds/2002/200254/200254abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700337&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200254/200254abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AD - Unlisted T1 - Causes of bank suspensions in the panic of 1893 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-11 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700292; Keywords: Banks and banking - History ; Bank failures; Publication Type: Working Paper; Update Code: 200404 N2 - There are two competing theories explaining bank panics. One argues that panics are driven by real shocks, asymmetric information, and concerns about insolvency. The other theory argues that bank runs are self-fulfilling, driven by illiquidity and the beliefs of depositors. This paper tests predictions of these two theories using information uniquely available for the Crisis of 1893. The results suggest that real economic shocks were important determinants of the location of panics at the national level, however at the local level, both insolvency and illiquidity were important as triggers of bank panics. L3 - http://www.federalreserve.gov/pubs/feds/2002/200211/200211abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700292&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200211/200211abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean AU - Barnes, Colleen AU - Panetta, Fabio AU - Salleo, Carmelo AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Consolidation and efficiency in the financial sector: a review of the international evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-47 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700330; Keywords: Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - In response to fundamental changes in regulation and technology, the financial industry around the world is undergoing an unprecedented wave of consolidation. A growing body of empirical literature has attempted to measure the efficiency gains from M&As; however there is little sense of how the results might depend on the country, industry and time period analysed. In this paper we review critically works that cover the main sectors of the financial industry (commercial and investment banks, insurance and asset management companies) in the major industrialised countries over the last twenty years, searching for common patterns that transcend national and sectoral peculiarities. We find that consolidation in the financial sector is beneficial up to a relatively small size in order to reap economies of scale, but there is little evidence that mergers yield economies of scope or gains in managerial efficiency. L3 - http://www.federalreserve.gov/pubs/feds/2002/200247/200247abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700330&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200247/200247abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AU - Maki, Dean M. AD - Unlisted AD - Unlisted T1 - Consumption, debt and portfolio choice: testing the effect of bankruptcy law PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-14 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700294; Keywords: Bankruptcy ; Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - Consumer bankruptcy laws, which vary across states and over time, permit debtors to keep assets below a statutory exemption while debts are forgiven. High exemptions distort household portfolio decisions and tempt households to default on debts, but they also provide a crude form of consumption insurance. We combine information on state-level bankruptcy laws with the Consumer Expenditure Survey from 1984-1999. We find that higher exemptions are associated with (1) higher bankruptcy rates, (2) households that are more likely to simultaneously hold low-return liquid assets and owe high-cost unsecured debt, and (3) slightly better insurance for renters and worse insurance for homeowners. L3 - http://www.federalreserve.gov/pubs/feds/2002/200214/200214abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700294&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200214/200214abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Frame, W. Scott AU - Miller, Nathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit scoring and the availability, price, and risk of small business credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-26 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700307; Keywords: Small business ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the economic effects of small business credit scoring (SBCS) and find that it is associated with expanded quantities, higher average prices, and greater risk levels for small business credits under $100,000. These findings are consistent with a net increase in lending to relatively risky "marginal borrowers" that would otherwise not receive credit, but pay relatively high prices when they are funded. We also find that: 1) bank-specific and industrywide learning curves are important; 2) SBCS effects differ for banks that adhere to "rules" versus "discretion" in using the technology; and 3) SBCS effects differ for slightly larger credits. L3 - http://www.federalreserve.gov/pubs/feds/2002/200226/200226abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700307&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200226/200226abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dick, Astrid A. AD - Unlisted T1 - Demand estimation and consumer welfare in the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-58 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700340; Keywords: Banks and banking, American ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - This paper estimates a structural demand model for commercial bank deposit services. Following the discrete choice literature, consumer decisions are based on prices and bank characteristics. The results, based on the U.S. for 1993-1999, indicate that, with respect to prices, consumers respond to deposit rates, and to a lesser extent, to account fees, in choosing a depository institution. Moreover, consumers respond favorably to the branch staffing and geographic density, as well as to the bank's age, size, and geographic diversification. In light of the banks' responses to regulatory changes throughout the period, most markets experience a slight increase in welfare. L3 - http://www.federalreserve.gov/pubs/feds/2002/200258/200258abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700340&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200258/200258abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canner, Glenn B. AU - Laderman, Elizabeth AU - Lehnert, Andreas AU - Passmore, Wayne AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does the Community Reinvestment Act (CRA) cause banks to provide a subsidy to some mortgage borrowers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-19 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700301; Keywords: Community Reinvestment Act of 1977 ; Mortgage loans; Publication Type: Working Paper; Update Code: 200404 N2 - The Community Reinvestment Act (CRA) encourages lenders to make mortgage loans to certain classes of borrowers. However, the law does not apply to all lenders, and lenders do not necessarily receive credit for all loans made to borrowers of a particular class. We use this variation to test whether or not CRA-affected lenders cut interest rates to CRA-eligible borrowers; in other words, we test for the presence of a regulation-driven subsidy. Our theory suggests that loans made by commercial banks and savings associations ("relationship lenders") and mortgage companies ("transaction lenders") will differ from one another depending on borrower risk and homeownership benefits. Empirically, we find that CRA-eligible loans at CRA-affected institutions do carry lower mortgage spreads compared with other loans at the same institution. However, once we control for risk and benefit effects suggested by our theory, these differences in mortgage spreads become economically and statistically insignificant. L3 - http://www.federalreserve.gov/pubs/feds/2002/200219/200219abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700301&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200219/200219abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - Does the labor share of income drive inflation? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-30 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700314; Keywords: Inflation (Finance) ; Phillips curve; Publication Type: Working Paper; Update Code: 200404 N2 - Woodford (2001) has presented evidence that the new-Keynesian Phillips curve fits the empirical behavior of inflation well when the labor income share is used as a driving variable, but fits poorly when deterministically detrended output is used. He concludes that the output gap--the deviation between actual and potential output--is better captured by the labor income share, in turn implying that central banks should raise interest rates in response to increases in the labor share. We show that the empirical evidence generally suggests that the labor share version of the new-Keynesian Phillips curve is a very poor model of price inflation. We conclude that there is little reason to view the labor income share as a good measure of the output gap, or as an appropriate variable for incorporation in a monetary policy rule. L3 - http://www.federalreserve.gov/pubs/feds/2002/200230/200230abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700314&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200230/200230abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AD - Unlisted T1 - Equity prices, household wealth, and consumption growth in foreign industrial countries: wealth effects in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 724 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701140; Keywords: Consumption (Economics) ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - Although most recent empirical research regarding the size and significance of the impact of changes in wealth on consumption has looked for such effects in the United States, equity prices in the 1990s rose considerably in most other industrial countries as well. This paper investigates the strength of the wealth effect across countries. Using a variety of methods, I find evidence of significant wealth effects in the United Kingdom and Canada of a size comparable to that in the United States, reflecting the importance of equities in aggregate household wealth in these countries. A significant wealth effect is also evident in Japan, but because household wealth has changed little on balance in Japan in recent years, this channel has been less important in explaining Japanese consumption growth in the second half of the 1990s. Despite a rapid appreciation in equity prices and an increase in equity ownership in the major continental European countries since 1995, equities remain a less important form of household wealth in most of these countries, and the consumption response to changes in wealth remains limited. However, in some smaller European countries where equity issuance is more common, the emerging evidence suggests that wealth effects may be more important. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/724/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701140&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/724/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cleveland, William P. AD - Unlisted T1 - Estimated variance of seasonally adjusted series PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-15 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700297; Keywords: Seasonal variations (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - For model-based seasonal adjustment, there are explicit formulas for obtaining the variance of the seasonal factors or the seasonally adjusted series. For series adjusted with X-11 or X-12, variance estimates are generally based on a linear approximation of the seasonal adjustment procedure. The work of Pfeffermann (1992) extends earlier work by Wolter and Monseur. This study uses simulated series and comparisons of alternative seasonal adjustment results for a few economic series to assess the accuracy of variance estimates. Pfeffermann's method gives good results when the true seasonal is centered and follows a fairly smooth evolution from year to year. Comparisons with formula-based computations and estimates from the Tramo-Seats programs by Maravall and Gomez show the latter can give good variance results for series adjusted with X-11 even if the seasonal factors themselves differ from X-11 factors. L3 - http://www.federalreserve.gov/pubs/feds/2002/200215/200215abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700297&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200215/200215abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Arteta, Carlos O. AD - Unlisted T1 - Exchange rate regimes and financial dollarization: does flexibility reduce bank currency mismatches? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 738 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701155; Keywords: Foreign exchange rates ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 N2 - The dollarization of bank deposits and credit is widespread in developing countries, resulting in varying degrees of currency mismatches in domestic financial intermediation, which in turn might accentuate bank balance sheet fragility. It is widely argued that flexible exchange rate regimes encourage banks to match dollar-denominated liabilities with a corresponding amount of dollar-denominated assets, ameliorating currency mismatches. Does the behavior of dollar deposits and credit in financially dollarized economies support that presumption? A new database on deposit and credit dollarization in developing and transition countries is assembled and used to address this question. Empirical results suggest that, if anything, floating regimes seem to exacerbate, rather than ameliorate, currency mismatches in domestic financial intermediation, as those regimes seem to encourage deposit dollarization more strongly than they encourage matching via credit dollarization. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/738/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701155&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/738/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - Extracting the expected path of monetary policy from futures rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-56 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700339; Keywords: Federal funds ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy. However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract the expected policy path under the assumption that risk premia are constant over time, and under a simple model that allows risk premia to vary. In the latter case, the risk premia are identified under the assumption that policy expectations level out after a long enough horizon. The results provide evidence that the risk premia on these futures contracts vary over time. The impact of this variation is fairly limited for futures contracts with short horizons, but it increases as the horizon of the contracts lengthens. L3 - http://www.federalreserve.gov/pubs/feds/2002/200256/200256abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700339&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200256/200256abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reeve, Trevor A. AD - Unlisted T1 - Factor endowments and industrial structure PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 731 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701148; Keywords: Industrial organization (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - What determines industrial structure? Do sector-specific characteristics such as unionization, regulation, and trade policy dominate production patterns? One is inclined to believe so based on countless industry-level studies and the many political battles that are continually fought over trade and industrial policy. In contrast, standard neoclassical trade theory suggests that industrial structure is primarily driven by relative factor supplies. This paper demonstrates that aggregate factor endowments explain much of the structure of production---independent of industry idiosyncrasies---and quantifies the extent to which shifts in industrial structure in a cross section of countries are driven by the broad forces of factor accumulation. This result has important implications for policy. In particular, investment in physical capital and education may have as great an impact on the pattern of production as sector-specific trade and industrial policies. Thus, general equilibrium effects should not be ignored in efforts either to understand industrial structure or to form policies that attempt to alter it. These conclusions are reached through an empirical application of the factor proportions model of production. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/731/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701148&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/731/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AU - Cleaver, Chad AD - Unlisted AD - Unlisted T1 - Financial centers and the geography of capital flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 722 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701141; Keywords: Capital movements ; Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 N2 - We examine an assumption common in empirical work on bilateral portfolio capital flows that the countries the flows are attributed to are also the countries of the security's issuer, seller, or ultimate buyer. We do this by estimating U.S. investors' holdings of debt and equities in over 40 countries and, for the same countries, foreign investors' holdings of U.S. debt and equities. A comparison of our estimates with data from benchmark surveys provides insight into U.S. data on international debt and equity transactions. We find that, contrary to the common assumption, the data do not track the location of U.S. investment or the location of investors in U.S. assets very well. Because the U.S. portfolio flow data collection system was designed to measure cross-border transactions with foreign counterparties who are often intermediaries, the majority of the flows are attributed to financial centers. By aggregating our country-level estimates, we find that U.S. data accurately portray net inflows into U.S. equities and net outflows into foreign bonds. However, the data substantially overcount net inflows into U.S. bonds and may undercount net outflows into foreign equities. We conclude with a discussion of the implications of our findings for research on capital flows. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/722/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701141&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/722/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Brett D. AD - Unlisted T1 - Finding numerical results to large scale economic models using path-following algorithms: a vintage capital example PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 728 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701145; Keywords: Econometric models ; Capital; Publication Type: Working Paper; Update Code: 200404 N2 - This paper describes the numerical optimization methods used in Berger (2001) to find the complete time paths of key economic variables in neoclassical vintage capital models. An interior and a non-interior point method are discussed. Both of the methods are part of the general class of "path-following" algorithms. These algorithms can be efficiently applied to convex programming problems; and due to the standard shape of production and utility functions, many economic problems can be written as convex programming problems. Vintage capital models add scale and complexity to standard growth models because one must now handle the dynamics of multiple capital stocks. This increase in complexity will often prevent the discovery (or existence) of closed form solutions, making numerical solutions of the type found in Berger (2001) necessary. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/728/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701145&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/728/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Robb, Alicia AU - Wolken, John AD - Unlisted AD - Unlisted T1 - Firm, owner, and financing characteristics: differences between female- and male-owned small businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-18 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700299; Keywords: Small business; Publication Type: Working Paper; Update Code: 200404 N2 - Differences in financing patterns and financial characteristics between female- and male-owned firms are often attributed to imperfections in credit markets. However, these differences could arise for many reasons, such as differences in the characteristics and preferences of owners and firms. The differences in lending patterns by gender may in fact have little or nothing to do with supply side factors or market imperfections. The goal of our paper is to test the hypothesis that differences in financing patterns between female- and male-owned small businesses can be explained by differences in business, credit history, and owner characteristics other than gender. In what follows, we first describe how owner, business, and financing characteristics of female-owned businesses differ from male-owned businesses. We then conduct a multivariate analysis of indicators of credit use and recent lending experiences, modeling each of these as a function of firm, owner, and credit history characteristics. L3 - http://www.federalreserve.gov/pubs/feds/2002/200218/200218abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700299&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200218/200218abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holmes, Thomas J. AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - Geographic concentration and establishment size: analysis in an alternative economic geography model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-17 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700298; Keywords: Regional economics ; Service industries; Publication Type: Working Paper; Update Code: 200404 N2 - Big cities specialize in services rather than manufacturing. Big-city establishments in services are larger than the national average while those in manufacturing are smaller. This paper proposes an explanation of these and other facts. The theory is developed in an economic geography model that is an alternative to the standard Dixit-Stiglitz structure. In our tractable structure that has potentially wider application, firms have monopoly power in local markets, but are price takers in export markets. L3 - http://www.federalreserve.gov/pubs/feds/2002/200217/200217abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700298&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200217/200217abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Li, Wenli AU - Sarte, Pierre-Daniel AD - Unlisted AD - Unlisted T1 - Growth effects of progressive taxes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-3 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700284; Keywords: Taxation ; Economics; Publication Type: Working Paper; Update Code: 200404 N2 - Criticisms of endogenous growth models with flat rate taxes have highlighted two features that are not substantiated by the data. These models generally imply: (1) that economic growth must fall with the share of government expenditures in output across countries, and (2) that one-time shifts in marginal tax rates should instantaneously lead to similar shifts in output growth. In contrast, we show that allowing for heterogenous households and progressive taxes into otherwise conventional linear growth models radically changes these predictions. In particular, economic growth does not have to fall, and may even increase, with the share of government expenditures in output across countries. Moreover, discrete permanent shifts in tax policy now lead to protracted transitions between balanced growth paths. Both of these findings hold whether or not government expenditures are thought to be productive, and better conform to available empirical evidence. L3 - http://www.federalreserve.gov/pubs/feds/2002/200203/200203abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700284&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200203/200203abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borzekowski, Ron AD - Unlisted T1 - Health care finance and the early adoption of hospital information systems PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-41 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700323; Keywords: Hospitals - Finance ; Information technology; Publication Type: Working Paper; Update Code: 200404 N2 - This study examines the adoption of hospital information systems (HIS), specifically focusing on the connection between the financing of health care and the adoption of these new technologies. Using a recently uncovered dataset detailing the systems installed at over 2300 hospitals, the results indicate that state price regulations slowed the adoption of these systems during the 1970's. In contrast, hospitals increased their adoption of HIS in response to the implementation of Medicare's prospective payment system. The evidence suggests that in the early years, these systems did not have the ability to save sufficient funds to justify their expense and adopters, in particular not-for-profit hospitals, were motivated by factors other than cost. By the early 1980's, this had changed: hospitals with the greatest incentives to lower costs were now more likely to adopt these technologies. L3 - http://www.federalreserve.gov/pubs/feds/2002/200241/200241abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700323&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200241/200241abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiser, Elizabeth K. AD - Unlisted T1 - Household switching behavior at depository institutions: evidence from survey data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-44 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700328; Keywords: Bank mergers ; Banks and banking - Location; Publication Type: Working Paper; Update Code: 200404 N2 - This article presents descriptive findings from new survey data on households' decisions to change or remain with their providers of checking or savings accounts. The data show that the distribution of household tenure is wide, and that about a third of households have never changed depository institutions. The primary reason reported for changing banks is a household relocation; other reasons are customer service and price factors. Customer service and location are the most frequently cited reasons for remaining with a bank. The importance of location and mobility supports previous survey evidence that the local area is the appropriate market for competitive analysis in banking. The findings presented here are consistent with earlier studies showing that population migration increases competitive pressure on firms and therefore should mitigate the anticompetitive effects of bank mergers. L3 - http://www.federalreserve.gov/pubs/feds/2002/200244/200244abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700328&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200244/200244abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - How does the market interpret analysts' long-term growth forecasts? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-7 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700287; Keywords: Forecasting ; Econometric models ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation between equity valuations and expected inflation is found to be the result of two effects: a rise in expected inflation coincides with both (i) lower expected real earnings growth and (ii) higher required real returns. The earnings channel mostly reflects a negative relation between expected long-term earnings growth and expected inflation. The effect of expected inflation on required (long-run) real stock returns is also substantial. A one percentage point increase in expected inflation is estimated to raise required real stock returns about one percentage point, which on average would imply a 20 percent decline in stock prices. But the inflation factor in expected real stock returns is also in long-term Treasury yields; consequently, expected inflation has little effect on the long-run equity premium. L3 - http://www.federalreserve.gov/pubs/feds/2002/200207/200207abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700287&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200207/200207abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Swanson, Eric AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Identifying the effects of monetary policy shocks on exchange rates using high frequency data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 739 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701156; Keywords: Monetary policy ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/739/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701156&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/739/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Identifying the role of moral hazard in international financial markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 736 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701152; Keywords: Financial markets ; Developing countries; Publication Type: Working Paper; Update Code: 200404 N2 - Considerable attention has been paid to the possibility that large-scale IMF-led financing packages may have distorted incentives in international financial markets, leading private investors to provide more credit to emerging market countries, and at lower interest rates, than might otherwise have been the case. Yet, prior attempts to identify such distortions have yielded mixed evidence, at best. This paper makes three contributions to our ability to assess the empirical importance of moral hazard in international financial markets. First, it is argued that because large international "bailouts" did not commence until the 1995 Mexican crisis, financial indicators prior to that time could not have reflected a significant degree of this type of moral hazard. Therefore, one test for the existence of moral hazard is that the access of emerging markets to international credit is significantly easier than it was prior to 1995. Second, the paper argues that because private investors expect large-scale IMF-led packages to be extended primarily to economically or geo-politically important countries, moral hazard, if it exists, should lead these countries to have easier terms of access to credit than smaller, non-systemically important countries. Finally, in addition to looking at bond spreads, the focus of earlier empirical analyses of moral hazard, the paper also examines trends in capital flows to gauge the access of emerging market countries to external finance. Looking at the evidence in light of these considerations, the paper concludes that there is little support for the view that moral hazard is significantly distorting international capital markets at the present time. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/736/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701152&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/736/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Swanson, Eric AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Identifying vars based on high frequency futures data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 720 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701137; Keywords: Monetary policy ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard monetary policy VAR. This constitutes an alternative approach to identification that is quite different, and, we would argue, more plausible, than the conventional short-run restrictions. We find that the usual recursive identification of the model is rejected, but we nevertheless agree with the literature's conclusion that only a small fraction of the variance of output can be attributed to monetary policy shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/720/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701137&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/720/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Imperfect knowledge, inflation expectations, and monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-27 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700308; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the role of imperfect knowledge regarding the structure of the economy on the formation of expectations, macroeconomic dynamics, and the efficient formulation of monetary policy. Economic agents rely on an adaptive learning technology to form expectations and continuously update their beliefs regarding the dynamic structure of the economy based on incoming data. The process of perpetual learning introduces an additional layer of dynamic interactions between monetary policy and economic outcomes. We find that policies that would be efficient under rational expectations can perform poorly when knowledge is imperfect. In particular, policies that fail to maintain tight control over inflation are prone to episodes in which the public's expectations of inflation becomes uncoupled from the policy objective and stagflation results, in a pattern similar to that experienced in the United States during the 1970s. More generally, we show that in the presence of imperfect knowledge, policy should respond more aggressively to inflation than under perfect knowledge. L3 - http://www.federalreserve.gov/pubs/feds/2002/200227/200227abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700308&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200227/200227abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dupor, William D. AU - Lehnert, Andreas AD - Unlisted AD - Unlisted T1 - Increasing returns and optimal oscillating labor supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-22 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700303; Keywords: Econometric models ; Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - Models featuring increasing returns to scale in at least one factor of production have been used to study two separate phenomena: (1) multiplicity of self-fulfilling rational expectations equilibria (i.e. sunspots), and (2) production schedules that optimally feature bunching. We show in a continuous-time model with increasing returns to labor (IRL) that if the economy features multiple competitive equilibria, the optimal path of investment, employment and consumption cannot be constant, or even smoothly-varying. Any macroeconomic policies that shielded the economy from sunspot fluctuations would necessarily not be optimal. We then characterize the optimal allocation (the solution to the planner's problem) in a discrete time version of the model. We find that the optimal investment, employment and consumption policies under increasing returns can feature (1) discontinuous jumps, (2) endogenous cycles (with time-varying cycle limits) and (3) stochastic controls (lotteries). Our discrete-time model is very close to that studied by Christiano and Harrison (1999); they, however find that fluctuations are not optimal. We show that this difference is driven by their assumption that production is linear in capital. L3 - http://www.federalreserve.gov/pubs/feds/2002/200222/200222abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700303&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200222/200222abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AU - Mulligan, Casey B. AD - Unlisted AD - Unlisted T1 - Inflation and the size of government PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-1 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700282; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - It is commonly supposed in public and academic discourse that inflation and big government are related. We show that economic theory delivers such a prediction only in special cases. As an empirical matter, inflation is significantly positively related to the size of government mainly when periods of war and peace are compared. We find a weak positive peacetime time series correlation between inflation and the size of government and a negative cross-country correlation of inflation with non-defense spending. L3 - http://www.federalreserve.gov/pubs/feds/2002/200201/200201abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700282&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200201/200201abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Gunter AU - Wieland, Volker AD - Unlisted AD - Unlisted T1 - Inflation dynamics and international linkages: a model of the United States, the euro area, and Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 745 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701161; Keywords: Inflation (Finance) ; Econometric models ; International economic relations; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper we estimate a small macroeconometric model of the United States, the euro area and Japan with rational expectations and nominal rigidities due to staggered contracts. Comparing three popular contracting specifications we find that euro area and Japanese inflation dynamics are best explained by Taylor-style contracts, while Buiter-Jewitt/Fuhrer-Moore contracts perform somewhat better in fitting U.S. inflation dynamics. We are unable to fit Calvo-style contracts to inflation dynamics in any of the three economies without allowing either for ad-hoc persistence in unobservables or a significant backward-looking element. The completed model matches inflation and output dynamics in the United States, the euro area and Japan quite well. We then use it to evaluate the role of the exchange rate for monetary policy. Preliminary results, which are similar across the three economies, indicate little gain from a direct policy response to the exchange rate. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/745/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701161&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/745/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benigno, Pierpaolo AU - Lopez-Salido, J. David AD - Unlisted AD - Unlisted T1 - Inflation persistence and optimal monetary policy in the euro area PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 749 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701165; Keywords: Inflation (Finance) ; Phillips curve ; Euro; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper we first present supporting evidence of the existence of heterogeneity in inflation dynamics across euro area countries. Based on the estimation of New Phillips Curves for five major countries of the euro area, we find that there is significant inertial (backward looking) behavior in inflation in four of them, while inflation in Germany has a dominant forward looking component. In the second part of the paper we present an optimizing agent model for the euro area emphasizing the heterogeneity in inflation persistence across regions. Allowing for such a backward looking component will affect the evaluation of the degree of nominal rigidities relevant for the monetary policy design. We explore the welfare implications of this circumstance by comparing the adjustment of the economies and the area as a whole in response to terms-of-trade shocks under four monetary policy rules: fully optimal, optimal inflation targeting, HICP targeting and output gap stabilization. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/749/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701165&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/749/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Inflation targeting and nominal income growth targeting: when and why are they suboptimal? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 719 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701136; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We derive optimal monetary stabilization rules and compare them to simple rules under both full and partial information. The nominal interest rate is the instrument of monetary policy. Special attention is devoted to inflation targeting and nominal-income-growth targeting.> We use an optimizing-agent model of a closed economy which features monopolistic competition in both product and labor markets. A stabilization problem exists because there are one-period nominal contracts, either for wages alone or for both wages and prices, and three shocks that are unknown when contracts are signed. In order to highlight basic theoretical results, we deliberately keep our model simple enough that we can obtain exact solutions. Optimal rules maximize the expected utility of the representative agent subject to the information set of the policymaker. A key result, possibly surprising at first, is that even with monopolistic competition, the optimal full information policy makes the economy mimic the hypothetical equilibrium with flexible prices and wages. We explain why strict versions of inflation targeting, nominal income growth targeting, and other such simple rules are suboptimal under both full and partial information and derive flexible versions that are optimal under certain partial information assumptions. Nominal income growth targeting dominates inflation targeting for plausible parameter values. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/719/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701136&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/719/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted T1 - Information technology and productivity: where are we now and where are we going? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-29 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700310; Keywords: Information technology ; Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - Productivity growth in the U.S. economy jumped during the second half of the 1990s, a resurgence that many analysts linked to information technology (IT). However, shortly after this consensus emerged, demand for IT products fell sharply, leading to a lively debate about the connection between IT and productivity and about the sustainability of the faster growth. We contribute to this debate in two ways. First, to assess the robustness of the earlier evidence, we extend the growth-accounting results in Oliner and Sichel (2000a) through 2001. The new results confirm the basic story in our earlier work--that the acceleration in labor productivity after 1995 was driven largely by the greater use of IT capital goods and by the more rapid efficiency gains in the production of IT goods. Second, to assess whether the pickup in productivity growth is sustainable, we analyze the steady-state properties of a multi-sector growth model. This exercise generates a range for labor productivity growth of 2 percent to 2-3/4 percent per year, which suggests that much--and possibly all--of the resurgence is sustainable. L3 - http://www.federalreserve.gov/pubs/feds/2002/200229/200229abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700310&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200229/200229abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Dan AU - Downing, Chris AD - Unlisted AD - Unlisted T1 - Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-45 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700329; Keywords: Corporations ; Payment systems ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we first document some stylized facts about very short-term and long-term corporate yield spreads. We find that short-term spreads are sizable, and the correlations between many firms' short-term and long-term yield spreads are at times negative. We then develop a structural model that generates levels and correlations of short-term and long-term spreads that are more consistent with what we observe. The model allows for the possibility of payment delays when a firm's liquid asset position deteriorates. Payment delays generate sizable short-term debt spreads because the realized returns on short-term investments are very sensitive to an increase in the holding period. The presence of liquidity risk can also explain negative correlations between short- and long-term spreads because liquidity risk is imperfectly correlated with insolvency risk. Using firm-level data, we provide empirical evidence that liquid assets holdings help predict short-term spreads, but not long-term spreads. L3 - http://www.federalreserve.gov/pubs/feds/2002/200245/200245abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700329&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200245/200245abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gust, Christopher AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - International comparisons of productivity growth: the role of information technology and regulatory practices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 727 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701143; Keywords: Productivity ; Information technology; Publication Type: Working Paper; Update Code: 200404 N2 - While information technologies (IT) are credited with the recent acceleration in productivity in the United States, many other industrial countries have not experienced a pickup in productivity growth. To explain this productivity divergence, we use panel data from 1992 to 1999 for 13 industrial countries and find that this divergence is driven in part by differences in both the production and adoption of information technologies. Based on this finding, we proceed to investigate what factors might play a role in explaining differences in IT adoption. Our results support the view that burdensome regulatory environments and in particular regulations affecting labor market practices have impeded the adoption of information technologies and slowed productivity growth in a number of industrial countries. We then develop a theoretical model with vintage capital and labor to evaluate the effect of more stringent labor market regulations on a firm's decision to adopt new technologies. We establish conditions under which a tax on firing workers delays the adoption of IT technology. These conditions occur when technological change is skill-biased and a firm must upgrade the quality of its workforce through labor turnover. The resulting delay in adopting IT technology then has negative implications for economy-wide productivity and is largely consistent with our empirical results. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/727/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701143&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/727/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meyer, Laurence H. AU - Doyle, Brian M. AU - Gagnon, Joseph E. AU - Henderson, Dale W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - International coordination of macroeconomic policies: still alive in the new millennium? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 723 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701139; Keywords: Macroeconomics ; International economic integration; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper we provide two building blocks for an analysis of international policy coordination: (1) a survey of models of policy coordination, and (2) an account of experience with policy coordination among the G-7 countries and within Europe since the breakdown of the Bretton Woods System. Using these building blocks, we investigate the correspondence between the models and experience and attempt to draw lessons for both the modelers and the practitioners. We find that the correspondence is close enough that the models help in analyzing several instances of actual policy coordination, but that the correspondence could be even closer. As for lessons for modelers, we suggest that they devote more attention to the analysis of information exchange, a key feature of practical policy coordination; to the coordination of different types of policies; to the ramifications of political divisions within countries; and to the implications of market irrationality and speculative bubbles. As for lessons for policy makers, we suggest that they give more consideration to the choice of their ultimate objectives, in particular to whether the current account should always be close to balance; to achieving better internal policies; and to the greater use of fiscal policy as a stabilization tool. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/723/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701139&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/723/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sutherland, Alan AD - Unlisted T1 - International monetary policy coordination and financial market integration PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 751 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701167; Keywords: International finance ; International economic integration; Publication Type: Working Paper; Update Code: 200404 N2 - The welfare gains from international coordination of monetary policy are analysed in a two-country model with sticky prices. The gains from coordination are compared under two alternative structures for financial markets: financial autarky and risk sharing. The welfare gains from coordination are found to be largest when there is risk sharing and the elasticity of substitution between home and foreign goods is greater than unity. When there is no risk sharing the gains to coordination are almost zero. It is also shown that the welfare gain from risk sharing can be negative when monetary policy is uncoordinated. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/751/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701167&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/751/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - English, William B. AU - Nelson, William R. AU - Sack, Brian P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interpreting the significance of lagged interest rate in estimated monetary policy rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-24 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700305; Keywords: Interest rates ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Many researchers have found that the lagged interest rate enters estimated monetary policy rules with overwhelming significance. However, a recent paper by Rudebusch (2002) argues that the lagged interest rate is not a fundamental component of the U.S. policy rule, and that its significance arises from the omission of serially correlated variables from the policy rule. This paper demonstrates that, contrary to Rudebusch's claims, these two hypotheses can be directly distinguished in the estimation of the policy rule. Our findings indicate that while serially correlated omitted variables may be present, the lagged interest rate enters the policy rule on its own right and plays an important role in describing the behavior of the federal funds rate. L3 - http://www.federalreserve.gov/pubs/feds/2002/200224/200224abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700305&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200224/200224abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cummins, Jason G. AU - Violante, Giovanni L. AD - Unlisted AD - Unlisted T1 - Investment-specific technical change in the US (1947-2000): measurement and macroeconomics consequences PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-10 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700288; Keywords: Investments ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - By extrapolating Gordon's (1990) measures of the quality-bias in the official price indexes, we construct quality-adjusted price indexes for 24 types of equipment and software (E&S) from 1947 to 2000 and use them to measure technical change at the aggregate and at the industry level. Technological improvement in E&S accounts for an important fraction of postwar GDP growth and plays a key role in the productivity resurgence of the 1990s. Driving this finding is 4 percent annual growth in the quality of E&S in the postwar period and more than 6 percent annual growth in the 1990s. The acceleration in the 1990s occurred in every industry, consistent with the idea that information technology represents a general purpose technology. Furthermore, we measure for the aggregate economy and different sectors the "technological gap": how much more productive new machines are compared to the average machine. We show that the technological gap explains the dynamics of investment in new technologies and the returns to human capital, consistent with Nelson and Phelps' (1966) conjecture. Since the technological gap continues to increase--- it more than doubled in the past 20 years--- our evidence supports the view that at least some of the recent increase in productivity growth is sustainable. L3 - http://www.federalreserve.gov/pubs/feds/2002/200210/200210abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700288&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200210/200210abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, Nellie AU - Weisbenner, Scott AD - Unlisted AD - Unlisted T1 - Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-36 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700318; Keywords: 401(k) plans ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - Using panel data for nearly 1,000 companies during 1991 to 2000, this paper finds that employees allocated nearly 20 percent of their total 401(k) contributions to purchases of company stock, and then relates this share to plan design features and firm financial characteristics. We find that the number of investment alternatives offered, n, and whether the company requires some of the match to be in company stock are key factors of the share of total contributions in company stock. We cannot reject the hypothesis that participants invest 1/n of their contributions in company stock. In addition, participants do not offset an employer match in company stock with a smaller share of their own contributions to company stock, contrary to efficient diversification. Workers also appear to view other plan restrictions as providing cues about the desirability of purchasing company stock. Thus, plan design is very important in determining the share of 401(k) assets in company stock. L3 - http://www.federalreserve.gov/pubs/feds/2002/200236/200236abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700318&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200236/200236abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - Is reallocation related to the cycle? A look at permanent and temporary job flows PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-16 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700295; Keywords: Employment (Economic theory) ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - How much of aggregate employment fluctuations is due to plants destroying and then recreating the same jobs over the cycle and how much is due to some plants permanently destroying jobs in a recession and other plants permanently creating jobs in an expansion? This paper decomposes plant level job flows into permanent and temporary components to answer this question, and finds that the permanent reallocation of jobs across plants accounts for approximately 30 percent of the cyclical fluctuations in aggregate employment. L3 - http://www.federalreserve.gov/pubs/feds/2002/200216/200216abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700295&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200216/200216abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corsetti, Giancarlo AU - Dedola, Luca AD - Unlisted AD - Unlisted T1 - Macroeconomics of international price discrimination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 744 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701159; Keywords: Foreign exchange rates ; International economic relations; Publication Type: Working Paper; Update Code: 200404 N2 - This paper builds a baseline two-country model of real and monetary transmission under optimal international price discrimination. Distributing traded goods to consumers requires nontradables; because of distributive trade, the price elasticity of export demand depends on the exchange rate. Profit-maximizing monopolistic firms drive a wedge between wholesale and retail prices across countries. This entails possibly large deviations from the law of one price and incomplete pass-through on import prices. Yet, consistent with expenditure-switching effects, a nominal depreciation generally worsens the terms of trade. Moreover, the exchange rate and the terms of trade can be more volatile than fundamentals. For plausible ranges of the distribution margin, there can be multiple steady states, whereas large differences in nominal and real exchange rates across equilibria translate into small differences in consumption, employment and the price level. Finally, we show that with competitive goods markets international policy cooperation is redundant even under financial autarky. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/744/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701159&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/744/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel M. AU - Hancock, Diana AU - Kwast, Myron L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market discipline in banking reconsidered: the roles of deposit insurance reform, funding manager decisions and bond market liquidity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-46 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700325; Keywords: Banks and banking ; Risk management; Publication Type: Working Paper; Update Code: 200404 N2 - This paper demonstrates that the risk sensitivity of a banking organization's subordinated debt yield spreads may understate the potential for market discipline in some periods and overstate in others because such spreads contain liquidity premiums that are driven, in part, by the risk-sensitivity of funding manager decisions. Once such decisions are accounted for, new evidence is provided that indicates that subordinated debt spreads were sensitive to organization-specific risks in the mid-1980s, and that the risk- sensitivity of such spreads was about the same in the pre- and post-FDICIA periods. These results resolve some anomalies in the existing literature. In addition, it is argued that mandating the regular issuance of subordinated debt would, by reducing the endogeneity of liquidity premiums, improve the information content of both primary and secondary market debt spreads, thereby augmenting both direct and indirect market discipline. L3 - http://www.federalreserve.gov/pubs/feds/2002/200246/200246abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700325&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200246/200246abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Roller, Lars-Hendrik AU - Sickles, Robin C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market power in outputs and inputs: an empirical application to banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-52 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700332; Keywords: Banks and banking ; Markets; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides evidence on the empirical separability of input and output market imperfections. We specify a model of banking competition and simultaneously estimate bank conduct in output (loan) and input (deposit) markets. Our results suggest that firms display some degree of non-competitive behavior in both the loan and the deposit markets. Moreover, we find that the input side and the output side are empirically separable, that is, the measurement of market power on one side of the market is not affected by assuming that the other side of the market is perfectly competitive. Our results suggest that empirical studies of market power that concentrate on either the input side or the output side are not subject to significant misspecification error. L3 - http://www.federalreserve.gov/pubs/feds/2002/200252/200252abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700332&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200252/200252abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gurkaynak, Refet S. AU - Sack, Brian AU - Swanson, Eric AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market-based measures of monetary policy expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-40 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700321; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - A number of recent papers have used short-maturity financial instruments to measure expectations of the future course of monetary policy, and have used high-frequency changes in these instruments around FOMC dates to measure monetary policy shocks. This paper evaluates the empirical success of a variety of market instruments in predicting the future path of monetary policy. We find that federal funds futures dominate other market-based measures of monetary policy expectations at horizons out several months. For longer horizons, the predictive power of many of the instruments considered is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions that do not influence the expected course of policy beyond a horizon of about six weeks. We propose alternative shock measures that capture changes in market expectations of policy over slightly longer horizons. L3 - http://www.federalreserve.gov/pubs/feds/2002/200240/200240abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700321&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200240/200240abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Borzekowski, Ron AD - Unlisted T1 - Measuring the cost impact of hospital information systems: 1987-1994 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-42 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700324; Keywords: Hospitals - Finance ; Information technology; Publication Type: Working Paper; Update Code: 200404 N2 - This study measures the impact of information technology (IT) use on hospital operating costs during the late 1980's and early 1990's. Using a proprietary eight-year panel dataset (1987-1994) that catalogues application-level automation for the complete census of the 3,000 U.S. hospitals with more than 100 beds, this study finds that both financial/administrative and clinical IT systems at the most thoroughly automated hospitals are associated with declining costs three and five years after adoption. At the application level, declining costs are associated with the adoption of some of the newest technologies, including systems designed for cost management, the administration of managed care contracts, and for both financial and clinical decision support. The association of cost declines with lagged IT as well as the cost patterns at the less automated hospitals both provide evidence of learning effects. L3 - http://www.federalreserve.gov/pubs/feds/2002/200242/200242abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700324&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200242/200242abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Hairault, Jean-Olivier AU - Kempf, Hubert AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and the financial accelerator in a monetary union PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 750 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701166; Keywords: International finance ; Monetary unions; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we consider the effect of a monetary union in a model with a significant role for financial market imperfections. We do so by introducing a financial accelerator into a stochastic general equilibrium macro model of a two country economy. We show that financial market imperfections introduce important cross-country transmission mechanisms to asymmetric shocks to supply and demand. Within this framework, we study the likely costs and benefits of monetary union. We also consider the effects of cross-country heterogeneity in financial markets. Both the presence of financial frictions and the use of a single currency have significant impacts on the international propagation of exogenous shocks. The introduction of asymmetries in the financial contract widens the difference in cyclical behavior of national economies in a monetary union, but financial integration compensates the loss of policy instruments. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/750/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701166&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/750/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Monetary policy rules and the great inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-8 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700290; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - The nature of monetary policy during the 1970s is evaluated through the lens of a forward-looking Taylor rule based on perceptions regarding the outlook for inflation and unemployment at the time policy decisions were made. The evidence suggests that policy during the 1970s was essentially indistinguishable from a systematic, activist, forward-looking approach such as is often identified with good policy advice in theoretical and econometric policy evaluation research. This points to the unpleasant possibility that the policy errors of the 1970s occurred despite the use of a seemingly desirable policy approach. Though the resulting activist policies could have appeared highly promising, they proved, in retrospect, counterproductive. L3 - http://www.federalreserve.gov/pubs/feds/2002/200208/200208abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700290&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200208/200208abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AD - Unlisted T1 - Monetary union, price level convergence, and inflation: how close is Europe to the United States? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 740 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701157; Keywords: Monetary unions ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - In light of 50 years of economic policies designed to integrate Europe--culminating in the elimination of euro zone national currencies in early 2002--and a vast academic literature on international economic integration, it is of interest to assess how far European integration has come in practice. Using a unique data set, I document the pattern of price dispersion across European and U.S. cities from 1990 to 2001. I find a striking decline in dispersion for traded goods prices in Europe, most of which took place between 1991 and 1994. The level of traded goods price dispersion in the euro area is now quite close to that of the United States. A decline in dispersion of non-tradeables prices in Europe has also taken place, but to a smaller extent. For U.S. cities, there is no evidence of a decline in price dispersion, even for tradeables. I examine several possible explanations for the decline in European price dispersion, including harmonization of tax rates, convergence of incomes and labor costs, liberalization of trade and factor markets, and increased coherence of monetary policy. I also investigate how much of the variation in national inflation rates in Europe can be explained by price level convergence. Finally, after showing that prices in likely next-round entrants into the euro zone are well below prices in Western Europe, I discuss the potential inflationary consequences of accession into monetary union for Eastern Europe. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/740/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701157&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/740/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pence, Karen M. AD - Unlisted T1 - Nature or nurture: why do 401(k) participants save differently than other workers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-33 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700313; Keywords: Social security; Publication Type: Working Paper; Update Code: 200404 N2 - Participants in 401(k) plans are more likely than other workers to list "retirement" as their main reason for saving, to hold individual retirement accounts and to invest in the stock market. There are two possible reasons for these differences: (1) workers who like to save choose to participate in the program; or (2) 401(k) participation educates workers about investing. I disentangle these explanations using the 1983-1989 Survey of Consumer Finances. I find that 401(k) participants have a greater interest in saving for retirement than other workers, suggesting that extrapolating from their saving behavior to that of the workforce at large could be misleading. 401(k) participation also appears to increase awareness of retirement saving, but the gains are largest among workers who already prioritize retirement saving. L3 - http://www.federalreserve.gov/pubs/feds/2002/200233/200233abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700313&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200233/200233abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Han, Song AD - Unlisted T1 - On the economics of discrimination in credit markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-2 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700283; Keywords: Discrimination in mortgage loans ; Discrimination in consumer credit; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a general equilibrium model of both taste-based and statistical discrimination in credit markets. We find that both types of discrimination have similar predictions for intergroup differences in loan terms. The commonly held view has been that if there exists taste-based discrimination, loans approved to minority borrowers would have higher expected profitability than to majorities with comparable credit background. We show that the validity of this profitability view depends crucially on how expected loan profitability is measured. We also show that there must exist taste-based discrimination if loans to minority borrowers have higher expected rate of return or lower expected rate of default loss than to majorities with the same exogenous characteristics at the time of loan origination. Empirical evidence on expected rate of default loss cannot reject the null hypothesis of non-existence of taste-based discrimination. L3 - http://www.federalreserve.gov/pubs/feds/2002/200202/200202abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700283&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200202/200202abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marazzi, Mario AD - Unlisted T1 - On the fragility of gains from trade under continuously differentiated bertrand competition PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 735 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701151; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 N2 - One of the most widely accepted principles of economics is the existence of gains from trade for every nation under certain conditions including perfect competition. In the last twenty years, trade economists have revolutionized the field by firmly establishing the possibility of modeling imperfectly competitive international markets. Despite this development, most still agree there are good reasons to believe that gains from trade are still present. However, we show that in the absence of international redistributions the presence of a positive profit sector in a general equilibrium model can lead to a situation in which some nations may lose from the reduction of international trade barriers. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/735/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701151&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/735/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Palumbo, Michael AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted AD - Unlisted T1 - On the relationships between real consumption, income and wealth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-38 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700320; Keywords: Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - The existence of durable goods implies that the welfare flow from consumption cannot be directly associated with total consumption expenditures. As a result, tests of standard theories of consumption (such as the Permanent Income Hypothesis, or PIH) typically focus on nondurable goods and services. Specifically, these studies generally relate real consumption of nondurable goods and services to measures of real income and wealth, where the latter are deflated by a price index for total consumption expenditures. We demonstrate that this procedure is only valid under the assumption that real consumption of nondurables and services is a constant multiple of aggregate real consumption outlays--an assumption that represents a very poor description of U.S. data. We develop an alternative approach that is based on the observation that the ratio of these series has historically been stable in nominal terms, and use this approach to examine two basic predictions of the PIH. We obtain significantly different results relative to the traditional approach. L3 - http://www.federalreserve.gov/pubs/feds/2002/200238/200238abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700320&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200238/200238abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Egli, Dominik AU - Ongena, Steven AU - Smith, David C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - On the sequencing of projects, reputation building, and relationship finance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 718 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701135; Keywords: Corporations - Finance; Publication Type: Working Paper; Update Code: 200404 N2 - We study the decision an entrepreneur faces in financing multiple projects and show that relationship financing will arise endogenously in an environment where strategic defaults are likely, even when firms have access to arm's-length financing. Relationship financing allows an entrepreneur to build a private reputation for repayment that reduces the cost of financing. However, in an environment where the risk of strategic default is low, the benefits from reputation building are outweighed by holdup rents extractable by the incumbent lender. Entrepreneurs then choose to finance projects from single or multiple arm's-length lenders. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/718/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701135&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/718/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted T1 - Optimal monetary policy with durable and non-durable goods PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 748 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701163; Keywords: Monetary policy ; Durable goods, Consumer; Publication Type: Working Paper; Update Code: 200404 N2 - The durable goods sector is much more interest sensitive than the non-durables sector, and these sectoral differences have important implications for monetary policy. In this paper, we perform VAR analysis of quarterly US data and find that a monetary policy innovation has a peak impact on durable expenditures that is roughly five times as large as its impact on non-durable expenditures. We then proceed to formulate and calibrate a two-sector dynamic general equilibrium model that roughly matches the impulse response functions of the data. While the social welfare function involves sector-specific output gaps and inflation rates, we find that performance of the optimal policy rule can be closely approximated by a very simple rule that targets a weighted average of aggregate wage and price inflation rates. In contrast, some commonly-prescribed policy rules (such as strict price inflation targeting and Taylor's rule) perform very poorly in terms of social welfare. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/748/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701163&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/748/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahearne, Alan AU - Gagnon, Joseph AU - Haltmaier, Jane AU - Kamin, Steve AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Preventing deflation: lessons from Japan's experience in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 729 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701146; Keywords: Monetary policy - Japan ; Deflation (Finance) - Japan; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines Japan's experience in the first half of the 1990s to shed some light on several issues that arise as inflation declines toward zero. Is it possible to recognize when an economy is moving into a phase of sustained deflation? How quickly should monetary policy respond to sharp declines in inflation? Are there factors that inhibit the monetary transmission mechanism as interest rates approach zero? What is the role for fiscal policy in warding off a deflationary episode? We conclude that Japan's sustained deflationary slump was very much unanticipated by Japanese policymakers and observers alike, and that this was a key factor in the authorities' failure to provide sufficient stimulus to maintain growth and positive inflation. Once inflation turned negative and short-term interest rates approached the zero-lower-bound, it became much more difficult for monetary policy to reactivate the economy. We found little compelling evidence that in the lead up to deflation in the first half of the 1990s, the ability of either monetary or fiscal policy to help support the economy fell off significantly. Based on all these considerations, we draw the general lesson from Japan's experience that when inflation and interest rates have fallen close to zero, and the risk of deflation is high, stimulus, both monetary and fiscal, should go beyond the levels conventionally implied by baseline forecasts of future inflation and economic activity. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/729/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701146&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/729/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AD - Unlisted T1 - Price measures for semiconductor devices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-13 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700296; Keywords: Semiconductor industry ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This note provides quality-adjusted price indexes and nominal shipments data for highly disaggregate classes of semiconductor devices. These data may be used to construct indexes under different assumptions from those used in indexes that are currently available. Because the construction of these building blocks require some assumptions, the indexes are compared with similar price measures constructed by Bruce Grimm (1998) and by the Bureau of Labor Statistics. L3 - http://www.federalreserve.gov/pubs/feds/2002/200213/200213abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700296&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200213/200213abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gruber, Joseph W. AD - Unlisted T1 - Productivity shocks, habits, and the current account PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 733 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701154; Keywords: International trade ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Empirical work regarding Intertemporal Current Account (ICA) models has centered around two distinct testing methodologies, present value tests and a productivity shock approach as formulated in Glick and Rogoff (1995). In previous work, Gruber (2001), I have tested an ICA model that allows for habits in aggregate consumption via the present value method. This paper applies the alternative Glick and Rogoff style approach to testing the model. The benefits of doing such are an ability to separate country-specific from worldwide output changes, a distinction of considerable importance, as well as to impose restrictions on the relationship between investment and output, neither of which are possible in the present value framework. The results of the test are supportive of the existence of habits and coincide with the results of Gruber (2001). The degree of habit persistence implied by the model is estimated for the G-7 countries. The paper also proposes habit formation as a possible solution to an empirical puzzle identified in the original Glick and Rogoff paper. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/733/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701154&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/733/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - Productivity, investment, and current accounts: reassessing the evidence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 742 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701162; Keywords: Productivity ; International finance ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - The most widely accepted explanation for the inverse association between private investments and current accounts [Glick and Rogoff, 1995] rests on data for manufactures through 1990. Is this consensus robust to revisions to the national accounts and the expansion of information technologies since 1990? To address this question I replicate their results and I find that post 1990 developments eliminate the support for such a conclusion. I also implement alternative formulations and find, again, a lack of empirical support for their findings. Thus I examine the role of measurement errors and focus on the treatment of the manufacturing sector as representative of the whole economy and the exclusion of the contribution of capital when measuring productivity. Correcting these two measurement errors restores to Glick and Rogoff's conclusion its original strength. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/742/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701162&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/742/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Levin, Andrew AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Recent U.S. macroeconomic stability: good policies, good practices or good luck? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 730 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701149; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - The volatility of U.S. real GDP growth since 1984 has been markedly lower than that over the previous quarter-century. In this paper, we utilize frequency-domain and VAR methods to distinguish among several competing explanations for this phenomenon: improvements in monetary policy, better business practices, and a fortuitous reduction in exogenous disturbances. We find that reduced innovation variances account for much of the decline in aggregate output volatility. Our results support the "good-luck" hypothesis as the leading explanation for the decline in aggregate output volatility, although "good-practices" and "good-policy" are also contributing factors. Applying the same methods to consumer price inflation, we find that the post-1984 decline in inflation volatility can be attributed largely to improvements in monetary policy. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/730/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701149&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/730/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duarte, Margarida AU - Wolman, Alexander L. AD - Unlisted AD - Unlisted T1 - Regional inflation in a currency union: fiscal policy vs. fundamentals PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 746 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701160; Keywords: Inflation (Finance) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We develop a general equilibrium model of a two-region currency union. There are two types of goods: non-trade goods, and traded goods for which markets are segmented. Monetary policy is set by a central monetary authority and is non-neutral due to nominal price rigidities. Fiscal policy is determined at the regional level by each region's government. We find that productivity shocks alone generate significant variation in inflation across the two countries. Government spending shocks, in contrast, do not account for a significant portion of inflation variation. Varying relative country size, we find that smaller countries experience higher variability of their inflation differential in response to shocks to productivity growth. Moreover, we show that regional governments can suppress incipient inflation differentials associated with shocks to productivity growth by letting the income tax rate respond negatively to inflation differentials. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/746/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701160&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/746/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meade, Ellen E. AU - Sheets, D. Nathan AD - Unlisted AD - Unlisted T1 - Regional influences on U.S. monetary policy: some implications for Europe PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 721 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701138; Keywords: Federal Open Market Committee ; European Central Bank ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This paper looks at the monetary policy decisions of the U.S. Federal Reserve and asks whether those decisions have been influenced solely by national concerns, or whether regional factors have played a role. All of the Federal Reserve's policymakers have some regional identity, i.e., either their positions explicitly carry some regional affiliation or their region of origin is a factor that must be considered in the selection process. This research is relevant for the Fed, and it may also be relevant for Europe's fledgling central bank in Frankfurt. Critics have asserted that ECB policymakers have an incentive to base policy on national developments and respond to national political pressures. We find that Fed policymakers do take into account developments in regional unemployment when deciding monetary policy, and that these regional developments are more important for central bankers at the hub than in the spokes. These findings are robust to a variety of different specifications of the voting equation. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/721/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701138&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/721/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amato, Jeffery D. AU - Laubach, Thomas AD - Unlisted AD - Unlisted T1 - Rule-of-thumb behaviour and monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-5 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700286; Keywords: Monetary policy ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate the implications of rule-of-thumb behaviour on the part of consumers or price setters for optimal monetary policy and simple interest rate rules. The existence of such behaviour leads to endogenous persistence in output and inflation; changes the transmission of shocks to these variables; and alters the policymaker's welfare objective. Our main finding is that highly inertial policy is optimal regardless of what fraction of agents occasionally follow a rule of thumb. We also find that the interest rate rule that implements optimal policy in the purely optimising case, and a first-difference version of Taylor's (1993) rule, have desirable properties in all of the cases we consider. By contrast, the coefficients in other optimised simple rules tend to be extremely sensitive with respect to the fraction of rule-of-thumb behaviour and changes in other parameters of the model. L3 - http://www.federalreserve.gov/pubs/feds/2002/200205/200205abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700286&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200205/200205abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Robert M. AU - Bauer, Paul W. AU - Sickles, Robin C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Scale economies, scope economies, and technical change in Federal Reserve payment processing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-57 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700338; Keywords: Payment systems ; Technology ; Electronic funds transfers; Publication Type: Working Paper; Update Code: 200404 N2 - In the past decade, the U.S. economy has witnessed a tremendous surge in the usage of electronic payment processing services and an increased importance of the firms that provide these services. The payments industry has also undergone changes in cost structure with the introduction of new technology. Unfortunately, data on the private provision of payment processing services are not available. However, the Federal Reserve provides similar services and collects data on its own provision of payments processing, offering an opportunity to gain insights into the cost structure of payments processing. In this paper, we estimate the scope and scale economies and the technical change in the Federal Reserve's provision of payments processing from 1990-2000. We find considerable scale economies and evidence of some scope economies for the provision of automated clearinghouse, Fedwire, and book-entry services no matter whether we specify a separable quadratic or a translog cost function. In addition, we find that disembodied technical change also contributed to the overall reduction in costs throughout the 1990s. L3 - http://www.federalreserve.gov/pubs/feds/2002/200257/200257abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700338&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200257/200257abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cavalluzzo, Ken AU - Wolken, John AD - Unlisted AD - Unlisted T1 - Small business loan turndowns, personal wealth and discrimination PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-35 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700317; Keywords: Small business ; Discrimination in mortgage loans; Publication Type: Working Paper; Update Code: 200404 N2 - Using newly available data from the Federal Reserve, we examine the impact of personal wealth on small business loan turndowns across demographic groups. Information on home ownership, home equity, and personal net worth excluding the business owner's home, in combination with data on the personal credit history of the principal owner, the business credit history of the firm, a rich set of additional explanatory variables, and information on the competitiveness of local banking markets, contributes to our understanding of the credit market experiences of small businesses across demographic groups. We find substantial unexplained differences in denial rates between African American-, Hispanic-, Asian-, and white-owned firms. We also find that greater personal wealth is associated with a lower probability of loan denial. However, even after controlling for personal wealth, large differences in denial rates across demographic groups remain. Further, consistent with Becker's classic theories (1957), we find some evidence that African American-denial rates increase with lender market concentration. L3 - http://www.federalreserve.gov/pubs/feds/2002/200235/200235abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700317&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200235/200235abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Knight, Brian AD - Unlisted T1 - State capital taxes and the location of investment: empirical lessons from theoretical models of tax competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-59 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700335; Keywords: State finance ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - Applying insights from theoretical tax competition models, this study of manufacturing investment and taxes in U.S. states makes four contributions to the empirical tax competition literature. First, while the existing empirical literature has assumed exogenous tax rates, the theoretical model, which endogenizes state tax rate choices, demonstrates that tax rates and investment decisions are determined by the same set of jurisdiction characteristics. The endogeneity corrected estimates, which rely on instruments motivated by the theoretical model, suggest stronger responses to tax rates than the uncorrected estimates in both this paper and the existing literature. The second insight involves the appropriate unit of observation. The empirical literature has conducted both aggregate analyses, in which jurisdictions are the unit of observation, and discrete choice analyses, in which manufacturing plants are the unit of observation. While the tax competition model demonstrates the violation of a key assumption in discrete choice analyses, the estimating equation in this paper, an aggregate analysis, can be derived directly from the model. Third, the theoretical model sheds light on the appropriateness of previously employed measures of tax burdens. The effective tax rate is shown to be superior to the after-tax rate of return, which is both invariant across jurisdictions and dependent on the distribution of investment. Fourth, this paper provides estimates of the degree of undertaxation of capital, which has been the focus of the theoretical tax competition literature but has yet to be addressed empirically. These estimates suggest that the efficient revenues may be as much as two times the size of actual revenues. L3 - http://www.federalreserve.gov/pubs/feds/2002/200259/200259abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700335&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200259/200259abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AD - Unlisted T1 - Sticky prices, no menu costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 743 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701158; Keywords: Prices ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - A model that contains no costs to changing prices but in which prices do not respond to nominal shocks is presented. In models that do not feature superneutrality of money flexible price equilibria will allow certain types of monetary shocks to affect the real economy. Sticky price behavior may in fact be better at protecting the real economy from the effects of monetary shocks in such environments. This point is demonstrated in a standard monetary model with liquidity effects. An equilibrium in which sticky prices are supported without menu costs is then constructed. In equilibrium firms choose to keep prices fixed in response to nominal shocks because doing so provides a service to their customers, increasing profits by expanding the customer base. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/743/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701158&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/743/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - Taxation and the Taylor principle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-51 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700327; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - We add a nominal tax system to a sticky-price monetary business cycle model. When nominal interest income is taxed, the coefficient on inflation in a Taylor-type monetary policy rule must be significantly larger than one in order for the model economy to have a determinate rational expectations equilibrium. When depreciation is treated as a charge against taxable income, an even larger weight on inflation is required in the Taylor rule in order to obtain a determinate and stable equilibrium. These results have obvious implications for assessing the historical conduct of monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/2002/200251/200251abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700327&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200251/200251abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - DeYoung, Robert AD - Unlisted AD - Unlisted T1 - Technological progress and the geographic expansion of the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-31 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700311; Keywords: Banks and banking ; Technology ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We test some predictions about the effects of technological progress on geographic expansion using data on banks in U.S. multibank holding companies over 1985-1998. Specifically, we test whether over time (a) parental control over affiliate banks has increased, and (b) the agency costs associated with distance from the parent have decreased. The data suggest that banking organizations exercise significant control over affiliates that has been increasing over time, and that the agency costs associated with distance have decreased somewhat over time. The findings are consistent with the hypothesis that technological progress has facilitated the geographic expansion of the banking industry. L3 - http://www.federalreserve.gov/pubs/feds/2002/200231/200231abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700311&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200231/200231abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Testing the null of identification in GMM PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 732 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701147; Keywords: Econometrics ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified. The test can detect local or global underidentification, and underidentification in some or all directions. The idea of the test is to compare the volume of two confidence sets - one that is robust to lack of identification and one that is not. Under the null hypothesis the relative volume of these two sets is Op(1), but under the alternative, the robust confidence set has infinite relative volume. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/732/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701147&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/732/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Figura, Andrew AD - Unlisted T1 - The cyclical behavior of short-term and long-term job flows PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-12 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700293; Keywords: Employment (Economic theory) ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - Using a band pass filter, this paper estimates plant-level job flows at different frequencies and examines the characteristics of the high frequency (transitory) and low frequency (permanent) component flows. Because high frequency employment movements, which likely result in changes in the utilization of plant assets, and low frequency movements, which likely coincide with the restructuring of plant assets, result in different costs to the economy, understanding their separate behavior is important. High frequency plant-level employment fluctuations account for the majority of cyclical movements in aggregate manufacturing employment, but the temporal separation between job destruction and job creation is more pronounced for low frequency job flows, suggesting that permanent job flows reflect a more protracted employment adjustment process. To facilitate the evaluation of job flow models, many of which describe either transitory or permanent job flows, time series of job flows at different frequencies are presented in the appendix. L3 - http://www.federalreserve.gov/pubs/feds/2002/200212/200212abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700293&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200212/200212abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cummins, Jason G. AU - Nyman, Ingmar AD - Unlisted AD - Unlisted T1 - The dark side of competitive pressure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-43 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700322; Keywords: Investments ; Competition; Publication Type: Working Paper; Update Code: 200404 N2 - One of the most basic principles in economics is that competitive pressure promotes efficiency. However, this pressure can also have a dark side because it makes firms reluctant to act on private information that is unpopular with consumers. As a result, firms that possess superior information about the consequences of their actions for consumers' welfare may choose not to use it. We develop this idea in a simple model of delegated investment in which agents are fully rational and risk neutral, and agency problems are absent. We show that competitive pressure obliges firms to make inefficient decisions when their information advantage over consumers is relatively small. This result could be applied to a broad range of economically important situations. L3 - http://www.federalreserve.gov/pubs/feds/2002/200243/200243abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700322&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200243/200243abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - The economic effects of technological progress: evidence from the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-50 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700326; Keywords: Banks and banking ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines technological progress and its effects in the banking industry. Banks are intensive users of both IT and financial technologies, and have a wealth of data available that may be helpful for the general understanding of the effects of technological change. The research suggests improvements in costs and lending capacity due to improvements in "back-office" technologies, as well as consumer benefits from improved "front-office" technologies. The research also suggests significant overall productivity increases in terms of improved quality and variety of banking services. In addition, the research indicates that technological progress likely helped facilitate consolidation of the industry. L3 - http://www.federalreserve.gov/pubs/feds/2002/200250/200250abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700326&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200250/200250abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - The extreme bounds of the cross-section of expected stock returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-34 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700315; Keywords: Stock - Prices ; Stock market ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Several empirical studies report violations of the asset-pricing model of Sharpe (1964), Lintner (1965), and Black (1972). But, there is no consensus on specification in this literature, as such studies typically consider only a limited number of explanatory variables and do not satisfactorily control for previous findings. Extreme bound analysis (EBA), an imperfect but useful remedy for model uncertainty, suggests that comparatively few factors are robust. Given the cross-section of expected stock returns from July 1963 through December 2000, three of 23 variables - market size as well as short and medium run lagged return - pass the traditional EBA decision rule given all possible 3-, 4-, and 5-factor models of monthly stock returns. This paper also explores several potential improvements to EBA, including explicit consideration of possible multicollinearity, which largely does not affect the results, as well as sample divisions, which suggest that fewer variables are sturdy correlates of returns. L3 - http://www.federalreserve.gov/pubs/feds/2002/200234/200234abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700315&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200234/200234abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Heitfield, Erik AU - Prager, Robin A. AD - Unlisted AD - Unlisted T1 - The geographic scope of retail deposit markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-49 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700333; Keywords: Banking market ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - In the United States, antitrust authorities rely heavily on numerical measures of local banking market concentration such as the Herfindahl Hirschmann Index to assess the likely competitive effects of proposed bank mergers and acquisitions. This approach to antitrust enforcement relies on two important assumptions: (1) that markets for at least some types of banking products are local in scope, and (2) that market concentration measures can serve as effective proxies for banks' abilities to extract monopoly rents. This paper uses balance sheet data from most banks operating in the United States in 1988, 1992, 1996, and 1999 to test these assumptions. L3 - http://www.federalreserve.gov/pubs/feds/2002/200249/200249abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700333&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200249/200249abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Holmes, Thomas J. AU - Stevens, John J. AD - Unlisted AD - Unlisted T1 - The home market and the pattern of trade: round three PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-23 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700304; Keywords: Industrial organization (Economic theory) ; Markets; Publication Type: Working Paper; Update Code: 200404 N2 - Does national market size matter for industrial structure? Round One (Krugman) answered in the affirmative: Home market effects matter. Round Two (Davis) refuted this, arguing that an assumption of convenience--transport costs only for the differentiated goods--conveniently obtained the result. In Round Three we relax another persistent assumption of convenience--industry types differentiated only by the degree of scale economies--and find that market size reemerges as a relevant force in determining industrial structure. L3 - http://www.federalreserve.gov/pubs/feds/2002/200223/200223abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700304&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200223/200223abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rigobon, Roberto AU - Sack, Brian AD - Unlisted AD - Unlisted T1 - The impact of monetary policy on asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-4 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700285; Keywords: Monetary policy ; Assets (Accounting) - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heteroskedasticity that exists in high frequency data. We show that the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of policy shocks that occurs on days of FOMC meetings and of the Chairman's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the "event-study" approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. L3 - http://www.federalreserve.gov/pubs/feds/2002/200204/200204abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700285&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200204/200204abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AD - Unlisted T1 - The inflation persistence of staggered contracts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 734 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701150; Keywords: Inflation (Finance) ; Phillips curve; Publication Type: Working Paper; Update Code: 200404 N2 - One of the criticisms routinely advanced against models of the business cycle with staggered contracts is their inability to generate inflation persistence. This paper finds that staggered Taylor contracts are, in fact, capable of reproducing the inflation persistence implied by U.S. data. Following Fuhrer and Moore, I capture the moments that the contract specification needs to replicate by using the correlograms from a small vector autoregression (VAR) that includes inflation among the endogenous variables. A simple structural model substitutes the inflation equation from the VAR with the contract specification. I estimate the contract parameters in the structural model by maximum likelihood. The correlogram for the endogenous variables from the estimated structural model, including that for inflation, are very close to the correlograms from the VAR (and are contained within their 90% confidence intervals). By the same metric, where Taylor contracts do not fare well is in reproducing the cross-correlations between inflation and output. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/734/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701150&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/734/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aaronson, Stephanie AD - Unlisted T1 - The rise in lifetime earnings inequality among men PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-21 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700302; Keywords: Wages ; Income distribution; Publication Type: Working Paper; Update Code: 200404 N2 - Recent trends in lifetime earnings inequality in the United States have been barely explored, despite the fact that lifetime earnings are a better measure of access to resources than the more widely studied annual earnings. This paper demonstrates that lifetime earnings inequality has increased over the past 30 years. We first explore how starting wages and wage growth have changed over time and link the changes to trends in lifetime earnings and the lifetime skill-premium. We then calculated a broader measure of lifetime earnings inequality and show that since the late 1960s, lifetime earnings inequality has increased by a third. Between the late 1960s and mid-1970s a rise in within-education-group inequality more than accounts for the increase; since then the growth in between-education-group inequality accounted for a majority of the rise. These results are consonant with the data on starting wages and wage growth. Finally, we show that the increase in inequality has been largely driven by greater dispersion in hourly wages, although declining hours of work among low-education young men did play a role. The analysis uses data from the March Current Population Survey as well as matched CPS data. Thus we demonstrate how repeated cross-sections and short panels of data can be used to examine issues usually reserved for long panels. L3 - http://www.federalreserve.gov/pubs/feds/2002/200221/200221abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700302&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200221/200221abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Natalucci, Fabio M. AU - Ravenna, Federico AD - Unlisted AD - Unlisted T1 - The road to adopting the euro: monetary policy and exchange rate regimes in EU candidate countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 741 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701168; Keywords: European Union countries ; Foreign exchange rates ; Economic and Monetary Union; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the choice of exchange rate regime in EU candidate countries during the process of accession to the European Monetary Union (EMU). In the presence of real exchange rate appreciation due to the Balassa-Samuelson effect, candidate countries face a trade-off between trend appreciation of the nominal exchange rate and high inflation rates. In a general equilibrium model of an emerging market economy, we show that under a fixed or heavily managed exchange rate the Balassa-Samuelson effect might prevent compliance with the Maastricht inflation criterion, unless a contractionary policy is adopted. We then discuss how the real exchange rate appreciation shifts the output gap/inflation variance trade-off, increasing the cost of managing or fixing the exchange rate. As a consequence, the requirement of membership in the Exchange Rate Mechanism (ERM-II) and the Maastricht inflation criterion constrain the policy choice while providing no additional benefit to countries credibly committed to joining the Euro. Finally, we show that relaxing either the exchange rate requirement or the inflation criterion has sharply different business cycle implications for the accession countries. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/741/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701168&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/741/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AU - Flamm, Kenneth AU - Khurshid, Anjum AD - Unlisted AD - Unlisted AD - Unlisted T1 - The role of semiconductor inputs in IT hardware price decline: computers vs. communications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-37 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700319; Keywords: Semiconductor industry ; Prices ; Computers; Publication Type: Working Paper; Update Code: 200404 N2 - Sharp declines in semiconductor prices are largely responsible for observed declines in computer prices. Although communications equipment also has a large semiconductor content, communications equipment prices do not fall nearly as fast as computer prices. This paper partly resolves the puzzle-first noted by Flamm(1989)-by demonstrating that prices for chips used in communications equipment do not fall nearly as fast as prices for those chips used in computers, and those differences are large enough to potentially explain all of the output price differences. L3 - http://www.federalreserve.gov/pubs/feds/2002/200237/200237abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700319&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200237/200237abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cooper, Daniel AU - Woglom, Geoffrey AD - Unlisted AD - Unlisted T1 - The S&P 500 effect: not such good news in the long run PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-48 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700331; Keywords: Stock - Prices ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes the effect on a company's stock price when it is added to the S&P 500 Index. A simple theoretical model is developed to show how trading effects and changes to fundamentals should affect the price of S&P500 additions upon announcement and in the long run. This model predicts that a company added to the S&P500 should experience an initial price increase followed by a reversal of this price increase owing to the predicted increased stock price volatility of companies post-addition. All of these effects should be growing over time because of the increasing importance of S&P500 indexed mutual funds. We test the predictions of the model using a sample of 303 S&P500 Index additions between 1978 and 1998. We find results generally consistent with the model, particularly in the most recent period when it appears that the post-addition increase in stock price volatility reverses almost all of the initial price increase. L3 - http://www.federalreserve.gov/pubs/feds/2002/200248/200248abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700331&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200248/200248abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Dai, Qinglei AU - Ongena, Steven AU - Smith, David C. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - To what extent will the banking industry be globalized? a study of bank nationality and reach in 20 European nations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-25 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700306; Keywords: Banks and banking, International ; Banks and banking - Europe; Publication Type: Working Paper; Update Code: 200404 N2 - We model two dimensions of bank globalization--bank nationality (a bank from the firm's host nation, its home nation, or a third nation) and bank reach (a global, regional, or local bank) using a two-stage nested multinomial logit model. Our data set includes over 2,000 foreign affiliates of multinational corporations operating in 20 European nations. We find that these firms frequently use host nation banks for cash management services, and that bank reach may be strongly influenced by this choice of bank nationality. Our results suggest limits to the degree of future bank globalization. L3 - http://www.federalreserve.gov/pubs/feds/2002/200225/200225abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700306&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200225/200225abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Dai, Qinglei AU - Ongena, Steven AU - Smith, David C. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - To what extent will the banking industry be globalized? a study of bank nationality and reach in 20 European nations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 725 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701142; Keywords: Banks and banking, International; Publication Type: Working Paper; Update Code: 200404 N2 - We model two dimensions of bank globalization--bank nationality (a bank from the firm's host nation, its home nation, or a third nation) and bank reach (a global, regional, or local bank)--using a two-stage nested multinomial logit model. Our data set includes over 2,000 foreign affiliates of multinational corporations operating in 20 European nations. We find that these firms frequently use host nation banks for cash management services, and that bank reach may be strongly influenced by this choice of bank nationality. Our results suggest limits to the degree of future bank globalization. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/725/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701142&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/725/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AD - Unlisted T1 - Trading activity and price volatility in the municipal bond market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-39 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700316; Keywords: Bonds ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume-volatility relationship in the muni market. We find a positive relationship between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a negative relationship between average deal size and price volatility. These results are found to be robust throughout the sample. Our results are inconsistent with current theoretical models of the volume-volatility relationship. These inconsistencies may arise because current models fail to account for the effects of overall market liquidity on the costs of large transactions. L3 - http://www.federalreserve.gov/pubs/feds/2002/200239/200239abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700316&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200239/200239abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AU - Elsasser, Robert AD - Unlisted AD - Unlisted T1 - Treasury inflation-indexed debt: a review of the U.S. experience PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-32 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700312; Keywords: Inflation-indexed bonds ; Government securities ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper reviews the U.S. experience with inflation-indexed debt. To date, Treasury inflation-indexed securities have not been highly valued by investors, with the spread between the yields on nominal and inflation-indexed securities falling consistently below most measures of long-run inflation expectations. A number of factors might have contributed to the low relative valuation of TIIS, including the difficulty for investors of adjusting to a new asset class, the concentration of participation in the market, the lower liquidity of TIIS relative to nominal Treasury securities, and the divergent trends in the supply of nominal and inflation-indexed Treasury debt. As a result, inflation-indexed debt has not yet lived up to one of its main purposes--to reduce financing costs to the Treasury. However, there are signs that the TIIS market is still evolving, which could affect the valuation of TIIS going forward. L3 - http://www.federalreserve.gov/pubs/feds/2002/200232/200232abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700312&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200232/200232abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bassett, William F. AU - Brady, Thomas AD - Unlisted AD - Unlisted T1 - What drives the persistent competitiveness of small banks? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-28 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700309; Keywords: Banks and banking ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - Several trends in the financial industry could have weakened the competitiveness of small banks in recent years. Despite those challenges, small banks have grown more rapidly than larger banks over the period from 1985 to 2001, and their profitability has been sustained at high levels. However, small banks have needed to increase the interest rates offered on deposit accounts in order to attract progressively more deposit funding. In this paper, we provide empirical evidence that this increased interest cost primarily reflects the high rate of return that small banks were able to earn on their assets. Moreover, we show with an arbitrage model that the decline in the real value of deposit insurance has only a small effect on deposit rates as long as bank failure rates are in the low range of recent years. L3 - http://www.federalreserve.gov/pubs/feds/2002/200228/200228abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700309&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200228/200228abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pilloff, Steven J. AD - Unlisted T1 - What's happened at divested bank offices? An empirical analysis of antitrust divestitures in bank mergers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-60 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700341; Keywords: Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - In their competitive analysis of proposed bank mergers, the Federal Reserve Board, Department of Justice, and other agencies accept branch divestitures as an antitrust remedy in local markets where there is substantial overlap between the acquirer and target. The results of this study, which examines the performance of 751 branches that were divested between June 1989 and June 1998 in conjunction with a merger that raised possible competition issues, suggest that the policy of accepting branch divestitures as an antitrust remedy has been successful. Divested branches operate for lengths of time that are comparable to all branches, and even though they experience substantial deposit runoff around the time of the merger, divested branches subsequently exhibit deposit growth rates that are comparable to those of other similar branches. Cross-sectional analysis does not find any significant relationships between either deposit runoff or subsequent growth and various characteristics of the branch being sold or the firm that purchased it, except for some evidence that post-divestiture growth may increase with the size of the purchaser. L3 - http://www.federalreserve.gov/pubs/feds/2002/200260/200260abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700341&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200260/200260abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AD - Unlisted T1 - Why are semiconductor prices falling so fast? Industry estimates and implications for productivity measurement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002-20 Y1 - 2002/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700300; Keywords: Semiconductor industry ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - By any measure, price deflators for semiconductors fell at a staggering pace over much of the last decade. These rapid declines are typically attributed to technological innovations that lower constant-quality manufacturing costs. But, given Intel's dominance in the microprocessor market, those price declines may also reflect changes in Intel's profit margins. Disaggregate data on Intel's operations are used to explore these issues. There are three basic findings. First, the industry data show that Intel's markups from its microprocessor segment shrank substantially from 1993-99. Second, about 3-1/2 percentage points of the average 24 percent price decline in a price index for Intel's chips can be attributed to declines in these profit margins over this period. And, finally, the data suggest that virtually all of the remaining price declines can be attributed to quality increases associated with product innovation. L3 - http://www.federalreserve.gov/pubs/feds/2002/200220/200220abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700300&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2002/200220/200220abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Berger, Allen N. AU - Klapper, Leora F. AU - Udell, Gregory F. T1 - The ability of banks to lend to informationally opaque small businesses. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2001/12// VL - 25 IS - 12 M3 - Article SP - 2127 SN - 03784266 AB - We test hypotheses about the effects of bank size, foreign ownership, and distress on lending to informationally opaque small firms using a rich new data set on Argentinean banks, firms, and loans. We also test hypotheses about borrowing from a single bank versus multiple banks. Our results suggest that large and foreign-owned institutions may have difficulty extending relationship loans to opaque small firms. Bank distress appears to have no greater effect on small borrowers than on large borrowers, although even small firms may react to bank distress by borrowing from multiple banks, raising borrowing costs and destroying some relationship benefits. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - LOANS KW - FOREIGN investments KW - SMALL business KW - FINANCE KW - FINANCIAL institutions KW - Financial distress KW - Foreign ownership KW - Mergers KW - Multiple lenders N1 - Accession Number: 5688267; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Klapper, Leora F. 3; Email Address: lklapper@worldbank.org; Udell, Gregory F. 4; Email Address: gudell@indiana.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Mall Stop 153, 20th and C Streets N LV, Washington, DC 20551, USA.; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA.; 3: The World Bank Washington, DC 20433, USA.; 4: Kelley School of Business, Indiana University, Bloomington, IN 47405, USA.; Issue Info: Dec2001, Vol. 25 Issue 12, p2127; Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; Thesaurus Term: FOREIGN investments; Thesaurus Term: SMALL business; Thesaurus Term: FINANCE; Thesaurus Term: FINANCIAL institutions; Author-Supplied Keyword: Financial distress; Author-Supplied Keyword: Foreign ownership; Author-Supplied Keyword: Mergers; Author-Supplied Keyword: Multiple lenders; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 41p; Illustrations: 10 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5688267&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engel, Charles AU - Rogers, John H. T1 - Deviations from purchasing power parity: causes and welfare costs. JO - Journal of International Economics JF - Journal of International Economics Y1 - 2001/10// VL - 55 IS - 1 M3 - Article SP - 29 SN - 00221996 AB - This article examines deviations from short-run purchasing power parity in various European cities. The authors remark that a spate of recent research has improved the general understanding of the magnitude, sources, and implications of the well-documented deviations from the law of one price internationally. Several insights have also been brought to bear on the possible sources of these failures of the law of one price. The potential sources include tariffs and non-tariff barriers to trade, transportation costs, non-traded inputs such as marketing and other distribution services that are a part of final goods prices, and variable nominal exchange rates under sticky prices. One explanation of this last source is that producers selling abroad set prices in the currency of consumers rather than their own. Under local currency pricing, changes in nominal exchange rates do not affect goods prices in the local market, that is, there is zero pass-through of exchange rate changes. Several recent theoretical papers have argued that assumptions concerning price-setting behavior can affect the debate about the merits of fixed versus floating exchange rate systems. KW - PURCHASING power parity KW - FOREIGN exchange KW - PRICE regulation KW - INTERNATIONAL law KW - FOREIGN exchange rates KW - MONETARY policy KW - Fixed exchange rates KW - Law of one price KW - Purchasing power parity N1 - Accession Number: 5406561; Engel, Charles 1,2; Email Address: cengel@ssc.wisc.edu; Rogers, John H. 3; Email Address: john.h.rogers@frb.gov; Affiliations: 1: Department of Economics, University of Wisconsin, Madison, WI 53706-1393, USA; 2: NBER, Cambridge, MA 02138, USA; 3: International Finance Division, Stop 22, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Oct2001, Vol. 55 Issue 1, p29; Thesaurus Term: PURCHASING power parity; Thesaurus Term: FOREIGN exchange; Thesaurus Term: PRICE regulation; Thesaurus Term: INTERNATIONAL law; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONETARY policy; Author-Supplied Keyword: Fixed exchange rates; Author-Supplied Keyword: Law of one price; Author-Supplied Keyword: Purchasing power parity; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5406561&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernheim, B. Douglas AU - Skinner, Jonathan AU - Weinberg, Steven T1 - What Accounts for the Variation in Retirement Wealth Among U.S. Households? JO - American Economic Review JF - American Economic Review Y1 - 2001/09// VL - 91 IS - 4 M3 - Article SP - 832 PB - American Economic Association SN - 00028282 AB - Even among households with similar socioeconomic characteristics, saving and wealth vary considerably. Life-cycle models attribute this variation to differences in time preference rates, risk tolerance, exposure to uncertainty, relative tastes for work and leisure at advanced ages, and income replacement rates. These factors have testable implications concerning the relation between accumulated wealth and the shape of the consumption profile. Using the Panel Study of Income Dynamics and the Consumer Expenditure Survey, we find little support for these implications. The data are instead consistent with "rule of thumb," "mental accounting," or hyperbolic discounting theories of wealth accumulation. (JEL D1, D91, E21) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAVING & investment KW - WEALTH KW - INCOME KW - CONSUMPTION (Economics) KW - RETIREMENT KW - HOUSEHOLDS KW - SOCIAL status KW - SURVEYS KW - UNITED States N1 - Accession Number: 5275756; Bernheim, B. Douglas 1,2; Email Address: bernheim@leland.stanford.edu; Skinner, Jonathan 2,3; Email Address: jonathan.skinnr@dartmouth.edu; Weinberg, Steven 4; Email Address: steven.a.weinberg@frb.gov; Affiliations: 1: Department of Economics, Stanford University. Stanford CA 94305.; 2: National Bureau of Economics Research.; 3: Department of Economics. Dartmouth College. Hanover NH 03755.; 4: Board of Governors of the Federal Reserve System. Washington DC 20551.; Issue Info: Sep2001, Vol. 91 Issue 4, p832; Thesaurus Term: SAVING & investment; Thesaurus Term: WEALTH; Thesaurus Term: INCOME; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: RETIREMENT; Subject Term: HOUSEHOLDS; Subject Term: SOCIAL status; Subject Term: SURVEYS; Subject: UNITED States; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 26p; Illustrations: 8 Graphs; Document Type: Article; Full Text Word Count: 13798 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5275756&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios T1 - Monetary Policy Rules Based on Real-Time Data. JO - American Economic Review JF - American Economic Review Y1 - 2001/09// VL - 91 IS - 4 M3 - Article SP - 964 PB - American Economic Association SN - 00028282 AB - This paper examines the magnitude of informational problems associated with the implementation and interpretation of simple monetary policy rules. Using Taylor's rule as an example, I demonstrate that real-time policy recommendations differ considerably from those obtained with ex post revised data. Further, estimated policy reaction functions based on ex post revised data provide misleading descriptions of historical policy and obscure the behavior suggested by information available to the Federal Reserve in real time. These results indicate that reliance on the information actually available to policy makers in real time is essential for the analysis of monetary policy rules. (JEL E52, E58) [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - ECONOMICS KW - MONETARY theory KW - ECONOMETRIC models KW - ECONOMIC policy KW - MONEY KW - FISCAL policy KW - FEDERAL Reserve monetary policy N1 - Accession Number: 5275801; Orphanides, Athanasios 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington. DC 20551.; Issue Info: Sep2001, Vol. 91 Issue 4, p964; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMICS; Thesaurus Term: MONETARY theory; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMIC policy; Thesaurus Term: MONEY; Thesaurus Term: FISCAL policy; Thesaurus Term: FEDERAL Reserve monetary policy; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 213p; Illustrations: 7 Graphs; Document Type: Article; Full Text Word Count: 11142 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5275801&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ongena, Steven AU - Smith, David C. T1 - The duration of bank relationships. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2001/09// VL - 61 IS - 3 M3 - Article SP - 449 EP - 475 SN - 0304405X AB - We analyze the duration of bank relationships using a unique panel data set of listed firms and their banks from the bank-dominated Norwegian market. We find that firms are more likely to leave a bank as the relationship matures. Small, profitable, and highly leveraged firms maintain shorter bank relationships, as do firms with multiple bank relationships. These findings are robust to censoring, alternate specifications for the distribution of relationship duration, and other control variables relevant to the Norwegian market. Overall, our results cast doubt on theories suggesting that firms become locked into bank relationships. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - FINANCIAL institutions KW - FINANCE KW - BUSINESS enterprises KW - BUSINESS KW - NORWAY N1 - Accession Number: 12132937; Ongena, Steven 1; Smith, David C. 2; Email Address: david.c.smith@frb.gov; Affiliations: 1: Department of Finance, Tilburg University and CentER, Tilburg, NL; 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington; Issue Info: Sep2001, Vol. 61 Issue 3, p449; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FINANCE; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: BUSINESS; Subject: NORWAY; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 27p; Illustrations: 6 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12132937&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hess, Gregory D. AU - Orphanides, Athanasios T1 - War and Democracy. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 2001/08// VL - 109 IS - 4 M3 - Article SP - 776 PB - University of Chicago Press SN - 00223808 AB - We present a general equilibrium model of conflict to investigate whether the prevalence of democracy is sufficient to foster the perpetual peace hypothesized by Immanuel Kant and whether the world would necessarily become more peaceful as more countries adopt democratic institutions. Our exploration suggests that neither hypothesis is true. The desire of incumbent leaders with unfavorable economic performance to hold on to power generates an incentive to initiate conflict and salvage their position—with some probability. An equilibrium with positive war frequency is sustained even if all nations were to adopt representative democratic institutions and even in the absence of an appropriative motive for war. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EQUILIBRIUM (Economics) KW - POWER (Social sciences) KW - DEMOCRACY KW - SOCIAL conflict KW - WAR KW - PEACE KW - KANT, Immanuel, 1724-1804 N1 - Accession Number: 4903590; Hess, Gregory D. 1; Orphanides, Athanasios 2; Affiliations: 1: Oberlin College; 2: Board of Governors of the Federal Reserve System; Issue Info: Aug2001, Vol. 109 Issue 4, p776; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: POWER (Social sciences); Subject Term: DEMOCRACY; Subject Term: SOCIAL conflict; Subject Term: WAR; Subject Term: PEACE; People: KANT, Immanuel, 1724-1804; Number of Pages: 35p; Illustrations: 4 Graphs; Document Type: Article; Full Text Word Count: 14860 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4903590&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David AU - Wascher, William T1 - Minimum Wages and Training Revisited. JO - Journal of Labor Economics JF - Journal of Labor Economics Y1 - 2001/07// VL - 19 IS - 3 M3 - Article SP - 563 PB - University of Chicago Press SN - 0734306X AB - Theory predicts that minimum wages will reduce employer-provided on-the-job training designed to improve workers' skills on the current job, but it is ambiguous regarding training that workers obtain to qualify for a job. We estimate the effects of minimum wages on both types of training received by young workers, exploiting crossstate variation in minimum wage increases. Much of the evidence supports the hypothesis that higher minimum wages reduce formal training to improve skills on the current job. But there is little or no evidence of offsetting increases in training undertaken to qualify for or obtain jobs. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Labor Economics is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MINIMUM wage KW - EMPLOYEE training KW - YOUNG workers KW - INCENTIVES in industry KW - PAY for performance KW - PERSONNEL management N1 - Accession Number: 5058310; Neumark, David 1; Wascher, William 2; Affiliations: 1: Michigan State University and National Bureau of Economic Research; 2: Board of Governors of the Federal Reserve System; Issue Info: Jul2001, Vol. 19 Issue 3, p563; Thesaurus Term: MINIMUM wage; Thesaurus Term: EMPLOYEE training; Thesaurus Term: YOUNG workers; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: PAY for performance; Thesaurus Term: PERSONNEL management; NAICS/Industry Codes: 611430 Professional and Management Development Training; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 541612 Human Resources Consulting Services; Number of Pages: 33p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5058310&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engen, Eric M. AU - Gruber, Jonathan T1 - Unemployment insurance and precautionary saving. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2001/06// VL - 47 IS - 3 M3 - Article SP - 545 EP - 579 SN - 03043932 AB - Models of precautionary saving imply that households will hold more assets when faced with greater income uncertainty. However, previous empirical studies of income uncertainty have produced somewhat mixed support for the precautionary saving hypothesis. In this paper, we note that differences in the state-contingent income stream available to workers through the unemployment insurance (UI) program provides an excellent source of variation for testing the presence of a precautionary savings motive. Simulations of a stochastic life cycle model suggest that a UI system similar to the type currently in place in the U.S. can lead to a significant reduction in the assets accumulated by a median worker. Moreover, there is considerable variation in the UI benefit schedules for workers living in different states in the U.S., which provides an exogenous source of variation for empirically testing the precautionary saving hypothesis. We carry out this test using data on expected UI benefit replacement rates and financial assets held by households in the Survey of Income and Program Participation. Our empirical results are consistent with the predictions of the model and suggest that reducing the UI benefit replacement rate by 50 percent would increase gross financial asset holdings by 14 percent, or $241, for the average worker. We also find empirical evidence that this "crowd out" effect of UI on household saving is stronger for those facing higher unemployment risk and weaker for older workers, both of which are implications from our precautionary saving model. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAVING & investment KW - INCOME KW - ASSETS (Accounting) KW - ECONOMICS KW - HOUSEHOLDS KW - UNCERTAINTY N1 - Accession Number: 12133251; Engen, Eric M. 1; Gruber, Jonathan 2; Email Address: gruberj@mit.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Department of Economics, Massachusetts Institute of Technology; Issue Info: Jun2001, Vol. 47 Issue 3, p545; Thesaurus Term: SAVING & investment; Thesaurus Term: INCOME; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: ECONOMICS; Subject Term: HOUSEHOLDS; Subject Term: UNCERTAINTY; NAICS/Industry Codes: 814110 Private Households; Number of Pages: 35p; Illustrations: 4 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12133251&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Laubach, Thomas T1 - MEASURING THE NAIRU: EVIDENCE FROM SEVEN ECONOMIES. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2001/05// VL - 83 IS - 2 M3 - Article SP - 218 EP - 231 PB - MIT Press SN - 00346535 AB - Several specifications of state-space models are used to obtain estimates of the NAIRU for the G7 except Japan, plus Australia, over the past 28 years. A Phillips curve-type regression is shown to deliver estimates that do not mimic low-frequency movements in unemployment rates, even when a drift is included in the specification of the NAIRU. Standard errors around the estimates are extremely large. Using information about the behavior of unemployment, in addition to inflation, alleviates both these shortcomings. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - NATURAL rate of unemployment KW - UNEMPLOYMENT KW - INFLATION (Finance) KW - ECONOMETRIC models KW - ESTIMATES KW - RATIONAL expectations (Economic theory) KW - ERROR analysis (Mathematics) KW - REGRESSION analysis N1 - Accession Number: 4428071; Laubach, Thomas 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May2001, Vol. 83 Issue 2, p218; Thesaurus Term: NATURAL rate of unemployment; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ESTIMATES; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: ERROR analysis (Mathematics); Thesaurus Term: REGRESSION analysis; Number of Pages: 14p; Illustrations: 4 Charts, 5 Graphs; Document Type: Article; Full Text Word Count: 8258 L3 - 10.1162/00346530151143761 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4428071&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fenn, George W. AU - Liang, Nellie T1 - Corporate payout policy and managerial stock incentives. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2001/04// VL - 60 IS - 1 M3 - Article SP - 45 EP - 72 SN - 0304405X AB - We examine how corporate payout policy is affected by managerial stock incentives using data on more than 1,100 nonfinancial firms during 1993-97. We find that management stock ownership is associated with higher payouts by firms with potentially the greatest agency problems — those with low management stock ownership and few investment opportunities or high free cash flow. We also find that management stock options are related to the composition of payouts. We find a strong negative relationship between dividends and management stock options, as predicted by Lambert et al (1989), and a positive relationship between repurchases and management stock options. Our results suggest that the growth in stock options may help to explain the rise in repurchases at the expense of dividends. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DIVIDENDS KW - STOCK repurchasing KW - STOCK options KW - STOCK ownership KW - STOCKS (Finance) KW - CORPORATIONS -- Finance N1 - Accession Number: 12134681; Fenn, George W. 1; Email Address: gfenn@alum.mit.edu; Liang, Nellie 2; Email Address: nliang@frb.gov; Affiliations: 1: Bates White and Ballentine, MA, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Apr2001, Vol. 60 Issue 1, p45; Thesaurus Term: DIVIDENDS; Thesaurus Term: STOCK repurchasing; Thesaurus Term: STOCK options; Thesaurus Term: STOCK ownership; Thesaurus Term: STOCKS (Finance); Thesaurus Term: CORPORATIONS -- Finance; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 28p; Illustrations: 4 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12134681&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Goldberg, Lawrence G. AU - White, Lawrence J. T1 - The Effects of Dynamic Changes in Bank Competition on the Supply of Small Business Credit. JO - European Finance Review JF - European Finance Review Y1 - 2001/01// VL - 5 IS - 1/2 M3 - Article SP - 115 EP - 139 SN - 13826662 AB - We study the effects of structural changes in banking markets on the supply of credit to small businesses. Specifically, we examine whether bank mergers and acquisitions (M&As) and entry have "external" effects on small business loans by other banks in the same local markets. The results suggest modest positive external effects from these dynamic changes in competition, except that large banks may reduce small business lending in reaction to entry. We confirm bank size and age as important determinants of this lending, and show that the measured age effect does not appear to be driven by local market M&A activity. [ABSTRACT FROM AUTHOR] AB - Copyright of European Finance Review is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business loans KW - BANK loans KW - BANKING industry KW - FINANCIAL services industry KW - COMPETITION KW - bank KW - mergers KW - small business N1 - Accession Number: 18661434; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Goldberg, Lawrence G. 3; White, Lawrence J. 4; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, U.SA., Wharton; 2: Financial Institutions Center, Philadelphia, PA 19104 U.S.A.; 3: Department of Finance, University of Miami, Coral Gables, FL 33124, U.S.A.; 4: Stern School of Business, New York University, New York, NY 10012-1126, U.S.A.; Issue Info: 2001, Vol. 5 Issue 1/2, p115; Thesaurus Term: SMALL business loans; Thesaurus Term: BANK loans; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL services industry; Subject Term: COMPETITION; Author-Supplied Keyword: bank; Author-Supplied Keyword: mergers; Author-Supplied Keyword: small business; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 25p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18661434&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bansak, Cynthia AU - Raphael, Steven T1 - IMMIGRATION REFORM AND THE EARNINGS OF LATINO WORKERS: DO EMPLOYER SANCTIONS CAUSE DISCRIMINATION? JO - ILR Review JF - ILR Review Y1 - 2001/01// VL - 54 IS - 2 M3 - Article SP - 275 EP - 295 PB - Sage Publications Inc. SN - 00197939 AB - Using the Current Population Surveys, the authors investigate whether sanctions against employers for hiring undocumented workers, a provision of the 1986 Immigration Reform and Control Act (IRCA), adversely affected the hourly earnings of Latino workers in the southwestern United States. The analysis exploits the fact that agricultural employers were exempt from the sanctions and from employee-verification requirements for the first two years following IRCA's passage. The authors find substantial pre-post IRCA declines in the wages of Latino nonagricultural workers relative to Latinos in agriculture. They do not observe similar shifts in the relative wages among non-Latino white workers. When using non-Latino black and white non-agricultural workers as alternative control groups, they find that Latino wages declined relative to black wages but not relative to white wages. Finally, they find that the pre-post IRCA inter-sectoral and inter-ethnic relative wage declines for Latino non-agricultural workers do not reflect longer-term trends. [ABSTRACT FROM AUTHOR] AB - Copyright of ILR Review is the property of Sage Publications Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HISPANIC Americans -- Employment KW - WAGES -- Hispanic Americans KW - AGRICULTURAL laborers KW - AGRICULTURAL wages KW - DISCRIMINATION in employment KW - EMIGRATION & immigration KW - UNITED States N1 - Accession Number: 4035127; Bansak, Cynthia 1; Raphael, Steven 2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; 2: Assistant Professor, Goldman School of Public Policy, University of California, Berkeley; Issue Info: Jan2001, Vol. 54 Issue 2, p275; Thesaurus Term: HISPANIC Americans -- Employment; Thesaurus Term: WAGES -- Hispanic Americans; Thesaurus Term: AGRICULTURAL laborers; Thesaurus Term: AGRICULTURAL wages; Thesaurus Term: DISCRIMINATION in employment; Thesaurus Term: EMIGRATION & immigration; Subject Term: UNITED States; NAICS/Industry Codes: 115110 Support activities for crop production; NAICS/Industry Codes: 115115 Farm Labor Contractors and Crew Leaders; Number of Pages: 21p; Illustrations: 2 Diagrams, 7 Charts; Document Type: Article; Full Text Word Count: 11110 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4035127&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - David, Alexander T1 - Pricing the strategic value of putable securities in liquidity crises. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 2001/01// VL - 59 IS - 1 M3 - Article SP - 63 EP - 99 SN - 0304405X AB - Putable security holders have a de facto first claim on the firm's liquid assets and can threaten to force solvent issuers to bear financial distress costs. Their threatening power implies that the puts have a strategic value larger than their intrinsic value. Strategic value depends on the issuer's size, potential distress costs, and the distribution of put ownership relative to the firm's liquidity position. The analysis of Kmart's put-induced crisis in 1995, and a calibration to observed secondary market yield reductions on poison put bonds, shows that strategic value is an important determinant of payouts received by bondholders. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SECURITIES KW - CREDIT risk KW - LIQUIDITY (Economics) KW - BANKRUPTCY KW - INVESTMENTS KW - UNITED States N1 - Accession Number: 12134339; David, Alexander 1; Email Address: adavid@frb.gov; Affiliations: 1: Capital Markets Section, Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Jan2001, Vol. 59 Issue 1, p63; Thesaurus Term: SECURITIES; Thesaurus Term: CREDIT risk; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: BANKRUPTCY; Thesaurus Term: INVESTMENTS; Subject: UNITED States; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 37p; Illustrations: 2 Charts, 12 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12134339&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Davis, Morris A. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted T1 - A primer on the economics and time series econometrics of wealth effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-09 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700225; Keywords: Consumption (Economics) ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reviews the statistical approach typically applied by macroeconomists to investigate the empirical links among aggregate data on household consumption, income, and wealth. In particular, we focus on studies determining whether and how much changes in net worth, such as those generated by the stock-market boom in the U.S. over the latter 1990s, are responsible for subsequent swings in the growth rate of consumer spending. We show how simple economic theory is used to motivate an econometric strategy that consists of two stages of analysis. First, regressions are used to identify trend movements shared by consumption, income, and wealth over the long run, then deviations of these series from their commong long-run trends are used to help forecast consumption growth over the short run. Our discussion highlights the various judgments that researchers must make in the course of implementing this empirical approach, and we detail how specific parameter estimates describing the magnitude of the wealth effect on consumption--and even broad conclusions about its existence--are affected by making alternative choices. L3 - http://www.federalreserve.gov/pubs/feds/2001/200109/200109pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700225&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200109/200109pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Maasoumi, Esfandiar AU - Mizon, Grayham E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - A retrospective on J. Denis Sargan and his contributions to econometrics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 700 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701116; Keywords: Econometrics ; Economists; Publication Type: Working Paper; Update Code: 200404 N2 - This retrospective provides a biographical history of Denis Sargan's career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he supervised--students were a substantive facet of his professional life. Finally, two of Denis's previously unpublished manuscripts on model building now appear in print. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/700/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701116&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/700/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - A simple measure of the intensity of capital controls PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 708 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701123; Keywords: Developing countries ; Capital movements; Publication Type: Working Paper; Update Code: 200404 N2 - We present a readily available monthly measure of the intensity of capital controls across 29 emerging market countries that is based on the degree of restrictions on foreign ownership of equities. The initial opening of a market as given by our measure corresponds well with the liberalization dates of Bekaert and Harvey (2000a). In addition, our measure provides information on the extent of the initial opening as well as the evolution of the liberalization over time. We discuss two versions of the measure. One version provides the better indication of the extent of controls at a point in time, and is thus better suited for cross-sectional analysis. The other version-smoothed of the relative price effects of asymmetric shocks-provides a better indication of changes in controls, and is thus more appropriate for time series work. After describing the measure, we compare it to other existing measures of capital controls and briefly describe some empirical applications. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/708/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701123&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/708/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von zur Muehlen, Peter AD - Unlisted T1 - Activist vs. non-activist monetary policy: optimal rules under extreme uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-02 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700219; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes the optimality of reactive feedback rules advocated by neo-Keynesians, and constant money growth rules proposed by monetarists. The basis for this controversy is not merely a disagreement concerning sources and impacts of uncertainty in the economy, but also an apparent fundamental difference in the attitude toward uncertainty about models. To address these differences, this paper compares the relative reactiveness of a monetary policy instrument to conditioning information for two starkly differing versions of model uncertainty about the model and the data driving it: Bayesian uncertainty that assumes known probability distributions for a model's parameters and the data Knightian uncertainty that does not. In the latter case, the policy maker copes with extreme uncertainty by playing a mental game against "natuare," using minmax strategies. Contrary to common intuition, extreme uncertainty about a model's parameters does not necessarily imply less responsiveness to conditioning information--here represented by the lagged gap between nominal income growth and its trend--and it certainly does not justify constancy of money growth except in an extreme version of Brainard's (1967) result. A partial constant growth rule can be derived in only one special case: if the conditioning variable in the feedback rule is also uncertain in either Bayesian or Knightian senses and the authority used Neyman-Pearson likelihood ratio tests to distinguish noise from information with each new observation. L3 - http://www.federalreserve.gov/pubs/feds/2001/200102/200102pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700219&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200102/200102pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-41 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700255; Keywords: Econometric models ; Economic stabilization ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - Typical dynamic general-equilibrium (DGE) models with stochastic productivity, consumers with state-separable (expected utility) preferences, and capital accumulation imply a small welfare cost of business cycles and a small market price of risk (i.e., equity premium). I present an analytical solution to quantity and asset-price movements in a DGE model with preferences that are either state-separable or non-state-separable; non-state-separable preferences leave the response of quantities to productivity shocks unaltered from the solutions under expected utility, but can raise substantially the welfare cost of fluctuations or the equity premium implied by the model. I then show that a large welfare loss to business cycles does not imply a large gain from an activist monetary policy. In particular, monetary policy can implement the optimal allocation in a sticky-price version of the model, but the welfare gain from such a policy is trivial because the optimal allocation continues to imply a volatile consumption stream in response to productivity shocks. These results highlight an important distinction between recent new-Keynesian or neo-Monetarist models of business cycles and older Keynesian-style models: In the recent literature, economic fluctuations are largely an efficient response to shocks to the economy (and the deviations from efficiency stem primarily from relative price distortions associated with price rigidity--i.e., Harberger triangles). In the older literature, fluctuations were viewed as inherently inefficient (with larger inefficiencies--i.e., Okun's gaps). In both literatures, this distinction is largely assumed rather than discovered, and the proper view of this distinction is the key determinant of the potential benefit of stabilization policy. L3 - http://www.federalreserve.gov/pubs/feds/2001/200141/200141abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700255&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200141/200141abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - An empirical comparison of Bundesbank and ECB monetary policy rules PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 705 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701122; Keywords: European Central Bank ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate a monetary policy reaction function for the Bundesbank and use it as a benchmark to assess the monetary policy of the ECB since the launch of the euro in January 1999. We find that euro interest rates are low relative to this benchmark. We consider several possible reasons for this, including the divergence between core and headline inflation, inflation having turned out to be higher than could have been foreseen by the ECB and the possibility that the ECB is focussing only on macroeconomic conditions in a subset of member countries. We argue that these potential explanations cannot account for the difference between recent interest rates and our estimated Bundesbank benchmark. Our results suggest that the reaction function of the ECB features a high weight on the output gap relative to the weight on inflation, compared to the Bundesbank. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/705/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701122&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/705/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lange, Joe AU - Sack, Brian AU - Whitesell, William AD - Unlisted AD - Unlisted AD - Unlisted T1 - Anticipations of monetary policy in financial markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-24 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700242; Keywords: Financial markets ; Monetary policy ; Federal funds rate; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, financial markets appear better able to anticipate FOMC policy changes. Beginning in the late 1980s and early 1990s, longer-term interest rates and futures rates have tended to incorporate movements in the federal funds rate several months in advance, in contrast to the largely contemporaneous response typically observed before that time. After identifying these emerging trends, the paper parses the enhanced predictability into a component that can be attributed to the autoregressive behavior of the funds rate and a non-autoregressive component. The paper considers institutional developments in FOMC policy making that may have contributed to each of these components, including gradualism in adjusting the federal funds rate target and transparency regarding the setting of the target and future policy intentions. L3 - http://www.federalreserve.gov/pubs/feds/2001/200124/200124abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700242&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200124/200124abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AD - Unlisted T1 - Are branch banks better survivors? Evidence from the Depression era PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-51 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700270; Keywords: Branch banks ; Financial crises; Publication Type: Working Paper; Update Code: 200404 N2 - It is widely argued in the literature on the Great Depression that the prevalence of unit banks aggravated the problem of financial instability that afflicted the country. This paper tests the theory that more widespread branch banking would have reduced financial turbulence in the United States by examining the survival of individual branch and unit banks. Results indicate that instead of being more likely to survive, branch banks were more likely to fail. Further investigation suggests that this higher failure rate occurred because branch banks systematically held riskier portfolios than unit banks. L3 - http://www.federalreserve.gov/pubs/feds/2001/200151/200151abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700270&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200151/200151abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Balanced growth revisited: a two-sector model of economic growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-04 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700222; Keywords: Economic development ; Econometric models ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - The one-sector Solow-Ramsey model is the most popular model of long-run economic growth. This paper argues that a two-sector approach, which distinguishes the durable goods sector from the rest of the economy, provides a far better picture of the long-run behavior of the U.S. economy. Real durable goods output has consistently grown faster than the rest of the economy. Because most investment spending is on durable goods, the one-sector model's hypothesis of balanced growth, so that the real aggregates for consumption, investment, output, and the capital stock all grow at the same rate in the long run, is rejected by U.S. data. In addition, to model these aggregates as currently constructed in the U.S. National Accounts, a two-sector approach is required. Implications for empirical macroeconomics are explored. ; This is a revised version of Balanced Growth Revisited: A Two-Sector Model of Economic Growth, dated January 2001. L3 - http://www.federalreserve.gov/pubs/feds/2001/200104/200104pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700222&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200104/200104pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AU - Smith, Hayden P. AD - Unlisted AD - Unlisted T1 - Border effects within the NAFTA countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 698 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701115; Keywords: North American Free Trade Agreement ; Trade ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Using consumer price indexes from cities in the U.S., Canada and Mexico, we estimate the "border effect" on U.S.-Mexican relative prices and find that it is nearly an order of magnitude larger than for U.S.-Canadian prices. However, during a very stable sub-period in Mexico (May 1988 to November 1994), the "width" of the U.S.-Mexican border falls dramatically and becomes approximately equal to the U.S.-Canadian border. We then show that when consideration is limited to cities lying geographically very close to the U.S.-Mexican border--San Diego, Los Angeles, Houston, Dallas, Tijuana, Mexicali, Juarez, and Matamoros--the border width falls compared to that estimated with the full sample of U.S. and Mexican cities, but falls only very slightly. We also present evidence that the border effect in U.S.-Mexican prices is not primarily due to the border effect in U.S.-Mexican wages. Finally, using the prices of 276 highly dis-aggregated goods and services, we estimate the variability of relative prices of different items within Mexican cities. This measure of relative price variability declines during the stable peso sub-period, but by less than the decline in nominal and real (i.e., CPI-based) exchange rate variability. Our results are strong evidence of a "nominal border effect" in relative prices within NAFTA, but also indicate that real side influences are important. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/698/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701115&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/698/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carpenter, Seth B. AU - Whitesell, William AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted AD - Unlisted T1 - Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-48 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700275; Keywords: Business cycles ; Credit ; Risk ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - In the current regulatory framework, capital requirements are based on risk-weighted assets, but all business loans carry a uniform risk weight, irrespective of variations in credit risk. The proposed new Capital Accord of the Bank for International Settlements provides for a greater sensitivity of capital requirements to credit risk, raising the question of whether, and to what extent, the new capital standards will intensify business cycles. In this paper, we evaluate the potential cyclical effects of the "standardized approach" to risk evaluation in the new Accord, which involves the ratings of external agencies. We combine Moody's data on changes in U.S. borrowers' credit ratings since 1970 with estimates of the risk profile of business loans at commercial banks from the Survey of Terms of Business Lending, and also a risk profile estimated by Treacy and Carey (1998). We find that the level of required capital against business loans would be noticeably lower under the new Accord compared with the current regime. We do not find evidence of any substantial additional cyclicality in required capital levels under the standardized approach of the new Accord relative to the current regime. L3 - http://www.federalreserve.gov/pubs/feds/2001/200148/200148abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700275&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200148/200148abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Brett D. AD - Unlisted T1 - Convergence in neoclassical vintage capital growth models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 713 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701130; Keywords: Productivity ; Technology ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Most growth models assume capital is homogeneous. This contradicts intuition and empirical evidence that the majority of technology is embodied in the capital stock. Classic papers from the late 1950's and 1960's show that non-optimization models display the same asymptotic growth rates whether technology is embodied (vintage capital) or disembodied. This paper uses new numerical optimization techniques to solve for the entire time paths of the key economic variables for optimization versions of the three main types of vintage capital models. The conclusion is that although steady state growth rates may be the same, the transition paths, especially as characterized by convergence rates, vary greatly between the vintage and non-vintage capital models. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/713/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701130&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/713/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coenen, Gunter AU - Levin, Andrew AU - Wieland, Volker AD - Unlisted AD - Unlisted AD - Unlisted T1 - Data uncertainty and the role of money as an information variable for monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-54 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700273; Keywords: Demand for money ; Monetary theory ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This paper demonstrates that money can play an important role as an information variable and may result in major improvements in current output estimates. However, the specific nature of this role depends on the magnitude of the output measurement error relative to the money demand shock. In particular, we find noticeable but small improvements in output estimates due to the inclusion of money growth in the information set. Money plays a quantitatively more important role with regard to output estimation if we allow for a contribution of monetary analysis in reducing uncertainty due to money demand shocks. In this case, money also helps to reduce uncertainty about output forecasts. L3 - http://www.federalreserve.gov/pubs/feds/2001/200154/200154abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700273&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200154/200154abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carlson, Mark AU - Hernandez, Leonardo AD - Unlisted AD - Unlisted T1 - Determinants and repercussions of the composition of capital inflows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 717 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701134; Keywords: Capital movements ; Financial crises - Asia ; Financial crises - Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - The Mexican, Asian, and Russian crises of the mid- and late 1990s have renewed the interest among policymakers in the determinants and effects of private capital flows. This paper analyzes whether policies can affect the composition of capital inflows and whether different compositions aggravate crises. We find that, while fundamentals matter, capital controls can affect the mix of capital inflows that countries receive. We find that during the Asian crisis countries with more Yen denominated debt faired worse, while during the Mexican crisis larger short-term debt stocks increased the severity of the crisis. L3 - http://www.federalreserve.gov/pubs/ifdp/2002/717/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701134&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2002/717/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maki, Dean M. AU - Palumbo, Michael G. AD - Unlisted AD - Unlisted T1 - Disentangling the wealth effect: a cohort analysis of household saving in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-21 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700235; Keywords: Wealth ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - In the U.S., household net worth rose substantially in the latter half of the 1990s and the personal saving rate dropped sharply. Researchers do not agree about just what behavior links these two events, or how to interpret the negative correlation between wealth and the saving rate over a longer time span. In this paper, we combine household-level data from the triennial Survey of Consumer Finances with quarterly, aggregate data from the Flow of Funds Accounts to estimate net worth and saving for different cohorts of households in the 1990s. We find that the groups of households whose balance sheets were boosted the most by surging equity prices were also the groups that substantially decreased their saving rates. Further, econometric analysis of these data produces propensities to consume out of wealth in the range of typical estimates obtained from aggregate data. Taken together, our results corroborate a direct view of the wealth effect on consumption. L3 - http://www.federalreserve.gov/pubs/feds/2001/200121/200121abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700235&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200121/200121abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Elmendorf, Douglas AD - Unlisted AD - Unlisted T1 - Do provisional estimates of output miss economic turning points? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-52 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700271; Keywords: Forecasting ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - Initial estimates of aggregate output and its components are based on very incomplete source data, so they may not fully capture shifts in economic conditions. In particular, if those estimates are based partly on trends in preceding quarters, provisional estimates may overstate activity when actual output is decelerating and understate it when actual output is accelerating. We examine this issue using the Real Time Data Set for Macroeconomists, which contains contemporaneous estimates of GNP or GDP and its components beginning in the late 1960s, as well as financial-market information and other data. We find that provisional estimates tend to partially miss accelerations and decelerations. We also consider whether better use of contemporaneous data could improve the quality of provisional estimates. We find that provisional estimates do not represent optimal forecasts of the current estimates, but that the improvement in forecast quality from including additional data appears to be quite small. L3 - http://www.federalreserve.gov/pubs/feds/2001/200152/200152abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700271&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200152/200152abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Maki, Dean M. AD - Unlisted AD - Unlisted T1 - Does stock market wealth matter for consumption? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-23 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700241; Keywords: Stock market ; Consumption (Economics) ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores the household behavior that underlies the link between wealth and consumption at the aggregate level. One possibility is that changes in wealth directly cause changes in consumption through their effect on households' contemporaneous budget sets; another possibility is that they merely predict changes in consumption because they signal changes in future income. Based on analysis of household-level data from the Consumer Expenditure Survey, we find that direct wealth effects begin to show up relatively quickly and continue to boost consumption growth for a number of quarters, in line with aggregate estimates. In contrast, we find that the indirect wealth channel is not an important determinant of consumption growth. We also estimate that an additional dollar of wealth leads households with moderate securities holdings to increase consumption between 5 cents and 15 cents, with the most likely gain in the lower part of this range. L3 - http://www.federalreserve.gov/pubs/feds/2001/200123/200123abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700241&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200123/200123abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fleischman, Charles A. AU - Gallin, Joshua AD - Unlisted AD - Unlisted T1 - Employment persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-25 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700243; Keywords: Employment (Economic theory) ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - The recent U.S. expansion has provided employment experience to individuals at tail of the skill distribution. Will these opportunities bestow persistent benefits in the form of greater future employability? Using synthetic cohorts constructed from the CPS, this paper estimates the degree of persistence in cohort-level employment rates in excess of persistence in aggregate macroeconomic conditions. This approach is in some ways superior to testing for hysteresis in the aggregate unemployment rate because it abstracts away from compositional changes in the labor force by focusing on particular demographic groups. After controlling for aggregate conditions, there is little evidence of significant persistence in cohorts' employment rates; the effects of aggregate shocks are essentially dissipated within three years. However, economic conditions that prevailed when the cohorts first entered the labor market significantly affect the average lifetime employment rate of cohorts of less-educated men. L3 - http://www.federalreserve.gov/pubs/feds/2001/200125/200125abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700243&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200125/200125abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - Estimates of the productivity trend using time-varying parameter techniques PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-08 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700224; Keywords: Productivity ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In the second half of the 1990s, U.S. productivity growth moved up to rates not seen in several decades. In this paper, I use time-varying parameter techniques to isolate trend from cyclical movements in productivity and to obtain an estimate of the trend rate of productivity growth. I examine models both with and without an explicit role for capital accumulation. I find that in the models without an explicit role for capital accumulation, trend productivity growth is estimated to have moved up from around 1-1/2 percent in the period from the early 1970s to the mid 1990s, to about 2-1/2 percent by the final observation used in this paper, the second quarter of 2000. I find that if I allow for an explicit role for capital accumulation, the recent pace of trend productivity growth is even higher, at around 3 percent. L3 - http://www.federalreserve.gov/pubs/feds/2001/200108/200108pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700224&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200108/200108pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AD - Unlisted T1 - Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-44 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700267; Keywords: Productivity ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Trend growth in total factor productivity (TFP) is unobserved; it is frequently assumed to evolve continuously over time. That assumption is inherent in the use of the Hodrick-Prescott or Bandpass filter to extract trend. Similarly, the Kalman filter/ unobserved-components approach assumes that changes in the trend growth rate are normally distributed. In fact, however, innovations to the trend growth rate of total factor productivity are far from normal. The distribution is fat-tailed, with large outliers in 1973. Allowing for these outliers, the estimated trend growth rate changes only infrequently. A nonlinear filtering approach is probably better suited to capturing the infrequent past and possible current shifts in trend growth of TFP. One such approach is the Markov-switching model, which is estimated and tested in this paper. The Markov-switching approach appears to have several advantages over repeated Andrews tests. L3 - http://www.federalreserve.gov/pubs/feds/2001/200144/200144abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700267&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200144/200144abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bollerslev, Tim AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Estimating stochastic volatility diffusion using conditional moments of integrated volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-49 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700269; Keywords: Econometric models ; Finance; Publication Type: Working Paper; Update Code: 200404 N2 - We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. L3 - http://www.federalreserve.gov/pubs/feds/2001/200149/200149abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700269&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200149/200149abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roush, Jennifer E. AD - Unlisted T1 - Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 712 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701129; Keywords: Interest rates ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary policy. We argue that previous work on the expectation theory has failed to sufficiently account for interactions between monetary policy and bond markets in the determination of long and short interest rates. Using methods that directly account for this interaction, we find strong evidence supporting a term structure channel for policy that is consistent with the expectations theory. We show that the marginal effect of our consideration for this source of simultaneity bias is significant in uncovering evidence for the theory. We also discuss previous claims that policy regime changes and short-term interest rate smoothing by the Fed accounts for the theory's unconditional failure in light of our findings. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/712/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701129&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/712/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exchange rate forecasting: the errors we've really made PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 714 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701131; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the forecasting performance of standard macro models of exchange rates in real time, using dozens of different vintages of the OECD's Main Economic Indicators database. We calculate out-of-sample forecasts as they would have been made at the time, and compare them to a random walk alternative. The resulting "time series" of forecast performance indicates that both data revisions and changes in the sample period typically have large effects on exchange rate predictability. We show that the favorable evidence of long-horizon exchange rate predictability for the DM and Yen in Mark (1995) is present in only a narrow two-year window of data vintages around that used by Mark. In addition, approximately one-third of the improved forecasting performance of Mark's monetary model over a random walk is eventually undone by data revisions. Related to this, we find the models consistently perform better using original release data than using fully revised data. Finally, we find that model-based exchange rate forecasts are sometimes better when using Federal Reserve Staff forecasts of future fundamentals instead of actual future values of fundamentals. This contradicts a cherished presumption in the literature that dates all the way back to Meese and Rogoff (1983). L3 - http://www.federalreserve.gov/pubs/ifdp/2001/714/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701131&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/714/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AD - Unlisted T1 - Exchange-rate exposure of multinationals: focusing on exchange-rate issues PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 709 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701126; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines exchange-rate exposure of multinationals (MNEs) in light of detailed exchange rate data. Specifically, using MNE-specific exchange rates and accounting for the possibility that exchange-rate crises may impact a firm differently than periods of normal fluctuations, estimates suggest 1/4 of all MNEs had significant exchange rate exposure between 1995 and 1999. On average, significant exposure is estimated to be 0.68, indicating that a firm's monthly return falls, on average, by 0.68 percentage points when the dollar appreciates one percent. This encompasses periods where there are normal fluctuations in the exchange rate and the average exposure is estimated to be 0.55, as well as crisis periods where the average exposure is estimated to be 2.8. Finally, results illustrate that MNEs operating in more than 20 countries (having more than 30 subsidiaries) have twice the exposure of MNEs operating in one country (having one subsidiary). L3 - http://www.federalreserve.gov/pubs/ifdp/2001/709/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701126&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/709/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Forecast uncertainty in economic modeling PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 697 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701113; Keywords: Econometric models ; Forecasting ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade balance, U.K. inflation and real national income, and the U.S./U.K. exchange rate help clarify the issues involved. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/697/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701113&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/697/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sparks, Roger AU - Ingpen, Jamie AD - Unlisted AD - Unlisted AD - Unlisted T1 - GSEs, mortgage rates, and the long-run effects of mortgage securitization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-26 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700244; Keywords: Mortgage loans ; Interest rates ; Mortgages ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 N2 - Our paper compares mortgage securitization undertaken by government-sponsored enterprises (GSEs) with that undertaken by private markets, with an emphasis on how each type of mortgage securitization affects mortgage rates. We build a model illustrating that market structure, government sponsorship, and the characteristics of the mortgages securitized are all important determinants of mortgage rates. We find that GSEs generally--but not always--lower mortgage rates, particularly when the GSEs behave competitively, because the GSEs' implicit government backing allows them to sell securities without the credit enhancements needed in the private sector. Using our simulation model, we demonstrate that when mortgages eligible for purchase by the GSEs have characteristics similar to other mortgages, then implicit government backing generates differences in mortgage rates that are similar to those currently observed in the mortgage market (which range between zero and fifty basis points). However, if the mortgages purchased by GSEs differ substantially from other mortgages and the GSEs behave competitively, the simulated spread in mortgage rates can be much larger than that observed in the data. L3 - http://www.federalreserve.gov/pubs/feds/2001/200126/200126abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700244&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200126/200126abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AD - Unlisted T1 - Home bias and high turnover reconsidered PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 702 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701118; Keywords: International finance ; Capital movements; Publication Type: Working Paper; Update Code: 200404 N2 - It is a stylized fact of international finance that foreign equities are underweighted (the home bias) but overtraded (the high turnover). Since stylized facts drive research, theoretical models are now developed to explain the puzzling coexistence of home bias and high turnover, first presented in Tesar and Werner (1995), and researchers now dismiss transaction costs as a plausible explanation of home bias. I show, however, that part of the puzzle--very high turnover rates on foreign equity portfolios--is based on inaccurate estimates of cross-border holdings. Revised estimates of holdings of foreign equities from comprehensive benchmark surveys produce foreign turnover rates that are much lower than previously reported and are comparable to domestic turnover rates. The implications of this finding are clear. First, researchers should no longer develop theoretical models to explain the coexistence of home bias and high turnover. Second, the relationship between transaction costs and home bias should be reexplored. On the second point, the basic intuition from Tesar and Werner (1995)--that transaction costs do not help explain the observed home bias--is confirmed using actual data on transaction costs in 41 markets. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/702/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701118&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/702/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AU - O'Brien, James AD - Unlisted AD - Unlisted T1 - How accurate are Value-at-Risk models at commercial banks? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-31 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700251; Keywords: Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use. L3 - http://www.federalreserve.gov/pubs/feds/2001/200131/200131abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700251&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200131/200131abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - How well does the new Keynesian sticky-price model fit the data? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-13 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700231; Keywords: Phillips curve ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - The New Keynesian sticky-price model has become increasingly popular for monetary-policy analysis. However, there have been conflicting results on the empirical performance of the model. In this paper, I attempt to reconcile these conflicting claims by examining various specifications of the model within the context of a single framework. I find that the New Keynesian model does not fit the U.S. data well; in particular, the model requires additional lags of inflation not implied by the model under rational expectations. These additional lags have the interpretation that some fraction of the population uses a simple univariate rule for forecasting inflation. L3 - http://www.federalreserve.gov/pubs/feds/2001/200113/200113abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700231&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200113/200113abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted T1 - Imperfect credibility and inflation persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-45 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700262; Keywords: Econometric models ; Deflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we formulate a dynamic general equilibrium model with staggered nominal contracts, in which households and firms use optimal filtering to disentangle persistent and transitory shifts in the monetary policy rule. The calibrated model accounts quite well for the dynamics of output and inflation during the Volcker disinflation, and implies a sacrifice ratio very close to the estimated value. Our approach indicates that inflation persistence and substantial costs of disinflation can be generated in an optimizing-agent framework, without relaxing the assumption of rational expectations or relying on arbitrary modifications to the aggregate supply relation. L3 - http://www.federalreserve.gov/pubs/feds/2001/200145/200145abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700262&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200145/200145abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amato, Jeffery D. AU - Laubach, Thomas AD - Unlisted AD - Unlisted T1 - Implications of habit formation for optimal monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-58 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700278; Keywords: Monetary policy ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - We study the implications for optimal monetary policy of introducing habit formation in consumption into a general equilibrium model with sticky prices. Habit formation affects the model's endogenous dynamics through its effects on both aggregate demand and households' supply of output. We show that the objective of monetary policy consistent with welfare maximization includes output stabilization, as well as inflation and output gap stabilization. We find that the variance of output increases under optimal policy, even though it acquires a higher implicit weight in the welfare function. We also find that a simple interest rate rule nearly achieves the welfare-optimal allocation, regardless of the degree of habit formation. In this rule, the optimal responses to inflation and the lagged interest rate are both declining in the size of the habit, although super-inertial policies remain optimal. L3 - http://www.federalreserve.gov/pubs/feds/2001/200158/200158abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700278&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200158/200158abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Incorporating event risk into value-at-risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-17 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700233; Keywords: Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Event risk is the risk that a portfolio's value can be affected by large jumps in market prices. Event risk is synonymous with "fat tails" or "jump risk". Event risk is one component of "specific risk", defined by bank supervisors as the component of market risk not driven by market-wide shocks. Standard Value-at-Risk (VaR) models used by banks to measure market risk do not do a good job of capturing event risk. In this paper, I discuss the issues involved in incorporating event risk into VaR. To illustrate these issues, I develop a VaR model that incorporates event risk, which I call the Jump-VaR model. The Jump-VaR model uses any standard VaR model to handle "ordinary" price fluctuations and grafts on a simple model of price jumps. The effect is to "fatten" the tails of the distribution of portfolio returns that is used to estimate VaR, thus increasing VaR. I note that regulatory capital could rise or fall when jumps are added, since the increase in VaR would be offset by a decline in the regulatory capital multiplier on specific risk from 4 to 3. In an empirical application, I use the Jump-VaR model to compute VaR for two equity portfolios. I note that, in practice, special attention must be paid to the issues of correlated jumps and double-counting of jumps. As expected, the estimates of VaR increase when jumps are added. In some cases, the increases are substantial. As expected, VaR increases by more for the portfolio with more specific risk. L3 - http://www.federalreserve.gov/pubs/feds/2001/200117/200117abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700233&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200117/200117abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Guerrieri, Luca AD - Unlisted T1 - Inflation dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 715 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701133; Keywords: Inflation (Finance) ; Phillips curve; Publication Type: Working Paper; Update Code: 200404 N2 - Gali and Gertler (1999) are the first to find that the baseline sticky price model fits the U.S. data well. I examine the robustness of their estimates along two dimensions. First, I show that their IV estimates are not robust to an alternative normalization of the moment condition being estimated. However, when using a Monte Carlo study to investigate small-sample properties, I show that the normalization chosen by Gali and Gertler (1999) yields a superior estimator. Second, I check whether or not the proportion of backward-looking firms augmenting the baseline model to fit the data is dependent on the type of contracting assumed. I find that using Taylor-style contracts, rather than Calvo-style contracts, this proportion jumps to 50 percent. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/715/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701133&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/715/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Weinberg, Steven A. AD - Unlisted T1 - Interpreting the volatility smile: an examination of the information content of option prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 706 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701124; Keywords: Risk management ; Asset-liability management; Publication Type: Working Paper; Update Code: 200404 N2 - This paper evaluates how useful the information contained in options prices is for predicting future price movements of the underlying assets. We develop an improved semiparametric methodology for estimating risk-neutral probability density functions (PDFs), which allows for skewness and intertemporal variation in higher moments. We use this technique to estimate a daily time series of risk-neutral PDFs spanning the late 1980's through 1999, for S&P 500 futures, U.S. dollar/Japanese yen futures and U.S. dollar/deutsche mark futures, using options on these futures. For the foreign exchange futures, we find little discernable additional information contained in the estimated PDFs beyond the information derived from the Black-Scholes model, a fully parametric specification. For S&P 500 futures, we find that the risk-neutral distribution implied by the volatility smile better fits the realized returns than the Black-Scholes model, although this better overall fit is not exhibited in the second and third moments. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/706/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701124&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/706/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bakshi, Gurdip AU - Madan, Dilip AU - Zhang, Frank AD - Unlisted AD - Unlisted AD - Unlisted T1 - Investigating the sources of default risk: lessons from empirically evaluating credit risk models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-15 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700238; Keywords: Credit ; Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - From a credit risk perspective, little is known about the distress factors--economy-wide or firm-specific--that are important in explaining variations in defaultable coupon yields. This paper proposes and empirically tests a family of credit risk models. Empirically, we find that firm-specific distress factors play a role (beyond treasuries) in explaining defaultable coupon bond yields. Credit risk models that take into consideration leverage and book-to-market are found to reduce out-of-sample yield fitting errors (for the majority of firms). Moreover, the empirical evidence suggests that interest rate risk may be of first-order prominence for pricing and hedging. Measured by both out-of-sample pricing and hedging errors, the credit risk models perform relatively better for high grade bonds. Controlling for credit rating, the model performance is generally superior for longer maturity bonds compared to its shorter maturity counterparts. Using equity as an instrument reduces hedging errors. This paper provides an empirical investigation of credit risk models using observable economic factors. L3 - http://www.federalreserve.gov/pubs/feds/2001/200115/200115abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700238&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200115/200115abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Hao AD - Unlisted T1 - Jump-diffusion term structure and Ito conditional moment generator PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-28 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700245; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper implements a Multivariate Weighted Nonlinear Least Square estimator for a class of jump-diffusion interest rate processes (hereafter MWNLS-JD), which also admit closed-form solutions to bond prices under a no-arbitrage argument. The instantaneous interest rate is modeled as a mixture of a square-root diffusion process and a Poisson jump process. One can derive analytically the first four conditional moments, which form the basis of the MWNLS-JD estimator. A diagnostic conditional moment test can also be constructed from the fitted moment conditions. The market prices of diffusion and jump risks are calibrated by minimizing the pricing errors between a model-implied yield curve and a target yield curve. The time series estimation of the short-term interest rate suggests that the jump augmentation is highly significant and that the pure diffusion process is strongly rejected. The cross-sectional evidence indicates that the jump-diffusion yield curves are both more flexible in reducing pricing errors and are more consistent with the Martingale pricing principle. L3 - http://www.federalreserve.gov/pubs/feds/2001/200128/200128abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700245&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200128/200128abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AD - Unlisted T1 - Linear data transformations used in economics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-59 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700279; Keywords: Filters (Mathematics); Publication Type: Working Paper; Update Code: 200404 N2 - The paper examines the properties of standard data transformations--such as growth rates and moving averages--used by applied economists. Because many resources are devoted to understanding the economic significance of incoming data by government and financial-market economists, for example, this paper considers data filters that do not drop recent observations, in contrast to the approximately "ideal" measures recently developed in the literature. Using frequency-domain techniques, it is established that moving averages of multi-period growth rates can attenuate the bias and phase shifts introduced by common data filters. L3 - http://www.federalreserve.gov/pubs/feds/2001/200159/200159abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700279&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200159/200159abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aaronson, Stephanie AD - Unlisted T1 - Looking ahead: young men, wage growth, and labor market participation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-19 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700239; Keywords: Wages ; Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - Despite the long economic expansion, employment among young men is lower today than it was in the late 1960s. This decline has been largely driven by a 17 percentage point reduction in the proportion of high school dropouts working even a single week per year. One common explanation for this trend, declining real wages, ignores the fact that the value of working today depends on future returns to experience. This paper estimates a model of labor supply with returns to experience as an explanatory variable, using data from the Current Population Survey. The classic myopic labor supply model (in which only the current wage matters) is rejected in favor of one that includes forward-looking considerations, embodied in returns to experience. For high school dropouts, decreasing returns to experience explain 30 percent of the decline in participation between 1967 and 1977. Changes in wages do not explain any of this trend. L3 - http://www.federalreserve.gov/pubs/feds/2001/200119/200119abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700239&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200119/200119abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted T1 - Market definition in banking: recent evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-16 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700232; Keywords: Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - Antitrust analysis of bank mergers defines banking markets to be geographically local and to consist of the cluster of financial products supplied by commercial banks. This definition is based on assumptions about households' and small businesses' behavior in purchasing banking services. This article utilizes data from the Survey of Consumer Finances to examine how households' use of financial services and institutions changed between 1989 and 1998. We investigate the extent to which households still focus their purchases of financial services at local depository institutions, as opposed to non-depository or distant institutions, and examine the extent to which purchases are clustered at a single institution. Overall, the results indicate that households continue, to a substantial degree, to obtain certain key asset services, notably checking accounts, at local depository institutions. L3 - http://www.federalreserve.gov/pubs/feds/2001/200116/200116abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700232&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200116/200116abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lebow, David E. AU - Rudd, Jeremy B. AD - Unlisted AD - Unlisted T1 - Measurement error in the consumer price index: where do we stand? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-61 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700281; Keywords: Consumer price indexes; Publication Type: Working Paper; Update Code: 200404 N2 - We survey the evidence bearing on measurement error in the CPI and provide our best estimate of the magnitude of CPI bias. We also identify a "weighting" bias in the CPI that has not been previously discussed in the literature. In total, we estimate that the CPI overstates the change in the cost of living by about 0.6 percentage point per year, with a confidence interval that ranges from 0.1 to 1.2 percentage points. Roughly half of this bias is accounted for by the CPI's inability to fully capture the welfare improvement from quality change and the introduction of new items. Our bias estimate is smaller than that found in several earlier studies, in part because the BLS has recently made a variety of improvements to its procedures; our study highlights several potential areas for further improvement. L3 - http://www.federalreserve.gov/pubs/feds/2001/200161/200161abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700281&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200161/200161abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Measuring equilibrium real interest rates: what can we learn from yields on indexed bonds? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-53 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700272; Keywords: Government securities ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - What does the level of the real interest rates tell us about where the economy, or one's portfolio, is headed? The answer to this question depends on one's estimate of the "equilibrium" value of real interest rates, a measure that is unfortunately not directly observed in the market place. In this paper, I provide a brief overview of some of the existing approaches to defining and measuring equilibrium real rates and introduce a novel method based on yields on the U.S. Treasury's inflation-indexed securities (TIIS). I discuss a simple framework for analyzing TIIS yields and illustrate how to use them to gauge the stance of monetary policy and overall economic prospects. L3 - http://www.federalreserve.gov/pubs/feds/2001/200153/200153abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700272&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200153/200153abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laubach, Thomas AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Measuring the natural rate of interest PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-56 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700265; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - A key variable for the conduct of monetary policy is the natural rate of interest--the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In this paper we apply the Kalman filter to jointly estimate the natural rate of interest, potential output, and the trend growth rate, and examine the empirical relationship between these estimated unobserved series. We find substantial variation in the natural rate of interest over the past four decades in the United States. Our natural rate estimates vary about one-for-one with changes in the trend growth rate. We show that policymakers' mismeasurement of the natural rate of interest can cause a significant deterioration in macroeconomic stabilization. L3 - http://www.federalreserve.gov/pubs/feds/2001/200156/200156abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700265&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200156/200156abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rigobon, Robert AU - Sack, Brian AD - Unlisted AD - Unlisted T1 - Measuring the reaction of monetary policy to the stock market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-14 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700237; Keywords: Stock market ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market. One reason is that it is difficult to estimate the policy reaction because of the simultaneous response of equity prices to interest rate changes. This paper uses an identification technique based on the heteroskedasticity of stock market returns to identify the reaction of monetary policy to the stock market. The results indicate that monetary policy reacts significantly to stock market movements, with a 5% rise (fall) in the S&P 500 index increasing the likelihood of a 25 basis point tightening (easing) by about a half. This reaction is roughly of the magnitude that would be expected from estimates of the impact of stock market movements on aggregate demand. Thus, it appears that the Federal Reserve systematically responds to stock price movements only to the extent warranted by their impact on the macroeconomy. L3 - http://www.federalreserve.gov/pubs/feds/2001/200114/200114abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700237&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200114/200114abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Ihrig, Jane AD - Unlisted AD - Unlisted T1 - Monetary policy and exchange rate pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 704 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701121; Keywords: Inflation (Finance) ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - Recent research suggests that the pass-through of exchange rate changes into domestic inflation has declined in many countries since the 1980s. We develop a theoretical model that attributes the change in pass-through (defined as the correlation of inflation with exchange rate changes) to increased emphasis on inflation stabilization by many central banks. This hypothesis is tested on eleven industrial countries between 1971 and 2000. We find widespread evidence of both a decline in pass-through and a decline in the variability of inflation in the 1990s. We also find a statistically significant link between measured pass-through and inflation variability. However, our efforts to correlate the decline in pass-through with estimated changes in monetary policy behavior are inconclusive due to poor estimates of policy behavior. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/704/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701121&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/704/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Demiralp, Selva AD - Unlisted T1 - Monetary policy in a changing world: rising role of expectations and the anticipation effect PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-55 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700264; Keywords: Monetary policy ; Interest rates ; Federal funds rate; Publication Type: Working Paper; Update Code: 200404 N2 - The Federal Reserve (Fed) has maintained a general trend toward increased transparency and gradualism. This paper investigates the implications of these historical developments for the anticipation of monetary policy actions and adjustment of interest rates. In a theoretical framework, we establish the Fed's ability to manipulate overnight rates via an "anticipation" effect. The anticipation effect is defined as interest rate adjustments that take place prior to a policy announcement (or prior to when the complementary open market operations associated with that policy action take place) due to market's improved ability to predict future policy actions. Our empirical results document that most market rates adjust to anticipated policy actions prior to the actual announcement. Because the market responds to policy announcements instantly, the Trading Desk does not need to act immediately after the target change and can wait until the market incorporates the new information that comes with the policy announcement. L3 - http://www.federalreserve.gov/pubs/feds/2001/index.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700264&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/index.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Monetary policy rules, macroeconomic stability and inflation: a view from the trenches PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-62 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700277; Keywords: Monetary policy ; Federal Open Market Committee; Publication Type: Working Paper; Update Code: 200404 N2 - I estimate a forward-looking monetary policy reaction function for the Federal Reserve for the periods before and after Paul Volcker's appointment as Chairman in 1979, using information that was available to the FOMC in real time from 1966 to 1995. The results suggest broad similarities in policy and point to a forward looking approach to policy consistent with a strong reaction to inflation forecasts during both periods. This contradicts the hypothesis, based on analysis with ex post constructed data, that the instability of the Great Inflation was the result of weak FOMC policy responses to expected inflation. A difference is that prior to Volcker's appointment, policy was too activist in reacting to perceived output gaps that retrospectively proved overambitious. Drawing on contemporaneous accounts of FOMC policy, I discuss the implications of the findings for alternative explanations of the Great Inflation and the improvement in macroeconomic stability since then. L3 - http://www.federalreserve.gov/pubs/feds/2001/200162/200162abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700277&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200162/200162abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meyer, Laurence H. AU - Swanson, Eric T. AU - Wieland, Volker W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - NAIRU uncertainty and nonlinear policy rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-01 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700221; Keywords: Inflation (Finance) ; Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - Meyer (1999) has suggested that episodes of heightened uncertainty about the NAIRU may warrant a nonlinear policy response to changes in the unemployment rate. This paper offers a theoretical justification for such a nonlinear policy rule, and provides some empirical evidence on the relative performance of linear and nonlinear rules when there is heightened uncertainty about the NAIRU. L3 - http://www.federalreserve.gov/pubs/feds/2001/200101/200101pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700221&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200101/200101pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - New tests of the new-Keynesian Phillips curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-30 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700254; Keywords: Phillips curve ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Is the observed correlation between current and lagged inflation a function of backward-looking inflation expectations, or do the lags in inflation regressions merely proxy for rational forward-looking expectations, as in the new-Keynesian Phillips curve? Recent research has attempted to answer this question by using instrumental variables techniques to estimate "hybrid" specifications for inflation that allow for effects of lagged and future inflation. We show that these tests of forward-looking behavior have very low power against alternative, but non-nested, backward-looking specifications, and demonstrate that results previously interpreted as evidence for the new-Keynesian model are also consistent with a backward-looking Phillips curve. We develop alternative, more powerful tests, which find a very limited role for forward-looking expectations. L3 - http://www.federalreserve.gov/pubs/feds/2001/200130/200130abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700254&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200130/200130abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cummins, Jason G. AU - Nyman, Ingmar AD - Unlisted AD - Unlisted T1 - Optimal investment with fixed refinancing costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-40 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700258; Keywords: Corporations - Finance ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 N2 - Case studies show that corporate managers seek financial independence to avoid interference by outside financiers. We incorporate this financial xenophobia as a fixed cost in a simple dynamic model of financing and investment. To avoid refinancing in the future, the firm alters its behavior depending on the extent of its financial xenophobia and the realization of a revenue shock. With a sufficiently adverse shock, the firm holds no liquidity. Otherwise, the firm precautionarily saves and holds both liquidity and external finance. Investment always responds to neoclassical fundamentals, but responds to cash flow only when the firm holds no liquidity. L3 - http://www.federalreserve.gov/pubs/feds/2001/200140/200140abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700258&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200140/200140abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Optimal portfolio allocation in a world without Treasury securities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-11 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700230; Keywords: Debts, Public ; Corporate bond ; Government securities; Publication Type: Working Paper; Update Code: 200404 N2 - If current projections of future budget surpluses materialize, investing in Treasury securities--an asset class with which investors have long been familiar--could eventually become a thing of the past. In this paper, I examine the extent to which investors' portfolio allocation decisions are likely to be affected by the retirement of all federal government debt. The analysis suggests only small effects for most investors, especially, as is effectively the case for many institutional investors, when a no short sale constraint is in place. Under such circumstances, highly conservative investors--whose portfolios have risk-return characteristics akin to money market instruments--and very aggressive investors--who hold mostly equities--stand to be the least affected by the removal of Treasuries from the pool of investable assets. The analysis abstracts from indirect beneficial effects on investors from a Treasury debt payoff, such as the potential for greater productivity growth (and faster wealth accumulation) as more resources are freed up for investment in the private sector. L3 - http://www.federalreserve.gov/pubs/feds/2001/200111/200111pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700230&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200111/200111pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AU - Kim, Sunghyun Henry AU - Levin, Andrew AD - Unlisted AD - Unlisted AD - Unlisted T1 - Patience, persistence and welfare costs of incomplete markets in open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 696 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701117; Keywords: Financial markets ; Welfare; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we investigate the welfare implications of alternative financial market structures in a two-country endowment economy model. In particular, we obtain an analytic expression for the expected lifetime utility of the representative household when sovereign bonds are the only internationally traded asset, and we compare this welfare level with that obtained under complete asset markets. The welfare cost of incomplete markets is negligible if agents are very patient and shocks are not very persistent, but this cost is dramatically larger if agents are relatively impatient and shocks are highly persistent. For realistic cases in which agents are very patient and shocks are highly persistent (that is, the discount factor and the first-order autocorrelation are both near unity), the welfare cost of incomplete markets is highly sensitive to the specific values of these parameters. Finally, using a non-linear solution algorithm, we confirm that a two-country production economy with endogenous labor supply has qualitatively similar welfare properties. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/696/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701117&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/696/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AD - Unlisted T1 - Patterns of plant adjustment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-05 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700227; Keywords: Manufactures ; Productivity ; Industrial capacity; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides a description of the dynamic choices of manufacturing plants when they undertake rapid adjustment in output. The focus is on episodes that involve lumpy adjustment in capital or employment. I examine the behavior of variables such as capital utilization, hours per worker, overtime use, capacity utilization, materials and energy use. Finally I describe the observed patterns of productivity during those adjustment episodes and propose some hypotheses that seem to fit them. The costs associated with output adjustment seem to arise from building and destroying a particular organization of the structure of production and associated worker experience. As such they are related to learning-by-doing and investment in specific training. L3 - http://www.federalreserve.gov/pubs/feds/2001/200105/200105pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700227&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200105/200105pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Chang-Jin AU - Piger, Jeremy AU - Startz, Richard AD - Unlisted AD - Unlisted AD - Unlisted T1 - Permanent and transitory components of business cycles: their relative importance and dynamic relationship PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 703 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701120; Keywords: Business cycles ; Recessions; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the relationship between permanent and transitory components of U.S. recessions in an empirical model allowing for business cycle asymmetry. Using a common stochastic trend representation for real GNP and consumption, we divide real GNP into permanent and transitory components, the dynamics of which are different in booms vs. recessions. We find evidence of substantial asymmetries in postwar recessions, and that both the permanent and transitory component have contributed to these recessions. We also allow for the timing of switches from boom to recession for the permanent component to be correlated with switches from boom to recession in the transitory component. The parameter estimates suggest a specific pattern of recessions: switches in the permanent component lead switches in the transitory component both when entering and leaving recessions. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/703/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701120&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/703/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AD - Unlisted T1 - Price level convergence, relative prices, and inflation in Europe PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 699 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701114; Keywords: Prices ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - If price levels are initially different across the euro area, convergence to a common level of prices would imply that inflation will be higher in countries where prices are initially low. Price level convergence thus provides a potential explanation for recent cross-country differences in European inflation, a worrisome development under the ECBs "one-size-fits-all" monetary policy. I present direct evidence on price level convergence in Europe, using a unique data set, and then investigate how much of the recent divergence of national inflation rates can be explained by price level convergence. I show that between 1990 and 1999 prices did become less dispersed in the euro area. Convergence is especially evident for traded goods, and more in the first half of the 1990s than the second half. By some measures, traded goods price dispersion across the euro area is now close to that across U.S. cities. Despite an on-going process of convergence, deviations from the law of one price are large. Finally, I find a statistically-significant and robust negative relationship between the 1999 price level and 2000 inflation rate in Europe, and that the contribution of price level convergence to explaining inflation differentials is often quite important economically. Still, factors other than price convergence explain most of the cross-country inflation differences. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/699/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701114&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/699/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AD - Unlisted T1 - Production function estimation with industry capacity data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-06 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700228; Keywords: Productivity ; Manufactures ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - This paper introduces a new data set for the analysis of productivity in U.S. manufacturing. It consists of data on production and input levels when the plants in an industry operate at capacity. The estimates are consistent with those obtained using data on actual operations from the ASM. As an application, I use this data to estimate the rate of growth of technological change that is embodied in equipment capital. The estimates imply a larger role of equipment investment and embodied technological change on economic growth than is conventionally assumed. L3 - http://www.federalreserve.gov/pubs/feds/2001/200106/200106pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700228&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200106/200106pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eudey, Gwen AU - Molico, Miguel AD - Unlisted AD - Unlisted T1 - Production synergies, technology adoption, unemployment, and wages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-29 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700249; Keywords: Technology ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Recent empirical work reveals considerable heterogeneity in the use of technologies within industries, suggesting technology adoption depends on factors other than industry type. We present a model in which the factors that lead to heterogenous technology adoption play a key economic role in explaining other aspects of the U.S. economy that have been the focus of recent theoretical work, including wage and technology dispersion within and between skill groups and the U-shaped pattern of measured productivity that many other researchers have attributed to learning economies or to production externalities. L3 - http://www.federalreserve.gov/pubs/feds/2001/200129/200129abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700249&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200129/200129abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Brett D. AD - Unlisted T1 - Putty-putty, two sector, vintage capital growth models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 716 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701132; Keywords: Technology ; Productivity ; Capital investments; Publication Type: Working Paper; Update Code: 200404 N2 - Most growth models assume capital is homogeneous with regard to technology. This contradicts intuition and empirical evidence that the majority of technology is embodied in the capital stock. Berger (2001) showed that neoclassical vintage capital (embodied technology) and non-vintage capital (disembodied technology) models have different convergence rates, although identical steady state growth rates. Removing the neoclassical assumption that technological growth is exogenous, I examine two-sector, putty-putty, vintage capital models. Technological growth is tied to investment in the research sector. Savings rates and the allocation of labor differ between the vintage and non-vintage cases. It is shown for the first time that vintage and non-vintage versions of a model can have different steady state growth rates. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/716/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701132&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/716/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bakshi, Gurdip AU - Madan, Dilip AU - Zhang, Frank AD - Unlisted AD - Unlisted AD - Unlisted T1 - Recovery in default risk modeling: theoretical foundations and empirical applications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-37 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700256; Keywords: Credit ; Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This article presents a framework for modeling defaultable debt under alternative recovery conventions (for a wide class of processes describing recovery rates and default probability). These debt models have the ability to differentiate the impact of recovery rates and default probability, and can be utilized to invert the market expectation of recovery rates implicit in bond prices. Among potential applications, the framework can be used for pricing and hedging credit derivatives that are contingent on the default event and/or recovery levels. Empirical implementation of these models suggests two central findings. First, the recovery concept that specifies recovery as a fraction of the discounted par value has broader empirical support. Second, parametric debt valuation models can provide a useful assessment of recovery rates embedded in bond prices. This article has attempted to model recovery and comprehend their impact on debt values. L3 - http://www.federalreserve.gov/pubs/feds/2001/200137/200137abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700256&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200137/200137abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Reexamining stock valuation and inflation: the implications of analysts' earnings forecasts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-32 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700252; Keywords: Inflation (Finance) ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation between equity valuations and expected inflation is found to be the result of two effects: a rise in expected inflation coincides with both (i) lower expected real earnings growth and (ii) higher required real returns. The earnings channel mostly reflects a negative relation between expected long-term earnings growth and expected inflation. The effect of expected inflation on required (long-run) real stock returns is also substantial. A one percentage point increase in expected inflation is estimated to raise required real stock returns about one percentage point, which on average would imply a 20 percent decline in stock prices. But the inflation factor in expected real stock returns is also in long-term Treasury yields; consequently, expected inflation has little effect on the long-run equity premium. L3 - http://www.federalreserve.gov/pubs/feds/2001/200132/200132abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700252&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200132/200132abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calem, Paul S. AU - LaCour-Little, Michael AD - Unlisted AD - Unlisted T1 - Risk-based capital requirements for mortgage loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-60 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700280; Keywords: Mortgages ; Loans ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - We develop estimates of risk-based capital requirements for single-family mortgage loans held in portfolio by financial intermediaries. Our method relies on simulation of default and loss probability distributions via simulation of changes in economic variables with conditional default probabilities calibrated to recent actual mortgage loan performance data from the 1990s. Based on simulations with varying input parameters, we find that appropriate capital charges for credit risk vary substantially with loan or borrower characteristics and are generally below the current regulatory standard. These factors may help explain the high degree of securitization, or regulatory capital arbitrage, observed for this asset category. L3 - http://www.federalreserve.gov/pubs/feds/2001/200160/200160abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700280&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200160/200160abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - Sacrifice ratios and monetary policy credibility: do smaller budget deficits, inflation-indexed debt, and inflation targets lower disinflation costs? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-47 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700268; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - A growing empirical literature addresses the determinants of the sacrifice ratio, an imperfect measure of the tradeoff between inflation and aggregate output. This study endeavors to advance previous studies in three ways. First, the literature does not satisfactorily examine key fiscal and monetary policy practices that arguably affect policymaking credibility. These include the stock (and flow) of government debt, the issuance of inflation-indexed bonds, and the existence of explicit inflation targets. Second, previous studies unfortunately exclude non-OECD countries. Third, the literature is divided with respect to research design, and therefore this study produces sensitivity analyses of previous results. Given these addenda, the results generally suggest that credibility proxies are largely sensitive to research design. However, some data do support the hypothesis that governments with an incentive, rather than perhaps a publicized objective, to lower inflation achieve lower sacrifice ratios. L3 - http://www.federalreserve.gov/pubs/feds/2001/200147/200147abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700268&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200147/200147abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Small business credit availability and relationship lending: the importance of bank organizational structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-36 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700248; Keywords: Small business ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - This paper models the inner workings of relationship lending, the implications for bank organizational structure, and the effects of shocks to the economic environment on the availability of relationship credit to small businesses. Relationship lending depends on the accumulation over time by the loan officer of "soft" information. Because the loan officer is the repository of this soft information, agency problems are created throughout the organization that are best resolved by structuring the bank as a small, closely-held organization with few managerial layers. The shocks analyzed include technological innovations, regulatory regime shifts, banking industry consolidation, and monetary policy shocks. L3 - http://www.federalreserve.gov/pubs/feds/2001/200136/200136abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700248&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200136/200136abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Nicolo, Gianni AU - Kwast, Myron L. AD - Unlisted AD - Unlisted T1 - Systemic risk and financial consolidation: are they related? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-33 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700246; Keywords: Risk ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - The creation of a number of very large and sometimes increasingly complex financial institutions, resulting in part from the on-going consolidation of the financial system, has raised concerns that the degree of systemic risk in the financial system may have increased. We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We analyze the dynamics of the stock return correlations of a sample of U.S. large and complex banking organizations (LCBOs) over 1988-1999, and find a significant positive trend in stock return correlations. In addition, we relate firms' return correlations to their consolidation activity. Consolidation at the sample LCBOs appears to have contributed to LCBOs interdependencies. However, consolidation elasticities of correlation exhibit substantial time variation, and likely declined in the latter part of the decade. Thus, factors other than consolidation have also been responsible for the upward trend in return correlations. L3 - http://www.federalreserve.gov/pubs/feds/2001/200133/200133abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700246&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200133/200133abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bansal, Ravi AU - Zhou, Hao AD - Unlisted AD - Unlisted T1 - Term structure of interest rates with regime shifts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-46 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700274; Keywords: Interest rates ; Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We develop a term structure model where the short interest rate and the market price of risks are subject to discrete regime shifts. Empirical evidence from Efficient Method of Moments estimation provides considerable support for the regime shifts model. Standard models, which include affine specifications with up to three factors, are sharply rejected in the data. Our diagnostics show that only the regime shifts model can account for the well documented violations of the expectations hypothesis, the observed conditional volatility, and the conditional correlation across yields. We find that regimes are intimately related to business cycles. L3 - http://www.federalreserve.gov/pubs/feds/2001/200146/200146abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700274&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200146/200146abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schindler, John W. AD - Unlisted T1 - Testing optimality in job search models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 710 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701127; Keywords: Econometric models ; Job analysis; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses Bayesian techniques to compare three definitions of optimality for the basic job search model: the standard income-maximizing definition, an approximation to the standard definition, and a simple alternative. The important role of prior choice in these comparisons is illustrated. Using natural conjugate priors to represent hypothetical samples of data, we find that the simple alternative is preferred to the standard definition of optimality. However, using priors constructed from findings in the literature, we are able to find some evidence in favor of the standard definition of optimality. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/710/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701127&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/710/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Klapper, Leora F. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The ability of banks to lend to informationally opaque small businesses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-34 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700253; Keywords: Small business ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - We test hypotheses about the effects of bank size, foreign ownership, and distress on lending to informationally opaque small firms using a rich new data set on Argentinean banks, firms, and loans. We also test hypotheses about borrowing from a single bank versus multiple banks. Our results suggest that large and foreign-owned institutions may have difficulty extending relationship loans to opaque small firms. Bank distress appears to have no greater effect on small borrowers than on large borrowers, although even small firms may react to bank distress by borrowing from multiple banks, raising borrowing costs and destroying some relationship benefits. L3 - http://www.federalreserve.gov/pubs/feds/2001/200134/200134abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700253&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200134/200134abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Prager, Robin A. AD - Unlisted AD - Unlisted T1 - The competitive implications of multimarket bank branching PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-43 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700260; Keywords: Banks and banking ; Econometric models ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Regulators and research economists typically view retail banking markets as locally limited, spanning an area that can often be approximated by a metropolitan area or a rural county. Banks are assumed to set retail prices based on the conditions of supply and demand prevailing within these local market areas. However, recent studies have found evidence that large, multimarket banking organizations tend to offer uniform interest rates for retail deposit accounts of a particular type throughout the area that they serve, at least within a given state. This uniform pricing phenomenon raises questions about the continued relevance of the concept of local banking markets for both research and antitrust purposes. We address this issue by developing and empirically testing a model to determine the effects of the presence of multimarket banks in a local geographic market on the deposit interest rates offered by single-market banks serving that same local market. L3 - http://www.federalreserve.gov/pubs/feds/2001/200143/200143abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700260&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200143/200143abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Schindler, John W. AU - Samuel, Shawna L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The contribution of domestic and external factors to emerging market devaluation crises: an early warning systems approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 711 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701128; Keywords: Developing countries ; Financial crises ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses Bayesian techniques to compare three definitions of optimality for the basic job search model: the standard income-maximizing definition, an approximation to the standard definition, and a simple alternative. The important role of prior choice in these comparisons is illustrated. Using natural conjugate priors to represent hypothetical samples of data, we find that the simple alternative is preferred to the standard definition of optimality. However, using priors constructed from findings in the literature, we are able to find some evidence in favor of the standard definition of optimality. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/711/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701128&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/711/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Rosen, Richard J. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effect of market size structure on competition: the case of small business lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-63 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700276; Keywords: Small business ; Loans; Publication Type: Working Paper; Update Code: 200404 N2 - Banking industry consolidation has raised concern about the supply of small business credit since large banks generally invest lower proportions of their assets in small business loans. However, we find that the likelihood that a small business borrows from a bank of a given size is roughly proportional to the local market presence of banks of that size, although there are exceptions. Moreover, small business loan interest rates depend more on the size structure of the market than on the size of the bank providing the credit, with markets dominated by large banks generally charging lower prices. L3 - http://www.federalreserve.gov/pubs/feds/2001/200163/200163abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700276&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200163/200163abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durham, J. Benson AD - Unlisted T1 - The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-42 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700259; Keywords: Monetary policy ; Stock market; Publication Type: Working Paper; Update Code: 200404 N2 - Several studies report an empirical link between changes in monetary policy and short-as well as long-run stock market performance in the United States. Such findings are germane both to the study of market anomalies and to monetary policy transmission mechanisms. Previous univariate time-series results on long-run data, which use the discount rate as the main policy indicator, seem robust to alternative specifications of stock price returns given data on 16 countries from 1956 through 2000. However, out-of-sample tests indicate that the relation has largely decreased over time. Also, panel regressions, which notably include cross-sectional variance and therefore are particularly relevant to market participants, suggest that the relation is less sturdy, and consideration of excess as opposed to raw equity price returns in time-series regressions indicates no relation. Finally, alternative measures of central bank policy suggest a weaker and a diminished correlation between monetary policy changes and long-run stock market performance. L3 - http://www.federalreserve.gov/pubs/feds/2001/200142/200142abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700259&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200142/200142abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von zur Muehlen, Peter AD - Unlisted T1 - The effect of past and future economic fundamentals on spending and pricing behavior in the FRB/US macroeconomic model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-12 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700226; Keywords: Econometric models ; Board of Governors of the Federal Reserve System (U.S.) ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper derives and presents mean leads and lags as well as patterns of relative importance weights implied by the PAC (polynomial-adjustment-cost) error-correction equations which form the core of the FRB/US model at the Federal Reserve Board. Relative importance weights measure the contributions of past and future expected changes in fundamentals on current decisions. These and the associated mean lags and leads can be considered summary measures of key dynamic properties of FRB/US. The spending equations are those for total consumption, durables consumption, business equipment, residential housing, and private inventories. The pricing equations are those for the price level and wage growth. In addition FRB/US has one PAC equation for dividends and one for labor hours. L3 - http://www.federalreserve.gov/pubs/feds/2001/200112/200112pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700226&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200112/200112pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Goldberg, Lawrence G. AU - White, Lawrence J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effects of dynamic changes in bank competition on the supply of small business credit PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-35 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700247; Keywords: Small business ; Bank mergers ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - We study the effects of structural changes in banking markets on the supply of credit to small businesses. Specifically, we examine whether bank mergers and acquisitions (M&As) and entry have "external" effects on small business loans by other banks in the same local markets. The results suggest modest positive external effects from these dynamic changes in competition, except that large banks may reduce small business lending in reaction to entry. We confirm bank size and age as important determinants of this lending, and show that the measured age effect does not appear to be driven by local market M&A activity. L3 - http://www.federalreserve.gov/pubs/feds/2001/200135/200135abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700247&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200135/200135abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Young, Robert De AD - Unlisted AD - Unlisted T1 - The effects of geographic expansion on bank efficiency PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-03 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700220; Keywords: Banking structure ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - We assess the effects of geographic expansion on bank efficiency using cost and profit efficiency for over 7,000 U.S. banks, 1993-1998. We find that parent organizations exercise some control over the efficiency of their affiliates, although this control tends to dissipate with distance to the affiliate. However, on average, distance-related efficiency effects tend to be modest, suggesting that some efficient organizations can overcome any effects of distance. The results imply there may be no particular optimal geographic scope for banking organizations some may operate efficiently within a single region, while others may operate efficiently on a nationwide or international basis. L3 - http://www.federalreserve.gov/pubs/feds/2001/200103/200103pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700220&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200103/200103pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pritsker, Matthew AD - Unlisted T1 - The hidden dangers of historical simulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-27 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700250; Keywords: Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation based methods, but the methods' properties are not well understood. This paper theoretically and empirically examines the historical simulation method, a variant of historical simulation introduced by Boudoukh, Richardson and Whitelaw (1998) (BRW), and the Filtered Historical Simulation method (FHS) of Barone-Adesi, Giannopoulos, and Vosper (1999). The Historical Simulation and BRW methods are both under-responsive to changes in conditional risk; and respond to changes in risk in an asymmetric fashion: measured risk increases when the portfolio experiences large losses, but not when it earns large gains. The FHS method appears promising, but requires additional refinement to account for time-varying correlations; and to choose the appropriate length of historical sample period. Preliminary analysis suggests that 2 years of daily data may not contain enough extreme outliers to accurately compute 1% VaR at a 10-day horizon using the FHS method. L3 - http://www.federalreserve.gov/pubs/feds/2001/200127/200127abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700250&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200127/200127abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AU - Fleischman, Charles A. AD - Unlisted AD - Unlisted T1 - The importance of employer-to-employer flows in the U.S. labor market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-18 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700234; Keywords: Labor market ; Labor turnover; Publication Type: Working Paper; Update Code: 200404 N2 - In order to measure the flexibility of the labor market, evaluate the job-worker matching process, and model business-cycle dynamics, economists have studied the flows of workers across the labor market states of employment, unemployment, and not in the labor force. One important flow that has been poorly measured is the movement of workers from one employer to another without any significant intervening period of nonemployment. This paper exploits the "dependent interviewing" techniques used in the Current Population Survey since 1994 to estimate such flows. We find that they are large, and their omission significantly understates the degree of mobility in the labor market. In 1999, for example, on average more than 4,000,000 workers changed employers from one month to the next, about the same number as left the labor force from employment and more than twice the number that moved from employment to unemployment. Close to half of the new jobs started in 1999 represented employer changes, as did close to half of the separations. Consistent with previous studies of younger workers, teenagers exhibit the highest rates of employer-switching, and the rate declines through about age 40. However, even among prime-aged workers, about 2 percent change employers each month. Contrary to the implications of many business cycle models, we find no evidence that employer-to-employer flows are procyclical, at least not as the labor market tightened between 1994 and 2000. This finding raises questions about the ways in which stylized facts about labor market flows have been used. L3 - http://www.federalreserve.gov/pubs/feds/2001/200118/200118abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700234&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200118/200118abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Chang-Jin AU - Nelson, Charles AU - Piger, Jeremy AD - Unlisted AD - Unlisted AD - Unlisted T1 - The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 707 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701125; Keywords: Econometric models ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - Using Bayesian tests for a structural break at an unknown break date, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early 1980's, and that this volatility reduction is concentrated in the cyclical component of real GDP. The growth rates of many of the broad production sectors of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also find a large volatility reduction in aggregate final sales mirroring that in aggregate real GDP. We contrast this evidence to an existing literature documenting an aggregate volatility reduction that is shared by only one narrow sub-component, the production of durable goods, and is not present in final sales. In addition to the volatility reduction in real GDP, we document structural breaks in the volatility and persistence of inflation and interest rates occurring over a similar time frame as the volatility reduction in real GDP. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/707/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701125&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/707/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Demiralp, Selva AU - Jorda, Oscar AD - Unlisted AD - Unlisted T1 - The Pavlovian response of term rates to Fed announcements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-10 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700229; Keywords: Liquidity (Economics) ; Federal funds rate ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - The traditional view of the monetary transmission mechanism rests on the premise that the Federal Reserve (Fed) controls the level of the federal funds rate via open market operations and the liquidity effect. By contrast, this paper argues that the Fed also manipulates the federal funds rate via public disclosures of the new level of the federal funds rate target and the "announcement effect." We define the announcement effect as the portion of interest rate movements associated with public statements on interest rate targets that do not require conventional open market operations for their support. This paper provides evidence on how the Fed uses the liquidity effect in conjunction with the announcement effect to execute monetary policy. In addition, it investigates the implications of the announcement effect in term structure behavior and the rational expectations hypothesis. L3 - http://www.federalreserve.gov/pubs/feds/2001/200110/200110pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700229&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200110/200110pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levin, Andrew AU - Wieland, Volker AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The performance of forecast-based monetary policy rules under model uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-39 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700257; Keywords: Monetary policy ; Econometric models ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year ahead inflation forecast and to the current output gap, and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. In light of these results, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences. L3 - http://www.federalreserve.gov/pubs/feds/2001/200139/200139abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700257&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200139/200139abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AU - Wilson, Daniel J. AD - Unlisted AD - Unlisted T1 - The production-side approach to estimating embodied technological change PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-20 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700240; Keywords: Technology ; Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate the rate of embodied technological change directly from plant-level manufacturing data on current output and input choices along with histories on their vintages of equipment investment. Our estimates range between 8 and 17 percent for the typical U.S. manufacturing plant during the years 1972-1996. Any number in this range is substantially larger than is conventionally accepted with some important implications. First, the role of investment-specific technological change as an engine of growth is even larger than previously estimated. Second, existing producer durable price indices do not adequately account for quality change. As a result, measured capital stock growth is biased. Third, if accurate, the Hulten and Wykoff (1981) economic depreciation rates may primarily reflect obsolescence. L3 - http://www.federalreserve.gov/pubs/feds/2001/200120/200120abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700240&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200120/200120abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - The use of cyclical indicators in estimating the output gap in Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 701 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701119; Keywords: Economic development - Japan; Publication Type: Working Paper; Update Code: 200404 N2 - The paper uses capital and labor utilization rates to derive estimates of the Japanese output gap and potential output. Two techniques are used. The first uses the cyclical indicators to adjust potential output estimates derived from a Hodrick-Prescott filter over the most recent period when such estimates are generally considered to be unreliable. The second estimates equilibrium levels of the cyclical indicators and uses an Okun's Law-type relationship to derive output gaps and potential output. The second method is also applied to the components of potential output to derive a third estimate. These methods suggest that the current Japanese output gap is considerably larger than a simple Hodrick-Prescott filter would suggest. L3 - http://www.federalreserve.gov/pubs/ifdp/2001/701/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701119&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2001/701/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Kiser, Elizabeth K. AU - Prager, Robin A. AU - McAndrews, James J. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - To surcharge or not to surcharge: an empirical investigation of ATM pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-38 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700261; Keywords: Automated tellers ; Banks and banking - Service charges; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates depository institutions' decisions whether or not to impose surcharges (direct usage fees) on non-depositors who use their ATMs. In addition to documenting patterns of surcharging, we examine motives for surcharging, including both direct generation of fee revenue and the potential to attract deposit customers who wish to avoid incurring surcharges at an institution's ATMs. Consistent with expectations, we find that the probability of surcharging increases with both the institution's share of market ATMs and the time since surcharging was first allowed in the state, and decreases with the local ATM density. Further, we find evidence consistent with the use of surcharges to attract deposit customers who are new to the local banking market, but find no evidence that larger banks use surcharges as a means to attract existing customers away from smaller local competitors. L3 - http://www.federalreserve.gov/pubs/feds/2001/200138/200138abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700261&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200138/200138abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-07 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700223; Keywords: Economic development - Japan ; Economic development - Germany ; Capital investments ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - We consider a neoclassical interpretation of Germany and Japan's rapid postwar growth that relies on a catch-up mechanism through capital accumulation where technology is embodied in new capital goods. Using a putty-clay model of production and investment, we are able to capture many of the key empirical properties of Germany and Japan's postwar transitions, including persistently high but declining rates of labor and total-factor productivity growth, a U-shaped response of the capital-output ratio, rising rates of investment and employment, and moderate rates of return to capital. L3 - http://www.federalreserve.gov/pubs/feds/2001/200107/200107pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700223&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200107/200107pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Understanding credit derivatives and their potential to synthesize riskless assets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-50 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700263; Keywords: Credit ; Risk ; Derivative securities; Publication Type: Working Paper; Update Code: 200404 N2 - The credit derivatives market is emerging as a potentially important new development that may help shape the overall financial markets in the years to come. In this paper, I provide a brief overview of the credit derivatives market and assess its future potential in the creation of private-sector instruments that are virtually free of default risk, and, thus, may be appealing to investors who currently favor the safety of U.S. Treasury securities. L3 - http://www.federalreserve.gov/pubs/feds/2001/200150/200150abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700263&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200150/200150abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hancock, Diana AU - Kwast, Myron L. AD - Unlisted AD - Unlisted T1 - Using subordinated debt to monitor bank holding companies: is it feasible? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-22 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700236; Keywords: Bank supervision ; Debt ; Bank holding companies; Publication Type: Working Paper; Update Code: 200404 N2 - Much research is needed to implement a supervisory surveillance system for banking organizations that relies on subordinated debt and other market data. This paper is germane to that task. We find subordinated debt spreads are most consistent across data sources for the most liquid bonds (i.e., those of relatively large issuance size, relatively young age, issued by relatively large firms) traded in a relatively robust overall bond market. We also find there is a high degree of concordance in rankings of firms by their minimum spreads across bonds with especially strong agreement about which large firms are in the tails of the spread distribution at each point in time. Our time-series results support and provide guidance for the use of subordinated debt spreads in supervisory monitoring, support the need for careful judgment when interpreting such spreads, highlight difficulties with currently available data sources, and motivate the need for further research. L3 - http://www.federalreserve.gov/pubs/feds/2001/200122/200122abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700236&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200122/200122abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, Nellie AU - Weisbenner, Scott AD - Unlisted AD - Unlisted T1 - Who benefits from a bull market? an analysis of employee stock option grants and stock prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2001-57 Y1 - 2001/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700266; Keywords: Stock - Prices ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - Stock option grants to top executives and to employees below the top executive ranks have risen rapidly with stock prices in recent years. This paper examines the growth in stock option grants at S&P 1500 companies between 1996 and 1999, and estimates the pay-for-performance sensitivities of the value of new option grants for top executives and, separately, for employees below the top executive levels. In our framework, options are a reward for past performance, leading to a positive relationship between firms' stock prices and the value of new option grants. We find substantial sensitivities for both sets of employees, but they are larger for employees below the top executive levels. Moreover, in contrast to top executives, the sensitivities for employees below the senior management levels do not differ by whether firm stock prices have risen or fallen. The greater sensitivity of option grant values to stock prices for employees below the top ranks is consistent with greater demand for options following price increases, and less willingness to accept options when past performance has been poor. We also find that new grants at larger firms are related to industry performance, consistent with more competitive markets for top executive talent to manage large organizations as industry conditions improve. L3 - http://www.federalreserve.gov/pubs/feds/2001/200157/200157abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700266&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2001/200157/200157abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Hancock, Diana T1 - Performance of Financial Institutions (Book Review). JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 2000/12// VL - 38 IS - 4 M3 - Book Review SP - 957 PB - American Economic Association SN - 00220515 AB - Reviews the book "Performance of Financial Institutions: Efficiency, Innovation, Regulation," edited by Patrick T. Harker and Stavros Andrea Zenios. KW - FINANCIAL institutions KW - NONFICTION KW - HARKER, Patrick T. KW - ZENIOS, Stavros Andrea KW - PERFORMANCE of Financial Institutions (Book) N1 - Accession Number: 3912750; Hancock, Diana 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec2000, Vol. 38 Issue 4, p957; Thesaurus Term: FINANCIAL institutions; Subject Term: NONFICTION; Reviews & Products: PERFORMANCE of Financial Institutions (Book); NAICS/Industry Codes: 522291 Consumer Lending; People: HARKER, Patrick T.; People: ZENIOS, Stavros Andrea; Number of Pages: 2p; Document Type: Book Review; Full Text Word Count: 975 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3912750&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AD - Board of Governors of the Federal Reserve System T1 - Performance of financial institutions: Efficiency, innovation, regulation JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 2000/12// VL - 38 IS - 4 SP - 957 EP - 958 SN - 00220515 N1 - Accession Number: 0563465. Author of Reviewed Book: Harker, Patrick T.; Zenios, Stavros A., eds.; Publisher Information: Cambridge; New York and Melbourne:, Cambridge University Press, 2000, Reviewed Book ISBN: 0-521-77154-4 (cloth); 0-521-77767-4 (pbk); Keywords: Financial Institutions; Publication Type: Book Review; Update Code: 200105 KW - Financial Institutions and Services: General G20 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0563465&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Marquez, Jaime T1 - Is the U.S. Trade Deficit Sustainable? (Book). JO - Journal of International Economics JF - Journal of International Economics Y1 - 2000/12// VL - 52 IS - 2 M3 - Book Review SP - 405 EP - 407 SN - 00221996 AB - Reviews the book "Is the U.S. Trade Deficit Sustainable?," by Catherine L. Mann. KW - BALANCE of trade KW - NONFICTION KW - MANN, Catherine L. KW - IS the US Trade Deficit Sustainable? (Book) N1 - Accession Number: 3942577; Marquez, Jaime 1; Affiliations: 1: Board of Governors of the Federal Reserve System 20th & C., N.W. Washington, DC 20551 USA.; Issue Info: Dec2000, Vol. 52 Issue 2, p405; Thesaurus Term: BALANCE of trade; Subject Term: NONFICTION; Reviews & Products: IS the US Trade Deficit Sustainable? (Book); People: MANN, Catherine L.; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3942577&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gilchrist, Simon AU - Williams, John C. T1 - Putty-Clay and Investment: A Business Cycle Analysis. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 2000/10// VL - 108 IS - 5 M3 - Article SP - 928 PB - University of Chicago Press SN - 00223808 AB - This paper develops a general equilibrium model with putty-clay technology, investment irreversibility, and variable capacity utilization. Low short-run capital-labor substitutability induces the putty-clay effect of a tight link between changes in capacity and movements in employment and output. Permanent shocks to technology, or factor prices generate a hump-shaped response of hours, persistence in output growth, and positive comovement in the forecastable components of output and hours. Capacity constraints result in asymmetric responses to large shocks with recessions deeper than expansions. Estimation of a two-sector model supports a significant role for putty-clay capital in explaining business cycle and medium-run dynamics. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS -- Mathematical models KW - EQUILIBRIUM (Economics) KW - INVESTMENTS KW - BUSINESS cycles KW - TECHNOLOGY KW - EMPLOYMENT (Economic theory) KW - PRICES KW - EQUILIBRIUM N1 - Accession Number: 3876479; Gilchrist, Simon 1; Williams, John C. 2; Affiliations: 1: Boston University; 2: Board of Governors of the Federal Reserve System; Issue Info: Oct2000, Vol. 108 Issue 5, p928; Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INVESTMENTS; Thesaurus Term: BUSINESS cycles; Thesaurus Term: TECHNOLOGY; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: PRICES; Subject Term: EQUILIBRIUM; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 33p; Illustrations: 3 Charts, 12 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3876479&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Amel, Dean F. AU - Hannan, Timothy H. AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System T1 - Defining Banking Markets According to Principles Recommended in the Merge Guidelines JO - Antitrust Bulletin JF - Antitrust Bulletin Y1 - 2000///Fall VL - 45 IS - 3 SP - 615 EP - 639 SN - 0003603X N1 - Accession Number: 0546297; Keywords: Banking; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200012 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance G34 KW - Monopolization; Horizontal Anticompetitive Practices L41 KW - Financial Institutions and Services: Government Policy and Regulation G28 L3 - http://www.federallegalpublications.com/antitrust-bulletin/all UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0546297&site=ehost-live&scope=site UR - http://www.federallegalpublications.com/antitrust-bulletin/all DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Stock, James H. AU - Wright, Jonathan H. T1 - GMM WITH WEAK IDENTIFICATION. JO - Econometrica JF - Econometrica Y1 - 2000/09// VL - 68 IS - 5 M3 - Article SP - 1055 EP - 1096 SN - 00129682 AB - This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures documented in previous Monte Carlo studies. Confidence sets immune to weak identification are proposed. We use these results to inform an empirical investigation of various CCAPM specifications; the substantive conclusions reached differ from those obtained using conventional methods. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometrica is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GENERALIZED method of moments KW - REGRESSION analysis KW - EMPIRICAL research KW - ASYMPTOTIC distribution (Probability theory) KW - INSTRUMENTAL variables (Statistics) KW - EULER'S numbers N1 - Accession Number: 12249817; Stock, James H. 1; Wright, Jonathan H. 2; Affiliations: 1: Kennedy School of Government, Harvard University, MA, U.S.A.; 2: Board of Governors of the Federal Reserve System, Washington, D.C., U.S.A.; Issue Info: Sep2000, Vol. 68 Issue 5, p1055; Thesaurus Term: GENERALIZED method of moments; Thesaurus Term: REGRESSION analysis; Thesaurus Term: EMPIRICAL research; Subject Term: ASYMPTOTIC distribution (Probability theory); Subject Term: INSTRUMENTAL variables (Statistics); Subject Term: EULER'S numbers; Number of Pages: 42p; Illustrations: 6 Charts, 36 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12249817&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bollersle, Tim AU - Wright, Jonathan H. T1 - Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 2000/09// VL - 98 IS - 1 M3 - Article SP - 81 EP - 106 SN - 03044076 AB - Recent empirical studies have argued that the temporal dependencies in financial market volatility are best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of this empirical evidence. The simulations reported in the present paper demonstrate that, in contrast to log-periodogram regression estimates for the degree of fractional integration in the mean (where the span of the data is crucially important), the quality of the inference concerning long-memory dependencies in the conditional variance is intimately related to the sampling frequency of the data. Some new estimators that succinctly aggregate the information in higher frequency returns are also proposed. The theoretical findings are illustrated through the analysis of a ten-year time series consisting of more than half-a-million intradaily observations on the Japanese Yen-U.S. Dollar exchange rate. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REGRESSION analysis KW - SECURITIES markets KW - VOLATILITY (Finance) KW - STOCHASTIC analysis KW - MONETARY policy KW - ECONOMETRICS KW - Exchange rates. KW - High-frequency data KW - Log-periodogram regressions KW - Long memory KW - Stochastic volatility KW - Temporal aggregation N1 - Accession Number: 11857796; Bollersle, Tim 1,2; Email Address: boller@econ.duke.edu; Wright, Jonathan H. 3; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: Department of Economics, Duke University, Durham, NC 27708-0097, USA.; 2: NBER Cambridge MA 02138, USA.; 3: International Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Sep2000, Vol. 98 Issue 1, p81; Thesaurus Term: REGRESSION analysis; Thesaurus Term: SECURITIES markets; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMETRICS; Author-Supplied Keyword: Exchange rates.; Author-Supplied Keyword: High-frequency data; Author-Supplied Keyword: Log-periodogram regressions; Author-Supplied Keyword: Long memory; Author-Supplied Keyword: Stochastic volatility; Author-Supplied Keyword: Temporal aggregation; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 26p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11857796&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Bostic, Raphael W. AU - Calem, Paul S. AU - Canner, Glenn B. T1 - Credit Scoring: Statistical Issues and Evidence from Credit-Bureau Files. JO - Real Estate Economics JF - Real Estate Economics Y1 - 2000///Fall2000 VL - 28 IS - 3 M3 - Article SP - 523 EP - 547 PB - Wiley-Blackwell SN - 10808620 AB - Although credit scoring offers benefits to lenders and borrowers, its use raises important statistical issues that may affect the ability of scoring systems to accurately quantify an individual's credit risk. The evidence from a national sample of credit-bureau records suggests that concerns about omitted-variable bias may be justified, as local economic factors show significant correlations with credit scores. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT scoring systems KW - CREDIT KW - CREDIT ratings KW - CREDIT risk KW - LOAN review KW - INTEREST rate risk KW - RISK assessment N1 - Accession Number: 3611558; Avery, Robert B. 1; Email Address: ravery@frb.gov; Bostic, Raphael W. 1; Calem, Paul S. 1; Canner, Glenn B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Fall2000, Vol. 28 Issue 3, p523; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: CREDIT; Thesaurus Term: CREDIT ratings; Thesaurus Term: CREDIT risk; Thesaurus Term: LOAN review; Thesaurus Term: INTEREST rate risk; Thesaurus Term: RISK assessment; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3611558&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERGER, ALLEN N. AU - DAVIES, SALLY M. AU - FLANNERY, MARK J. T1 - Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When? JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 2000/08/02/Aug2000 Part 2 VL - 32 IS - 3 M3 - Article SP - 641 EP - 667 PB - Ohio State University Press SN - 00222879 AB - This paper compares the timeliness and accuracy of (confidential) government assessments of bank condition against market evaluations of large U.S. bank holding companies. We find that supervisors and bond rating agencies both acquire some information that would help the other group forecast changes in bank condition. In contrast, supervisory assessments and equity market indicators are not strongly interrelated. Furthermore, supervisory assessments are generally less accurate than either stock or bond market indicators in predicting future changes in performance, except when those assessments derive from a recent on-site inspection visit. To some extent these findings are consistent with the various parties' differing incentives. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK holding companies KW - BANKING industry -- Ratings & rankings KW - ECONOMIC forecasting KW - CREDIT ratings KW - BOND market KW - CAPITAL market KW - UNITED States N1 - Accession Number: 3475384; BERGER, ALLEN N. 1,2; Email Address: aberger@FRB.GOV; DAVIES, SALLY M. 3; Email Address: daviess@FRB.GOV; FLANNERY, MARK J. 4; Email Address: flannery@dale.eba.ufl.edu; Affiliations: 1: Senior economist, Board of Governors of the Federal Reserve System; 2: Senior Fellow, Wharton Financial Institutions Center; 3: Chief, International Banking Section, Board of Governors of the Federal Reserve System; 4: NationsBank Eminent Scholar in Finance, University of Florida; Issue Info: Aug2000 Part 2, Vol. 32 Issue 3, p641; Thesaurus Term: BANK holding companies; Thesaurus Term: BANKING industry -- Ratings & rankings; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: CREDIT ratings; Thesaurus Term: BOND market; Thesaurus Term: CAPITAL market; Subject: UNITED States; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 27p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3475384&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wieland, Volker T1 - Monetary policy, parameter uncertainty and optimal learning. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2000/08// VL - 46 IS - 1 M3 - Article SP - 199 EP - 228 SN - 03043932 AB - Since central banks have limited information concerning the transmission channel of monetary policy, they are faced with the difficult task of simultaneously controlling the policy target and estimating the impact of policy actions. A tradeoff between estimation and control arises because policy actions influence estimation and provide information which may improve future performance. I analyze a tradeoff in a simple model with parameter uncertainty and conduct dynamic simulations of the policymaker's decision problem in the presence of the type of uncertainties that arose in the wake of German reunification. A policy that separates learning from control may induce a persistent upward bias in money growth and inflation, just as observed after unification. In contrast, the optimal learning strategy which exploits the tradeoff between control and estimation significantly improves stabilization performance and reduces the likelihood of inflationary bias. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - MONETARY policy KW - DECISION making KW - ECONOMICS KW - UNCERTAINTY KW - POLICY sciences N1 - Accession Number: 12146338; Wieland, Volker 1; Email Address: vwieland@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetory Affairs, Washington, DC, USA; Issue Info: Aug2000, Vol. 46 Issue 1, p199; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONETARY policy; Thesaurus Term: DECISION making; Thesaurus Term: ECONOMICS; Subject Term: UNCERTAINTY; Subject Term: POLICY sciences; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 30p; Illustrations: 3 Charts, 23 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12146338&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sack, Brian T1 - Does the fed act gradually? A VAR analysis. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2000/08// VL - 46 IS - 1 M3 - Article SP - 229 EP - 256 SN - 03043932 AB - The tendency for changes in the federal funds rate to be implemented gradually has been considered evidence of an interest-rate smoothing objective for the Federal Reserve. This paper investigates whether gradual funds rate movements can be explained by the dynamic structure of the economy and the uncertainty surrounding that structure, without recourse to including an ad hoc interest-rate smoothing argument in the Fed's objective function. In the absence of parameter uncertainty, the optimal policy involves more aggressive movements in the funds rate than observed. Parameter uncertainty, however, limits the responsiveness of the interest rate. As a result, the optimal policy under parameter uncertainty can account for a considerable portion of the gradualism observed. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL Reserve banks KW - INTEREST rates KW - FEDERAL Reserve monetary policy KW - FISCAL policy KW - MONETARY policy KW - ECONOMICS N1 - Accession Number: 12146339; Sack, Brian 1; Email Address: bsack@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, USA; Issue Info: Aug2000, Vol. 46 Issue 1, p229; Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: INTEREST rates; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 28p; Illustrations: 1 Chart, 18 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12146339&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Bonime, Seth D. AU - Covitz, Daniel M. AU - Hancock, Diana T1 - Why are bank profits so persistent? The roles of product market competition, informational opacity, and regional/macroeconomic shocks. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 2000/07// VL - 24 IS - 7 M3 - Article SP - 1203 EP - 1235 SN - 03784266 AB - We investigate how banking market competition, informational opacity, and sensitivity to shocks have changed over the last three decades by examining the persistence of firm-level rents. We develop propagation mechanisms with testable implications to isolate the sources of persistence. Our analysis suggests that different processes underlie persistence at the high and low ends of the performance distribution. Our tests suggest that impediments to competition and informational opacity continue to be strong determinants of persistence; that the reduction in geographic regulatory restrictions had little effect on competitiveness; and that persistence remains sensitive to regional/macroeconomic shocks. The findings also suggest reasons for the recent record profitability of the industry. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK profits KW - MACROECONOMICS KW - BANKING industry KW - RENT (Economic theory) KW - INDUSTRIES N1 - Accession Number: 11487587; Berger, Allen N. 1; Bonime, Seth D. 1; Covitz, Daniel M. 1; Email Address: dcovitz@frb.gov; Hancock, Diana 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Jul2000, Vol. 24 Issue 7, p1203; Thesaurus Term: BANK profits; Thesaurus Term: MACROECONOMICS; Thesaurus Term: BANKING industry; Thesaurus Term: RENT (Economic theory); Thesaurus Term: INDUSTRIES; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 33p; Illustrations: 7 Charts, 10 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11487587&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wright, Jonathan H. T1 - Confidence Intervals for Univariate Impulse Responses With a Near Unit Root. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2000/07// VL - 18 IS - 3 M3 - Article SP - 368 EP - 373 SN - 07350015 AB - This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TIME series analysis KW - MONTE Carlo method KW - DISTRIBUTION (Probability theory) KW - SAMPLING (Statistics) KW - CONFIDENCE intervals KW - BOOTSTRAPPING (Statistics) KW - Bootstrap KW - Confidence intervals KW - Impulse response KW - Unit roots N1 - Accession Number: 3322257; Wright, Jonathan H. 1; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: July2000, Vol. 18 Issue 3, p368; Thesaurus Term: TIME series analysis; Thesaurus Term: MONTE Carlo method; Thesaurus Term: DISTRIBUTION (Probability theory); Thesaurus Term: SAMPLING (Statistics); Subject Term: CONFIDENCE intervals; Subject Term: BOOTSTRAPPING (Statistics); Author-Supplied Keyword: Bootstrap; Author-Supplied Keyword: Confidence intervals; Author-Supplied Keyword: Impulse response; Author-Supplied Keyword: Unit roots; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 6p; Illustrations: 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3322257&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Wieland, Volker T1 - Inflation zone targeting. JO - European Economic Review JF - European Economic Review Y1 - 2000/06// VL - 44 IS - 7 M3 - Article SP - 1351 EP - 1387 SN - 00142921 AB - We study optimal monetary policy design in a simple model that deviates from the linear-quadratic paradigm and provides a rationale for the practice of inflation zone targeting. We show that the presence of either zone-quadratic preferences or a zone-linear relationship between inflation and economic activity provides strong incentives to deviate from conventional linear policies. We calibrate the model based on parameters for the United States and the euro area and employ a numerical dynamic programming algorithm to derive the optimal policies. With this algorithm, we examine the role of uncertainty, model structure and relative preference towards economic stability in determining the width of the implied targeted inflation zone. [ABSTRACT FROM AUTHOR] AB - Copyright of European Economic Review is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONETARY policy KW - INFLATION (Finance) KW - ECONOMIC policy KW - FINANCE KW - SOCIAL sciences KW - UNITED States KW - Inflation targeting KW - Optimal monetary policy KW - Price stability N1 - Accession Number: 11943028; Orphanides, Athanasios 1; Email Address: aorphanides@frb.gov; Wieland, Volker 1; Email Address: vwieland@frb.gov; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Jun2000, Vol. 44 Issue 7, p1351; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCE; Subject Term: SOCIAL sciences; Subject: UNITED States; Author-Supplied Keyword: Inflation targeting; Author-Supplied Keyword: Optimal monetary policy; Author-Supplied Keyword: Price stability; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 37p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11943028&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wright, Jonathan H. T1 - Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2000/04// VL - 18 IS - 2 M3 - Article SP - 211 SN - 07350015 AB - Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the cointegrating vector can be constructed by exploiting the equivalence between tests and confidence sets. This method has the advantage that it remains valid even if the regressors have roots that are not exactly equal to unity. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MATHEMATICAL models KW - SIMULATION methods & models KW - MULTIVARIATE analysis KW - STATISTICAL hypothesis testing KW - MONTE Carlo method KW - VARIABLES (Mathematics) KW - Cointegration KW - Money demand KW - Regression KW - Robust inference KW - Unit roots. N1 - Accession Number: 3031336; Wright, Jonathan H. 1; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, Washington DC 20551.; Issue Info: Apr2000, Vol. 18 Issue 2, p211; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: SIMULATION methods & models; Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: STATISTICAL hypothesis testing; Thesaurus Term: MONTE Carlo method; Subject Term: VARIABLES (Mathematics); Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Money demand; Author-Supplied Keyword: Regression; Author-Supplied Keyword: Robust inference; Author-Supplied Keyword: Unit roots.; Number of Pages: 12p; Illustrations: 4 Graphs; Document Type: Article; Full Text Word Count: 9049 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=3031336&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wright, Jonathan H. AD - Board of Governors of the Federal Reserve System T1 - Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests JO - Journal of Business and Economic Statistics JF - Journal of Business and Economic Statistics Y1 - 2000/04// VL - 18 IS - 2 SP - 211 EP - 222 SN - 07350015 N1 - Accession Number: 0528705; Keywords: Unit Root; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200007 N2 - Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the cointegrating vector can be constructed by exploiting the equivalence between tests and confidence sets. This method has the advantage that it remains valid even if the regressors have roots that are not exactly equal to unity. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C32 KW - Demand for Money E41 KW - Interest Rates: Determination, Term Structure, and Effects E43 L3 - http://www.tandfonline.com/loi/ubes20#.UdxlRayE7xU UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0528705&site=ehost-live&scope=site UR - http://www.tandfonline.com/loi/ubes20#.UdxlRayE7xU DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Jones, Charles AU - Williams, John T1 - Too Much of a Good Thing? The Economics of Investment in R&D. JO - Journal of Economic Growth JF - Journal of Economic Growth Y1 - 2000/03// VL - 5 IS - 1 M3 - Article SP - 65 EP - 85 SN - 13814338 AB - Research and development is a key determinant of long-run productivity and welfare. A central issue is whether a decentralized economy undertakes too little or too much R&D. We develop an endogenous growth model that incorporates parametrically four important distortions to R&D: the surplus appropriability problem, knowledge spillovers, creative destruction, and duplication externalities. Calibrating the model, we find that the decentralized economy typically underinvests in R&D relative to what is socially optimal. The only exceptions to this conclusion occur when the duplication externality is strong and the equilibrium real interest rate is simultaneously high. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Growth is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVESTMENTS KW - RESEARCH & development KW - ECONOMIC models KW - MONETARY policy KW - ECONOMIC indicators KW - endogenous growth KW - externalities KW - optimal R&D N1 - Accession Number: 49892303; Jones, Charles 1; Williams, John 2; Affiliations: 1: Department of Economics, Stanford University, Stanford, CA 94305-6072.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Mar2000, Vol. 5 Issue 1, p65; Thesaurus Term: INVESTMENTS; Thesaurus Term: RESEARCH & development; Thesaurus Term: ECONOMIC models; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC indicators; Author-Supplied Keyword: endogenous growth; Author-Supplied Keyword: externalities; Author-Supplied Keyword: optimal R&D; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 541711 Research and Development in Biotechnology; NAICS/Industry Codes: 541712 Research and Development in the Physical, Engineering, and Life Sciences (except Biotechnology); Number of Pages: 21p; Document Type: Article L3 - 10.1023/A:1009826304308 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49892303&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ahmed, Shaghil AU - Rogers, John H. T1 - Inflation and the great ratios: Long term evidence from the U.S. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 2000/02// VL - 45 IS - 1 M3 - Article SP - 3 EP - 35 SN - 03043932 AB - Using over 100 years of U.S. data, we find that the long-run effects of inflation on consumption, investment, and output are positive. Also, great ratios like the consumption and investment rates are not independent of inflation, which we interpret in terms of the Fisher effect. However, the variability of the stochastic inflation trend is small relative to the variability of the productivity and fiscal trends. Thus, models generating long-term negative effects of inflation on output and consumption seem to be at odds with data from the moderate inflation rate environment we consider. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - INVESTMENTS KW - CONSUMPTION (Economics) KW - FISHER effect (Economics) KW - ECONOMETRIC models KW - UNITED States N1 - Accession Number: 12146352; Ahmed, Shaghil 1; Email Address: shaghil.ahmed@frb.gov; Rogers, John H. 1; Email Address: john.h.rogers@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of International Finance, USA; Issue Info: Feb2000, Vol. 45 Issue 1, p3; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INVESTMENTS; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: FISHER effect (Economics); Thesaurus Term: ECONOMETRIC models; Subject: UNITED States; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 33p; Illustrations: 9 Charts, 12 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12146352&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wright, Jonathan H. T1 - Alternative Variance-Ratio Tests Using Ranks and Signs. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 2000/01// VL - 18 IS - 1 M3 - Article SP - 1 EP - 9 SN - 07350015 AB - This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratio tests, these tests can be exact. In Monte Carlo simulations, I find that they can also be more powerful than conventional variance-ratio tests. I apply the proposed tests to five exchange-rate series and find that they are capable of detecting violations of the martingale hypothesis for all five series, whereas conventional variance-ratio tests yield ambiguous results. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TIME series analysis KW - MATHEMATICAL statistics KW - PROBABILITY theory KW - STOCHASTIC processes KW - MONTE Carlo method KW - MATHEMATICAL models KW - ANALYSIS of variance KW - FOREIGN exchange rates KW - MARTINGALES (Mathematics) KW - Conditional heteroscedasticity KW - Exchange-rate returns KW - Long memory KW - Nonparametrics KW - Rank test KW - Variance ratio N1 - Accession Number: 2713393; Wright, Jonathan H. 1; Email Address: jonathan.h.wright@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Jan2000, Vol. 18 Issue 1, p1; Thesaurus Term: TIME series analysis; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: PROBABILITY theory; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: MONTE Carlo method; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ANALYSIS of variance; Thesaurus Term: FOREIGN exchange rates; Subject Term: MARTINGALES (Mathematics); Author-Supplied Keyword: Conditional heteroscedasticity; Author-Supplied Keyword: Exchange-rate returns; Author-Supplied Keyword: Long memory; Author-Supplied Keyword: Nonparametrics; Author-Supplied Keyword: Rank test; Author-Supplied Keyword: Variance ratio; Number of Pages: 9p; Illustrations: 8 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=2713393&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gerdes, Geoffrey R. T1 - Interactive Economics Instruction with Java and CGI. JO - Journal of Economic Education JF - Journal of Economic Education J1 - Journal of Economic Education PY - 2000///Winter2000 Y1 - 2000///Winter2000 VL - 31 IS - 1 M3 - Article SP - 12 EP - 12 SN - 00220485 AB - The article describes the microeconomics web site http://jevons.sscnet.ucla.edu/gerdes/ which was developed by the author as a graduate student at the University of California in Los Angeles. It offers interactive modules to facilitate conceptual understanding of difficult economics topics. As an example, the concepts of linear demand, elasticity and total revenue are explained to first-year economics students by allowing the student to experiment with different prices and quantities and see how the numbers change along the demand curve. A graphic tutorial is included. KW - MICROECONOMICS -- Study & teaching KW - WEBSITES KW - COMPUTER assisted instruction KW - ECONOMICS -- Study & teaching KW - INTERNET in education KW - UNIVERSITY of California, Los Angeles KW - ECONOMICS students KW - INTERACTIVE multimedia KW - INTELLIGENT tutoring systems N1 - Accession Number: 2635058; Source Information: Winter2000, Vol. 31 Issue 1, p12; Subject Term: MICROECONOMICS -- Study & teaching; Subject Term: WEBSITES; Subject Term: COMPUTER assisted instruction; Subject Term: ECONOMICS -- Study & teaching; Subject Term: INTERNET in education; Subject Term: UNIVERSITY of California, Los Angeles; Subject Term: ECONOMICS students; Subject Term: INTERACTIVE multimedia; Subject Term: INTELLIGENT tutoring systems; Subject Term: ; Number of Pages: 1p; ; Document Type: Article; UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=trh&AN=2635058&site=ehost-live&scope=site DP - EBSCOhost DB - trh ER - TY - JOUR AU - English, William B. AD - Board of Governors of the Federal Reserve System T1 - The Irrelevance of Some Forms of Credit Constraints for Government Monetary and Debt Policy JO - Journal of Economics and Business JF - Journal of Economics and Business Y1 - 2000/01//January-April 2000 VL - 52 IS - 1-2 SP - 7 EP - 30 SN - 01486195 N1 - Accession Number: 0528842; Keywords: Credit; Interest Rates; Interest; Monetary Policy; Monetary; Policy; Publication Type: Journal Article; Update Code: 200007 N2 - Some economists have pointed to credit constraints as possible explanations for two phenomena. First, credit constraints could explain violations of Ricardian equivalence. Second, constraints could also provide a mechanism through which monetary policy could affect the real economy independent of effects on interest rates. Hayashi (1986) shows that some types of credit constraints do not necessarily imply a violation of Ricardian equivalence. Similarly, this paper finds that the effects of government monetary and debt policies in an economy characterized by credit constraints can be similar to those in a model without constraints. KW - Monetary Policy E52 KW - Money Supply; Credit; Money Multipliers E51 L3 - http://www.sciencedirect.com/science/journal/01486195 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0528842&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/01486195 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Orphanides, Athanasios AU - Porter, Richard D. AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System T1 - P* Revisited: Money-Based Inflation Forecasts with a Changing Equilibrium Velocity JO - Journal of Economics and Business JF - Journal of Economics and Business Y1 - 2000/01//January-April 2000 VL - 52 IS - 1-2 SP - 87 EP - 100 SN - 01486195 N1 - Accession Number: 0528845; Keywords: Forecast; Forecasts; Inflation; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200007 N2 - Alternate recursive estimates of equilibrium velocity are obtained by applying regression trees and OLS methods to a standard representation of M2 demand. Equilibrium velocity is defined as the velocity level that would be expected to hold if deposit rates were at their long-run average (equilibrium) value. We simulate the alternative models to obtain real-time forecasts of inflation and evaluate the performance of the forecasts obtained from the alternative models. While a P* model based on a constant equilibrium velocity does not provide accurate inflation forecasts over the 1990s, we find that a model based on our time-varying equilibrium velocity estimates is quite accurate. KW - Price Level; Inflation; Deflation E31 KW - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications E37 L3 - http://www.sciencedirect.com/science/journal/01486195 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0528845&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/01486195 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Sack, Brian AU - Wieland, Volker AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System T1 - Interest-Rate Smoothing and Optimal Monetary Policy: A Review of Recent Empirical Evidence JO - Journal of Economics and Business JF - Journal of Economics and Business Y1 - 2000/01//January-April 2000 VL - 52 IS - 1-2 SP - 205 EP - 228 SN - 01486195 N1 - Accession Number: 0528851; Keywords: Interest Rates; Interest; Macroeconomics; Monetary Policy; Monetary; Policy; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200007 N2 - The Federal Reserve and other central banks tend to change short-term interest rates in sequences of small steps in the same direction and reverse the direction of interest rate movements only infrequently. These characteristics, often referred to as interest-rate smoothing, have led to criticism that policy responds too little and too late to macroeconomic developments. This paper, however, argues that interest-rate smoothing may in fact be optimal. We present empirical results from several recent papers that offer three explanations of interest-rate smoothing: forward-looking behavior by market participants, measurement error associated with key macroeconomic variables, and uncertainty regarding relevant structural parameters. KW - Monetary Policy E52 KW - Interest Rates: Determination, Term Structure, and Effects E43 L3 - http://www.sciencedirect.com/science/journal/01486195 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0528851&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/01486195 DP - EBSCOhost DB - ecn ER - TY - BOOK AU - Board of Governors of the Federal Reserve System, Washington, DC T1 - The Performance and Profitability of CRA-Related Lending JO - The Performance and Profitability of CRA-Related Lending JF - The Performance and Profitability of CRA-Related Lending Y1 - 2000/// AB - This report presents findings from a survey measuring the profitability and performance (delinquency and default rates) of lending in 1999 related to the Community Reinvestment Act (CRA). A major objective of the study was to determine if there are significant differences between the performance and profitability of CRA-related lending and that of other lending types. Survey responses were received from 143 of the 500 largest banking institutions in the United States. The report reviews previous research, describes the survey instrument and methodology, and discusses the survey's limitations and analytical concerns. The report presents performance and profitability measures for home purchase and refinance lending, home improvement lending, small business lending, community development lending, and special lending programs. It gives both absolute and relative results for each of three categories of institutions (based on asset size), for all institutions as a group, and per CRA dollar (determined using weights based on the dollar volume of CRA-related loans that each institution reported they originated in each product area). The report contains three appendices (Copyright applies to all Abstracts.) KW - Community reinvestment act KW - Financial institutions KW - Banks KW - Performance measurement N1 - Accession Number: MRB-FSD0347906; Board of Governors of the Federal Reserve System, Washington, DC; Source Info: 96 pp.; 2000 ; Note: Report by the Governors of the Federal Reserve System, submitted to the Congress pursuant to section 713 of the Gramm-Leach-Bliley Act of 1999; Note: Availability: Available from Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue, NW, Washington, DC 20551; phone (202) 452-3244; fax (202) 728-5886; http://www.federalreserve.gov.. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=flh&AN=MRB-FSD0347906&site=ehost-live&scope=site DP - EBSCOhost DB - flh ER - TY - UNPB AU - Doyle, Brian M. AD - Unlisted T1 - 'Here, dollars, dollars ...'estimating currency demand and worldwide currency substitution PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 657 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701075; Keywords: Money ; Demand for money; Publication Type: Working Paper; Update Code: 200404 N2 - In measuring the percentage of foreign-held U.S., German, and Swiss currencies for the period of the 1960s through the 1990s, I obtain estimates much different from those of others. Using currency demand equations implied by cointegrating vectors for Canada, the Netherlands, and Austria, I estimate that in 1996 only 30% of U.S. currency was held outside the United States, and as much as 69% of German currency was held outside Germany. The U.S. estimate falls slowly over the 1960s, reaching a low of 5% in the first half of the 1970s, then rises through the early 1980s and again during the 1990s. Given that foreign holdings of the U.S., German, and Swiss currencies constitute the bulk of international currency substitution in the world, I find that, adjusted for inflation, currency substitution roughly tripled from 1986 to 1996. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/657/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701075&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/657/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - A guide to the use of chain aggregated NIPA data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-35 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700197; Keywords: Gross domestic product ; Computers; Publication Type: Working Paper; Update Code: 200404 N2 - In 1996, the U.S. Department of Commerce began using a new method to construct all aggregate "real" series in the National Income and Product Accounts (NIPA). This method employs the so-called "ideal chain index" pioneered by Irving Fisher. The new methodology has some extremely important implications that are unfamiliar to many practicing empirical economists; as a result, mistaken calculations with NIPA data have become very common. This paper explains the motivation for the switch to chain aggregation and then illustrates the usage of chain-aggregated data with three topical examples, each relating to a different aspect of how information technologies are changing the economy. L3 - http://www.federalreserve.gov/pubs/feds/2000/200035/200035abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700197&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200035/200035abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AD - Unlisted T1 - A quantitative defense of stabilization policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-34 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700199; Keywords: Economic stabilization ; Business cycles ; Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - In an analysis of the value of growth and stabilization of consumption, Robert Lucas presents a stunning set of calculations implying that a permanent increase in the growth rate of consumption of only one-tenth percentage point per year is worth nearly 50 times as much to consumers as complete elimination of consumption variability. This is because the higher growth of consumption is worth a lot while the reduced variability is worth virtually nothing (at least in the post-war United States). Taken at face value, such a result supports the pursuit of feasible growth policies but calls into serious question the study and practice of macroeconomic stabilization policy even if complete elimination of variance were feasible and costless. Primarily by considering alternative meanings of stabilization, this paper establishes that the value of stabilization relative to the value of higher growth is about 100 times larger than the corresponding figure in Lucas. The new quantitative estimates suggest, assuming feasibility, that even a small permanent increase in the growth rate of consumption is worth a lot, but so too is stabilization in the alternative senses considered here. L3 - http://www.federalreserve.gov/pubs/feds/2000/200034/200034abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700199&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200034/200034abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AU - Wallace, Nancy AD - Unlisted AD - Unlisted T1 - A real options approach to housing investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-30 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700190; Keywords: Housing ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we study investments by existing homeowners to improve their homes. The value of a house is modeled as the expected net present value of a perpetual stream of service flows emanating from the attributes of the house. An important innovation in our model is that the set of house attributes evolves over time according to the investment decisions of the homeowner. The homeowner's decisions to invest in house attributes are modeled as real options. Our model of investment embeds a multi-factor term structure model and a general model of the evolution of service flows. We employ numeric simulations to explore the properties of the investment model, and to motivate our empirical test of the model. Using a panel from the American Housing Survey, we test two implications of the real option theory. We test whether investment is more likely when the spread between the return to housing and the cost of capital is wide, and we test whether greater spread volatility depresses investment. The results indicate that homeowner investment behavior is consistent with the theory, even after controlling for business cycle, aging, tenure and for-sale influences. L3 - http://www.federalreserve.gov/pubs/feds/2000/200030/200030abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700190&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200030/200030abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Hao AD - Unlisted T1 - A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-45 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700212; Keywords: Interest rates ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper performs a Monte Carlo study on Efficient Method of Moments (EMM), Generalized Method of Moments (GMM), Quasi-Maximum Likelihood Estimation (QMLE), and Maximum Likelihood Estimation (MLE) for a continuous-time square-root model under two challenging scenarios--high persistence in mean and strong conditional volatility--that are commonly found in estimating the interest rate process. MLE turns out to be the most efficient of the four methods, but its finite sample inference and convergence rate suffer severely from approximating the likelihood function, especially in the scenario of highly persistent mean. QMLE comes second in terms of estimation efficiency, but it is the most reliable in generating inferences. GMM with lag-augmented moments has overall the lowest estimation efficiency, possibly due to the ad hoc choice of moment conditions. EMM shows an accelerated convergence rate in the high volatility scenario, while its overrejection bias in the mean persistence scenario is unacceptably large. Finally, under a stylized alternative model of the US interest rates, the overidentification test of EMM obtains the ultimate power for detecting misspecification, while the GMM J-test is increasingly biased downward in finite samples. L3 - http://www.federalreserve.gov/pubs/feds/2000/200045/200045pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700212&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200045/200045pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Activist stabilization policy and inflation: the Taylor rule in the 1970s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-13 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700173; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - A number of recent studies have suggested that activist stabilization policy rules responding to inflation and the output gap can attain simultaneously a low and stable rate of inflation as well as a high degree of economic stability. The foremost example of such a strategy is the policy rule proposed by Taylor (1993). In this paper, I demonstrate that the policy settings that would have been suggested by this rule during the 1970s, based on real-time data published by the U.S. Commerce Department, do not greatly differ from actual policy during this period. To the extent macroeconomic outcomes during this period are considered unfavorable, this raises questions regarding the usefulness of this strategy for monetary policy. To the extent the Taylor rule is believed to provide a reasonable guide to monetary policy, this finding raises questions regarding earlier critiques of monetary policy during the 1970s. L3 - http://www.federalreserve.gov/pubs/feds/2000/200013/200013abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700173&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200013/200013abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sironi, Andrea AD - Unlisted T1 - An analysis of European banks SND issues and its implications for the design of a mandatory subordinated debt policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-41 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700207; Keywords: Banking market - European ; Risk management ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - During the last twenty years an increasing number of proposals to improve bank market discipline through the introduction of a mandatory subordinated debt policy have been drafted and critically discussed by academic economists and bank regulators. While theoretical issues are key in this debate, a proper understanding of the market of banks' subordinated notes and debentures (SND) and of the securities main features is also considered as relevant for the potential introduction, design, and goals setting of such a policy. This paper builds on information concerning issuers, investors, markets, and securities technical features to critically discuss these aspects. Data on over 1,800 European banks' SND issues completed during the 1988-2000 period together with information on primary and secondary market functioning is presented. L3 - http://www.federalreserve.gov/pubs/feds/2000/200041/200041pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700207&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200041/200041pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calem, Paul S. AU - Longhofer, Stanley D. AD - Unlisted AD - Unlisted T1 - Anatomy of a fair-lending exam: the uses and limitations of statistics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-15 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700178; Keywords: Discrimination in mortgage loans ; Bank examination; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we consider the role of statistical analysis in fair lending compliance examinations. We present a case study of an actual examination of a large mortgage lender, demonstrating how statistical techniques can be a valuable tool focusing examiner efforts to either uncover illegal discrimination or exonerate an institution so accused. Importantly, our case also highlights the limitations of such statistical techniques. The study suggests that statistical analysis combined with comparative file review offers a balanced and thorough approach to enforcement of fair lending laws. L3 - http://www.federalreserve.gov/pubs/feds/2000/200015/200015abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700178&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200015/200015abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy B. AD - Unlisted T1 - Assessing the productivity of public capital with a locational equilibrium model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-23 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700188; Keywords: Productivity ; Finance, Public; Publication Type: Working Paper; Update Code: 200404 N2 - This paper employs Roback's locational-equilibrium model of public-goods pricing, cross-sectional data from the Census of Population and Housing, and SMSA-level estimates of public capital stocks in order to examine the productive contribution of public capital. I find that public capital has a small positive impact on private output. L3 - http://www.federalreserve.gov/pubs/feds/2000/200023/200023abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700188&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200023/200023abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sabarwal, Tarun AD - Unlisted T1 - Bankruptcy in general equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-48 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700209; Keywords: Bankruptcy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, I construct a model of an exchange economy in which bankruptcy arises in a manner similar to what we observe. This model is a more realistic representation of some markets in which intertemporal assets are traded. Using standard and natural assumptions, I show that every economy represented by this model has an equilibrium. Using examples, I highlight some welfare effects of bankruptcy. L3 - http://www.federalreserve.gov/pubs/feds/2000/200048/200048pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700209&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200048/200048pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Reinhart, Carmen M. AD - Unlisted AD - Unlisted T1 - Capital controls during financial crises: the case of Malaysia and Thailand PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 662 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701079; Keywords: Financial crises - Asia ; Capital movements ; Malaysia ; Thailand; Publication Type: Working Paper; Update Code: 200404 N2 - This study examines the impact capital controls had in Malaysia (1998-1999) and Thailand (1997). We aim to assess the extent to which the capital controls were effective in delivering the outcomes that motivated their imposition. We conclude that in Thailand the controls did not deliver much of what was intended--although, one does not observe the counterfactual. By contrast, in the case of Malaysia the controls did align closely with the priors of what controls are intended to achieve: greater interest rate and exchange rate stability and more policy autonomy. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/662/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701079&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/662/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Chang-Jin AU - Piger, Jeremy AD - Unlisted AD - Unlisted T1 - Common stochastic trends, common cycles, and asymmetry in economic fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 681 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701100; Keywords: Business cycles ; Recessions; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the nature of business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We first identify a common stochastic trend and a common transitory component by embedding the permanent income hypothesis within a simple growth model. We then investigate two types of asymmetry commonly identified in U.S. business cycle dynamics: (1) Infrequent negative permanent shocks, modeled as shifts in the growth rate of the common stochastic trend and (2) infrequent negative transitory shocks, modeled as "plucking" deviations from the common stochastic trend. Tests of marginal significance suggest both types of asymmetry were present in post-war recessions, although the shifts in trend are less severe than the received literature suggests. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/681/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701100&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/681/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Computers, obsolescence, and productivity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-06 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700171; Keywords: Productivity ; Computers; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the role that computers have played in boosting U.S. economic growth in recent years. The paper focuses on two effects--the effect of increased productivity in the computer-producing sector and the effect of investments in computing equipment on the productivity of those who use them--and concludes that together they account for almost all of the recent acceleration in U.S. labor productivity. In calculating the computer-usage effect, standard NIPA measures of the capital stock are inappropriate for growth accounting because they do not account for technological obsolescence; this occurs when a machine that is still productive is retired because it is no longer near the technological frontier. Using a theoretical framework that explicitly accounts for technological obsolescence, alternative estimates of the computer capital stock are developed that imply larger effects on growth of computer capital accumulation than are suggested by the NIPA stocks. L3 - http://www.federalreserve.gov/pubs/feds/2000/200006/200006abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700171&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200006/200006abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Constructive data mining: modeling consumers' expenditure in Venezuela PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 663 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701080; Keywords: Consumption (Economics) ; Venezuela; Publication Type: Working Paper; Update Code: 200404 N2 - Hoover and Perez (1999) advocate a constructive approach to data mining. The current paper identifies four pejorative senses of data mining and shows how Hoover and Perez's approach counters each. To assess the benefits of constructive data mining, the current paper applies a data-mining algorithm similar to Hoover and Perez's to a dataset for Venezuelan consumers' expenditure. The selected model is economically sensible and statistically satisfactory; and it illustrates how data can be highly informative, even with relatively few observations. Limitations to algorithmically based data mining provide opportunities for the researcher to contribute value added in the empirical analysis. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/663/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701080&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/663/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Weisbenner, Scott J. AD - Unlisted T1 - Corporate share repurchases in the 1990s: what role do stock options play? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-29 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700192; Keywords: Stocks ; Corporate profits ; Options (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates how the growth of stock option programs has affected corporate payout policy. Given that earnings per share (EPS) is widely used in equity valuation, some corporations may opt to repurchase shares to avoid the dilution of EPS that results from past stock option grants. Executives may also prefer distributing cash by repurchasing shares or retaining more earnings, as opposed to increasing dividends, to enhance the value of their own stock options. This paper tests the importance of these two hypotheses using cross-sectional and panel data on stock option programs. I find that stock options granted to top executives affect payout policy differently than do stock options granted to other employees. Option grants in general are associated with increased share repurchases and increased total payouts. However, the larger is the executives' holding of stock options, the more apt the firm is to retain more earnings and curtail cash distributions. Analysis of panel data for a sample of large firms suggests that firms conduct an ongoing repurchase of shares over the life of an option that undoes much of the dilution to EPS that results from past stock option grants. L3 - http://www.federalreserve.gov/pubs/feds/2000/200029/200029abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700192&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200029/200029abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Heuson, Andrea AU - Passmore, Wayne AU - Sparks, Roger AD - Unlisted AD - Unlisted AD - Unlisted T1 - Credit scoring and mortgage securitization: do they lower mortgage rates? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-44 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700211; Keywords: Mortgage loans ; Interest rates ; Mortgages ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a model of the interactions between borrowers, originators, and a securitizer in primary and secondary mortgage markets. In the secondary market, the securitizer adds liquidity and plays a strategic game with mortgage originators. The securitizer sets the price at which it will purchase mortgages and the credit score standard that qualifies a mortgage for purchase. We investigate two potential links between securitization and mortgage rates. First, we analyze whether a portion of the liquidity premium gets passed on to borrowers in the form of a lower mortgage rate. Somewhat surpringly, we find plausible conditions under which securization fails to lower the mortgage rate. Secondly, and consistent with recent empirical results, we derive an inverse correlation between the volume of securitization and mortgage rates. However, the causation is reversed from the standard rendering. In our model, a decline in the mortgage rate causes increased securitization rather than the other way around. L3 - http://www.federalreserve.gov/pubs/feds/2000/200044/200044pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700211&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200044/200044pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AD - Unlisted T1 - Current account adjustment in industrialized countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 692 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701108; Keywords: Balance of payments ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the dynamics of current account adjustment among industrialized countries. We identify twenty-five episodes in which a large sustained improvement in the current account occurred between 1980 and 1997. We find that a typical current account reversal begins when the current account deficit is about 5 percent of GDP, that it is associated with slowing income growth and a 10-20 percent real exchange rate depreciation. Real export growth, declining investment, and an eventual leveling off in both the net international investment position and the budget deficit-GDP ratio are also likely to be part of the adjustment. These results suggest that current account reversals in industrialized countries are largely a function of the business cycle. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/692/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701108&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/692/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - Deriving inflation expectations from nominal and inflation-indexed Treasury yields PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-33 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700198; Keywords: Government securities ; Treasury notes ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for inflation expectations if the inflation risk premium is small. The calculated measure suggests that the rate of inflation expected over the next ten years fell from just under 3% in mid-1997 to just under 1 3/4% by early 1999, before rising back to about 2 1/2% by the beginning of 2000. This variation is more extensive than would have been expected from a simple model of inflation dynamics or from a survey measure of long-run inflation expectations. L3 - http://www.federalreserve.gov/pubs/feds/2000/200033/200033abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700198&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200033/200033abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Detecting lack of identification in GMM PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 674 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701088; Keywords: Econometric models ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only slightly correlated with the endogenous variables, the conventional Gaussian asymptotic theory may still provide a very poor approximation to the finite sample distribution of the usual instrumental variables estimator. Because of the crucial role of this identification condition, it is common to test for instrument relevance by a first-stage F-test. Identification issues also arise in the generalized method of moments model, of which the linear instrumental variables model is a special case. But I know of no means, in the existing literature, of testing for identification in this model. This paper proposes a test of the null of underidentification in the generalized method of moments model. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/674/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701088&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/674/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Deviations from purchasing power parity: causes and welfare costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 666 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701084; Keywords: Purchasing power parity ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - We explore deviations from short-run purchasing power parity across European cities, attempting to move beyond a "first-generation" of papers that document very large border effects. We document two very distinct types of border effects embedded in relative prices. The first is a "real barriers effect," caused by various barriers to market integration. The second is a sticky-consumer-price cum volatile exchange-rate effect. Both are shown to be important empirically, the second type especially so. We argue that the two effects are very different from each other. For the first type of effect, it is clear that border effects imply deadweight welfare losses. We argue that while the second type of border effect could be eliminated with fixed exchange rates, welfare is not necessarily increased. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/666/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701084&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/666/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Kyle, Margaret K. AU - Scalise, Joseph M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Did U.S. bank supervisors get tougher during the credit crunch? Did they get easier during the banking boom? Did it matter to bank lending? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-39 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700204; Keywords: Bank supervision ; Credit ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - We test three hypotheses regarding changes in supervisory "toughness" and their effects on bank lending. The data provide modest support for all three hypotheses that there was an increase in toughness during the credit crunch period (1989-1992), that there was a decline in toughness during the boom period (1993-1998), and that changes in toughness, if they occurred, affected bank lending. However, all of the measured effects are small, with 1% or less of loans receiving harsher or easier classification, about 3% of banks receiving better or worse CAMEL ratings, and bank lending being changed by 1% or less of assets. L3 - http://www.federalreserve.gov/pubs/feds/2000/200039/200039abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700204&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200039/200039abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AD - Unlisted T1 - Dimensions of credit risk and their relationship to economic capital requirements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-18 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700183; Keywords: Credit ; Risk management ; Bank capital; Publication Type: Working Paper; Update Code: 200404 N2 - Now in prospect is a major revision of international bank capital regulations that would embody recent advances in credit risk measurement and management. Previous regulations have been simpler in structure, with a primary goal of getting capital requirements right on average, and thus have largely ignored the difference between average and marginal. This paper presents evidence that explicit treatment in new regulations of several important dimensions of credit risk is necessary to limit banks' incentives to engage in capital arbitrage activities. Such activities, if unchecked, may lead to an increase in bank failure rates over time. L3 - http://www.federalreserve.gov/pubs/feds/2000/200018/200018abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700183&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200018/200018abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello AU - Tevlin, Stacey AD - Unlisted AD - Unlisted T1 - Do firms share their success with workers? The response of wages to product market conditions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-17 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700182; Keywords: Wages ; Labor market ; Manufactures; Publication Type: Working Paper; Update Code: 200404 N2 - We provide strong new evidence that industry financial conditions play an important role in wage determination in the U.S. manufacturing sector. Ordinary least squares estimates of the effect of rents per worker on wages are positive and significant, but quite small. However, using two standard bargaining models, we illustrate that this may stem from a variety of econometric difficulties that plague the OLS estimates. In this paper, we are able to overcome these issues and identify the effects of the industry financial situation on wages. We do this using the U.S. input-output tables to isolate exogenous variation in an industry's product market conditions. Our instrumental variable estimates reveal a substantial amount of rent sharing in U.S. manufacturing---much more than is consistent with a purely competitive labor market. L3 - http://www.federalreserve.gov/pubs/feds/2000/200017/200017abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700182&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200017/200017abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - Do indicators of financial crises work? an evaluation of an early warning system PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 675 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701093; Keywords: Financial crises ; Money; Publication Type: Working Paper; Update Code: 200404 N2 - The object of this paper is to develop an operational early warning system (EWS) that can detect financial crises. To achieve this goal the paper analyzes and extends the early warning system developed by Kaminsky, Lizondo, and Reinhart (1998) and Kaminsky and Reinhart (1999) that is based on the "signal" approach. This system monitors several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds (or falls below) a threshold, then it is said to issue a "signal" that a currency crisis may occur within a given period. The model does a fairly good job of anticipating some of the crises in 1997/1998, but several weaknesses to the approach are identified. The paper also evaluates how this system can be applied to an individual country. On balance, the results in this paper are mixed, but the results suggest that an early warning system should be thought of as a useful diagnostic tool. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/675/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701093&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/675/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tulip, Peter AD - Unlisted T1 - Do minimum wages raise the NAIRU? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-38 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700203; Keywords: Minimum wage ; Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - A high minimum wage (relative to average wages) raises nominal wage growth and hence inflation. This effect can be offset by extra unemployment; so the minimum wage increases the Non-Accelerating Inflation Rate of Unemployment or NAIRU. This effect is clearly discernible and robust to variations in model specification and sample period. It is consistent with international comparisons and the behavior of prices. I estimate that the reduction in the relative level of the minimum wage over the last two decades accounts for a reduction in the NAIRU of about 1 1/2 percentage points. It can also account for the substantial reduction in the NAIRU in the United States relative to continental Europe. L3 - http://www.federalreserve.gov/pubs/feds/2000/200038/200038abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700203&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200038/200038abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dynan, Karen E. AU - Skinner, Jonathan AU - Zeldes, Stephen P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do the rich save more? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-52 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700218; Keywords: Income ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - The issue of whether higher lifetime income households save a larger fraction of their income is an important factor in the evaluation of tax and macroeconomic policy. Despite an outpouring of research on this topic in the 1950s and 1960s, the question remains unresolved and has since received little attention. This paper revisits the issue, using new empirical methods and the Panel Study on Income Dynamics, the Survey of Consumer Finances, and the Consumer Expenditure Survey. We first consider the various ways in which life cycle models can be altered to generate differences in saving rates by income groups: differences in Social Security benefits, different time preference rates, non-homothetic preferences, bequest motives, uncertainty, and consumption floors. Using a variety of instruments for lifetime income, we find a strong positive relationship between personal saving rates and lifetime income. The data do not support theories relying on time preference rates, non-homothetic preferences, or variations in Social Security benefits. Instead, the evidence is consistent with models in which precautionary saving and bequest motives drive variations in saving rates across income groups. Finally, we illustrate how models that assume a constant rate of saving across income groups can yield erroneous predictions. L3 - http://www.federalreserve.gov/pubs/feds/2000/200052/200052pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700218&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200052/200052pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Click, Reid W. AU - Harrison, Paul AD - Unlisted AD - Unlisted T1 - Does multinationality matter? Evidence of value destruction in U.S. multinational corporations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-21 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700187; Keywords: International business enterprises ; Investments, Foreign ; Capital market; Publication Type: Working Paper; Update Code: 200404 N2 - We document that capital markets penalize corporate multinationality by putting a lower value on the equity of multinational corporations than on otherwise similar domestic corporations. Using Tobin's q, the multinational discount is estimated to be in the range of 8.6% to 17.1%. The most important mechanism of value destruction is an asset channel in which multinationals have disproportionately high levels of assets in relation to the earnings they generate. Foreign assets are particularly associated with value destruction. In contrast, exporting from U.S. operations is associated with an export premium--of approximately 3.9%--resulting from both a higher market value and a lower asset size. Given these findings, we ask why firms become multinationals. Evidence reveals that the portion of a firm owned by management is inversely related to the likelihood that the firm is a multinational, so we conclude that managers who do not own much of the firm may be building multinational empires for private gains at the expense of the shareholders. L3 - http://www.federalreserve.gov/pubs/feds/2000/200021/200021abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700187&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200021/200021abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - DeYoung, Robert AU - Udell, Gregory F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Efficiency barriers to the consolidation of the European financial services industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-37 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700202; Keywords: Financial services industry ; Europe ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 N2 - Cross-border consolidation of financial institutions within Europe has been relatively limited, possibly reflecting efficiency barriers to operating across borders, including distance; differences in language, culture, currency, and regulatory/supervisory structures; and explicit or implicit rules against foreign competitors. EU policies such as the Single Market Programme and the European Monetary Union attenuate some but not all of these barriers. The evidence is consistent with the hypothesis that these barriers offset most of any potential efficiency gains from cross-border consolidation. Banks headquartered in other EU nations have slightly lower average measured efficiency than domestic banks and non-EU-based foreign banks. L3 - http://www.federalreserve.gov/pubs/feds/2000/200037/200037abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700202&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200037/200037abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudd, Jeremy AD - Unlisted T1 - Empirical evidence on human capital spillovers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-46 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700208; Keywords: Human capital ; Education ; Income; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines whether the average level of human capital in a region affects the earnings of an individual residing in that region in a manner that is external to the individual's own human capital. I find little evidence of an external effect of human capital, which suggests that human capital spillovers of the form postulated by the new growth literature are unlikely to matter much in practice. L3 - http://www.federalreserve.gov/pubs/feds/2000/200046/200046pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700208&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200046/200046pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, James M. AD - Unlisted T1 - Estimating the value and interest rate risk of interest-bearing transactions deposits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-53 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700216; Keywords: Interest rates ; Bank deposits ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - A valuation model is developed within an interest rate contingent claims framework to estimate NOW account and MMDA premiums and interest rate risk for a sample of commercial banks. As has been previously done, bank deposit rate and balances dynamics are represented by autoregressive processes but with attention given here to alternative specifications and to the deposit rent processes and dynamics implied by these specifications. Alternative deposit rate specifications studied include asymmetric adjustment to market rate changes. In examining the implied deposit rent processes, special attention is given to the importance of distant rent forecasts and forecast dynamics for the deposit premium and interest rate risk estimates. L3 - http://www.federalreserve.gov/pubs/feds/2000/200053/200053pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700216&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200053/200053pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loretan, Mico AU - English, William B. AD - Unlisted AD - Unlisted T1 - Evaluating 'correlation breakdowns' during periods of market volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 658 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701076; Keywords: Stock market ; Risk management; Publication Type: Working Paper; Update Code: 200404 N2 - Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than time-varying sampling volatility. As noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/658/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701076&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/658/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Exact confidence intervals for impulse responses in a Gaussian vector autoregression PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 682 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701099; Keywords: Vector autoregression ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - Many techniques have been proposed for forming confidence intervals for the impulse responses in a vector autoregression. However, numerous Monte-Carlo simulations have shown that all of these methods often have coverage well below the nominal level. This paper proposes a new approach to constructing confidence intervals for impulse responses in a vector autoregression, making the additional assumption of Gaussianity. These confidence intervals are conservative in all sample sizes; by construction they have coverage that must be greater than or equal to the nominal level. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/682/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701099&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/682/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AD - Unlisted T1 - Exchange rate dynamics and the welfare effects of monetary policy in a two-country model with home-product bias PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 667 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701085; Keywords: Foreign exchange rates ; Purchasing power parity ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that allows for home-product bias in consumption patterns: at given relative prices the ratio of home goods consumed to foreign goods consumed is higher in the home country. The setup nests Obstfeld and Rogoff (1995), who assume identical tastes. With home bias, results are different in three ways. When preferences are biased, the wealth transfers associated with current account imbalances induce movements in the real exchange rate and produce large short-run and small long-run deviations from consumption-based purchasing power parity. With home bias, interest rates, both real and nominal, can differ across countries; relatedly, home bias is a necessary but not sufficient condition for Dornbusch (1976) type exchange rate overshooting. Finally, in this model the welfare effects of expansionary monetary policy depend not only on world demand but also on the expenditure-switching effect of an exchange rate depreciation; monetary policy is 'beggar-thy-neighbor' if individuals have strong preferences for domestic products, but can be 'beggar-thyself' if, instead, imported goods are preferred. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/667/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701085&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/667/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tevlin, Stacey AU - Whelan, Karl AD - Unlisted AD - Unlisted T1 - Explaining the investment boom of the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-11 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700172; Keywords: Computers ; Capital investments ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Real equipment investment in the United States has boomed in recent years, led by soaring investment in computers. We find that traditional aggregate econometric models completely fail to capture the magnitude of this recent growth--mainly because these models neglect to address two features that are crucial (and unique) to the current investment boom. First, the pace at which firms replace depreciated capital has increased. Second, investment has been more sensitive to the cost of capital. We document that these two features stem from the special behavior of investment in computers and therefore propose a disaggregated approach. This produces an econometric model that successfully explains the 1990s equipment investment boom. L3 - http://www.federalreserve.gov/pubs/feds/2000/200011/200011abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700172&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200011/200011abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Harrigan, James AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted T1 - Factor supplies and specialization in the world economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-43 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700206; Keywords: International trade ; International economic relations; Publication Type: Working Paper; Update Code: 200404 N2 - A core prediction of the Heckscher-Ohlin theory is that countries specialize in goods in which they have a comparative advantage, and that the source of comparative advantage is differences in relative factor supplies. To examine this theory, we use the most extensive dataset available and document the pattern of industrial specialization and factor endowment differences in a broad sample of rich and developing countries over a lengthy period (1970-92). Next, we develop an empirical model of specialization based on factor endowments, allowing for unmeasurable technological differences and estimate it using panel data techniques. In addition to estimating the effects of factor endowments, we also consider an alternative hypothesis that the level of aggregate productivity by itself can explain specialization. Our results clearly show the importance of factor endowments on specialization: relative endowments do matter. L3 - http://www.federalreserve.gov/pubs/feds/2000/200043/200043pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700206&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200043/200043pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Denizer, Cevdet AU - Lyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Finance and macroeconomic volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 670 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701089; Keywords: Macroeconomics ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - Countries with more developed financial sectors experience less fluctuation in the growth of real per capita output, consumption and investment. However, the manner in which the financial sector develops matters. The relative importance of banks in the financial system is important in explaining consumption and investment volatility, and the proportion of credit provided to the private sector explains the volatility of consumption and output. The main results are generated using fixed-effects estimation with panel data from 70 countries covering the years 1956 through 1998. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/670/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701089&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/670/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ongena, Steven AU - Smith, David C. AU - Michalsen, Dag AD - Unlisted AD - Unlisted AD - Unlisted T1 - Firms and their distressed banks: lessons from the Norwegian banking crisis (1988-1991) PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 686 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701104; Keywords: Bank failures ; Financial crises - Norway; Publication Type: Working Paper; Update Code: 200404 N2 - We use the near-collapse of the Norwegian banking system during the period 1988-91 to measure the impact of bank distress announcements on the stock prices of firms maintaining a relationship with a distressed bank. We find that although banks experienced large and permanent downward revisions in their equity value during the event period, firms maintaining relationships with these banks faced only small and temporary changes, on average, in stock price. In other words, the aggregate impact of bank distress on listed firms in Norway appears small. Our results stand in contrast to studies that document large welfare declines to similar borrowers after crises hit Japan and other East Asian countries. We hypothesize that because banks in Norway are precluded from maintaining significant ownership control over loan customers, Norwegian firms were freer to choose financing from sources other than their distressed banks. We provide cross-sectional evidence to support this hypothesis. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/686/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701104&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/686/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cutler, David M. AU - Sheiner, Louise AD - Unlisted AD - Unlisted T1 - Generational aspects of Medicare PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-09 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700169; Keywords: Medicare ; Social security; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the generational aspect of the current Medicare system and some stylized reforms. We find that the rates of return on Medicare for today's workers are higher than those for Social Security and that the Medicare system is shifting a greater share of the burden on future workers than is Social Security. Nonetheless, the rates of return on Medicare, using the Medicare Trustees assumptions, are still not that high--roughly 2 percent for today's youngest workers. But forecasting future Medicare expenditures is quite difficult. Under an alternative higher-cost baseline, which we consider plausible, rates of return for today's youngest workers will exceed 3 percent. Putting Medicare on a sustainable basis by raising the payroll tax or reducing benefits would greatly reduce the rate of return for today's workers. Under the Trustees assumptions, for example, the payroll tax would have to be increased by 2.0 percent of payroll to put the Medicare system in balance in perpetuity. This policy would reduce the rate of return on today's youngest workers to about 1.3 percent. L3 - http://www.federalreserve.gov/pubs/feds/2000/200009/200009abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700169&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200009/200009abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - DeYoung, Robert AU - Genay, Hesna AU - Udell, Gregory F. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Globalization of financial institutions: evidence from cross-border banking performance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-04 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700166; Keywords: International finance ; Banks and banking, International ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We address the causes, consequences, and implications of the cross-border consolidation of financial institutions by reviewing several hundred studies, providing comparative international data, and estimating cross-border banking efficiency in France, Germany, Spain, the U.K., and the U.S. during the 1990s. We find that, on average, domestic banks have higher profit efficiency than foreign banks. However, banks from at least one country (the U.S.) appear to operate with relatively high efficiency both at home and abroad. If these results continue to hold, they do not preclude successful international expansion by some financial firms, but they do suggest limits to global consolidation. L3 - http://www.federalreserve.gov/pubs/feds/2000/200004/200004abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700166&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200004/200004abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cannon, Sandra A. AU - Fallick, Bruce C. AU - Lettau, Michael AU - Saks, Raven AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Has compensation become more flexible? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-27 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700194; Keywords: Wages ; Cafeteria benefit plans; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, numerous observers have argued that global competition, increased reliance on contingent workers, and the breakdown of implicit contracts have made compensation practices in the United States more flexible; in particular, employers have become more concerned with how an employee's pay compares to that in other firms and less concerned with considerations of equity or relative pay within the firm. This paper uses establishment-level data from the Bureau of Labor Statistics' Employment Cost Index program to examine this claim by asking whether the variances of compensation within and between establishments have moved in a more "flexible" direction over the 1980s and 1990s. We find evidence consistent with increased flexibility. L3 - http://www.federalreserve.gov/pubs/feds/2000/200027/200027abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700194&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200027/200027abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bostic, Raphael AU - Surette, Brian J. AD - Unlisted AD - Unlisted T1 - Have the doors opened wider? trends in homeownership rates by race and income PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-31 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700196; Keywords: Housing; Publication Type: Working Paper; Update Code: 200404 N2 - Homeownership among U.S. families increased notably in recent years, from 63.9% in 1989 to 66.2% in 1998. This paper examines this trend and the factors contributing to it. We find that (1) homeownership has risen for all racial, ethnic, and income groups, (2) the differences in homeownership between minority and non-minority families and between middle-income and lower-income families declined significantly, and (3) changes in family-related characteristics explain homeownership trends among only the top two income quintiles. Among the lower two income quintiles, family-related characteristics explain almost none of the increase in homeownership. This pattern of results suggests that changes in mortgage and housing markets and changes in the regulations that govern those markets, such as CRA and HMDA, account for the increase in homeownership among lower-income families. L3 - http://www.federalreserve.gov/pubs/feds/2000/200031/200031abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700196&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200031/200031abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Heterogeneous forecasts and aggregate dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-16 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700181; Keywords: Business cycles ; Econometric models ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - Motivated by issues raised in both the finance and economics literatures, I construct a dynamic general equilibrium model where agents use differing degrees of sophistication when forecasting future economic conditions. All agents solve standard dynamic optimization problems and face strategic complementarity in production, but some solve their inference problems based on simple forecasting rules of thumb. Assuming a hierarchical information structure similar to the one in Townsend's (1983) model of informationally dispersed markets, I show that even a minority of rule-of-thumb forecasters can have a significant effect on the aggregate properties of the economy. For instance, as agents try to forecast each others' behavior they effectively strengthen the internal propagation mechanism of the economy. The quantitative results are obtained by calibrating the model and running a battery of sensitivity tests on key parameters. The analysis highlights the role of strategic complementarity in the heterogeneous expectations literature and quantifies many qualitative claims about the aggregate implications of expectational heterogeneity. L3 - http://www.federalreserve.gov/pubs/feds/2000/200016/200016abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700181&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200016/200016abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted T1 - Household portfolios in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-26 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700191; Keywords: Saving and investment ; Income ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the composition of households' assets and liabilities in the United States. Using aggregate and survey data, we document major trends in household portfolios in the past 15 years. We show that, despite the broad array of financial products available, the portfolio of the typical household remains fairly simple and safe, consisting of a checking account, savings account, and tax-deferred retirement account; in 1998, less than half of all households owned some form of stock. We use pooled data from the Survey of Consumer Finances to investigate determinants of portfolio choice, finding significant effects of age, wealth, income risk, and entry/information costs. L3 - http://www.federalreserve.gov/pubs/feds/2000/200026/200026abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700191&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200026/200026abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Packer, Frank AD - Unlisted AD - Unlisted T1 - How consistent are credit ratings? a geographic and sectoral analysis of default risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 668 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701086; Keywords: Credit ratings ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/668/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701086&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/668/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Donald R. AU - Reeve, Trevor A. AD - Unlisted AD - Unlisted T1 - Human capital, unemployment, and relative wages in a global economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 659 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701077; Keywords: International trade ; Human capital ; Unemployment ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a simple framework for examining human capital accumulation, unemployment, and relative wages in a global economy. It builds on the models of Davis (1998a, b) of trade between a flexible-wage America and a rigid-wage Europe. To this it adds a model of human capital accumulation based on Findlay and Kierzkowski (1983). A variety of comparative statics are examined, including changes in educational capital and population, entry of new countries to the trading world, technical change, and a productivity slowdown. We derive the consequences for the skilled-to unskilled wage gap, unemployment, and skill composition. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/659/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701077&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/659/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AU - Pritsker, Matthew AD - Unlisted AD - Unlisted T1 - Improving grid-based methods for estimating value at risk of fixed-income portfolios PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-25 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700193; Keywords: Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Jamshidian and Zhu (1997) propose a discrete grid method for simplifying the computation of Value at Risk (VaR) for fixed-income portfolios. Their method relies on two simplifications. First, the value of fixed income instruments is modeled as depending on a small number of risk factors chosen using principal components analysis. Second, they use a discrete approximation to the distribution of the portfolio's value. We show that their method has two serious shortcomings which imply it cannot accurately estimate VaR for some fixed-income portfolios. First, risk factors chosen using principal components analysis will explain the variation in the yield curve, but they may not explain the variation in the portfolio's value. This will be especially problematic for portfolios that are hedged. Second, their discrete distribution of portfolio value can be a poor approximation to the true continuous distribution. We propose two refinements to their method to correct these two shortcomings. First, we propose choosing risk factors according to their ability to explain the portfolio's value. To do this, instead of generating risk factors with principal components analysis, we generate them with a statistical technique called partial least squares. Second, we compute VaR with a "Grid Monte Carlo" method that uses continuous risk factor distributions while maintaining the computational simplicity of a grid method for pricing. We illustrate our points with several example portfolios where the Jamshidian-Zhu method fails to accurately estimate VaR, while our refinements succeed. L3 - http://www.federalreserve.gov/pubs/feds/2000/200025/200025abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700193&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200025/200025abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AD - Unlisted T1 - Inflation targeting and target stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-01 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700174; Keywords: Monetary policy ; Inflation (Finance) ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - Monetary policy is modeled as governed by a known rule, except for a time-varying target rate of inflation. The variable target is taken as representing either discretionary deviations from the rule, or as the outcome of a policymaking committee that is unable to arrive at a consensus. Stochastic simulations of FRB/US, the Board of Governors' large, rational-expectations model of the U.S. economy, are used to examine the benefits of reducing the variability in the target rate of inflation. We find that putting credible boundaries on target variability introduces an important non-linearity in expectations. This improves policy performance by focusing agents' expectations on policy objectives. But improvements are limited; it does not generally pay to reduce target variability to zero. The non-linearity in expectations can be used to conduct a policy with greater attention to output stabilization than otherwise. The results provide insights as to why inflation-targeting countries use bands and why the bands are narrower than studies suggest they should be. Also, a numerical technique that approximates to arbitrary precision a non-linear process with a linear method is also demonstrated. This greatly speeds the simulations and makes them more robust. L3 - http://www.federalreserve.gov/pubs/feds/2000/200001/200001abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700174&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200001/200001abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahearne, Alan G. AU - Griever, William L. AU - Warnock, Francis E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Information costs and home bias: an analysis of U.S. holdings of foreign equities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 691 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701110; Keywords: Stock market ; Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 N2 - We aim to provide insight into the observed equity home bias phenomenon by analyzing the determinants of U.S. holdings of equities across a wide range of countries. In particular, we explore the role of information costs in determining the country distribution of U.S. investors' equity holdings using a comprehensive new data set on U.S. ownership of foreign stocks. We find that U.S. holdings of a country's equities are positively related to the share of that country's stock market that is listed on U.S. exchanges, even after controlling for capital controls, trade links, transaction costs, and historical risk-adjusted returns. We attribute this finding to the fact that foreign firms that list on U.S. exchanges are obliged to provide standardized, credible financial information, thereby reducing information costs incurred by U.S. investors. This obligation stems from U.S. investor protection regulations, which include stringent disclosure requirements, reconciliation of financial statements to U.S. standards, and an investor-friendly regulatory environment. Our results support the hypothesis that information costs are an important source of home bias: Foreign countries whose firms do not alleviate information costs by listing on a U.S. exchange are more severely underweighted in U.S. equity portfolios. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/691/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701110&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/691/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 685 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701103; Keywords: Rate of return ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that the choice of volatility measure makes little difference to the log-periodogram regression estimator if the data is Gaussian conditional on the volatility process. But, if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In U.S. stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/685/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701103&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/685/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AU - Reinhart, Vincent R. AD - Unlisted AD - Unlisted T1 - Making news: financial market effects of Federal Reserve disclosure practices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-14 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700179; Keywords: Monetary policy ; Financial markets ; Open market operations; Publication Type: Working Paper; Update Code: 200404 N2 - As recently as early 1994, market participants had to infer the stance of U.S. monetary policy according to the type and size of the open market operations conducted by the Federal Reserve's Trading Desk. Thus, investors were exposed to uncertainty about both the timing and the motivation for monetary policy actions. Since then, changes in disclosure practices regarding monetary policy decisions have potentially mitigated both types of uncertainty. We examine the effects of the greater openness and transparency of these new practices on the way a wide array of financial market instruments respond to unanticipated policy decisions. In general, the financial markets' response to policy does not seem to be related to what the Federal Reserve says after a surprise decision is announced or to when it decides to act. The invariance of the response of asset prices to policy across time and announcement regimes suggests that what the Federal Reserve says when it acts is of second-order importance to the act itself. L3 - http://www.federalreserve.gov/pubs/feds/2000/200014/200014abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700179&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200014/200014abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, Charles R. AU - Piger, Jeremy AU - Zivot, Eric AD - Unlisted AD - Unlisted AD - Unlisted T1 - Markov regime-switching and unit root tests PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 683 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701101; Keywords: Time-series analysis ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle non-linearities, unit root tests are very powerful against models used as alternatives to Lam (1990) that specify regime-switching in the transitory component of output. Under the null hypothesis, the received literature documents size distortions in Dickey-Fuller type tests caused by a single break in trend growth rate or variance. We find these results do not generalize to most parameterizations of Markov-switching in trend or variance. However, Markov-switching in variance can lead to over-rejection in tests robust to a single break in the level of trend. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/683/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701101&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/683/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCarthy, Jonathan AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted T1 - Microeconomic inventory adjustment: evidence from U.S. firm-level data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-24 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700189; Keywords: Inventories ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - We examine inventory adjustment in the U.S. manufacturing sector using quarterly firm-level data over the period 1978-97. Our evidence indicates that the inventory investment process is nonlinear and asymmetric, results consistent with a nonconvex adjustment cost structure. The inventory adjustment process differs over the business cycle: for a given level of excess inventories, firms disinvest more in recessions than they do in expansions. The inventory adjustment process has changed little between the 1980s and 1990s, suggesting that recent advances in inventory control have had little effect on adjustment costs. Nevertheless, the optimal inventory-sales ratio in the durable goods sector has declined significantly during our sample period. L3 - http://www.federalreserve.gov/pubs/feds/2000/200024/200024abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700189&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200024/200024abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Workman, Lisa AD - Unlisted AD - Unlisted T1 - Modeling the IMF's statistical discrepancy in the global current account PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 678 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701095; Keywords: Econometric models ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper offers a framework for judging when the discrepancy embodied in current-account forecasts is large. The first step in implementing this framework involves developing an econometric model explaining the components of the aggregate discrepancy, estimating the associated parameters, and generating the aggregate discrepancy's conditional expectation. The second step is to compare this model-based forecast with the discrepancy embodied in countries' current-account forecasts. If the gap in discrepancies is below a critical value, then the discrepancy embodied in the countries' current-account forecasts is not large. Otherwise, the discrepancy is large and calls for a careful re-examination of the associated current-account forecasts. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/678/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701095&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/678/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canova, Fabio AU - De Nicolo, Gianni AD - Unlisted AD - Unlisted T1 - Monetary disturbances matter for business fluctuations in the G-7 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 660 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701078; Keywords: Business cycles ; Group of Seven countries ; Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross-correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that monetary shocks significantly drive output and inflation cycles in all G-7 countries; that they are the dominant source of fluctuations in three of the seven countries; that they contain an important policy component, and that their impact is time varying. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/660/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701078&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/660/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - MacDonald, Ronald AD - Unlisted AD - Unlisted T1 - Monetary policy independence in the ERM: was there any? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 665 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701082; Keywords: Foreign exchange ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - Recently proposals for introducing greater exchange rate fixity into the behavior of key exchange rates have become fashionable. One proposal, for example, suggests that a target zone arrangement for the dollar, mark and yen would represent a desirable reform of the international monetary system. The question we seek to address in this paper is how much monetary independence is likely to be conferred on a country participating in such an arrangement. Recent research for the Classical gold standard has suggested that even with a rigidly fixed exchange rate system there is still some scope for monetary independence. Here we examine the extent of monetary independence conferred by a target zone using data from the recent ERM experience. Amongst our findings is the result that countries which had a credible commitment to the target zone had more independence in the operation of their monetary policy than countries with a lesser commitment. It turns out that the monetary independence for a credible participant in a target zone arrangement is longer than that conferred by participation in a regime of rigidly fixed exchange rates, such as the Classical gold standard. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/665/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701082&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/665/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, James AU - Henderson, Dale AU - Orphanides, Athanasios AU - Small, David AU - Tinsley, Peter AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy when the nominal short-term interest rate is zero PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-51 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700217; Keywords: Monetary policy ; Open market operations ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - In an environment of low inflation, the Federal Reserve faces the risk that it has not provided enough monetary stimulus even when it has pushed the short-term nominal interest rate to its lower bound of zero. Assuming the nominal Treasury-bill rate has been lowered to zero, this paper considers whether further open market purchases of Treasury bills could spur aggregate demand through increases in the monetary base that may stimulate aggregate demand by increasing liquidity for financial intermediaries and households; by affecting expectations of the future paths of short-term interest rates, inflation, and asset prices; or by stimulating bank lending through the credit channel. This paper also examines the alternative policy tools that are available to the Federal Reserve in theory, and notes the practical limitations imposed by the Federal Reserve Act, The tools the Federal Reserve has at its disposal include open market purchases of Treasury bonds and private-sector credit instruments (at least those that may be purchased by the Federal Reserve); unsterilized and sterilized intervention in foreign exchange; lending through the discount window; and, perhaps in some circumstances, the use of options. L3 - http://www.federalreserve.gov/pubs/feds/2000/200051/200051pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700217&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200051/200051pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AU - Wright, Jonathan H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - News and noise in G-7 GDP announcements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 690 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701107; Keywords: Gross domestic product ; Group of Seven countries; Publication Type: Working Paper; Update Code: 200404 N2 - Revisions to GDP announcements are known to be quite large in all G-7 countries: many revisions in quarterly GDP growth are over a full percentage point at an annualized rate. In this paper, we examine the predictability of these data revisions. Previous work suggests that U.S. GDP revisions are largely unpredictable, as would be the case if the revisions reflect news not available at the time that the preliminary number is produced. We find that the degree of predictability varies throughout the G-7. For the U.S., the revisions are very slightly predictable, but for Italy, Japan and the UK, about half the variability of subsequent revisions can be accounted for by information available at the time of the preliminary announcement. For these countries, it appears that revisions reflect, to a significant degree, the removal of noise from the preliminary numbers, rather than the arrival of news. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/690/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701107&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/690/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AD - Unlisted T1 - On identification of continuous time stochastic processes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-07 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700168; Keywords: Interest rates ; Assets (Accounting) - Prices ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In this note we delineate conditions under which continuous time stochastic processes can be identified from discrete data. The identification problem is approached in a novel way. The distribution of the observed stochastic process is expressed as the underlying true distribution, f, transformed by some operator, T. Using a generalization of the Taylor series expansion, the transformed function T f can often be expressed as a linear combination of the original function f. By combining the information across a large number of such transformations, the original measurable function of interest can be recovered. L3 - http://www.federalreserve.gov/pubs/feds/2000/200007/200007abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700168&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200007/200007abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swanson, Eric T. AD - Unlisted T1 - On signal extraction and non-certainty-equivalence in optimal monetary policy rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-32 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700201; Keywords: Monetary policy ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - A standard result in the literature on monetary policy rules is that of certainty equivalence: given the expected values of all the state variables of the economy, policy should be set in a way that is independent of all higher moments of those variables. Some exceptions to this rule have been pointed out by Smets (1998), who restricts policy to respond to only a limited subset of state variables, and by Orphanides (1998), who restricts policy to respond to estimates of the state variables that are biased. In contrast, this paper studies unrestricted, fully optimal policy rules with optimal estimation of state variables. The rules in this framework exhibit certainty equivalence with respect to estimates of an unobserved, possibly complicated, state of the economy X, but are not certainty-equivalent when 1) a signal-extraction problem is involved in the estimation of X, and 2) the optimal rule is expressed as a reduced form that combines policymakers' estimation and policy-setting stages. In general, I show that it is optimal for policymakers to attenuate their reaction coefficient on a variable about which uncertainty has increased, while responding more aggressively to all other variables, about which uncertainty hasn't changed. L3 - http://www.federalreserve.gov/pubs/feds/2000/200032/200032abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700201&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200032/200032abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AU - Weinhold, Diana AD - Unlisted AD - Unlisted T1 - On the effect of the Internet on international trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 693 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701111; Keywords: International trade ; Internet; Publication Type: Working Paper; Update Code: 200404 N2 - The Internet stimulates trade. Using a gravity equation of trade among 56 countries, we find no evidence of an effect of the Internet on total trade flows in 1995 and only weak evidence of an effect in 1996. However, we find an increasing and significant impact from 1997 to 1999. Specifically, our results imply that a 10 percent increase in the relative number of web hosts in one country would have led to about 1 percent greater trade in 1998 and 1999. Surprisingly, we find that the effect of the Internet on trade has been stronger for poor countries than for rich countries, and that there is little evidence that the Internet has reduced the impact of distance on trade. The evidence is consistent with a model in which the Internet creates a global exchange for goods, thereby reducing market-specific sunk costs of exporting. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/693/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701111&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/693/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Irons, John S. AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Output and inflation in the long run PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 687 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701105; Keywords: Inflation (Finance) ; Economic development; Publication Type: Working Paper; Update Code: 200404 N2 - Cross-country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis-specifications, both analytically and empirically. In particular, for most G-7 countries, annual time series of inflation and the log-level of output are cointegrated, thus rejecting the existence of a long-run relation between output growth and inflation. Typically, output and inflation are positively related in these cointegrating relationships: a price markup model helps interpret this surprising feature. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/687/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701105&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/687/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AU - Hrycay, Mark AD - Unlisted AD - Unlisted T1 - Parameterizing credit risk models with rating data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-47 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700213; Keywords: Credit ; Risk management ; Credit ratings; Publication Type: Working Paper; Update Code: 200404 N2 - Estimates of average default probabilities for borrowers assigned to each of a financial institution's internal credit risk rating grades are crucial inputs to portfolio credit risk models. Such models are increasingly used in setting financial institution capital structure, in internal control and compensation systems, in asset-backed security design, and are being considered for use in setting regulatory capital requirements for banks. This paper empirically examines properties of the major methods currently used to estimate average default probabilities by grade. Evidence of potential problems of bias, instability, and gaming is presented. With care, and perhaps judicious application of multiple methods, satisfactory estimates may be possible. In passing, evidence is presented about other properties of internal and rating-agency ratings. L3 - http://www.federalreserve.gov/pubs/feds/2000/200047/200047pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700213&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200047/200047pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AD - University of Maryland and Board of Governors of the Federal Reserve System T1 - Patterns of Plant Adjustment PB - University of Maryland, Department of Economics, Electronic Working Papers Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0912162; Keywords: capital investment, employment adjustment, capacity utilization, productivity, learning effects, specific training; Publication Type: Working Paper; Update Code: 200706 N2 - This paper provides a description of the dynamic choices of manufacturing plants when they undertake rapid adjustment in output. The focus is on epsodes that involve lumpy adjustment in capital or employment. I examine the behavior of variables such as capital utilization, hours per worker, overtime use, capacity utilization, materials and energy use. Finally I describe the observed patterns of productivity during those adjustment episodes and propose some hypotheses that seem to fit them. The costs associated with output adjustment seem to arise form building and destroying a particular organizaqtion of the structure of production and associated worker experience. As such they are related to learning-by-doing and investment in specific training. KW - Capital; Investment; Capacity E22 KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Industry Studies: Manufacturing: General L60 L3 - http://www.bsos.umd.edu/econ/papers/sakellaris0001.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0912162&site=ehost-live&scope=site UR - http://www.bsos.umd.edu/econ/papers/sakellaris0001.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AD - University of Maryland and Board of Governors of the Federal Reserve System T1 - Patterns of Plant Adjustment PB - University of Maryland, Department of Economics, Electronic Working Papers Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0725367; Keywords: capital investment, employment adjustment, capacity utilization, productivity, learning effects, specific training; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides a description of the dynamic choices of manufacturing plants when they undertake rapid adjustment in output. The focus is on epsodes that involve lumpy adjustment in capital or employment. I examine the behavior of variables such as capital utilization, hours per worker, overtime use, capacity utilization, materials and energy use. Finally I describe the observed patterns of productivity during those adjustment episodes and propose some hypotheses that seem to fit them. The costs associated with output adjustment seem to arise form building and destroying a particular organizaqtion of the structure of production and associated worker experience. As such they are related to learning-by-doing and investment in specific training. KW - Capital; Investment; Capacity E22 KW - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity D24 KW - Industry Studies: Manufacturing: General L60 L3 - http://www.bsos.umd.edu/econ/papers/sakellaris0001.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0725367&site=ehost-live&scope=site UR - http://www.bsos.umd.edu/econ/papers/sakellaris0001.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Pre-announcement effects, news, and volatility: monetary policy and the stock market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-50 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700215; Keywords: Federal Open Market Committee ; Stock market ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet--conditional volatility is abnormally low--on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility. The element of surprise in such decisions tends to boost stock market volatility significantly in the short run, and positive surprises--higher-than-expected values of the target federal funds rate--tend to have a larger effect on volatility than negative surprises. The implications of the results for broader issues in the finance literature are also discussed. L3 - http://www.federalreserve.gov/pubs/feds/2000/200050/200050pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700215&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200050/200050pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Predictable uncertainty in economic forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 695 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701112; Keywords: Forecasting ; Econometrics ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/695/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701112&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/695/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Higgins, Matthew AU - Zakrajsek, Egon AD - Unlisted AD - Unlisted T1 - Purchasing power parity: three stakes through the heart of the unit root null PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-22 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700184; Keywords: Purchasing power parity ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 N2 - We provide a comprehensive analysis of the purchasing power parity hypothesis, relying on a linear panel data framework. First, we consider two panel unit root tests, based on transformations of country-specific statistics, which allow for parameter heterogeneity across countries. Using GLS techniques, we modify the two tests to eliminate the upward size distortion induced by cross-sectional dependence among contemporaneous real exchange rate innovations. Second, we consider two tests based on a fixed-effects specification: these tests allow for cross-sectional dependence but impose parameter homogeneity. Three of the four tests provide emphatic support for real exchange rate stationary during the post-Bretton Woods era among relatively open economies. Monte Carlo experiments indicate that the three tests have considerable power against the unit root null. One test allowing parameter heterogeneity provides mixed support for stationarity, but has only limited power against the null. L3 - http://www.federalreserve.gov/pubs/feds/2000/200022/200022abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700184&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200022/200022abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Real wage dynamics and the Phillips curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-02 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700167; Keywords: Phillips curve ; Inflation (Finance) ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - Since Friedman (1968), the traditional derivation of the accelerationist Phillips curve has related expected real wage inflation to the unemployment rate and then invoked markup pricing and adaptive expectations to generate the accelerationist price inflation equation. Blanchflower and Oswald (1994) have argued that microeconomic evidence of a low autoregression coefficient in real wage regressions invalidates this approach, a conclusion that has been disputed widely on the grounds that the true autoregression coefficient is close to one. This paper shows that the accelerationist relationship between the change in price inflation and the unemployment rate is consistent with any type of microeconomic real wage dynamics. However, these dynamics will determine how supply shocks affect inflation. Evidence on supply shocks and inflation points against the traditional real wage formulation. Implications for the recent behavior of the NAIRU are explored. L3 - http://www.federalreserve.gov/pubs/feds/2000/200002/200002abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700167&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200002/200002abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - von zur Muehlen, Peter AD - Unlisted AD - Unlisted T1 - Robust monetary policy with misspecified models: does model uncertainty always call for attenuated policy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-28 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700195; Keywords: Monetary policy ; Interest rates ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores Knightian model uncertainty as a possible explanation of the considerable difference between estimated interest rate rules and optimal feedback descriptions of monetary policy. We focus on two types of uncertainty: (i) unstructured model uncertainty reflected in additive shock error processes that result from omitted-variable misspecifications, and (ii) structured model uncertainty, where one or more parameters are identified as the source of misspecification. For an estimated forward-looking model of the U.S. economy, we find that rules that are robust against uncertainty, the nature of which is unspecifiable, or against one-time parametric shifts, are more aggressive than the optimal linear quadratic rule. However, policies designed to protect the economy against the worst-case consequences of misspecified dynamics are less aggressive and turn out to be good approximations of the estimated rule. A possible drawback of such policies is that the losses incurred from protecting against worst-case scenarios are concentrated among the same business cycle frequencies that normally occupy the attention of policymakers. L3 - http://www.federalreserve.gov/pubs/feds/2000/200028/200028abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700195&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200028/200028abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elmendorf, Douglas W. AU - Sheiner, Louise M. AD - Unlisted AD - Unlisted T1 - Should America save for its old age? Population aging, national saving, and fiscal policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-03 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700175; Keywords: Fiscal policy ; Social security ; Medicare; Publication Type: Working Paper; Update Code: 200404 N2 - While popular wisdom holds that the United States should save more now in anticipation of the aging of the baby boom generation, the optimal response to population aging from a macroeconomic perspective is not clear-cut. Indeed, Cutler, Poterba, Sheiner, and Summers ("CPSS",1990) argued that the optimal response to the coming demographic transition was more likely to be a reduction in national saving than an increase. In this paper we reexamine this question. In particular, we ask how the optimal saving response depends on the openness of our economy, on how we view the consumption of children, and on the existence of pay-as-you-go transfer programs like Social Security and Medicare. We find that, if the United States were a small open economy and world interest rates were fixed at their current level, the desire to smooth consumption as our population aged would lead us to increase saving today. But the optimal response in a closed economy is much less clear-cut, as slower growth of the labor force will push down the rate of return on capita l and diminish desired saving. For reasonable parameters, the optimal response to our aging population in a closed economy is likely to be small--either a small decline in national saving or a small increase. We also explore the role of the government in population aging. Government programs can influence consumption if they affect the capital-labor ratio or the relative weight that society places on the consumption of the elderly. L3 - http://www.federalreserve.gov/pubs/feds/2000/200003/200003abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700175&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200003/200003abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - De Nicolo, Gianni AD - Unlisted T1 - Size, charter value and risk in banking: an international perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 689 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701106; Keywords: Bank size ; Banking structure; Publication Type: Working Paper; Update Code: 200404 N2 - This paper documents the relationships between bank size and measures of charter value and insolvency risk in a sample of publicly traded banks in 21 industrialized countries for the 1988-1998 period. With the exception of small U.S. bank holding companies, charter values decrease in size and insolvency risk increases in size for most banks in the countries considered. Size-related diversification benefits and/or economies of scale in intermediation are either absent or, if they exist, are more than offset by banks' higher risk taking. Furthermore, banks operating in countries with more developed financial markets exhibit lower insolvency risk, and those operating in countries with either stricter regulation on banks' permissible activities or larger share of bank assets under state ownership exhibit higher insolvency risk. Overall, our evidence is at variance with some broad implications of modern financial intermediation theory, and suggests that absent future structural changes in banking markets of developed countries, bank consolidation is likely to result in an average increase in banks' insolvency risk. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/689/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701106&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/689/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AD - Unlisted T1 - Spaghetti regionalism PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 680 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701098; Keywords: Free trade ; International trade; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the welfare implications of multiple free trade agreements in a model of imperfect competition. We show that free trade is the unique Nash equilibrium under the simple rule that any two countries can form a bilateral free trade agreement. Specifically, a country is always better off forming a bilateral trade agreement with every other country, irrespective of previous agreements. This suggests that each new preferential free trade agreement may be a step towards multilateral free trade. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/680/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701098&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/680/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Stock prices and fundamentals in a production economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-05 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700170; Keywords: Stock market ; Stock - Prices ; Production (Economic theory) ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper compares the predictions for the market value of firms from the Gordon growth model with those from a dynamic general equilibrium model of production. The predictions for movements in the market value of firms in response to a decline in the required return or an increase in the growth rate of the economy are quantitatively and qualitatively different across the models. While previous research has illustrated how a drop in the required return or an increase in the growth rate of the economy can explain the runup in equity values in the 1990s in the Gordon growth model, the consideration of production overturns these results and illustrates that auxiliary implications of such shifts in fundamentals, such as a sharp increase in the investment intensity of the economy, are not supported by the data in the late 1990s. This tension between theory and data suggests that the skyrocketing market value of firms in the second half of the 1990s may reflect a degree of irrational exuberance. L3 - http://www.federalreserve.gov/pubs/feds/2000/200005/200005abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700170&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200005/200005abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sironi, Andrea AD - Unlisted T1 - Testing for market discipline in the European banking industry: evidence from subordinated debt issues PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-40 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700210; Keywords: Banking market - European ; Risk management ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - The question of whether private investors can rationally discriminate between the risk taken by banks is empirically investigated by testing the risk sensitivity of European banks' subordinated notes and debentures (SND) spreads. A unique dataset of issuance spreads, issues and issuers rating, accounting and market measures of bank risk is used for a sample of European banks' SND issued during the 1991-2000:Q1 period. Moody's Bank Financial Strength (MBFS) and FitchIBCA Individual (FII) ratings are used as proxies of banks risk and found to perform better than accounting variables in explaining the cross-sectional variability of spreads. Empirical results support the hypothesis that SND investors are sensitive to bank risk. An exception to this conclusion is represented by SND issued by public banks, i.e. government owned or guaranteed institutions such as the German Landesbank. Results also show that market discipline on European banks has been improving during the nineties, with the risk sensitivity of SND spreads increasing from the first to the second half of the decade. L3 - http://www.federalreserve.gov/pubs/feds/2000/200040/200040pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700210&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200040/200040pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, M. V. Cacdac AU - Warnock, Francis E. AD - Unlisted AD - Unlisted T1 - The declining volatility of U.S. employment: was Arthur Burns right? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 677 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701097; Keywords: Business cycles ; Employment (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - This paper attempts to add to the understanding of changes in the magnitude of business cycle fluctuations by examining disaggregated employment data. Specifically, we use a stochastic variance approach on monthly employment data for the 1946-1996 period to highlight two stylized facts of aggregate U.S. employment - greater volatility in recessions than expansions and reduced volatility since the early 1980s. These patterns are not, however, apparent in each sector of the economy. Asymmetric volatility is only evident in manufacturing and trade; other sectors, such as construction or the narrowly defined services sector, are just as likely to exhibit high volatility in expansions. A general reduction in volatility is evident only in goods-producing sectors; some industries in the broad service-producing sector have become more volatile over time. Our results highlight the close relationship between aggregate and manufacturing volatility, and suggest that to understand why the U.S. business cycle has become more muted, researchers should strive to understand the forces at work that are reducing volatility in the manufacturing sector. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/677/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701097&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/677/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ihrig, Jane AU - Moe, Karine S. AD - Unlisted AD - Unlisted T1 - The dynamics of informal employment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 664 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701083; Keywords: Employment (Economic theory) ; Labor supply ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - The informal sector, which produces legal goods but does not comply with government regulations, is a functioning part of all economies, with a proportion of the labor force ranging from 17 percent in OECD countries to 60 percent in developing countries. Using a dynamic model that includes an informal sector, this paper illustrates the natural dynamics of the sector, describes how tax policy affects its size, and quantifies the costs of having it. Simulations yield movements in informal employment and output consistent with empirical observations. We find that the U.S. informal sector accounts for about 5 percent of U.S.labor hours and produces about 3 percent of U.S. GDP in steady state. Strategies for reducing the size of the sector are discussed. We find, however, that the distortion from this sector in terms of lifetime loss in an economy's capital stock, is minimal--supporting those who want to keep the informal sector as a functioning part of society. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/664/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701083&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/664/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Allayannis, George AU - Ihrig, Jane AD - Unlisted AD - Unlisted T1 - The effect of markups on the exchange rate exposure of stock returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 661 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701081; Keywords: Stock - Prices ; Foreign exchange rates ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where its final output is sold, (2) the interaction of greater competitiveness in its export market and a larger share of exports in production and, (3) the interaction of less competitiveness in its imported input market and the smaller the share of imports in production. Using a sample of 82 U.S. manufacturing industries at the 4-digit SIC level, classified in 18 2-digit industry groups, between 1979 and 1995, we estimate exchange-rate exposure as suggested by our model. We find that 4 out of 18 industry groups are significantly exposed to exchange-rate movements through at least one channel of exposure. On average, a 1 percent appreciation of the dollar decreases the return of the average industry by 0.13 percent. Consistent with our model's predictions, as an industry's markups fall (rise), its exchange-rate exposure increases (decreases). L3 - http://www.federalreserve.gov/pubs/ifdp/2000/661/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701081&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/661/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AD - Unlisted T1 - The effect of monetary policy on residential and structures investment under differential project planning and completion times PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 671 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701090; Keywords: Monetary policy ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes an empirical puzzle regarding the effect of monetary policy on fixed investment, specifically, why residential investment exhibits a strong and rapid response to changes in monetary policy while structures investment manifests a substantially weaker response. The paper proposes an explanation for these contrasting responses that is based on the differential planning and completion times of these two categories of investment as well as inflexibilities in changing the planned pattern of investment spending once the project has begun. Empirical support for the explanation is established by contrasting the responses of U.S. residential and structures building project starts and work undertaken to a monetary policy shock. The paper then shows that a calibrated sticky-price monetary business cycle model with multistage investment projects is capable of generating responses to monetary policy that are broadly consistent with those observed empirically. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/671/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701090&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/671/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AD - Unlisted T1 - The effects of weather on retail sales PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-08 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700180; Keywords: Consumption (Economics) ; Retail trade ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Monthly fluctuations in consumer spending are often attributed to the weather. This paper presents a model in which weather affects the productivity of time in nonmarket activities (such as shopping or recreation), and so, via time and budget constraints, may induce substitution in spending across goods and over time. Using monthly data on retail sales and weather data from the National Weather Service, I find that unusual weather has a modest but significant role in explaining monthly sales fluctuations. However, lagged effects often offset original effects, so that weather's influence tends to wash out at a quarterly frequency. L3 - http://www.federalreserve.gov/pubs/feds/2000/200008/200008abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700180&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200008/200008abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AD - Unlisted T1 - The equivalence of wage and price staggering in monetary business cycle models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 672 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701091; Keywords: Econometric models ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - Chari, Kehoe, and McGratten's (1998) finding that a standard monetary business cycle model with staggered price setting is unable to generate sufficiently persistent real effects of monetary shocks has engendered a growing literature aimed at developing alternative mechanisms for producing greater persistence. The most popular approach at present in this literature appears to be one in which staggered wage contracts are used as either an alternative or a complement to a staggered price mechanism. This is informed by recent research by Andersen (1998) and Huang and Liu (1998) which finds that the staggered wage model, despite its superficial similarity to the staggered price setup, incorporates a very different microstructure that implies substantially more real persistence. This paper argues that these authors' findings rely heavily on the assumption that identical inputs are used by all firms, and demonstrates that, by assuming firm-specific factor inputs the staggered price model is as capable as the staggered wage model of generating persistent real responses to monetary shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/672/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701091&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/672/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Christiano, Lawrence J. AU - Gust, Christopher AD - Unlisted AD - Unlisted T1 - The expectations trap hypothesis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 676 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701094; Keywords: Inflation (Finance) ; Phillips curve ; Monetary policy - United States; Publication Type: Working Paper; Update Code: 200404 N2 - We explore a hypothesis about the take-off in inflation that occurred in the early 1970s. According to the expectations trap hypothesis, the Fed was pushed into producing the high inflation out of a fear of violating the public's inflation expectations. We compare this hypothesis with the Phillips curve hypothesis, according to which the Fed produced the high inflation as an unfortunate by-product of a conscious decision to jump-start a weak economy. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/676/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701094&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/676/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Knight, Brian AD - Unlisted T1 - The flypaper effect unstuck: evidence on endogenous grants from the Federal Highway Aid Program PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-49 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700214; Keywords: Expenditures, Public ; Local government ; State finance; Publication Type: Working Paper; Update Code: 200404 N2 - Contrary to simple theoretical predictions, previous empirical research has found that state government public spending is increased far more, often dollar-for-dollar, by federal grant receipts than by equivalent increases in constituent private income. This anomaly has come to be known as the flypaper effect. First, a legislative bargaining model developed in this paper provides a critique of this empirical finding. The model demonstrates a positive correlation between constituent preferences for public goods and intergovernmental grant receipts, and this correlation has likely biased the existing literature towards finding a flypaper effect. The model also motivates using measures of the political power of state congressional delegations as an instrument for grant receipts. Second, after correcting for the endogeneity of grant receipts, the results demonstrate that constituent private income and grants have similar effects on public spending. L3 - http://www.federalreserve.gov/pubs/feds/2000/200049/200049pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700214&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200049/200049pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AU - Mason, Molly AD - Unlisted AD - Unlisted T1 - The geography of capital flows: what we can learn from benchmark surveys of foreign equity holdings PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 688 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701109; Keywords: International finance ; Capital movements; Publication Type: Working Paper; Update Code: 200404 N2 - To provide insight into the accuracy of U.S. data on international equity transactions, we compare estimates of U.S. holdings of equities in over 40 countries with actual holdings given by comprehensive U.S. benchmark surveys. If the rate of return used to revalue U.S. holdings in a given country is accurate, accurate holdings estimates imply accurate transactions data. For some countries, such as Canada and much of Latin America, the holdings estimates are quite accurate. For the majority of countries, however, there is a great disparity between our estimates and actual amounts, likely because U.S. data on international equity transactions record the country of the transactor, not the country of the issuer. Our estimates are far too high for financial centers--because many U.S. transactions that go through these countries involve securities issued in other countries--and far too low in most other countries, particularly in Europe and Asia. To illustrate the potential pitfalls of using estimated country-specific holdings data, we briefly present two cases in which the use of actual data leads to different conclusions. One case examines the determinants of U.S. equity holdings across countries; the other concerns the turnover rate of foreign equity portfolios. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/688/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701109&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/688/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maki, Dean M. AD - Unlisted T1 - The growth of consumer credit and the household debt service burden PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-12 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700176; Keywords: Consumer credit ; Consumption (Economics) ; Debt; Publication Type: Working Paper; Update Code: 200404 N2 - Household debt is at a record high relative to disposable income. Some analysts are concerned that this unprecedented level of debt might pose a risk to the financial health of American households and ultimately lead them to curtail their spending. In this paper, I summarize some of the relevant facts concerning the growth of consumer credit and the household debt service burden, outline the results of the research that has been conducted in this area, and look at the questions that might be answered with additional research. L3 - http://www.federalreserve.gov/pubs/feds/2000/200012/200012abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700176&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200012/200012abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Karceski, Jason AU - Ongena, Steven AU - Smith, David C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The impact of bank consolidation on commercial borrower welfare PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 679 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701096; Keywords: Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. In addition, we analyze how bank mergers influence borrower relationship termination behavior and relate the propensity to terminate to borrower abnormal returns. We obtain four main results. First, on average borrowers lose about 1 percent in equity value when their bank is announced as a merger target. Small borrowers of target banks are especially hurt in mergers between two large banks, where they lose an average of about 3 percent. Small target borrowers are not harmed, and appear to even gain, from mergers between small banks. Second, bank mergers lead to higher relationship exit rates for three years after a bank merger, and small bank mergers lead to larger increases in exit rates than large mergers. Third, target borrower abnormal returns are positively related to pre-merger exit rates, indicating that firms that find it easier to switch banks are less harmed when their bank merges. Fourth, we find weak evidence that target borrowers with large merger-induced increases in exit rates are more negatively affected by bank merger announcements, suggesting that target borrowers can be forced out of relationships and suffer welfare losses as a result of bank mergers. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/679/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701096&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/679/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gould, David M. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - The impact of monetary policy on exchange rates during financial crises PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 669 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701087; Keywords: Interest rates ; Financial crises ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper addresses the impact of monetary policy on exchange rates during financial crises. Some observers have argued that a tightening of monetary policy is necessary to stabilize the exchange rate, restore confidence, and lay the groundwork for an eventual recovery of economic activity. Others have argued that by raising interest rates (which reduces the ability of borrowers to repay loans and thereby weakens the banking system), tightening may further reduce investor confidence and lead to further weakening--not strengthening--of domestic currencies. ; This debate, which became highly charged during the Asian financial crisis, remains unresolved. A key reason is that, because of the endogeneity of interest rates with respect to exchange rates and investor expectations, it is difficult to use statistical analysis to identify the impact of monetary policy on the exchange rate. In our research, we use measures of international credit spreads and of domestic stock prices as proxies for investor concerns about creditworthiness and country risk in order to better identify the impact of monetary policies on the exchange rate. Using weekly data from Indonesia, Korea, Malaysia, the Philippines, Thailand, and Mexico, we find that credit spreads and stock prices exert significant impacts on exchange rates during financial crises, but interest rates still are not estimated to have significant effects. We conclude that while monetary policy probably does exert an important influence over exchange rates, this most likely takes place slowly, as central banks attempt to establish credibility, and over longer periods of time than can be captured in our analysis. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/669/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701087&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/669/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - The integration of the financial services industry: where are the efficiencies? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-36 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700200; Keywords: Financial services industry ; Financial institutions ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the efficiency effects of the integration of the financial services industry and suggest directions for future research. We also propose a relatively broad working definition of integration and employ U.S. and European data on financial service industry M&As to illustrate several types of integration. The analysis suggests that there is a large potential for efficiency gains from integration, but only a relatively small part of this potential may be realized. Integration appears to bring about larger revenue efficiency gains than cost efficiency gains, and most of the gains appear to be linked to benefits from risk diversification. L3 - http://www.federalreserve.gov/pubs/feds/2000/200036/200036abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700200&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200036/200036abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oliner, Stephen D. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted T1 - The resurgence of growth in the late 1990s: is information technology the story? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-20 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700185; Keywords: Information technology ; Computers; Publication Type: Working Paper; Update Code: 200404 N2 - The performance of the U.S. economy over the past several years has been remarkable, including a rebound in labor productivity growth after nearly a quarter century of sluggish gains. To assess the role of information technology in the recent rebound, this paper re-examines the growth contribution of computers and related inputs with the same neoclassical framework that we have used in earlier work. Our results indicate that the contribution to productivity growth from the use of information technology--including computer hardware, software, and communication equipment--surged in the second half of the 1990s. In addition, technological advance in the production of computers appears to have contributed importantly to the speed-up in productivity growth. All in all, we estimate that the use of information technology and the production of computers accounted for about two-thirds of the 1 percentage point step-up in productivity growth between the first and second halves of the decade. Thus, to answer the question posed in the title of this paper, information technology largely is the story. L3 - http://www.federalreserve.gov/pubs/feds/2000/200020/200020abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700185&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200020/200020abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Dan AU - Harrison, Paul AD - Unlisted AD - Unlisted T1 - The timing of debt issuance and rating migration: theory and evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-10 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700177; Keywords: Debt; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops and tests a recursive model of debt issuance and rating migration. We examine a signaling game with firms who have private information about their probability distribution of future rating migration. A key assumption of the model is that rating agencies reveal information over time, creating a recursive information problem, which in turn generates an adverse selection problem in debt issuance similar to that for equity issuance in Myers and Majluf (1984). This adverse selection model predicts that debt issuance provides a negative signal of rating migration, and that the signal strengthens with economic downturns. Another prediction regarding the maturity of debt issuance is that long maturity debt sends a negative signal relative to short maturity debt (Flannery 1986). Using data from 1980 to 1998 on straight bond issuance and Moody's ratings, and controlling for firm and issue-specific factors, we find that debt issuance sends a negative signal of a firm's default probability, and that this signal intensifies with a decline in economic activity and with an increase in debt maturity. L3 - http://www.federalreserve.gov/pubs/feds/2000/200010/200010abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700177&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200010/200010abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Koenig, Evan F. AU - Dolmas, Sheila AU - Piger, Jeremy AD - Unlisted AD - Unlisted AD - Unlisted T1 - The use and abuse of 'real-time' data in economic forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 684 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701102; Keywords: Forecasting ; Economic conditions - United States; Publication Type: Working Paper; Update Code: 200404 N2 - We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/684/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701102&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/684/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edge, Rochelle M. AD - Unlisted T1 - Time-to-build, time-to-plan, habit-persistence, and the liquidity effect PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 673 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701092; Keywords: Business cycles ; Econometric models ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - The general inability of sticky-price monetary business cycle models to generate liquidity effects has been noted in the recent literature by authors such as Christiano (1991), Christiano and Eichenbaum (1992a, 1995), King and Watson (1996), and Bernanke and Mihov (1998b). This paper develops a sticky-price monetary business cycle model that is capable of generating an empirically plausible liquidity effect. Time-to-build and time-to-plan in investment together with habit-persistence in consumption are the features of the model that allow it to produce this result. L3 - http://www.federalreserve.gov/pubs/ifdp/2000/673/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701092&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/2000/673/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AU - Doms, Mark AD - Unlisted AD - Unlisted T1 - Understanding productivity: lessons from longitudinal microdata PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-19 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700186; Keywords: Productivity ; Management ; Technology ; Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reviews research that uses longitudinal microdata to document productivity movements and to examine factors behind productivity growth. The research explores the dispersion of productivity across firms and establishments, the persistence of productivity differentials, the consequences of entry and exit, and the contribution of resource reallocation across firms to aggregate productivity growth. The research also reveals important factors correlated with productivity growth, such as managerial ability, technology use, human capital, and regulation. The more advanced literature in the field has begun to address the more difficult questions of the causality between these factors and productivity growth. L3 - http://www.federalreserve.gov/pubs/feds/2000/200019/200019abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700186&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200019/200019abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - Using Treasury STRIPS to measure the yield curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2000-42 Y1 - 2000/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700205; Keywords: Interest rates ; Government securities; Publication Type: Working Paper; Update Code: 200404 N2 - Treasury STRIPS derived from coupon payments of notes and bonds provide an effective reading of the zero-coupon yield curve. Among their advantages, coupon STRIPS are zero-coupon securities, have a complete range of maturities, and are fungible, which appears to make the coupon STRIPS yield curve relatively smooth. Yields on coupon STRIPS are compared to the zero-coupon yield curves derived from notes and bonds under the Nelson-Siegel and the Fisher-Nychka-Zervos methods. The results point to some shortcomings of these approaches and indicate that the zero-coupon yield curve could be estimated more precisely from coupon STRIPS. L3 - http://www.federalreserve.gov/pubs/feds/2000/200042/200042pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700205&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/2000/200042/200042pap.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Amel, Dean F. AU - Hannan, Timothy H. T1 - Establishing banking market definitions through estimation of residual deposit supply equations. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1999/11// VL - 23 IS - 11 M3 - Article SP - 1667 EP - 1690 SN - 03784266 AB - We employ a procedure suggested by the Department of Justice's Merger Guidelines (but never before applied to banking) to determine whether nonbank financial institutions should be included as participants in defining the product market relevant to antitrust analyses of proposed bank mergers. We estimate bank "residual supply" relationships indicating the responsiveness of small-scale deposit funds supplied by consumers to the level of interest rates offered for such deposits. Estimated elasticities of residual deposit supply are quite small, implying that only commercial banks should be included as participants in the "antitrust market" relevant to proposed bank mergers. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - BANK mergers KW - BANK deposits KW - FINANCIAL institutions KW - UNITED States N1 - Accession Number: 11493159; Amel, Dean F. 1; Email Address: damel@frb.gov; Hannan, Timothy H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Nov99, Vol. 23 Issue 11, p1667; Thesaurus Term: BANKING industry; Thesaurus Term: BANK mergers; Thesaurus Term: BANK deposits; Thesaurus Term: FINANCIAL institutions; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 24p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11493159&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lengwiler, Yvan T1 - The multiple unit auction with variable supply. JO - Economic Theory JF - Economic Theory Y1 - 1999/08// VL - 14 IS - 2 M3 - Article SP - 373 EP - 392 PB - Springer Science & Business Media B.V. SN - 09382259 AB - The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Theory is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - AUCTIONS KW - COMMERCE KW - PRICES KW - PRICE discrimination KW - RESTRAINT of trade KW - Multiple unit auction KW - Price discrimination KW - Uniform price N1 - Accession Number: 4719314; Lengwiler, Yvan 1,2; Email Address: yle@altavista.net; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Monetary Affairs, Mail Stop 71, Washington, DC 20551, USA; 2: Swiss National Bank, P.O. Box, CH-8022 Zürich, Switzerland; Issue Info: 1999, Vol. 14 Issue 2, p373; Thesaurus Term: AUCTIONS; Thesaurus Term: COMMERCE; Thesaurus Term: PRICES; Thesaurus Term: PRICE discrimination; Thesaurus Term: RESTRAINT of trade; Author-Supplied Keyword: Multiple unit auction; Author-Supplied Keyword: Price discrimination; Author-Supplied Keyword: Uniform price; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4719314&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Clouse, James A. AU - Dow Jr., James P. T1 - Fixed cost and the behaviour of the federal funds rate. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1999/07// VL - 23 IS - 7 M3 - Article SP - 1015 EP - 1029 SN - 03784266 AB - This paper presents an equilibrium model of the federal funds market that ties movements in the funds rate to changes in the supply of reserves and to a fixed cost facing banks that borrow at the discount window. It is found that the existence of the fixed cost is capable of explaining a number of features of the funds market. In particular, it is critical for explaining occasional instances of extremely high funds rates. It also provides an explanation for heterogeneous behavior across banks towards the discount window and for higher average funds rates at the end of maintenance periods. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL funds market (U.S.) KW - FINANCE KW - BANKING industry KW - DISCOUNT KW - UNITED States N1 - Accession Number: 11488646; Clouse, James A. 1; Dow Jr., James P. 2; Email Address: james.dow@csun.edu; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; 2: Department of Economics, California State University, Northridge, USA; Issue Info: Jul99, Vol. 23 Issue 7, p1015; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: FINANCE; Thesaurus Term: BANKING industry; Thesaurus Term: DISCOUNT; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; Number of Pages: 15p; Illustrations: 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11488646&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, Robert M. AU - Berger, Allen N. AU - Sickles, Robin C. T1 - Semiparametric Approaches to Stochastic Panel Frontiers With Applications in the Banking Industry. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1999/07// VL - 17 IS - 3 M3 - Article SP - 349 SN - 07350015 AB - The article focuses on semiparametric approaches to stochastic panel frontiers with applications in the banking industry. The approaches used so far in the literature to study efficiency in the banking industry differ primarily by their method of disentangling inefficiency differences from random error, by their distributional assumptions, and by their functional-form assumptions. The stochastic frontier approach assumes that inefficiencies follow an asymmetric distribution and the random errors follow a symmetric distribution, and that both the inefficiencies and random errors are orthogonal to all of the regressors. The thick frontier approach assumes that deviations from predicted costs within a grouping of low-cost banks represent random error, whereas differences in predicted costs between high- and low-cost groups represent X inefficiencies. This article introduces new modeling and estimation method designed to help mitigate problems of endogeneity and misspecification. It uses an output distance function to model the technology of a multioutput firm. Furthermore, it introduces a new semiparametric method that makes minimal assumptions on the functional form of inputs in the distance function. KW - STOCHASTIC processes KW - BANKING industry KW - ECONOMETRIC models KW - INDUSTRIAL efficiency KW - ECONOMICS -- Statistical methods KW - DISTRIBUTION (Probability theory) KW - Bank efficiency KW - Distance frontier KW - Efficient estimation KW - Panel data KW - Semiparametric estimation. N1 - Accession Number: 2014579; Adams, Robert M. 1; Email Address: robert.adams2@usdoj.gov; Berger, Allen N. 2; Email Address: aberger@frb.gov; Sickles, Robin C. 3; Email Address: rsickIes@rice.edu; Affiliations: 1: U.S. Department of Justice, Antitrust Division, Washington, DC 20530.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551.; 3: Department of Economics, Rice University, Houston, TX 77005.; Issue Info: Jul99, Vol. 17 Issue 3, p349; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: DISTRIBUTION (Probability theory); Author-Supplied Keyword: Bank efficiency; Author-Supplied Keyword: Distance frontier; Author-Supplied Keyword: Efficient estimation; Author-Supplied Keyword: Panel data; Author-Supplied Keyword: Semiparametric estimation.; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 10p; Illustrations: 4 Graphs; Document Type: Article; Full Text Word Count: 8129 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=2014579&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Faust, Jon T1 - CONVENTIONAL CONFIDENCE INTERVALS FOR POINTS ON SPECTRUM HAVE CONFIDENCE LEVEL ZERO. JO - Econometrica JF - Econometrica Y1 - 1999/05// VL - 67 IS - 3 M3 - Article SP - 629 EP - 637 SN - 00129682 AB - This paper shows that under the standard assumptions the textbook confidence intervals—and any confidence intervals that are of finite length with probability one—have confidence level zero in any finite sample size. The author gives necessary conditions for solving the problem, the most notable of which is that under mild conditions, finite-length confidence intervals for points on the spectrum exist only if the maintained model is restricted to a finite-dimensional space of Wold (moving average) representations. The results are an extension of C. Sims' research and follow Sims' topological approach. The fact that confidence intervals under standard assumptions have level zero can also be seen as an application of J.-M. Dufour's impossibility theorems. KW - PROBABILITY theory KW - CONFIDENCE intervals KW - HYPOTHESIS KW - ZERO (The number) KW - SAMPLE size (Statistics) KW - FINITE, The N1 - Accession Number: 12154937; Faust, Jon 1; Email Address: faustj@frb.gov; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System, U.S.A.; Issue Info: May99, Vol. 67 Issue 3, p629; Thesaurus Term: PROBABILITY theory; Subject Term: CONFIDENCE intervals; Subject Term: HYPOTHESIS; Subject Term: ZERO (The number); Subject Term: SAMPLE size (Statistics); Subject Term: FINITE, The; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12154937&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beaulieu, Joe AU - Mattey, Joe T1 - THE EFFECTS OF GENERAL INFLATION AND IDIOSYNCRATIC COST SHOCKS ON WITHIN-COMMODITY PRICE DISPERSION: EVIDENCE FROM MICRODATA. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1999/05// VL - 81 IS - 2 M3 - Article SP - 205 EP - 216 PB - MIT Press SN - 00346535 AB - This study investigates the dispersion of price levels within highly disaggregated markets by examining plant-level product records from the U.S. Census of Manufactures. The paper estimates the effects of inflation on price dispersion through cross-sectional variation in the drift rate of average input costs within a market, arguing that, in several models that relate inflation to price dispersion, the effects of cost increases on dispersion is similar to the effects of general inflation. We also disentangle the effects of aggregate and idiosyncratic shocks on price dispersion. In general, we find that the higher the drift rate of input costs of a given commodity, the larger the amount of price dispersion. The standard deviation of idiosyncratic shocks also is positively correlated with the degree of price dispersion. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICES KW - COST KW - INFLATION (Finance) KW - PRICE level changes KW - PRICING KW - STANDARD deviations KW - CORRELATION (Statistics) KW - ANALYSIS of variance N1 - Accession Number: 1915654; Beaulieu, Joe 1,2; Mattey, Joe 3; Affiliations: 1: Board of Governors of the Federal Reserve System,.; 2: Census Bureau's Center for Economic Studies (CES).; 3: Federal Reserve Bank of San Francisco.; Issue Info: May99, Vol. 81 Issue 2, p205; Thesaurus Term: PRICES; Thesaurus Term: COST; Thesaurus Term: INFLATION (Finance); Thesaurus Term: PRICE level changes; Thesaurus Term: PRICING; Thesaurus Term: STANDARD deviations; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: ANALYSIS of variance; Number of Pages: 12p; Document Type: Article; Full Text Word Count: 10964 L3 - 10.1162/003465399558184 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1915654&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cohen, Darrel AU - Hassett, Kevin A. T1 - Inflation, Taxes, and the Durability of Capital. JO - National Tax Journal JF - National Tax Journal Y1 - 1999/03// VL - 52 IS - 1 M3 - Article SP - 91 EP - 98 PB - National Tax Association SN - 00280283 AB - Auerbach demonstrated that inflation can lead to interasset distortions, with the negative effects of higher inflation unambiguously declining with asset life in the case of geometric economic and tax depreciation. We show that, when tax depreciation is straight-line, higher inflation can have the opposite effect, discouraging investment in long-lived assets. Also, we present several examples showing that, under historically relevant U.S. tax rules, higher inflation can sometimes favor relatively short-lived equipment, although the bias is always small. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - INFLATION (Finance) KW - TAXATION KW - INVESTMENTS KW - ABSORPTIVE capacity (Economics) KW - DEPRECIATION KW - DEPRECIATION recapture KW - FINANCE KW - UNITED States N1 - Accession Number: 1743061; Cohen, Darrel 1; Hassett, Kevin A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; 2: American Enterprise Institute, Washington, D.C. 20036; Issue Info: Mar99, Vol. 52 Issue 1, p91; Thesaurus Term: CAPITAL; Thesaurus Term: INFLATION (Finance); Thesaurus Term: TAXATION; Thesaurus Term: INVESTMENTS; Thesaurus Term: ABSORPTIVE capacity (Economics); Thesaurus Term: DEPRECIATION; Thesaurus Term: DEPRECIATION recapture; Thesaurus Term: FINANCE; Subject: UNITED States; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1743061&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calem, Paul S. AU - Wachter, Susan M. T1 - Community Reinvestment and Credit Risk: Evidence from an Affordable-Home-Loan Program. JO - Real Estate Economics JF - Real Estate Economics Y1 - 1999///Spring99 VL - 27 IS - 1 M3 - Article SP - 105 EP - 134 PB - Wiley-Blackwell SN - 10808620 AB - This study examines the performance of home purchase loans originated by a major depository institution in Philadelphia under a flexible lending program between 1988 and 1994. We examine long-term delinquency in relation to neighborhood housing market conditions, borrower credit-hi story scores and other factors. We find that likelihood of delinquency declines with increasing neighborhood housing market activity. Also, likelihood of delinquency is greater for borrowers with low credit-history scores and those with high ratios of housing expense to income, and when the property is unusually expensive for the neighborhood where it is located. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - REINVESTMENT KW - CREDIT risk KW - HOUSE buying KW - HOUSING KW - REAL estate business KW - PHILADELPHIA (Pa.) KW - PENNSYLVANIA N1 - Accession Number: 1878411; Calem, Paul S. 1; Wachter, Susan M. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; 2: The Wharton School of the University of Pennsylvania, Philadelphia, PA; Issue Info: Spring99, Vol. 27 Issue 1, p105; Thesaurus Term: MORTGAGE loans; Thesaurus Term: REINVESTMENT; Thesaurus Term: CREDIT risk; Thesaurus Term: HOUSE buying; Thesaurus Term: HOUSING; Thesaurus Term: REAL estate business; Subject: PHILADELPHIA (Pa.); Subject: PENNSYLVANIA; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; NAICS/Industry Codes: 531212 Offices of real estate brokers; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1878411&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pilloff, Steven J. T1 - Multimarket Contact in Banking. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 1999/03// VL - 14 IS - 2 M3 - Article SP - 163 EP - 182 SN - 0889938X AB - According to linked oligopoly theory, the anticipated effect of multimarket contact is reduced competition. Specifically, the theory predicts that contact lowers competition by reducing the benefit of aggressive action in any single market by providing rivals with the opportunity to retaliate in multiple common markets. The results of this paper are consistent with the theory. In banking, contact is positively related to profitability. Although the economic impact of this relationship is unimportant for most institutions, the relationship is meaningful for the small group of banks most heavily exposed to contact. This finding suggests that the importance of contact may rise as consolidation of the banking industry continues. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - MONOPOLIES KW - FINANCE KW - TRADE regulation KW - ANTITRUST law KW - BUSINESS KW - antitrust KW - banking KW - linked oligopoly KW - Multimarket contact KW - mutual forbearance N1 - Accession Number: 16838113; Pilloff, Steven J. 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System, 20th and C Streets, NW Mailstop 149, Washington, DC 20051, U.S.A.; Issue Info: Mar1999, Vol. 14 Issue 2, p163; Thesaurus Term: BANKING industry; Thesaurus Term: MONOPOLIES; Thesaurus Term: FINANCE; Thesaurus Term: TRADE regulation; Thesaurus Term: ANTITRUST law; Thesaurus Term: BUSINESS; Author-Supplied Keyword: antitrust; Author-Supplied Keyword: banking; Author-Supplied Keyword: linked oligopoly; Author-Supplied Keyword: Multimarket contact; Author-Supplied Keyword: mutual forbearance; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16838113&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reinhart, Carmen M. AU - Reinhart, Vincent R. T1 - On the Use of Reserve Requirements in Dealing with Capital Flow Problems. JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 1999/01// VL - 4 IS - 1 M3 - Article SP - 27 EP - 54 SN - 10769307 AB - In recent years, many developing countries have intervened in foreign exchange markets to offset to some extent the effect on their economies of large capital flows. Often changes in reserve requirements were used to mitigate the impact of that intervention on domestic money supplies. Be-cause reserve requirements are a tax, however, changes in reserve requirements can have real effects. This paper shows that the exact implications for output, the real exchange rate and the capital and current accounts depend importantly on who--whether depositors or borrowers--pays the tax. In any case, foreign exchange intervention matched by changes in reserve requirements that keep the money supply fixed do influence the exchange rate in the short and, sometimes, the long run. The recent experiences of ten developing countries establish that, while the incidence of the tax varies considerably across countries and time, both deposit and lending rates of interest respond to changes in reserve requirements. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESERVE requirements KW - CAPITAL movements KW - BALANCE of payments KW - FOREIGN exchange market KW - DEVELOPING countries KW - capital inflows KW - intervention KW - reserve requirements N1 - Accession Number: 16891647; Reinhart, Carmen M. 1; Email Address: creinhart@puafmail.umd.edu; Reinhart, Vincent R. 2; Email Address: vreinhart@frb.gov; Affiliations: 1: School of Public Affairs, Room 4113D, Van Munching Hall, University of Maryland, College Park, MD 20742-1821, USA; 2: Board of Governors of the Federal Reserve System, Mail Stop 72, Washington DC, 20051, USA; Issue Info: Jan1999, Vol. 4 Issue 1, p27; Thesaurus Term: RESERVE requirements; Thesaurus Term: CAPITAL movements; Thesaurus Term: BALANCE of payments; Thesaurus Term: FOREIGN exchange market; Subject Term: DEVELOPING countries; Author-Supplied Keyword: capital inflows; Author-Supplied Keyword: intervention; Author-Supplied Keyword: reserve requirements; Number of Pages: 28p; Illustrations: 5 Charts, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16891647&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Orphanides, Athanasios AU - Wieland, Volker AD - Board of Governors of the Federal Reserve System, Division of Monetary Affairs AD - Johann Wolfgang Goethe-Universitat T1 - Inflation zone targetting PB - European Central Bank, Working Paper Series: 8 Y1 - 1999/// SP - 58 pages AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0821001; Keywords: inflation; monetary policy; stabilization; Publication Type: Working Paper; Update Code: 200603 N2 - We study optimal monetary policy design in a simple model that deviates from the linear-quadratic paradigm and provides a rationale for the practice of inflation zone targeting. We show that the presence of either zone-quadratic preferences or a zonelinear relationship between inflation and economic activity provides strong incentives to deviate from conventional linear policies. We calibrate the model based on parameters for the U.S. and the Euro area and employ a numerical dynamic programming algorithm to derive the optimal policies. With this algorithm, we examine the role of uncertainty, model structure and relative preference towards economic stability in determining the width of the implied targeted inflation zone. KW - Price Level; Inflation; Deflation E31 KW - Monetary Policy E52 KW - Central Banks and Their Policies E58 KW - Policy Objectives; Policy Designs and Consistency; Policy Coordination E61 L3 - http://www.ecb.int/pub/pdf/scpwps/ecbwp008.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0821001&site=ehost-live&scope=site UR - http://www.ecb.int/pub/pdf/scpwps/ecbwp008.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AD - Unlisted T1 - A coherent framework for stress-testing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-29 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700113; Keywords: Risk ; Management; Publication Type: Working Paper; Update Code: 200404 N2 - In recent months and years both practitioners and regulators have embraced the ideal of supplementing VaR estimates with "stress-testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard approach to stress-testing up to a critical light. The current practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts--one from the stress-tests and one from the basic model. The stress scenarios, conducted outside the model, are never explicitly assigned probabilities. As such, there is no guidance as to the importance or revelance of the results of stress-tests. Moreover, how to combine the two forecasts into a usable risk metric is not known. Instead, we suggest folding the stress-tests into the risk model, thereby requiring all scenarios to be assigned probabilities. L3 - http://www.federalreserve.gov/pubs/feds/1999/199929/199929abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700113&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199929/199929abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - A simple approach to robust inference in a cointegrating system PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 654 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701068; Keywords: Cointegration ; Statistics; Publication Type: Working Paper; Update Code: 200404 N2 - Cointegration requires all the variables in the system to have exact unit roots; accordingly it is conventional for researchers to test for a unit root in each variable prior to a cointegration analysis. Unfortunately, these unit root tests are not powerful. Meanwhile, conventional cointegration methods are not at all robust to slight violations of the requirement that each variable have a unit root. In this paper I show how this difficulty may be circumvented by instrumenting the regressors in the cointegrating regression by deterministic polynomial time trends or by artificially generated random walks. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/654/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701068&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/654/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AD - Unlisted T1 - An analysis of government spending in the frequency domain PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-26 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700111; Keywords: Expenditures, Public ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper utilizes frequency-domain techniques to identify and characterize economically important properties of government spending. Using post-war data for the United States, the paper first identifies peaks in the estimated spectra of the major components of fiscal spending. Second, the paper examines the relationship between these fiscal variables and various measures of aggregate economic activity. The analysis reveals that defense spending is best modeled as exogenous with respect to the aggregate economy and that nondefense spending (growth) appears to be white noise. Further, the unemployment rate has a very high coherency at the business cycle frequencies with unemployment insurance but far smaller coherency with other transfer payments. Finally, the paper finds a moderate degree of direct substitutability between certain types of government spending and private consumption and in the process illustrates how spectral techniques can be readily combined with a standard intertemporal optimizing model. L3 - http://www.federalreserve.gov/pubs/feds/1999/199926/199926abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700111&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199926/199926abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooker, Mark A. AD - Unlisted T1 - Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-65 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700162; Keywords: Petroleum industry and trade ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper estimates the effects of oil price changes on U.S. inflation in a Phillips curve framework, allowing for some of the asymmetries, nonlinearities, and structural breaks that have been found in the literature on the real effects of oil price shocks. It finds that since around 1980, oil price changes seem to affect inflation only through their direct share in a price index, with little or no pass-through into core measures, while before 1980, oil shocks contributed substantially to core inflation. This structural-break characterization appears robust to a variety of respecifications and to fit the data better than asymmetric and nonlinear oil price alternatives. Preliminary evidence suggests that a change in the reaction of monetary policy to oil shocks is part of the explanation. L3 - http://www.federalreserve.gov/pubs/feds/1999/199965/199965abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700162&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199965/199965abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rodriguez-Planas, Nuria AD - Unlisted T1 - Asymmetric information in the labor market: new evidence on layoffs, recalls, and unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-09 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700136; Keywords: Unemployment ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - In the United States, many laid-off workers are recalled to their former employer. I develop an asymmetric information model of layoffs in which high-productivity workers are more likely to be recalled and may choose to remain unemployed rather than accept a low-wage job. In this case, unemployment can serve as a signal of productivity, and unemployment duration may be positively related to post-layoff wages even among workers who are not recalled. In contrast, since workers whose plant closed cannot be recalled, longer unemployment duration should not have a positive signaling benefit for such workers. Analysis of the data from January 1988-1992 Displaced Workers Supplements to the Current Population Survey reveals that the wage/unemployment duration relation differs between the two groups in the predicted way, and finds evidence consistent with asymmetric information in the U.S. labor market. L3 - http://www.federalreserve.gov/pubs/feds/1999/199909/199909abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700136&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199909/199909abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AU - Spilimbergo, Antonio AD - Department of Economics, University of Maryland and Board of Governors of the Federal Reserve System AD - International Monetary Fund T1 - Business Cycles and Investment in Human Capital: International Evidence on Higher Education PB - University of Maryland, Department of Economics, Electronic Working Papers Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0912163; Keywords: Business Cycles, Education, OECD, Credit Constraints, Opportunity Cost; Publication Type: Working Paper; Update Code: 200706 N2 - We study the effect of economic fluctuations on investment in higher education for a wide range of countries. Our main focus is foreign students who come to the United States to attend university. There is a strong relation between enrollment and the business cycle in the sending country. The cyclical pattern of enrollment is sharply different for two groups of countries. For OECD countries enrollment is countercyclical, whereas for non-OECD countries it is procyclical. At business cycle frequencies, opportunity cost plays a dominant role in explaining enrollment from OECD countries, whereas ability to pay and credit constraints seem more prevalent at non-OECD countries. The results are confirmed using data on domestic enrollment from national sources. KW - Business Fluctuations; Cycles E32 KW - Economic Development: Human Resources; Human Development; Income Distribution; Migration O15 KW - International Factor Movements and International Business: General F20 L3 - http://www.bsos.umd.edu/econ/papers/sakellaris9901.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0912163&site=ehost-live&scope=site UR - http://www.bsos.umd.edu/econ/papers/sakellaris9901.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sakellaris, Plutarchos AU - Spilimbergo, Antonio AD - Department of Economics, University of Maryland and Board of Governors of the Federal Reserve System AD - International Monetary Fund T1 - Business Cycles and Investment in Human Capital: International Evidence on Higher Education PB - University of Maryland, Department of Economics, Electronic Working Papers Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0725370; Keywords: Business Cycles, Education, OECD, Credit Constraints, Opportunity Cost; Publication Type: Working Paper; Update Code: 200404 N2 - We study the effect of economic fluctuations on investment in higher education for a wide range of countries. Our main focus is foreign students who come to the United States to attend university. There is a strong relation between enrollment and the business cycle in the sending country. The cyclical pattern of enrollment is sharply different for two groups of countries. For OECD countries enrollment is countercyclical, whereas for non-OECD countries it is procyclical. At business cycle frequencies, opportunity cost plays a dominant role in explaining enrollment from OECD countries, whereas ability to pay and credit constraints seem more prevalent at non-OECD countries. The results are confirmed using data on domestic enrollment from national sources. KW - Business Fluctuations; Cycles E32 KW - Economic Development: Human Resources; Human Development; Income Distribution; Migration O15 KW - International Factor Movements and International Business: General F20 L3 - http://www.bsos.umd.edu/econ/papers/sakellaris9901.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0725370&site=ehost-live&scope=site UR - http://www.bsos.umd.edu/econ/papers/sakellaris9901.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cavalluzzo, Ken AU - Cavalluzzo, Linda AU - Wolken, John AD - Unlisted AD - Unlisted AD - Unlisted T1 - Competition, small business financing, and discrimination: evidence from a new survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-25 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700115; Keywords: Small business ; Discrimination in consumer credit; Publication Type: Working Paper; Update Code: 200404 N2 - Using data from the 1993 National Survey of Small Business Finances, we examine some of the factors influencing differences in small business credit market experiences across demographic groups. We analyze credit applications, loan denials, and interest rates paid across gender, race and ethnicity of small business owners. In addition, we analyze data gathered from small business owners who said they did not apply for credit because they believed that their application would have been turned down. This set of analyses, in combination with important new information on the personal credit history of the principal owner, the business credit history of the firm, a rich set of additional explanatory variables, and information on local bank market structure, helps us to understand better the sources of observed differentials in the credit market experiences of small business operators across demographic groups. Credit market experiences often differ markedly among demographic groups. However, so do the characteristics of firms and owners. Results of our multivariate analyses show that many of the factors we consider help to explain the observed differences in credit market experiences However, even after controlling for a large number of firm and owner characteristics, substantial differences often remained. There was also evidence that some of the differentials were associated with the degree of lender market concentration in the firm's local area. L3 - http://www.federalreserve.gov/pubs/feds/1999/199925/199925abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700115&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199925/199925abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Computers and growth with costs of adjustment: will the future look like the past? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-36 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700126; Keywords: Computers ; Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - This paper augments the traditional growth accounting framework by including a common specification of investment adjustment costs and uses the new framework to examine the past and likely future growth in nonfarm business output in the United States. The inclusion of adjustment costs can have large effects on the growth-accounting exercise when a new investment good is introduced--such as computers in the last thirty years. The new framework indicates that the contribution of computers to economic growth has been held down by the large adjustment costs required to incorporate a new investment good into the economy's capital stock. Alternative calibrations of the model suggest that these adjustment costs have lowered measured growth in multifactor productivity since 1974 by about 1/2 percentage point--a nontrivial percentage of the productivity slowdown. Combining the adjustments to multifactor productivity and the impact of computers implied by the model with adjustment costs boosts long-run growth in output per hour 3/4 percentage point above the 1974-1991 average. L3 - http://www.federalreserve.gov/pubs/feds/1999/199936/199936abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700126&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199936/199936abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Cummins, J. David AU - Weiss, Mary A. AU - Zi, Hongmin AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Conglomeration versus strategic focus: evidence from the insurance industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-40 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700128; Keywords: Insurance industry ; Financial services industry ; Mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We use data on U.S. insurance companies to examine the validity of the conglomeration hypothesis versus the strategic focus hypothesis for financial institutions. We distinguish between the hypotheses using profit scope economies, which measures the relative efficiency of joint versus specialized production, taking both costs and revenues into account. The results suggest that the conglomeration hypothesis dominates for some types of financial service providers and the strategic focus hypothesis dominates for other types. This may explain the empirical puzzle of why joint producers and specialists both appear to be competitively viable in the long run. L3 - http://www.federalreserve.gov/pubs/feds/1999/199940/199940abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700128&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199940/199940abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Otoo, Maria W. AD - Unlisted T1 - Consumer sentiment and the stock market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-60 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700153; Keywords: Stock market ; Stock - Prices ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the relationship between movements in consumer sentiment and stock prices. At the aggregate level, the two share a strong contemporaneous relationship: an increase in equity values boosts sentiment. However, I examined the nature of the relationship between the two. Does an increase in stock prices raise aggregate sentiment because people are wealthier or because they use movements in stock prices as an indicator of future economic activity and potential labor income growth? Using individual observations from the Michigan survey I found results more consistent with the view that people use movements in equity prices as a leading indicator. Although the findings do not rule out a traditional wealth effect, they do raise some questions about the causal role of wealth in aggregate spending. L3 - http://www.federalreserve.gov/pubs/feds/1999/199960/199960abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700153&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199960/199960abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Palumbo, Michael G. AU - James, John A. AU - Thomas, Mark AD - Unlisted AD - Unlisted AD - Unlisted T1 - Consumption smoothing among working-class American families before social insurance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-24 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700144; Keywords: Income; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines whether the saving decisions of a large sample of working-class American families around the turn of the twentieth century are consistent with consumption smoothing tendencies in the spirit of the permanent income hypothesis. We develop two econometric models to decompose reported annual incomes from micro-data into expected and unexpected components, then we estimate marginal propensities to save out of each component of income. The two methodologies deliver similar regression estimates and reveal empirical patterns consistent with those reported in other recent research based on quite different contemporary household data. Marginal propensities to save out of unexpected income shocks are large relative to propensities based on expected income movements, though the former lie much below one and the latter much above zero. While these data reject strict parameterizations of the permanent income hypothesis, we nonetheless conclude that families' saving decisions in the historical period look quite "modern." L3 - http://www.federalreserve.gov/pubs/feds/1999/199924/199924abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700144&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199924/199924abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fenn, George W. AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Corporate payout policy and managerial stock incentives PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-23 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700110; Keywords: Stocks ; Corporate profits; Publication Type: Working Paper; Update Code: 200404 N2 - We examine how corporate payout policy is affected by managerial stock incentives using data on more than 1100 nonfinancial firms during 1993-97. We find that management share ownership encourages higher payouts by firms with potentially the greatest agency problems--those with low market-to-book ratios and low management stock ownership. We also find that management stock options change the composition of payouts. We find a strong negative relationship between dividends and management stock options, as predicted by Lambert, Lannen, and Larcker (1989), and a positive relationship between repurchases and management stock options. Our results suggest that the growth in stock options may help to explain the rise in repurchases at the expense of dividends. L3 - http://www.federalreserve.gov/pubs/feds/1999/199923/199923abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700110&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199923/199923abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Kathleen W. AD - Unlisted T1 - Credit constraints, consumer leasing and the automobile replacement decision PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-68 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700165; Keywords: Consumer behavior ; Consumer credit ; Automobile industry and trade; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a model of consumer automobile replacement in the presence of leasing. The model incorporates credit constraints to distinguish between the leasing and purchasing options. It demonstrates how leasing increases the probability that a household replaces its automobile and how households that lease choose higher quality automobiles. The qualitative choice model of the household's decision to lease provides support for the observation that households that lease face credit constraints. It also shows that although households that lease new automobiles are quite similar to those that purchase, they exhibit differences consistent with the theory. In particular, they prefer newer, more expensive automobiles. L3 - http://www.federalreserve.gov/pubs/feds/1999/199968/199968abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700165&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199968/199968abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cutler, David M. AU - Sheiner, Louise AD - Unlisted AD - Unlisted T1 - Demographics and medical care spending: standard and non-standard effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-20 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700107; Keywords: Demography ; Medicare; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we examine the effects of likely demographic changes on medical spending for the elderly. Standard forecasts highlight the potential for greater life expectancy to increase costs: medical costs generally increase with age, and greater life expectancy means that more of the elderly will be in the older age groups. Two factors work in the other direction, however. First, increases in life expectancy mean that a smaller share of the elderly will be in the last year of life, when medical costs generally are very high. Furthermore, more of the elderly will be dying at older ages, and end-of-life costs typically decline with age at death. Second, disability rates among the surviving population have been declining in recent years by 0.5 to 1.5 percent annually. Reductions in disability, if sustained, will also reduce medical spending. Thus, changes in disability and mortality should, on net, reduce average medical spending on the elderly. However, these effects are not as large as the projected increase in medical spending stemming from increases in overall medical costs. Technological change in medicine at anywhere near its historic rate would still result in a substantial public sector burden for medical costs. L3 - http://www.federalreserve.gov/pubs/feds/1999/199920/199920abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700107&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199920/199920abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - MacKinnon, James G. AD - Unlisted AD - Unlisted T1 - Distributions of error correction tests for cointegration PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 655 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701071; Keywords: Cointegration ; Statistics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Three empirical examples illustrate these tools. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/655/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701071&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/655/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Do noisy data exacerbate cyclical volatility? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-50 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700142; Keywords: Economic indicators ; Business cycles ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - How does the additional uncertainty associated with noisy economic data affect business cycle fluctuations? I use a simple variant of the neoclassical growth model to show that the answer depends crucially on the assumed expectation-formation capabilities of agents. Under efficient signal extracting, noisy economic indicators dampen cyclical volatility. The opposite occurs when agents follow a simple bounded rational strategy. L3 - http://www.federalreserve.gov/pubs/feds/1999/199950/199950abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700142&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199950/199950abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Weisbenner, Scott AD - Unlisted T1 - Do pension plans with participant investment choice teach households to hold more equity? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-61 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700158; Keywords: Pensions ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - Some retirement plans allow the participant to choose how funds are invested. Having to direct investments may provide the participant with financial education. This paper finds that households covered by pension plans in which the employee chooses investments are significantly more apt to hold stock outside of their retirement plan than are households with pension plans offering no such choice. The effect of investment choice upon non-pension asset allocation cannot be explained by portfolio rebalancing or differences in income and saving preferences across households. This provides some evidence that the design of a pension plan can influence an employee's financial decisions. L3 - http://www.federalreserve.gov/pubs/feds/1999/199961/199961abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700158&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199961/199961abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lebow, David E. AU - Saks, Raven E. AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted AD - Unlisted T1 - Downward nominal wage rigidity: evidence from the employment cost index PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-31 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700124; Keywords: Wages ; Employment (Economic theory) ; Cafeteria benefit plans; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the extent of downward nominal wage rigidity using the microdata underlying the BLS employment cost index--an extensive, establishment-based dataset with detailed information on wage and benefit costs. We find stronger evidence of downward nominal wage rigidity than did previous studies using panel data on individuals. Firms appear able to circumvent part, but not all, of this rigidity by varying benefits: Total compensation displays modestly less rigidity than do wages alone. Given our estimated amount of rigidity, a simple model predicts that the disinflation over the 1980s would have raised equilibrium unemployment notably. This prediction stands in contrast to the actual behavior of unemployment over this period: The addition of a term capturing the cost of rigidity (that rises as inflation falls) has no additional explanatory power in a standard Phillips Curve equation. L3 - http://www.federalreserve.gov/pubs/feds/1999/199931/199931abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700124&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199931/199931abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Wieland, Volker AD - Unlisted AD - Unlisted T1 - Efficient monetary policy design near price stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-67 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700163; Keywords: Monetary policy ; Interest rates ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - We study the design of monetary policy in a low inflation environment taking into account the limitations imposed by the zero bound on nominal interest rates. Using numerical dynamic programming methods, we compute optimal policies in a simple, calibrated open-economy model and evaluate the effect of the liquidity trap generated by the zero bound. We consider the possibility that the quantity of base money may affect output and inflation even when the interest rate is constrained at zero and explicitly account for the substantial degree of uncertainty regarding such quantity effects. As an example of such a quantity effect, we focus on the portfolio balance channel through which changes in relative money supplies influence the exchange rate. We find that the optimal policy near price stability is asymmetric, that is, as inflation declines, policy turns expansionary sooner and more aggressively than would be optimal in the absence of the zero bound. As a consequence, the average level of inflation is biased upwards. These results indicate that policymakers are faced with a tradeoff between the level of inflation and economic stabilization performance when the economy is operating near the zero bound. Finally, we discuss operational issues associated with the interpretation and implementation of policy at the zero bound in relation to the recent situation in Japan. L3 - http://www.federalreserve.gov/pubs/feds/1999/199967/199967abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700163&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199967/199967abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AD - Unlisted T1 - Efficient tests for autoregressive unit roots in panel data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 646 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701074; Keywords: Econometric models ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series will be partially characterized. Using this characterization, several recently suggested tests are shown to be inadmissable. Since the sufficient statistic for this testing problem is multidimensional, there is no uniformly most powerful test; however, in light of the inadmissability result, a new test is proposed that appears to do well relative to existing tests. The test is parameterized in a way that allows the choice of different directional deviations from the null hypothesis over which power is to be maximized, giving added flexibility to researchers. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/646/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701074&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/646/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Porter, Richard D. AU - Reifschneider, David AU - Tetlow, Robert AU - Finan, Frederico AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Errors in the measurement of the output gap and the design of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-45 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700134; Keywords: Monetary policy ; Econometric models ; Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - We exploit data on historical revisions to real-time estimates of the output gap to examine the implications of measurement error for the design of monetary policy, using the Federal Reserve's model of the U.S. economy, FRB/US. Measurement error brings about a substantial deterioration in economic performance, although the problem can be mitigated somewhat by reducing the coefficient on the output gap in policy rules. We also show that it is usually optimal to place some weight on the level of the output gap in the conduct of policy, but under extreme conditions it may be preferable to focus on output growth. L3 - http://www.federalreserve.gov/pubs/feds/1999/199945/199945abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700134&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199945/199945abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AD - Unlisted T1 - Evaluating the forecasts of risk models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-11 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700138; Keywords: Forecasting ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - The forecast evaluation literature has traditionally focused on methods for assessing point-forecasts. However, in the context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value-at-risk (VaR) models, which are currently in extremely wide, use form interval forecasts. Many other important financial calculations also involve estimates not summarized by a point-forecast. Although some techniques are currently available for assessing interval and density forecasts, none are suitable for sample sizes typically available. This paper suggests a new approach to evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk quantity. The information content of forecast distributions combined with ex post loss realizations is enough to construct a powerful test even with sample sizes as small as 100. L3 - http://www.federalreserve.gov/pubs/feds/1999/199911/199911abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700138&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199911/199911abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, William R. AD - Unlisted T1 - Evidence of excess returns on firms that issue or repurchase equity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-06 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700097; Keywords: Stock - Prices ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - Between 1927 and 1992, portfolios of the stock of the 5 percent of firms with the lowest annual growth in shares outstanding (generally a reduction in shares outstanding) posted returns over the subsequent five years that averaged 12 percentage points more per year than the returns to portfolios of the 5 percent of firms with the highest annual growth in shares. The difference in returns is greater in more recent years and was positive for all of the final 33 years of the sample. The difference is apparent for portfolios of firms of all sizes and industries. The market beta of the returns to the portfolios of repurchasers exceeds only slightly that of the returns to the portfolios of issuers, insufficiently to account for more than a small part of the difference in average returns. L3 - http://www.federalreserve.gov/pubs/feds/1999/199906/199906abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700097&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199906/199906abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Kim, Jinill AD - Unlisted AD - Unlisted T1 - Exact utilities under alternative monetary rules in a simple macro model with optimizing agents PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 635 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701056; Keywords: Monetary policy ; Wages ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when contracts are signed. We evaluate alternative monetary policy rules using the utility function of the representative agent. Fully optimal policy can attain the Pareto-optimal equilibrium. Fully optimal policy is contrasted with both 'naive' and 'sophisticated' simple rules that involve, respectively, complete stabilization and optimal stabilization of one variable or a combination of two variables. With wage contracts, outcomes depend crucially on whether there are also price contracts. For example, if labor supply is relatively inelastic, for productivity shocks, nominal income stabilization yields higher welfare when there are no price contracts. However, with price contracts, outcomes are independent of whether there are wage contracts, except, of course, for the nominal wage. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/635/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701056&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/635/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Harrison, Paul AU - Sussman, Oren AU - Zeira, Joseph AD - Unlisted AD - Unlisted AD - Unlisted T1 - Finance and growth: theory and new evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-35 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700121; Keywords: Economic development ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 N2 - This paper describes a feedback effect between real and financial development. The paper presents a new variable, which we call the cost of financial intermediation, through which the feedback between finance and growth operates. The theoretical part of the paper describes how specialization of financial intermediaries leads to such a feedback effect. The main result of this feedback is that differences in productivity across countries are amplified by financial intermediation. The empirical part of the paper uses U.S. cross-state data from banks' income statements to measure the cost of financial intermediation and to provide evidence for the feedback effect between finance and growth. L3 - http://www.federalreserve.gov/pubs/feds/1999/199935/199935abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700121&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199935/199935abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - From indoctrination to the culture of change: technological progress, adaptive skills, and the creativity of nations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 642 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701058; Keywords: Technology ; Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - We distinguish learning in a static environment from that in a dynamic environment to show the existence of an important interaction between the development of new technologies and human capital accumulation. Since technological progress creates a more dynamic and uncertain environment, it not only increases the rewards to education and ability but also enhances adaptive skills. The latter in turn determine how effectively new technologies are utilized in production because they help the workforce to innovate and improve new technologies. Thus, the adaptive skills of a workforce are an important link with which inventions and innovations play complementary roles in technological progress. Our results suggest why countries that have comparable levels of aggregate human capital and that are in similar stages of development may differ significantly in how successful they are in implementing new technologies. They also show how the intergenerational transmission of knowledge evolves endogenously with technological change. If technology changes rapidly during the process of development, learning fosters the intergenerational propagation of adaptive skills. In contrast, if technological progress is slow during development, the education of the young reinforces the learning of long-held norms. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/642/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701058&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/642/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheiner, Louise AD - Unlisted T1 - Health care costs, wages, and aging PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-19 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700106; Keywords: Medical care ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - While economists generally agree that workers pay for their health insurance costs through reduced wages, there has been little thought devoted to the level at which these costs are passed on: Is each employee's wage reduced by the amount of his or her own health costs, by the average health costs of employees in the firm, or by some amount in between? This paper analyzes one dimension of the question of how firms pass health costs to workers. Using cross-city variation in health costs, I test whether older workers pay for their higher health costs in the form of lower wages. I find that in cities where health insurance costs are high, the age/wage profile is flatter, indicating that older workers do pay for their higher health costs in the form of reduced wages. This finding is robust to the inclusion of several other city-specific variables that might also affect age/wage profiles and that could be correlated with health insurance costs. I also find that workers who choose family health insurance coverage pay for the added employer costs through reduced wages. L3 - http://www.federalreserve.gov/pubs/feds/1999/199919/199919abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700106&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199919/199919abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AU - Bollerslev, Tim AD - Unlisted AD - Unlisted T1 - High frequency data, frequency domain inference and volatility forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 649 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701065; Keywords: Financial markets ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financial market volatility using high frequency data. The method avoids using a tight parametric model, by instead simply fitting a long autoregression to log-squared, squared or absolute high frequency returns. This can either be estimated by the usual time domain method, or alternatively the autoregressive coefficients can be backed out from the smoothed periodogram estimate of the spectrum of log-squared, squared or absolute returns. We show how this approach can be used to construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/649/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701065&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/649/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AU - Wieland, Volker AD - Unlisted AD - Unlisted T1 - Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-39 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700127; Keywords: Interest rates ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - The Federal Reserve and other central banks tend to change short-term interest rates in sequences of small steps in the same direction and reverse the direction of interest rate movements only infrequently. These characteristics, often referred to as interest-rate smoothing, have led to criticism that policy responds too little and too late to macroeconomic developments, suggesting to some observers that the Federal Reserve has an objective of minimizing interest-rate volatility. This paper, however, argues that the observed degree of interest-rate smoothing may well represent optimal behavior on the part of central banks whose only objectives are to stabilize output and inflation. We summarize recent research on three different explanations of interest-rate smoothing: forward-looking behavior by market participants, measurement error associated with key macroeconomic variables, and uncertainty regarding relevant structural parameters. L3 - http://www.federalreserve.gov/pubs/feds/1999/199939/199939abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700127&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199939/199939abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Morris A. AU - Foster, E. Michael AD - Unlisted AD - Unlisted T1 - Intra-household allocation and the mental health of children: structural estimation analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-30 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700123; Keywords: Child care ; Medical care ; Home economics - Accounting; Publication Type: Working Paper; Update Code: 200404 N2 - This paper estimates the structural parameters of a dynamic model where parents with one child periodically decide whether or not their child uses various mental health services. In this model, mental health services improve a child's mental health (which parents care about), however, mental health services may be costly to the parents both in terms of utility and household consumption. Using a panel data set collected as part of the Fort Bragg Mental Health Demonstration, we estimate the model with a maximum likelihood procedure that accounts for unobservable differences in mental health endowments of children and population heterogeneity in parental preferences and in the effectiveness of mental health services. We estimate that parents experience relatively high disutility when a child uses mental health services, implying parents enroll their children in mental health services only if these services have multi-period effects on their child's mental health. Correspondingly, we find that outpatient and inpatient mental health services have permanent effects on a child's mental health. We conclude that the improvement over time of the mental health of the children in our data is, in a large part, the outcome of forward looking parents choosing to increase their child's mental health. L3 - http://www.federalreserve.gov/pubs/feds/1999/199930/199930abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700123&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199930/199930abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nason, James M. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Investment and the current account in the short run and the long run PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 647 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701062; Keywords: Investments ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 N2 - Theoretical models of the relationship between investment and the current account impose restrictions on the joint dynamic behavior of these variables. These restrictions come in two forms. One imposes causal orderings on investment and the current account. The other restriction concerns the permanent responses of these variables to different shocks. We use these restrictions to identify empirically structural shocks from vector autoregressions of investment and the current account for Canada. Under certain identifications, our results support the implications of the intertemporal, small open economy model. However, these results are sensitive to perturbations of the identifications. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/647/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701062&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/647/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cummins, Jason G. AU - Hassett, Kevin A. AU - Oliner, Stephen D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Investment behavior, observable expectations, and internal funds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-27 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700116; Keywords: Investments ; Liquidity (Economics) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We use earnings forecasts from securities analysts to construct more accurate measures of the fundamentals that affect the expected returns to investment. We find that investment responds significantly--in both economic and statistical terms--to our new measures of fundamentals. Our estimates imply that the elasticity of the investment-capital ratio with respect to a change in fundamentals is generally greater than unity. In addition, we find that internal funds are uncorrelated with investment spending, even for selected subsamples of firms--those paying no dividends and those without bond ratings--that have been found to be "liquidity constrained" in previous studies. Our results cast doubt on the evidence for liquidity constraints from the many studies that have used Tobin's Q to control for the expected returns to investment. L3 - http://www.federalreserve.gov/pubs/feds/1999/199927/199927abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700116&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199927/199927abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Is corporate governance ineffective in emerging markets? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-63 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700160; Keywords: Developing countries ; Corporations; Publication Type: Working Paper; Update Code: 200404 N2 - I test whether corporate governance is ineffective in emerging markets by estimating the link between CEO turnover and firm performance for over 1,200 firms in eight emerging markets. I find two main results. First, CEOs of emerging market firms are more likely to lose their jobs when their firm's performance is poor, suggesting that corporate governance is not ineffective in emerging markets. Second, for the subset of firms with a large domestic shareholder, there is no link between CEO turnover and firm performance. For this subset of emerging market firms, corporate governance appears to be ineffective. ; This is a new version of this paper dated December 2002; previous version was dated November 1999. L3 - http://www.federalreserve.gov/pubs/feds/1999/199963/199963abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700160&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199963/199963abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AU - Morin, Norman J. AD - Unlisted AD - Unlisted T1 - Is hysteresis important for U.S. unemployment? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-56 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700157; Keywords: Unemployment ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - We look for evidence of "hysteresis" in the U.S. unemployment rate - that is, that current labor market outcomes affect the future equilibrium level of the unemployment rate. We first examine (using a variety of econometric tests for unit roots) whether the unemployment rate tends to come back to a long-run average over time. On balance, our results suggest that the unemployment rate tends to return to a long-run value, ruling out the possibility of permanent hysteresis. We look for evidence of temporary hysteresis by examining whether lagged unemployment enters a standard Phillips-curve model of U.S. inflation. We find week evidence in support of temporary hysteresis, but the effect is not large, suggesting that hysteresis is not very important for U.S. unemployment. L3 - http://www.federalreserve.gov/pubs/feds/1999/199956/199956abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700157&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199956/199956abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wright, Jonathan H. AD - Unlisted T1 - Long memory in emerging market stock returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 650 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701066; Keywords: Stocks ; Stock - Prices ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/650/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701066&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/650/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Measurement error in general equilibrium: the aggregate effects of noisy economic indicators PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-54 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700149; Keywords: Economic indicators ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - I analyze the business cycle implications of noisy economic indicators in the context of a dynamic general equilibrium model. Two main results emerge. First, measurement error in preliminary data releases can have a quantitatively important effect on economic fluctuations. For instance, under efficient signal-extraction, the introduction of accurate economic indicators would make aggregate output 10 to 30 percent more volatile than suggested by the post-war experience of the U.S. economy. Second, the sign---but not the magnitude---of the measurement error effect depends crucially on the signal processing capabilities of agents. In particular, if agents take the noisy data at face value, significant improvements in the quality of key economic indicators would lead to considerably less cyclical volatility. L3 - http://www.federalreserve.gov/pubs/feds/1999/199954/199954abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700149&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199954/199954abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello AU - Lach, Saul AD - Unlisted AD - Unlisted T1 - Measuring temporary labor outsourcing in U.S. manufacturing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-57 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700150; Keywords: Labor market ; Manufactures ; Temporary employees; Publication Type: Working Paper; Update Code: 200404 N2 - Several analysts claim that firms have been using more flexible work arrangements in order to contain the costly adjustment of labor to changes in economic conditions. In particular, temporary help supply (THS) employment has increased dramatically in the last ten years. However, there is only scant evidence on the industries that are hiring this type of worker. In particular, some anecdotal evidence points to the fact that manufacturing industries have substantially stepped up their demand for THS workers since the mid-1980s. If this is true, not accounting for this flow of workers from the service sector to manufacturing may lead to misleading conclusions about the cyclical and long-term path of manufacturing employment and hours of work. We close this gap by providing several estimates of the number of individuals employed by temporary help supply (THS) firms who worked in the manufacturing sector from 1972 to 1997. One estimate, in particular, is based on a new methodology that uses minimal assumptions to put bounds on the probability that a manufacturing worker is employed by a THS firm. The bounds rely on readily available data on workers' individual characteristics observable in the CPS. We show that manufacturers have been using THS workers more intensively in the 1990s. In addition, the apparent flatness of manufacturing employment in the 1990s can be explained in part by this type of outsourcing from the service sector. Finally, not accounting for THS hours overstated the increase in average annual manufacturing labor productivity by 1/2 percentage point during the 1991-1997 period. L3 - http://www.federalreserve.gov/pubs/feds/1999/199957/199957abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700150&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199957/199957abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swanson, Eric T. AD - Unlisted T1 - Measuring the cyclicality of real wages: how important is aggregation across industries? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-52 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700155; Keywords: Wages ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - There is a growing consensus among economists that real wages in the postwar U.S. have been moderately to strongly procyclical, particularly in panel data on workers. From the point of view of hiring decisions of firms, however, this conclusion may be premature or even erroneous. Whether a firm's labor demand curve is stable or shifting at business cycle frequencies should be tested with a wage that is deflated by the firm's own price of output, with appropriate controls for the prices of intermediate inputs, and with respect to the cyclical state of the firm's own industry, as opposed to the state of the aggregate economy. I find that failing to control for these factors has led to a substantial procyclical bias in previous estimates of wage cyclicality. In two-digit and four-digit level (SIC) industry data on wages, with controls for changes in worker composition, I find that a substantial majority of sectors have paid real product wages that vary inversely (i.e., countercyclically) with the state of their industry. L3 - http://www.federalreserve.gov/pubs/feds/1999/199952/199952abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700155&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199952/199952abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carrington, William J. AU - Fallick, Bruce C. AD - Unlisted AD - Unlisted T1 - Minimum wage careers? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-46 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700145; Keywords: Minimum wage ; Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the extent to which people spend careers on minimum wage jobs. We find that a small but non-trivial number of NLSY respondents spend 25%, 50%, or even 75% of the first ten years of their career on minimum or near-minimum wage jobs. Workers with these minimum wage careers tend to be drawn from groups such as women, blacks, and the less-educated that are generally overrepresented in the low-wage population. The results indicate that lifetime incomes of some workers may be supported by a minimum wage. At the same time, these same groups would be disproportionately affected by any minimum wage-induced disemployment. The results suggest that minimum wage legislation has non-negligible effects on the lifetime opportunities of a significant minority of workers. L3 - http://www.federalreserve.gov/pubs/feds/1999/199946/199946abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700145&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199946/199946abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swanson, Eric AD - Unlisted T1 - Models of sectoral reallocation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-03 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700099; Keywords: Industrial capacity ; Productivity ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper demonstrates several strengths and shortcomings of models of sectoral reallocation. Although such models demonstrate that sectoral reallocation can be an important amplification and propagation mechanism for exogenous shocks, they are essentially unable to explain any effects of sectoral reallocation on aggregate productivity or related quantities (such as the real wage or observations of aggregate increasing returns to scale), unless a wedge is introduced into the model that drives the marginal products of inputs in different sectors apart in steady state. In particular, costs of adjustment and lags to adjustment are not sufficient. This paper offers a solution to the problem in the form of variable sectoral capital utilization, the marginal product of which can differ across sectors in steady state. Reallocations of production between sectors in this setting are then shown to have first-order effects on aggregate productivity and real wages, and can explain the procyclicality of these variables without reliance on large, exogenous, and persistent shocks to technology. L3 - http://www.federalreserve.gov/pubs/feds/1999/199903/199903abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700099&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199903/199903abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Karen AU - Small, David AU - Tryon, Ralph AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and price stability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 641 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701060; Keywords: Monetary policy ; Inflation (Finance) ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores issues that arise in implementing monetary policy under conditions of sustained price stability. We discuss several issues that concern the selection of a central bank's inflation objective under such conditions: price measurement; the behavior of other key variables, particularly wages; and the possible existence of other channels through which low inflation could change relationships within the real economy. We present a framework for analyzing monetary policy reaction functions that can illuminate the choices facing policy makers in a regime of price stability. The zero lower bound on nominal interest rates is a potential constraint on monetary policy when nominal interest rates are low on average, which will tend to be the case when long-term inflation is low. We summarize the results of research done at the Federal Reserve to clarify these issues for the United States and consider the availability and effectiveness of alternative policy tools when the nominal interest rate is at the zero bound. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/641/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701060&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/641/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Monetary policy's role in exchange rate behavior PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 652 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701064; Keywords: Monetary policy ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - While much empirical work has addressed the role of monetary policy shocks in exchange rate behavior, conclusions have been clouded by the lack of plausible identifying assumptions. We apply a recently developed inference procedure allowing us to relax dubious identifying assumptions. This work overturns some earlier results and strengthens others: i) Contrary to earlier findings of "delayed overshooting," the peak exchange rate effect of policy shocks may come nearly immediately after the shock; ii) In every otherwise reasonable identification, monetary policy shocks lead to large uncovered interest rate parity (UIP) deviations; iii) Monetary policy shocks may account for a smaller portion of the variance of exchange rates than found in earlier estimates. While (i) is consistent with overshooting, (ii) implies that the overshooting cannot be driven by Dornbusch's mechanism, and (iii) gives reason to doubt whether monetary policy shocks are the main source of exchange rate volatility. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/652/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701064&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/652/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wieland, Volker AD - Unlisted T1 - Monetary policy, parameter uncertainty and optimal learning PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-48 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700147; Keywords: Monetary policy ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - Since central banks have limited information concerning the transmission channel of monetary policy, they are faced with the difficult task of simultaneously controlling the policy target and estimating the impact of policy actions. A tradeoff between estimation and control arises because policy actions influence estimation and provide information which may improve future performance. I analyze this tradeoff in a simple model with parameter uncertainty and conduct dynamics simulations of the policymaker's decision problem in the presence of the type of uncertainties that arose in the wake of German reunification. A policy that separates learning from control may induce a persistent upward bias in money growth and inflation, just as observed after unification. In contrast, the optimal learning strategy which exploits the tradeoff between control and estimation significantly improves stabilization performance and reduces the likelihood of inflationary bias. L3 - http://www.federalreserve.gov/pubs/feds/1999/199948/199948abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700147&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199948/199948abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Covitz, Daniel AU - Heitfield, Erik AD - Unlisted AD - Unlisted T1 - Monitoring, moral hazard, and market power: a model of bank lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-37 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700122; Keywords: Bank loans ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - We model the relationship between market power and both loan interest rates and bank risk without placing strong restrictions on the moral hazard problems between borrowers and banks and between banks and a government guarantor. Our results suggest that these relationships hinge on intuitive parameterizations of the overlapping moral hazard problems. Surprisingly, for lending markets with a high degree of borrower moral hazard but limited bank moral hazard, we find that banks with market power charge lower interest rates than competitive banks. We also find that competition makes banking industry risk highly sensitive to macroeconomic fluctuations by making banks more vulnerable to borrower moral hazard. This finding offers an explanation for the dramatic rise and subsequent decline in bank failure rates during the 1980s and 1990s. L3 - http://www.federalreserve.gov/pubs/feds/1999/199937/199937abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700122&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199937/199937abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gallin, Joshua Hojvat AD - Unlisted T1 - Net migration and state labor market dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-16 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700103; Keywords: Emigration and immigration ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - I present a simple model of migration in which the net migration rate into a state depends on the expected present value of labor market conditions and amenities. I show that though this is a common model, existing empirical estimates do not separately identify the underlying parameters. The identification problem can be thought of as an omitted variable bias because no explicit measure of expected future labor market conditions is included. I use state-level data to estimate empirical models in which the underlying parameters are identified. I find that high wages and low unemployment encourage in-migration, but that the omitted variable bias can be large. For example, when I control for future conditions in one model, the strength of the relationship between current wages and net migration is less than half as large. I integrate the migration model into a simple labor supply and demand framework and use my estimates of the migration model to simulate a labor market's response to permanent and transitory demand shocks. In the short run, net migration responds more to permanent shocks and current wages and employment rates respond more to transitory ones. L3 - http://www.federalreserve.gov/pubs/feds/1999/199916/199916abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700103&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199916/199916abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Downing, Chris AD - Unlisted T1 - Nonparametric estimation of multifactor continuous time interest rate models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-62 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700159; Keywords: Interest rates ; Econometric models ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the finite sample properties of the kernel regression method of Boudoukh et al. (1998) for estimating multifactor continuous-time term structure models. Monte Carlo simulations are employed, with a grid-search technique to find the optimal kernel bandwidth. The estimator exhibits truncation and correlated residuals biases near the boundaries of the data. However, the variance of the estimator is so high that the biases are unlikely to be relevant from a hypothesis testing point of view. The performance of the estimator is also studied under model misspecification. Irrelevant regressors reduce efficiency and induce additional biases in the estimates. Using Treasury bill data, I test whether the estimates produced by the nonparametric estimator are statistically distinguishable from estimates obtained under a parametric model. The kernel regressions pick up nonlinearities in the data that the parametric model cannot capture. L3 - http://www.federalreserve.gov/pubs/feds/1999/199962/199962abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700159&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199962/199962abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooker, Mark A. AD - Unlisted T1 - Oil and the macroeconomy revisited PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-43 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700130; Keywords: Macroeconomics ; Power resources - Prices ; Petroleum industry and trade; Publication Type: Working Paper; Update Code: 200404 N2 - The relationship between oil price shocks and U.S. macroeconomic fluctuations advocated by Hamilton (1983) broke down in the 1980s amidst a new regime of highly volatile oil price movements. Several authors have argued that asymmetric and nonlinear transformations of oil prices restore that relationship and thus that the economy responds asymmetrically and nonlinearly to oil price shocks. In this paper, I show that this is only part of the story: the two leading such transformations do not in fact Granger cause output or unemployment in the post-1980 period without further refinements, and they derive much of their apparent success from data in the 1950s. If output is expressed in year-over-year changes, which are smoother than the usual quarterly changes, and the equations exclude variables like interest rates and inflation, then asymmetric and nonlinear oil prices predict output but not unemployment, while the real level of oil prices predicts unemployment but not output. I interpret this evidence as supportive of significant oil price effects on the macroeconomy which a) are at relatively low frequencies, b) are indirect, through variables like interest rates and inflation, c) can induce departures from Okun's law, and d) changed qualitatively around 1980. L3 - http://www.federalreserve.gov/pubs/feds/1999/199943/199943abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700130&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199943/199943abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AU - McLaren, John AD - Unlisted AD - Unlisted T1 - On the dynamics of trade diversion: evidence from four trade blocs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 637 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700117; Keywords: International trade ; Free trade; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the dynamics of trade reorientation experienced when a country joins a regional trade bloc. We find that the joining country's trade orientation toward bloc countries typically rises along an 'S'-shaped path. We estimate the size, speed, and timing of this adjustment path for a 'typical' joining country, for four trade agreements. We find that, in the European Union (EU), the incumbent bloc countries' share of the joining country's trade typically rose by eighteen percentage points over the course of the adjustment; that this took twelve years; and that the adjustment began four years before the date of accession. MERCOSUR shows a similar pattern in progress, but NAFTA and EFTA are more idiosyncratic. We argue that the data provide strong evidence of anticipatory sunk investments made to prepare for accession. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/637/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700117&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/637/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AU - McLaren, John AD - Unlisted AD - Unlisted T1 - On the dynamics of trade diversion: evidence from four trade blocs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 637 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740576; Keywords: International trade; Free trade; Publication Type: Working Paper; Update Code: 200408 N2 - This paper studies the dynamics of trade reorientation experienced when a country joins a regional trade bloc. We find that the joining country's trade orientation toward bloc countries typically rises along an 'S'-shaped path. We estimate the size, speed, and timing of this adjustment path for a 'typical' joining country, for four trade agreements. We find that, in the European Union (EU), the incumbent bloc countries' share of the joining country's trade typically rose by eighteen percentage points over the course of the adjustment; that this took twelve years; and that the adjustment began four years before the date of accession. MERCOSUR shows a similar pattern in progress, but NAFTA and EFTA are more idiosyncratic. We argue that the data provide strong evidence of anticipatory sunk investments made to prepare for accession. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/637/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740576&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/637/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AU - Birgean, Ionel AU - Kilian, Lutz AD - Unlisted AD - Unlisted AD - Unlisted T1 - On the finite-sample accuracy of nonparametric resampling algorithms for economic time series PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-04 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700100; Keywords: Time-series analysis ; Sampling (Statistics); Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit of dynamic economic models in terms of their spectra, impulse responses, and related statistics, because they do not require a correctly specified economic model. Notwithstanding the potential advantages of nonparametric bootstrap methods, their reliability in small samples is questionable. In this paper, we provide a benchmark for the relative accuracy of several nonparametric resampling algorithms based on ARMA representations of four macroeconomic time series. For each algorithm, we evaluate the effective coverage accuracy of impulse response and spectral density bootstrap confidence intervals for standard sample sizes. We find that the autoregressive sieve approach based on the encompassing model is most accurate. However, care must be exercised in selecting the lag order of the autoregressive approximation. L3 - http://www.federalreserve.gov/pubs/feds/1999/199904/199904abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700100&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199904/199904abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Finan, Frederico S. AU - Tetlow, Robert AD - Unlisted AD - Unlisted T1 - Optimal control of large, forward-looking models efficient solutions and two examples PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-51 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700154; Keywords: Econometric models ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - An optimal control tool is described that is particularly useful for computing rules of large-scale models where users might otherwise have difficulty determining the state vector a priori and where the inversion of large, sparse matrices is involved. A small-scale demonstration is presented, as are data on performance with the Board of Governors large-scale rational expectations macroeconometric model, FRB/US. L3 - http://www.federalreserve.gov/pubs/feds/1999/199951/199951abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700154&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199951/199951abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lengwiler, Yvan AU - Orphanides, Athanasios AD - Unlisted AD - Unlisted T1 - Optimal discretion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-42 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700129; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the desirability of adopting a rule in favor of discretionary monetary policy in a model exhibiting Kydland and Prescott's dynamic inconsistency problem. We deviate from earlier work by adopting assumptions regarding policymaker preferences and inflation dynamics that are compatible with empirically motivated models used for macroeconomic policy evaluation. In particular, we dispense with the notion of a fundamental incompatibility between the policymaker's price stability and full employment objectives and allow for stickiness in the determination of inflation. In this setting, we show that if discretion provides a policy flexibility benefit, adoption of a rule remains optimal but only under certain circumstances. If the central bank's preference to contain inflation is fully credible, then a rule is optimal only when inflation exceeds an endogenously determined threshold. This setup gives rise to a discretionary policy zone for inflation with the central bank taking more drastic action towards stabilizing inflation when inflation veers outside the zone. We also examine optimal policy when the central bank's inflation fighting determination is not fully credible. Then, adopting a rule becomes optimal even when inflation is lower. This result provides a reconciliation of the theory regarding the optimality of adopting a rule with the empirical observation that policymakers appear more willing to abandon discretion when facing either low credibility or high inflation but are less inclined to do so otherwise. L3 - http://www.federalreserve.gov/pubs/feds/1999/199942/199942abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700129&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199942/199942abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Henderson, Dale W. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Optimal monetary policy with staggered wage and price contracts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 640 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701057; Keywords: Monetary policy ; Inflation (Finance) ; Wages ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - We formulate an optimizing-agent model in which both labor and product markets exhibit monopolistic competition and staggered nominal contracts. The unconditional expectation of average household utility can be expressed in terms of the unconditional variances of the output gap, price inflation, and wage inflation. Monetary policy cannot replicate the Pareto-optimal equilibrium that would occur under completely flexible wages and prices; that is, the model exhibits a tradeoff between stabilizing the output gap, price inflation, and wage inflation. The Pareto optimum is attainable only if either wages or prices are completely flexible. For reasonable calibrations of the model, we characterize the optimal policy rule. Furthermore, strict price inflation targeting is clearly suboptimal, whereas rules that also respond to either the output gap or wage inflation are nearly optimal. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/640/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701057&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/640/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - David, Alexander AU - Varonesi, Pietro AD - Unlisted AD - Unlisted T1 - Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-47 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700146; Keywords: Options (Finance) ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - In an incomplete information model, investors' uncertainty about the underlying drift rate of a firm's fundamentals affects option prices through (i) endogenous and belief-dependent stochastic volatility, (ii) stochastic covariance between returns and volatility, and (iii) a market price of "belief risk." For the special case where the drift takes only two values, we provide an option pricing formula using Fourier Transforms. The model calibrated to 1960-1998 S&P 500 real earnings growth shows that investors' uncertainty explains intertemporal variation in the slope and curvature of implied volatility curves as well as the conditional moments of the state-return density obtained from option data. The calibrated model generates hedging 'violations' of one-factor markov and deterministic volatility function models with roughly empirical frequencies. L3 - http://www.federalreserve.gov/pubs/feds/1999/199947/199947abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700146&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199947/199947abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Partial adjustment and staggered price setting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-01 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700095; Keywords: Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper compares staggered price setting to partial adjustment of prices in a small optimizing IS/LM model. In contrast to the overwhelming perception in the literature, the models are not similar for most parameterizations. These results clarify some confusion in recent work regarding the persistence of output responses to monetary shocks, reveal important quantitative differences between the stabilizing properties of different monetary policies across sticky price specifications, and highlight the role for more research on new-Keynesian "real rigidities" in DGE models. L3 - http://www.federalreserve.gov/pubs/feds/1999/199901/199901abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700095&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199901/199901abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - Pricing systemic crises: monetary and fiscal policy when savers are uncertain PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-33 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700120; Keywords: Monetary policy ; Financial crises; Publication Type: Working Paper; Update Code: 200404 N2 - The return on assets depends on the joint behavior of all savers; if all sell the asset simultaneously, then there will be a financial "Armageddon." We assume that risk-neutral savers' information about aggregate investment is too vague to form precise probability estimates, so they have Knightian uncertainty, and thus act to maximize their minimum payoff. Savers invest in a risky asset (economy-wide production) and in a riskless asset (government bonds). In times of high uncertainty, savers hold too many government bonds, lowering output. A monetary policy of lowering the risk-free rate causes savers to save less in total but to invest more in the risky asset, and the policy is shown to be Pareto-improving; but the policy is unable to recapture the optimal allocations. To restore investment and total savings to their optimal levels, the government must also use a fiscal policy of distortionary taxes to discourage current consumption and leisure. L3 - http://www.federalreserve.gov/pubs/feds/1999/199933/199933abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700120&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199933/199933abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lebow, David AU - Sheiner, Louise AU - Slifman, Larry AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Recent trends in compensation practices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-32 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700125; Keywords: Wages ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - According to some accounts, compensation practices have recently been undergoing marked changes, with an increasing number of firms said to be substituting lump-sum payments for regular pay increases, allowing for greater variability of remuneration across individuals or groups, and making greater use of profit sharing or stock options. Many of these practices are outside the scope of the typical measures of economy-wide compensation growth. Moreover, intensified use of these schemes ought to heighten the responsiveness of overall compensation costs to business conditions and could also, in theory, boost productivity. We find that the spreading use of these practices could be leading to an understatement of the annual growth rate of actual employment costs (relative to the published employment cost index) that is not insignificant--perhaps on the order of three-tenths of a percentage point currently. Moreover, the changes have apparently helped to increase the flexibility of pay both across time and across workers. In addition, by linking pay more closely to performance, the firms we contacted seemed to think that their employees were working more efficiently and with an eye to enhancing the "bottom line" of the company. L3 - http://www.federalreserve.gov/pubs/feds/1999/199932/199932abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700125&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199932/199932abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, J. Nellie AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Share repurchases and employee stock options and their implications for S&P 500 share retirements and expected returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-59 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700152; Keywords: Stock - Prices ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate the effects of share repurchases and employee stock option exercises on net share retirements for large S&P 500 companies. We find that, over the past five years, gross repurchases have reduced shares outstanding 2 percent annually; but, owing to the exercise of employee stock options, only about half of those shares were actually retired. Given the recent pace of employee stock option grants, and assuming that equities continue to be priced at about 30 times earnings, our analysis suggests that the pace of net share retirements will fall well below the pace of the last few years, unless corporations use nearly all their earnings to fund shareholder payouts. Moreover, over the long haul, assuming corporations need to retain 40 to 50 percent of their earnings to invest and grow at historical rates, the long-run average pace of net share retirements is likely to fall to 1/2 percent or less. L3 - http://www.federalreserve.gov/pubs/feds/1999/199959/199959abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700152&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199959/199959abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tinsley, P. A. AD - Unlisted T1 - Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-14 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700143; Keywords: Interest rates ; Bonds; Publication Type: Working Paper; Update Code: 200404 N2 - The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis, anticipated settings of the short-term interest rate controlled by the central bank are the main determinants of nominal bond rates. Historical experience suggests that bond rates may remain relatively high even if the short-term interest rate is reduced to zero, in part due to term premiums reflecting uncertainty about future policy. Term spreads due to policy uncertainty may be reduced by central bank trading desk options that provide insurance against future deviations from an announced interest rate policy. L3 - http://www.federalreserve.gov/pubs/feds/1999/199914/199914abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700143&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199914/199914abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Williams, John C. AD - Unlisted T1 - Simple rules for monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-12 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700139; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - What is a good monetary policy rule for stabilizing the economy? In this paper, efficient policy rules are computed using the FRB/US large-scale open-economy macroeconometric model. Simple three-parameter policy rules are found to be very effective at minimizing fluctuations in inflation, output, and interest rates: Increases in rule complexity yield only trivial reductions in aggregate variability. Under rational expectations, efficient policies smooth the interest rate response to shocks and use the feedback from anticipated policy actions to stabilize inflation and output and to moderate movements in short-term interest rates. Policy should react to a multi-period inflation rate rather than the current quarter inflation rate; in fact, targeting the price level, as opposed to the inflation rate, involves only small additional stabilization costs. These results are robust to parameter and model uncertainty and the imposition of the non-negativity constraint on nominal interest rates. However, if expectations formation is invariant to policy, as in backward-looking models, the expectations channel is shut off and the performance of policies that are efficient under rational expectations may, as a result, deteriorate markedly; efficient policies, in contrast, exploit systematic expectational errors. L3 - http://www.federalreserve.gov/pubs/feds/1999/199912/199912abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700139&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199912/199912abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tetlow, Robert J. AU - von zur Muehlen, Peter AD - Unlisted AD - Unlisted T1 - Simplicity versus optimality the choice of monetary policy rules when agents must learn PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-10 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700137; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - The monetary policy rules that are widely discussed--notably the Taylor rule--are remarkable for their simplicity. One reason for the apparent preference for simple ad hoc rules over optimal rules might be the assumption of full information maintained in the computation of an optimal rule. Arguably this makes optimal control rules less robust to model specification errors. In this paper, we drop the full-information assumption and investigate the choice of policy rules when agents must learn the rule that is in use. To do this, we conduct stochastic simulations on a small, estimated forward-looking model, with agents following a strategy of least-squares learning or discounted least-squares learning. We find that the costs of learning a new rule can, under some circumstances, be substantial. These circumstances vary with the preferences of the monetary authority and with the rule initially in place. Policymakers with strong preferences for inflation control must incur substantial costs when they change the rule; but they are nearly always willing to bear those costs. Policymakers with weak preferences for inflation control, on the other hand, may actually benefit from agents' prior belief that a strong rule is in place. L3 - http://www.federalreserve.gov/pubs/feds/1999/199910/199910abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700137&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199910/199910abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AD - Unlisted T1 - Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 656 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701069; Keywords: Business cycles ; Latin America ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the sources of economic fluctuations in three key Latin American countries (Argentina, Brazil, and Mexico) using a dynamic panel model, distinguishing between external and domestic shocks. The primary motivation is to examine the implications for the choice of monetary and exchange rate regimes, including dollarization. The results do not provide a strong, clear case in favor of a particular policy choice. On the one hand, foreign output shocks, including those of the U.S., appear to have a quite limited role in driving output fluctuations in these Latin countries; this absence of common shocks undermines the case for a rigidly fixed exchange rate regime. On the other hand, the historical experience of these countries indicates that real exchange rates are not very responsive to external shocks, in general, and that exchange rate depreciations tend to be contractionary in the short run. This suggests that rigidity of exchange rates may not be as costly for these countries as economic theory leads us to expect. Although the historical experience of these countries is certainly relevant, the caveat that it is characterized by several failed fixed exchange rate regimes, thereby making it a less-than-ideal testing ground for evaluating a pure floating exchange rate system, should be noted. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/656/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701069&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/656/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Stock prices, expected returns, and inflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-02 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700096; Keywords: Stock - Prices ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the effect of expected inflation on stock prices and expected long-run returns. An ex ante estimates measure of expected long-run returns is derived by incorporating estimates of expected of future corporate cash flows into a variant of the Campbell-Shiller dividend-price ratio model. In this model, the log earnings-price ratio is expressed as a linear function of expected future returns, expected earnings growth rates, and the log of the current dividend-payout ratio. Expectations of earnings growth are inferred from equity analysts' earnings forecasts, while inflation expectations are drawn from surveys of professional forecasters. I find that the negative relation between equity valuations and expected inflation results from two effects: higher expected inflation coincides with (I) lower expected real earnings growth and (ii) higher required real returns. The earnings channel is not merely a reflection of inflation's recession-signalling properties; rather, much of the negative valuation effect results from a negative relation between expected inflation and expected longer-term real earnings growth. The effect of expected inflation on required (long-run) real stock returns is also substantial. A one percentage point increase in expected inflation raises required real stock returns about one percentage point, which on average implies a 20 percent decline in the level of stock prices. The inflation-related component of expected real stock returns is closely related to the component explained by real long-term bond yields. L3 - http://www.federalreserve.gov/pubs/feds/1999/199902/199902abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700096&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199902/199902abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Tax incentives, material inputs, and the supply curve for capital equipment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-21 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700108; Keywords: Tax reform ; Capital investments; Publication Type: Working Paper; Update Code: 200404 N2 - The slope of the supply curve for capital equipment has important implications for the macroeconomics of investment and the effects of tax reform on capital accumulation. Goolsbee (1998) has used changes in investment tax incentives to identify whether this supply curve is significantly upward-sloping and has concluded that it is. This paper shows that investment tax incentives are a poor instrument for identifying this supply curve because they are spuriously correlated with supply shocks for equipment producers. Once input costs for equipment producers are controlled for, there is no evidence of a relationship between tax incentives and equipment prices. In fact, the evidence favors the interpretation that the supply curve is flat. L3 - http://www.federalreserve.gov/pubs/feds/1999/199921/199921abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700108&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199921/199921abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Otoo, Maria W. AD - Unlisted T1 - Temporary employment and the natural rate of unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-66 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700164; Keywords: Unemployment ; Temporary employees ; Labor market; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the determinants of the natural rate of unemployment using a combined cross section and time series data set. The results suggest that industry composition affects the natural rate. In particular, a higher share of temporary employment in a local labor market tends to lower the natural rate of unemployment--most likely through the matching function. The results suggest that the increase in the share of temporary employment may have reduced the natural rate as much as 1/4 percentage point. The results also indicate that unemployment insurance benefits tend to boost the natural rate, while having a more highly educated work force tends to lower it. However, the degree of union presence in a local labor market had little impact on the natural rate. L3 - http://www.federalreserve.gov/pubs/feds/1999/199966/199966abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700164&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199966/199966abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jones, Barry E. AU - Nesmith, Travis D. AD - Unlisted AD - Unlisted T1 - Tests for non-linear dynamics in systems of non-stationary economic time series: the case of short-term US interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-55 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700156; Keywords: Interest rates ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Using Hall and Heyde's (1980) representation theorem, we show that the stationary co-integration relations of an integrated system are generally non-linear stochastic processes. We propose a sequential non-parametric procedure to test stationary co-integration relations for non-linear dynamics, and apply this procedure to short term U.S. interest rates as an illustration. We demonstrate that the weekly federal funds rate is co-integrated with Treasury bill and commercial paper rates and that the co-integration relations are non-linear. L3 - http://www.federalreserve.gov/pubs/feds/1999/199955/199955abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700156&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199955/199955abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, William R. AD - Unlisted T1 - The aggregate change in shares and the level of stock prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-08 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700135; Keywords: Stock - Prices ; Rate of return; Publication Type: Working Paper; Update Code: 200404 N2 - The average change in shares of equity is negatively correlated with estimates of the equity premium calculated using the dividend-ratio model of Campbell and Shiller, as well as with a variant of the model written in terms of the earnings-price ratio. This correlation is consistent with corporations issuing equity when it is a relatively inexpensive source of finance and repurchasing equity when it is a relatively good investment. However, when the retirement of shares resulting from mergers are included, the average change in shares is no longer significantly correlated with the equity premium. L3 - http://www.federalreserve.gov/pubs/feds/1999/199908/199908abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700135&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199908/199908abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AU - Follette, Glenn AD - Unlisted AD - Unlisted T1 - The automatic fiscal stabilizers: quietly doing their thing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-64 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700161; Keywords: Economic stabilization ; Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents theoretical and empirical analysis of automatic fiscal stabilizers, such as the income tax and unemployment insurance benefits. Using the modern theory of consumption behavior, we identify several channels--insurance effects, wealth effects and liquidity constraints--through which the optimal reaction of household consumption plans to aggregate income shocks is tempered by the automatic fiscal stabilizers. In addition we identify a cash flow channel for investment. The empirical importance of automatic stabilizers is addressed in several ways. We estimate elasticities of the various federal taxes with respect to their tax bases and responses of certain components of federal spending to changes in the unemployment rate. Such estimates are useful for analysts who forecast federal revenues and spending; the estimates also allow high-employment or cyclically-adjusted federal tax receipts and expenditures to be estimated. Using frequency domain techniques, we confirm that the relationships found in the time domain are strong at the business cycle frequencies. Using the FRB/US macro-econometric model of the United States economy, the automatic fiscal stabilizers are found to play a modest role at damping the short-run effect of aggregate demand shocks on real GDP, reducing the "multiplier" by about 10 percent. Very little stabilization is provided in the case of an aggregate supply shock. L3 - http://www.federalreserve.gov/pubs/feds/1999/199964/199964abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700161&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199964/199964abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - The banking industry and the safety net subsidy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-34 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700119; Keywords: Monetary policy ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 N2 - Governments use monetary policies to counteract the effects of financial crises. In this paper we examine the subsidy that such "safety net" policies provide to the banking industry. Using a model of uncertainty-driven financial crises, we show that any monetary policy designed to maintain risky investment in the face of investor uncertainty (and thus promote economic growth and stability) will subsidize the banking industry. In addition, we show that the mere presence of a monetary authority willing to support a failing banking system in bad times subsidizes the banking industry, even if those bad times do not occur. A conditional bailout policy that does not extend equally to all financial institutions creates a greater subsidy for those institutions perceived as being "close" to the central bank, possibly giving these institutions a competitive advantage. Economic profits, in this model, are required to cover fixed costs of entry into the banking system. L3 - http://www.federalreserve.gov/pubs/feds/1999/199934/199934abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700119&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199934/199934abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fleischman, Charles A. AD - Unlisted T1 - The causes of business cycles and the cyclicality of real wages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-53 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700148; Keywords: Business cycles ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - A model's ability to explain procyclical movements in real wages has become an important benchmark by which macroeconomists judge business cycle theories. Because Keynesian models with sticky nominal wages predict countercyclical real wages, they have been criticized and dismissed in favor of Real Business Cycle models or New Keynesian models based on price stickiness or countercyclical markups. The bulk of the evidence for procyclical real wages, however, comes from studies using panel data that estimate the unconditional, contemporaneous correlation between real wages and the unemployment rate. These studies constrain real wage cyclicality to be the same irrespective of the source of the business cycle fluctuations. This paper relaxes this constraint and estimates a structural VAR identified by long-run restrictions on the responses of hours and output to labor supply, technology, oil price, and aggregate demand shocks. It finds that real wages are procyclical in response to technology shocks and oil price shocks, but are countercyclical in response to labor supply shocks and aggregate demand shocks. The procyclicality of real wages during the periods covered by the panel data sets may be explained by the importance of the productivity slowdown and the 1970s oil price shocks. The results highlight the limitations of using the unconditional, contemporaneous correlation between real wages and business cycle indicators to sort out competing theories of the business cycle, and cast strong doubt on the appropriateness of the rejection of sticky wage models. L3 - http://www.federalreserve.gov/pubs/feds/1999/199953/199953abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700148&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199953/199953abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Babson, Oliver D. AD - Unlisted AD - Unlisted T1 - The contributions of domestic and external factors to Latin American devaluation crises: an early warning systems approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 645 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701073; Keywords: Financial crises ; Latin America; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper we develop a modified "early warning system" (EWS) approach to identifying the roles of domestic and external factors in Latin America's crises. Several probit models of balance-of-payments crises, based on different identified sets of crisis dates, were estimated for six Latin American countries. These models were then used to identify the separate contributions to the probabilities of crisis of domestic and external variables. Our basic finding is that, when the effect of adverse external shocks is removed from the simulated probabilities of devaluation in Latin America, the resultant simulated devaluation probabilities are still high. Taken at face value, these results indicate that devaluation crises in Latin America primarily have been a function of domestic policy and economic imbalances, with exogenous external factors playing only a secondary role. All else equal, this suggests that the adoption of strongly fixed exchange rate regimes in the region may not be too costly in terms of diminished ability to respond to exogenous external shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/645/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701073&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/645/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - The current international financial crisis: how much is new? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 636 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701072; Keywords: Financial crises; Publication Type: Working Paper; Update Code: 200404 N2 - The paper surveys a broad array of data to compare the scope and impact of three emerging-market financial crises: the debt crisis of the 1980s, the Mexican financial crisis of 1994-95, and the current international financial crisis. While certain conventional views regarding the three episodes are supported by the data examined in this paper, we find that in several respects, the current crisis is more similar to prior emerging-market crisis episodes than is commonly believed. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/636/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701072&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/636/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Bonime, Seth D. AU - Goldberg, Lawrence G. AU - White, Lawrence J. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The dynamics of market entry: the effects of mergers and acquisitions on do novo entry and small business lending in the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-41 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700133; Keywords: Bank loans ; Small business ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - We study the dynamics of market entry following mergers and acquisitions (M&As) and the behavior of recent entrants in supplying output that might be withdrawn by the consolidating firms. The data, drawn from the banking industry, suggest that M&As are associated with subsequent increases in the probability of entry. The estimates suggest that M&As explain more than 20% of entry in metropolitan markets and more than 10% of entry in rural markets. Additional results suggest that bank age has a strong negative effect on the small business lending of small banks but that M&As have little influence on this lending. L3 - http://www.federalreserve.gov/pubs/feds/1999/199941/199941abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700133&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199941/199941abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Svensson, Lars E. O. AD - Unlisted AD - Unlisted T1 - The equilibrium degree of transparency and control in monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 651 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701067; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. Under commitment, we find that the deliberate choice of sloppy control is far less likely under a standard central-bank loss function than reported for a less-standard loss function by Cukierman and Meltzer. Under discretion, the maximum degree of control is the only equilibrium. With regard to the degree of transparency, under commitment, a sufficiently patient bank with sufficiently low average inflation bias will always choose minimum transparency. Under discretion, both minimum and maximum transparency are equilibria. We argue that discretion is the more realistic assumption for the choice of control and that commitment is more realistic for the choice of transparency. A maximum feasible degree of control with a minimum degree of transparency is then a likely outcome. The Bundesbank and the Federal Reserve System are, arguably, examples of this outcome. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/651/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701067&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/651/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Kleist, Karsten von AD - Unlisted AD - Unlisted T1 - The evolution and determinants of emerging market credit spreads in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 653 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701070; Keywords: Credit ratings ; Developing countries ; Bonds; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops measures of emerging market credit spreads for the 1990s, based on data on new bond issues and bank loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date. These measures are used to identify the impacts of credit ratings, maturity and currency denomination on spreads. We find important regional differences in spreads across the developing world, even after controlling for risk and maturity. We also identify the evolution of spreads during the 1990s up until the advent of the Asian financial crisis, holding other determinants constant, and find that emerging market spreads declined by more than can be explained by improvements in risk. However, for emerging market instruments with relatively favourable credit ratings, trends in spreads differed considerably from those experienced by Brady bonds. Finally, and in contrast to much market commentary, we find that variations in industrial country short-term interest rates explain relatively little of the decline in emerging market bond spreads. Longer-term trends, perhaps reflecting globalisation, along with the temporary impact of the Mexican financial crisis, may have been more important factors in the behaviour of emerging market spreads. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/653/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701070&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/653/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello AU - Lach, Saul AD - Unlisted AD - Unlisted T1 - The evolution of the demand for temporary help supply employment in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-58 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700151; Keywords: Temporary employees ; Employment (Economic theory) ; Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - The level of temporary help supply (THS) employment surged during the late 1980s and the 1990s. However, we know little about where these workers were placed and, thus, there is a gap in our understanding of cyclical and trend industry employment in the U.S. To close this gap, we estimate the proportion of THS employees in each major U.S. industry during 1977-97 using information from input-output tables and from the Contingent Worker Supplements to the CPS surveys of February 1995 and February 1997. Our estimates indicate that almost all of the growth in THS employment is attributed to a change in the hiring behavior of firms, rather than to a disproportional increase in the size of more THS-intensive industries. In fact, the proportion of THS employees in each major American industry, except the public sector, increased during our sample period. These increases were particularly large in services and in manufacturing where by 1997 close to 4 percent of all employees were THS workers. The public sector, which had demanded almost 40 percent of all THS workers in 1982, hired a negligibly small number of THS workers in 1997. L3 - http://www.federalreserve.gov/pubs/feds/1999/199958/199958abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700151&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199958/199958abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cutler, David M. AU - Sheiner, Louise AD - Unlisted AD - Unlisted T1 - The geography of Medicare PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-18 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700105; Keywords: Medicare; Publication Type: Working Paper; Update Code: 200404 N2 - There is a great deal of geographic variation in Medicare spending. For example, while the average Medicare cost per beneficiary was around $5200 in 1996, Medicare spending, adjusted for differences in regional prices and demographic composition, was about $8000 per person in Miami, but only $3500 in Minneapolis. In this paper, we explore the source of this variation. We find that a substantial amount can be explained by differences across areas in the health of the elderly population. This finding suggests that some of the geographic variation in Medicare spending is efficient. But even accounting for differences in the health of the population, significant variation remains. We have been able to explain some of the remaining variation. The strongest factors are supply variables: for-profit hospitals and specialist physicians both increase Medicare spending. If these factors are exogenous, public policy may want to consider the supply of medical services more than it currently does. We do not find that expensive places spend a disproportionate amount on those near death. L3 - http://www.federalreserve.gov/pubs/feds/1999/199918/199918abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700105&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199918/199918abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AD - Unlisted T1 - The measurement of consumer expectations using survey data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-17 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700104; Keywords: Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - Surveys of consumers collect considerable information on consumer expectations. However, the simple categorical structure of the questions--such as "Do you expect your income to rise, fall, or stay the same?"--makes their value for research uncertain. This paper analyzes the information content of the survey measures. I draw on Manski's finding that, while categorical questions do not identify the probability of an event occurring, they do provide information on probability bounds. I analyze data from two well-known surveys, showing that, although the bounds are often wide, for some measures they move closely with the series they are intended to track or predict. L3 - http://www.federalreserve.gov/pubs/feds/1999/199917/199917abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700104&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199917/199917abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Norden, Simon van AD - Unlisted AD - Unlisted T1 - The reliability of output gap estimates in real time PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-38 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700132; Keywords: Business cycles ; Forecasting ; Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - Compared to its central role in policy discussions in the United States and most other developed countries, the reliability of the measurement of the output gap has attracted relatively little academic study. Furthermore, both the academic literature and the debate among practitioners have tended to neglect a key factor. Although in a policy setting it is necessary to estimate the current (i.e. end-of-sample) output gap without the benefit of knowing the future, most studies concentrate on measurement that employs data that only become available later. In this paper we examine the reliability of alternative output detrending methods, with special attention to the accuracy of real-time estimates. We show that ex post revisions of the output gap are of the same order of magnitude as the output gap itself, that these ex post revisions are highly persistent and that real-time estimates tend to be severely biased around business cycle turning points, when the cost of policy induced errors due to incorrect measurement is at its greatest. We investigate the reasons for these ex post revisions, and find that, although important, the ex post revision of published data is not the primary source of revisions in output gap measurements. The bulk of the problem is due to the pervasive unreliability of end-of-sample estimates of the trend in output. L3 - http://www.federalreserve.gov/pubs/feds/1999/199938/199938abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700132&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199938/199938abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reifschneider, David AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Three lessons for monetary policy in a low inflation era PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-44 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700131; Keywords: Inflation (Finance) ; Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - The zero lower bound on nominal interest rates constrains the central bank's ability to stimulate the economy during downturns. We use the FRB/US model to quantify the effects of the bound on macroeconomic stabilization and to explore how policy can be designed to minimize these effects. During particularly severe contractions, open-market operations alone may be insufficient to restore equilibrium; some other stimulus is needed. Abstracting from such rare events, if policy follows the Taylor rule and targets a zero inflation rate, there is a significant increase in the variability of output but not inflation. However, a simple modification to the Taylor rule yields a dramatic reduction in the detrimental effects of the zero bound. L3 - http://www.federalreserve.gov/pubs/feds/1999/199944/199944abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700131&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199944/199944abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Barth, Marvin AU - Dinmore, Trevor AD - Unlisted AD - Unlisted T1 - Trade prices and volumes in East Asia through the crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 643 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701061; Keywords: Trade ; East Asia ; Exports ; Imports; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a break-down of the export and import performance of select East Asian countries into price and volume effects. The results show that in aggregate, the decline in export revenue experienced by these countries in 1998 was largely due to a 9.1 percent fall in prices, and that export volume actually rose. Similarly, while the import volume of these countries did fall in 1998, the decline was not as great as in the dollar value of those imports, but reflected a greater slide in import prices of 10.8 percent. The fall in import and export prices in the East Asian region began in 1996, before the crisis, but intensified in the Summer and Fall of 1997 as the currency crisis unfolded and has continued through the Spring of 1999. Since the fall in import prices was apparently greater than the corresponding fall in export prices, these countries have collectively seen an improvement in their terms of trade during the crisis, reversing pre-crisis declines. The six countries that form the heart of this study were the source of 12.5 percent of US non-oil imports in 1998, and the accrued benefit to the United States of this price collapse may have been as much as a quarter of the value of these imports over two years. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/643/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701061&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/643/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durbin, Erik AU - Ng, David Tat-Chee AD - Unlisted AD - Unlisted T1 - Uncovering country risk in emerging market bond prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 639 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740577; Keywords: Risk; Bonds; Credit; Developing countries; Publication Type: Working Paper; Update Code: 200408 N2 - We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds issued by emerging market firms and bonds issued by their home governments over the past 3 1/2 years. Our results indicate that market participants do not strictly apply the "sovereign ceiling," under which no firm is more creditworthy than its government. We do find that the spreads of emerging market corporate and government bonds over hard-currency government bonds are highly correlated. The correlation is higher for some industries than for others, and we find no evidence that banks face greater country risk. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/639/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740577&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/639/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Durbin, Erik AU - Ng, David Tat-Chee AD - Unlisted AD - Unlisted T1 - Uncovering country risk in emerging market bond prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 639 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700118; Keywords: Risk ; Bonds ; Credit ; Developing countries; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds issued by emerging market firms and bonds issued by their home governments over the past 3 1/2 years. Our results indicate that market participants do not strictly apply the "sovereign ceiling," under which no firm is more creditworthy than its government. We do find that the spreads of emerging market corporate and government bonds over hard-currency government bonds are highly correlated. The correlation is higher for some industries than for others, and we find no evidence that banks face greater country risk. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/639/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700118&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/639/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carroll, Christopher D. AU - Dynan, Karen E. AU - Krane, Spencer D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Unemployment risk and precautionary wealth: evidence from households' balance sheets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-15 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700102; Keywords: Consumer behavior ; Saving and investment ; Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - Recent empirical work on the strength of precautionary saving has yielded widely varying conclusions. The mixed findings may reflect a number of difficulties in proxying uncertainty, executing instrumental variables estimation, and incorporating theoretical restrictions into empirical models. For each of these problems, this paper uses existing best-practice techniques and some new strategies to relate unemployment probabilities from the Current Population Survey to net worth data from the Survey of Consumer Finances. We find that increases in unemployment risk do not boost saving by households with relatively low permanent income, but that a statistically significant precautionary effect emerges for households at a moderate level of income. This finding is robust to certain restrictions on the sample, but not robust across measures of wealth: We generally find a significant precautionary motive in broad measures of wealth that include home equity, but not in narrower subaggregates comprised only of financial assets and liabilities. L3 - http://www.federalreserve.gov/pubs/feds/1999/199915/199915abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700102&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199915/199915abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Violating the law of one price: should we make a federal case out of it? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 644 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701059; Keywords: Prices ; Cities and towns; Publication Type: Working Paper; Update Code: 200404 N2 - We use new disaggregated data on consumer prices to determine why there is variability in prices of similar goods across U.S. cities. We address questions similar to those that have arisen in the international context: is this variability purely a result of market segmentation or do sticky nominal prices play a role? We also examine how the degree of tradability of a good influences price variability. Surprisingly, we find that variability is larger for traded goods. We attribute this finding to greater price stickiness for non-traded goods. Distance between cities accounts for a significant amount of the variation in prices between pairs of cities. But we also find that nominal price stickiness plays an even more significant role. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/644/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701059&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/644/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, Beth Anne AD - Unlisted T1 - Wage rigidity: a look inside the firm PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-22 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700109; Keywords: Wages ; Business enterprises; Publication Type: Working Paper; Update Code: 200404 N2 - This paper tests for nominal salary rigidity using panel data from two large service-sector firms. Distributions of the firms' salary changes exhibit nominal rigidity: few nominal pay cuts, a pile-up of observations at zero, and positive skewness and asymmetry. In addition, these characteristics become more pronounced in periods of low inflation. These results are much stronger than those found in the previous literature. Further analysis shows that the sizable measurement error in the PSID and the fact that establishment surveys typically follow average wages within jobs may bias the results in the previous literature toward rejecting downward nominal wage rigidity. L3 - http://www.federalreserve.gov/pubs/feds/1999/199922/199922abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700109&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199922/199922abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Mester, Loretta J. AD - Unlisted AD - Unlisted T1 - What explains the dramatic changes in cost and profit performance of the U.S. banking industry? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-13 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700140; Keywords: Banks and banking ; Banks and banking - Costs; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate the sources of recent changes in the performance of U.S. banks using concepts and techniques borrowed from the cross-section efficiency literature. Our most striking result is that during 1991-1997, cost productivity worsened while profit productivity improved substantially, particularly for banks engaging in mergers. The data are consistent with the hypothesis that banks tried to maximize profits by raising revenues as well as reducing costs, and that banks provided additional services or higher service quality that raised costs but also raised revenues by more than the cost increases. The results suggest that methods that exclude revenues may be misleading. L3 - http://www.federalreserve.gov/pubs/feds/1999/199913/199913abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700140&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199913/199913abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Schmukler, Sergio L. AD - Unlisted AD - Unlisted T1 - What triggers market jitters: a chronicle of the Asian crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 634 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701055; Keywords: Financial markets ; Asia; Publication Type: Working Paper; Update Code: 200404 N2 - In the chaotic financial environment of Asia in 1997-1998, daily changes in stock prices of about 10 percent became commonplace. This paper analyzes what type of news moves the markets in those days of market jitters. We find that movements are triggered by local and neighbor-country news, with news about agreements with international organizations and credit rating agencies having the most weight. However, some of those large changes cannot be explained by any apparent substantial news, but seem to be driven by herd instincts of the markets itself. The evidence suggests that investors over-react to bad news. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/634/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701055&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/634/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brayton, Flint AU - Roberts, John M. AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - What's happened to the Phillips curve? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-49 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700141; Keywords: Phillips curve ; Inflation (Finance) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - The simultaneous occurrence in the second half of the 1990s of low and falling price inflation and low unemployment appears to be at odds with the properties of a standard Phillips curve. We find this result in a model in which inflation depends on the unemployment rate, past inflation, and conventional measures of price supply shocks. We show that, in such a model, long lags of past inflation are preferred to short lags, and that with long lags, the NAIRU is estimated precisely but is unstable in the 1990s. Two alternative modifications to the standard Phillips curve restore stability. One replaces the unemployment rate with capacity utilization. Although this change leads to more accurate inflation predictions in the recent period, the predictive ability of the utilization rate is not superior to that of the unemployment rate for the 1955 to 1998 sample as a whole. The second, and preferred, modification augments the standard Phillips curve to include an "error-correction" mechanism involving the markup of prices over trend unit labor costs. With the markup relatively high through much of the 1990s, this channel is estimated to have held down inflation over this period, and thus provides an explanation of the recent low inflation. L3 - http://www.federalreserve.gov/pubs/feds/1999/199949/199949abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700141&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199949/199949abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AD - Unlisted T1 - When would educational standards help improve scholastic achievement? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 648 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701063; Keywords: Education; Publication Type: Working Paper; Update Code: 200404 N2 - I study the potential effects on student performance to be expected from setting mandatory standards in primary and secondary education. To that end, I present a model in which investment in education is indivisible. Thus, if demand exceeds supply at any level of education, allocation is carried out--at least in part--via test scores. The model highlights how the effectiveness of educational standards in altering student performance depends on the college and secondary school education premia, the stringency of standards, and the supply of college education--factors which together determine the competitiveness of college admissions. A relatively high college education premium raises the incentive to finish high school and apply to college, but the marginal benefit of meeting standards or the cost of non-compliance depend on the secondary education premium. Thus, the effects on student performance if education standards are raised may be relatively small when the secondary education premium is relatively low. Moreover, when the supply of higher education is relatively abundant so that college entrance is a non-competitive process, students' incentive to make their best effort diminishes, and in that case, the role of education premia--and therefore of standards--as incentives may be limited. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/648/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701063&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/648/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Bonime, Seth D. AU - Covitz, Daniel M. AU - Hancock, Diana AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Why are bank profits so persistent: the roles of product market competition, informational opacity, and regional/macroeconomic shocks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-28 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700112; Keywords: Banking market ; Bank profits; Publication Type: Working Paper; Update Code: 200404 N2 - We investigate how banking market competition, informational opacity, and sensitivity to shocks have changed over the last three decades by examining the persistence of firm-level rents. We develop propagation mechanisms with testable implications to isolate the sources of persistence. Our analysis suggests that different processes underlie persistent performance at the high and low ends of the distribution. Our tests suggest that impediments to competition and informational opacity continue to be strong determinants of performance; that the reduction in geographic regulatory restrictions had little effect on competitiveness; and that performance remains sensitive to regional/macroeconomic shocks. The findings also suggest reasons for the recent record profitability of the industry. L3 - http://www.federalreserve.gov/pubs/feds/1999/199928/199928abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700112&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199928/199928abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nelson, William R. AD - Unlisted T1 - Why does the change in shares predict stock returns? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-07 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700098; Keywords: Stock - Prices ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - The stock of firms that issue equity has, on average, performed poorly in subsequent years, while the stock of firms that repurchase has typically done well. One explanation for this pattern is that firms are exploiting their superior knowledge about the value of their stock by buying it when it is undervalued and selling it when it is overvalued. This paper presents supporting evidence for this explanation of the excess returns: The change in shares outstanding is positively correlated with proxies for the deviation of current stock prices from fundamental value; the excess returns following the change in shares remain significant after controlling for these proxies; and the changes in shares that can be explained by the proxies predict stock returns more powerfully than changes in shares explained by other reasons. L3 - http://www.federalreserve.gov/pubs/feds/1999/199907/199907abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700098&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199907/199907abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John G. AU - Babson, Oliver D. AD - Unlisted AD - Unlisted T1 - Why has China survived the Asian crisis so well? What risks remain? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 633 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701054; Keywords: China; Publication Type: Working Paper; Update Code: 200404 N2 - China's strong growth in the midst of the Asian crisis is striking. We explore features of China's financial system that helped insulate it from the crisis, and then try to assess whether China has avoided crisis or simply deferred it. We argue that regardless of whether the Asian crisis resulted from weak fundamentals or from "country runs" by investors, it is not surprising that China has survived so far. In a market-oriented system, pressures generally force rapid adjustment when institutions are, or are perceived to be, insolvent; these mechanisms do not operate fully in China. In addition, China's external accounts remain strong. Even in the absence of capital controls, the strength of these external fundamentals would plausibly preclude a self-fulfilling "country run" on China. Whatever their other effects, capital controls may have played a role in preventing Chinese financial institutions from borrowing excessively abroad, and hence may have helped keep China's external fundamentals strong. Clear risks remain for China's outlook. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/633/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701054&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/633/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John G. AU - Basu, Susanto AD - Unlisted AD - Unlisted T1 - Why is productivity procyclical? Why do we care? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 638 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700114; Keywords: Productivity ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Productivity rises in booms and falls in recessions. There are four main explanations for procyclical productivity: (i) procyclical technology shocks, (ii) widespread imperfect competition and increasing returns, (iii) variable utilization of inputs over the cycle, and (iv) resource reallocations. Each of these explanations has important implications for macroeconomic modeling. In this paper, we discuss empirical methods for assessing the importance of these explanations. We provide microfoundations for our preferred approach of estimating a first-order approximation to the production function, using a theoretically motivated proxy for utilization. When we implement this approach, we find that variable utilization and resource reallocations are particularly important in explaining procyclical productivity. We argue that the reallocation effects that we identify are not "biases" - instead, they reflect changes in an economy's ability to produce goods and services for final consumption from given primary inputs of capital and labor. Thus, from a normative viewpoint, reallocations are significant for welfare, and from a positive viewpoint, they constitute potentially important amplification and propagation mechanisms for macroeconomic modeling. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/638/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700114&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/638/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John G. AU - Basu, Susanto AD - Unlisted AD - Unlisted T1 - Why is productivity procyclical? Why do we care? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 638 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0740575; Keywords: Productivity; Econometric models; Publication Type: Working Paper; Update Code: 200408 N2 - Productivity rises in booms and falls in recessions. There are four main explanations for procyclical productivity: (i) procyclical technology shocks, (ii) widespread imperfect competition and increasing returns, (iii) variable utilization of inputs over the cycle, and (iv) resource reallocations. Each of these explanations has important implications for macroeconomic modeling. In this paper, we discuss empirical methods for assessing the importance of these explanations. We provide microfoundations for our preferred approach of estimating a first-order approximation to the production function, using a theoretically motivated proxy for utilization. When we implement this approach, we find that variable utilization and resource reallocations are particularly important in explaining procyclical productivity. We argue that the reallocation effects that we identify are not "biases" - instead, they reflect changes in an economy's ability to produce goods and services for final consumption from given primary inputs of capital and labor. Thus, from a normative viewpoint, reallocations are significant for welfare, and from a positive viewpoint, they constitute potentially important amplification and propagation mechanisms for macroeconomic modeling. L3 - http://www.federalreserve.gov/pubs/ifdp/1999/638/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0740575&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1999/638/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AU - Sunden, Annika AD - Unlisted AD - Unlisted T1 - Workers' knowledge of their pension coverage: a reevaluation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1999-05 Y1 - 1999/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700101; Keywords: Pensions ; Saving and investment ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - Because employer-provided pensions represent an important source of income during retirement, accurate information on pension coverage would seem to be crucial for making sound decisions on retirement timing, saving, and portfolio allocation. However, previous research suggests that workers' knowledge of their pension provisions is often incomplete or incorrect. This paper reexamines workers' knowledge of their pension coverage, using matched employer-employee data from the Federal Reserve Board's Survey of Consumer Finances. We find that, while most workers in our sample accurately reported the general features of their pension coverage, their knowledge of the detailed features was often fairly limited. L3 - http://www.federalreserve.gov/pubs/feds/1999/199905/199905abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700101&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1999/199905/199905abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Prager, Robin A. AU - Hannan, Timothy H. T1 - DO SUBSTANTIAL HORIZONTAL MERGERS GENERATE SIGNIFICANT PRICE EFFECTS? EVIDENCE FROM THE BANKING INDUSTRY. JO - Journal of Industrial Economics JF - Journal of Industrial Economics Y1 - 1998/12// VL - 46 IS - 4 M3 - Article SP - 433 EP - 452 PB - Wiley-Blackwell SN - 00221821 AB - This study examines the price effects of recent US bank mergers that substantially increased local market concentration. Using the deposit interest rates that banks offer their customers as our price measure, we find that, over the 1991—94 time period, deposit rates offered by participants in substantial horizontal mergers and their local market rivals declined by a greater percentage than did deposit rates offered by banks not operating in markets in which such mergers took place. We interpret our results as evidence that these mergers led to increased market power. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Industrial Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK mergers KW - PRICING KW - BANKING industry KW - BANK deposits KW - INTEREST rates KW - FINANCE KW - GREAT Britain N1 - Accession Number: 1386443; Prager, Robin A. 1; Email Address: mIrap03@frb.gov; Hannan, Timothy H. 1; Email Address: mIthh00@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC 20551, USA; Issue Info: Dec98, Vol. 46 Issue 4, p433; Thesaurus Term: BANK mergers; Thesaurus Term: PRICING; Thesaurus Term: BANKING industry; Thesaurus Term: BANK deposits; Thesaurus Term: INTEREST rates; Thesaurus Term: FINANCE; Subject: GREAT Britain; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1386443&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Saunders, Anthony AU - Scalise, Joseph M. AU - Udell, Gregory F. T1 - The effects of bank mergers and acquisitions on small business lending. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1998/11// VL - 50 IS - 2 M3 - Article SP - 187 EP - 229 SN - 0304405X AB - We examine the effects of bank M&As on small business lending using data on over 6000 recent U.S. bank M&As. We are the first to decompose the impact of M&As into the static effects from simply melding the antecedent institutions and the dynamic effects associated with post-M&A refocusing of the consolidated institution. We are also the first to estimate the dynamic reactions of other local banks. We find that the static effects of consolidation reduce small business lending, but are mostly offset by the reactions of other banks, and in some cases also by refocusing efforts of the consolidating institutions themselves. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - SMALL business KW - BUSINESS KW - FINANCIAL institutions KW - BANK mergers KW - FINANCE N1 - Accession Number: 12133452; Berger, Allen N. 1,2; Email Address: aberger@frb.gov.; Saunders, Anthony 3; Scalise, Joseph M. 4; Udell, Gregory F. 5; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, Dc, USA; 2: Wharton Financial Institution Center, Philadelphia, PA, USA; 3: Stern School of Business, New York University,New York, NY,USA; 4: Wharton School of Business, University of Pennsylvania, philadephia, PA,USA; 5: Kelley School of Business, Indina Universitry, Bloomington, IN,USA; Issue Info: Nov98, Vol. 50 Issue 2, p187; Thesaurus Term: BANKING industry; Thesaurus Term: SMALL business; Thesaurus Term: BUSINESS; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: BANK mergers; Thesaurus Term: FINANCE; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 43p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12133452&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FURFINE, CRAIG H. AU - STEHM, JEFF T1 - Analysing Alternative Intraday Credit Policies in Real-Time Gross Settlement Systems. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1998/11// VL - 30 IS - 4 M3 - Article SP - 832 EP - 848 PB - Ohio State University Press SN - 00222879 AB - This paper examines a central bank's choice of intraday credit policy for real-time gross settlement (RTGS) systems. Formal analysis of central bank objectives and commercial bank payment activity provides insight into both the choice and effects of several possible intraday credit policies. Observed intraday credit policies are interpreted within the context of the model. Among G-10 central banks, different combinations of prices, collateral, and quantity limits have been chosen to manage the supply of intraday credit. Conditions that rationalize these choices are shown to rely on (a) central bank preferences regarding credit risk and systemic risk, (b) liquidity management technologies, and (c) the cost of collateral. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Money, Credit & Banking (Ohio State University Press) is the property of Ohio State University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT control KW - BANKING industry KW - COMMERCIAL credit KW - CREDIT ratings KW - LOAN review KW - INTEREST rate risk N1 - Accession Number: 1244122; FURFINE, CRAIG H. 1; STEHM, JEFF 2; Affiliations: 1: Economist with the Bank for International Settlements (BIS); 2: Manager, Division of Reserve Bank Operations and Payment Systems Board of Governors of the Federal Reserve System; Issue Info: Nov98, Vol. 30 Issue 4, p832; Thesaurus Term: CREDIT control; Thesaurus Term: BANKING industry; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: CREDIT ratings; Thesaurus Term: LOAN review; Thesaurus Term: INTEREST rate risk; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 561450 Credit Bureaus; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1244122&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Jones, Charles I. AU - Williams, John C. T1 - MEASURING THE SOCIAL RETURN TO R&D. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1998/11// VL - 113 IS - 4 M3 - Article SP - 1119 EP - 1135 PB - Oxford University Press / USA SN - 00335533 AB - Is there too much or too little research and development (R&D)? In this paper we bridge the gap between the recent growth literature and the empirical productivity literature. We derive in a growth model the relationship between the social rate of return to R&D and the coefficient estimates of the empirical literature and show that these estimates represent a lower bound. Furthermore, our analytic framework provides a direct mapping from the rate of return to the degree of underinvestment in research. Conservative estimates suggest that optimal R&D investment is at least two to four times actual investment. [ABSTRACT FROM AUTHOR] AB - Copyright of Quarterly Journal of Economics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL investments KW - RATE of return KW - CAPITAL KW - INDUSTRIAL research KW - FINANCIAL performance KW - MATHEMATICAL models N1 - Accession Number: 1287835; Jones, Charles I. 1,2; Williams, John C. 1,2; Affiliations: 1: Stanford University.; 2: Board of Governors of the Federal Reserve System.; Issue Info: Nov98, Vol. 113 Issue 4, p1119; Thesaurus Term: CAPITAL investments; Thesaurus Term: RATE of return; Thesaurus Term: CAPITAL; Thesaurus Term: INDUSTRIAL research; Thesaurus Term: FINANCIAL performance; Thesaurus Term: MATHEMATICAL models; Number of Pages: 17p; Illustrations: 1 Chart, 1 Graph; Document Type: Article; Full Text Word Count: 6281 L3 - 10.1162/003355398555856 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1287835&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - STEVENS, GUY V. G. T1 - On the Inverse of the Covariance Matrix in Portfolio Analysis. JO - Journal of Finance JF - Journal of Finance Y1 - 1998/10// VL - 53 IS - 5 M3 - Article SP - 1821 EP - 1827 PB - Wiley-Blackwell SN - 00221082 AB - The goal of this paper is the derivation and application of a direct characterization of the inverse of the covariance matrix central to portfolio analysis. Such a characterization, in terms of a few primitive constructs, provides the basis for new and illuminating expressions for key concepts as the optimal holding of a given risky asset and the slope of the risk-return efficiency frontier faced by the individual investor. The building blocks of the inverse turn out to be the regression coefficients and residual variance obtained by regressing the asset's excess return on the set of excess returns for all other risky assets. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVESTMENT analysis KW - ANALYSIS of covariance KW - PORTFOLIO management (Investments) KW - REGRESSION analysis KW - RISK KW - INVESTMENTS KW - ASSET allocation KW - CAPITALISTS & financiers KW - MATRIX inversion KW - MATRICES N1 - Accession Number: 1153215; STEVENS, GUY V. G. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct98, Vol. 53 Issue 5, p1821; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: ANALYSIS of covariance; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: REGRESSION analysis; Thesaurus Term: RISK; Thesaurus Term: INVESTMENTS; Thesaurus Term: ASSET allocation; Thesaurus Term: CAPITALISTS & financiers; Subject Term: MATRIX inversion; Subject Term: MATRICES; NAICS/Industry Codes: 526917 Balanced funds / asset allocation funds; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1153215&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Beaulieu, J. Joseph AU - Mattey, Joe T1 - The Workweek of Capital and Capital Utilization in Manufacturing. JO - Journal of Productivity Analysis JF - Journal of Productivity Analysis Y1 - 1998/10// VL - 10 IS - 2 M3 - Article SP - 199 EP - 223 SN - 0895562X AB - Over the typical intervals of time studied in economic analysis, the flow of capital services is not a fixed proportion of the capital stock. Much of the short-run variation in capital services comes from the duration of operations. This paper presents new estimates of the workweek of capital from the Census Bureau's Survey of Plant Capacity (SPC), both for our own analytical use and to make workweek data more widely available to other researchers. The paper uses these workweek estimates to reconsider various results in the literature on capital utilization and productivity growth. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Productivity Analysis is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - MANUFACTURING industries KW - CAPITAL investments KW - ESTIMATION theory KW - POWER plants KW - PLANT capacity KW - Capital Utilization KW - Productivity Growth KW - Workweek of Capital N1 - Accession Number: 16847762; Beaulieu, J. Joseph 1; Email Address: m1jjb00@frb.gov; Mattey, Joe 2; Email Address: Joe.Mattey@sf.frb.org; Affiliations: 1: Mail Stop 82, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; 2: Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105.; Issue Info: Oct1998, Vol. 10 Issue 2, p199; Thesaurus Term: CAPITAL; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: CAPITAL investments; Thesaurus Term: ESTIMATION theory; Thesaurus Term: POWER plants; Thesaurus Term: PLANT capacity; Author-Supplied Keyword: Capital Utilization; Author-Supplied Keyword: Productivity Growth; Author-Supplied Keyword: Workweek of Capital; NAICS/Industry Codes: 237130 Power and Communication Line and Related Structures Construction; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16847762&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Wilcox, James A. T1 - The "credit crunch" and the availability of credit to small business. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1998/06// VL - 22 IS - 6-8 M3 - Article SP - 983 EP - 1014 SN - 03784266 AB - We present estimates of how much bank loans and real activity in small businesses responded to changes in banks' capital conditions and other bank and aggregate economic conditions. Using data for 1989-1992 by state, we estimated the effects of those factors on employment, payrolls, and the number of firms by firm size, as well as on gross state product. In response to declines in their own bank capital, small banks shrank their loan portfolios considerably more than large banks did. Large banks tended to increase loans more when small banks were under increased capital pressure than vice versa. Real economic activity was reduced more by capital declines and by loan declines at small banks than at large banks. Small banks were making "highpowered loans" in that dollar-for-dollar loan declines in their loans had larger impacts on economic activity than loan declines at large banks did. Capital declines at small banks produced larger changes in economic activity dollar-for-dollar than capital declines at large banks did. Aggregate economic conditions had smaller effects on small firms than on large firms and smaller effects on small banks than on large banks. The evidence hinted that the volume of loans made under Small Business Administration (SBA) loan guarantee programs shrank less in response to declines in bank capital than the volume of loans not made under the SBA loan guarantee programs. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - SMALL business -- Finance KW - BANKING industry KW - LOANS N1 - Accession Number: 11488627; Hancock, Diana 1; Email Address: hancock@frb.gov; Wilcox, James A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Haas School of Business, University of California-Berkeley; Issue Info: 1998, Vol. 22 Issue 6-8, p983; Thesaurus Term: BANK loans; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 32p; Illustrations: 5 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11488627&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Bostic, Raphael W. AU - Samolyk, Katherine A. T1 - The role of personal wealth in small business finance. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1998/06// VL - 22 IS - 6-8 M3 - Article SP - 1019 EP - 1061 SN - 03784266 AB - This paper provides new empirical evidence on the relationship between personal commitments and the allocation of small business credit. The data suggest that personal commitments are important for firms seeking certain types of loans. Guarantees are more prevalent than collateral and organization type (corporate versus noncorporate status) appears to be particularly important in determining commitment use. No systematic relationship is observed between commitment use and owner wealth. Personal commitments appear to be substitutes for business collateral, at least for lines of credit, while personal collateral and personal guarantees do not seem to substitute for each other. Personal commitments have generally become more important to small business lending since the late 1980s. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SMALL business -- Finance KW - COMMERCIAL credit KW - WEALTH KW - FINANCE N1 - Accession Number: 11488629; Avery, Robert B. 1; Bostic, Raphael W. 1; Email Address: rbostic@frb.gov; Samolyk, Katherine A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Federal Deposit Insurance Corporation; Issue Info: 1998, Vol. 22 Issue 6-8, p1019; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: WEALTH; Thesaurus Term: FINANCE; Number of Pages: 43p; Illustrations: 11 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11488629&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stevens, Guy V. G. T1 - Exchange Rates and Foreign Direct Investment: A note. JO - Journal of Policy Modeling JF - Journal of Policy Modeling Y1 - 1998/06// VL - 20 IS - 3 M3 - Article SP - 393 SN - 01618938 AB - Focuses on the development of a finance-based theory in relation to the relationship between the flow of foreign direct investment and the exchange rate. Indepth look at the theory. KW - FOREIGN investments KW - FOREIGN exchange rates KW - MONETARY policy KW - INVESTMENTS KW - ECONOMIC impact KW - ECONOMICS N1 - Accession Number: 9712243363; Stevens, Guy V. G. 1; Affiliation: 1: Board of Governors of the Federal Reserve System; Source Info: Jun98, Vol. 20 Issue 3, p393; Subject Term: FOREIGN investments; Subject Term: FOREIGN exchange rates; Subject Term: MONETARY policy; Subject Term: INVESTMENTS; Subject Term: ECONOMIC impact; Subject Term: ECONOMICS; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 9p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=9712243363&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Kaminsky, Graciela L. AU - Reinhart, Carmen M. T1 - Financial Crises in Asia and Latin America: Then and Now. JO - American Economic Review JF - American Economic Review Y1 - 1998/05// VL - 88 IS - 2 M3 - Article SP - 444 EP - 448 SN - 00028282 AB - Analyzes the recent financial crises in the currency and equity markets in East Asia and attempts to determine what current and past financial crises throughout the world have in common. The article suggests that a combination of volatile international capital and problems in the financial sector led to the 1997 East Asian crises. The historic financial crises in East Asia and Latin America had significant differences with regard to severity. Latin American markets have moved to greater stabilization in the 1990's, but they remain vulnerable to the spread of crises from areas such as East Asia. Moreover, the rapid increase in lending and asset prices in East Asian economies prior to the recent crises are similar to those that have occurred in Latin America in the past. KW - FINANCIAL crises KW - ECONOMIC history KW - ECONOMIC stabilization KW - REGIONAL differences KW - LATIN America KW - EAST Asia N1 - Accession Number: 665359; Kaminsky, Graciela L. 1; Reinhart, Carmen M. 2; Affiliations: 1 : Board of Governors of the Federal Reserve System, Washington, DC 20551; 2 : School of Public Affairs, University of Maryland, College Park, MD 20742; Source Info: May98, Vol. 88 Issue 2, p444; Note: 4 tables, 4 notes, ref.; Historical Period: 1970 to 1998; Subject Term: FINANCIAL crises; Subject Term: ECONOMIC history; Subject Term: ECONOMIC stabilization; Subject Term: REGIONAL differences; Subject: LATIN America; Subject: EAST Asia; Number of Pages: 5p; Document Type: Article; Full Text Word Count: 2723 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=hia&AN=665359&site=ehost-live&scope=site DP - EBSCOhost DB - hia ER - TY - JOUR AU - Sundén, Annika E. AU - Surette, Brian J. T1 - Gender Differences in the Allocation of Assets in Retirement Savings Plans. JO - American Economic Review JF - American Economic Review Y1 - 1998/05// VL - 88 IS - 2 M3 - Article SP - 207 EP - 211 PB - American Economic Association SN - 00028282 AB - In 1995, 40 percent of working men and 32 percent of working women were covered by a defined contribution (DC) plan. A distinguishing characteristic of these plans is that workers can generally choose how their assets are invested. Using data from the 1992 and 1995 Surveys of Consumer Finances (SCF), this paper examines whether workers differ systematically by gender in the allocation of assets in DC plans. Previous researchers have reported that many workers tend to invest their retirement assets too conservatively, and in particular that women are less likely than men to invest in risky assets such as stocks. In the presence of an equity premium, a lower propensity by women to invest in stocks could translate into large differences in the accumulation of financial wealth for retirement. The authors establish that gender differences in investment decisions exist, though they are more complicated than previous studies have suggested. The authors show that these differences are not completely explained by differences in individual or household characteristics. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVESTMENT policy KW - DEFINED contribution pension plans KW - ASSET allocation KW - GENDER differences (Psychology) KW - SOCIAL surveys KW - MARITAL status KW - UNITED States. Federal Reserve Board N1 - Accession Number: 665315; Sundén, Annika E. 1; Surette, Brian J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, 20th/C Street, N.W., Stop 153, Washington, DC 20551; Issue Info: May98, Vol. 88 Issue 2, p207; Thesaurus Term: INVESTMENT policy; Thesaurus Term: DEFINED contribution pension plans; Thesaurus Term: ASSET allocation; Subject Term: GENDER differences (Psychology); Subject Term: SOCIAL surveys; Subject Term: MARITAL status ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 526917 Balanced funds / asset allocation funds; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 5p; Illustrations: 2 Charts; Document Type: Article; Full Text Word Count: 2747 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=665315&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Iyigun, Murat F. AU - Owen, Ann L. T1 - Risk, Entrepreneurship, and Human-Capital Accumulation. JO - American Economic Review JF - American Economic Review Y1 - 1998/05// VL - 88 IS - 2 M3 - Article SP - 454 EP - 457 PB - American Economic Association SN - 00028282 AB - An economy's human-capital stock is determined by both entrepreneurs and professionals. Entrepreneurs provide the economy with new ideas, products, and ways of doing things, while professionals utilize their accumulated knowledge to facilitate economic transactions. Both skills are necessary for a healthy economy. Yet, while professional and entrepreneurial skills can complement each other in aggregate production, they can compete for an individual's time in their accumulation. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HUMAN capital KW - ECONOMIC models KW - ENTREPRENEURSHIP KW - OPPORTUNITY costs KW - LABOR economics N1 - Accession Number: 665361; Iyigun, Murat F. 1; Owen, Ann L. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: Hamilton College, 198 College Hill Road, Clinton, NY 13323; Issue Info: May98, Vol. 88 Issue 2, p454; Thesaurus Term: HUMAN capital; Thesaurus Term: ECONOMIC models; Thesaurus Term: ENTREPRENEURSHIP; Thesaurus Term: OPPORTUNITY costs; Thesaurus Term: LABOR economics; Number of Pages: 4p; Illustrations: 1 Graph; Document Type: Article; Full Text Word Count: 2156 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=665361&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berkovec, James A. AU - Canner, Glenn B. AU - Gabriel, Stuart A. AU - Hannan, Timothy H. T1 - DISCRIMINATION, COMPETITION, AND LOAN PERFORMANCE IN FHA MORTGAGE LENDING. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1998/05// VL - 80 IS - 2 M3 - Article SP - 241 EP - 250 PB - MIT Press SN - 00346535 AB - This study tests for the presence of prejudicial or "noneconomic" discrimination on the part of mortgage lenders by evaluating the performance of home mortgage loans. The approach differs from that of previous studies of loan performance in that it is based on the proposition that noneconomic discrimination should be more pronounced in less competitive lending environments, while statistical discrimination should not Using a rich set of FHA-insured loan records and measures of local market concentration to proxy the competitive environment, we test for the prediction of better loan performance by minority borrowers relative to white borrowers in more concentrated markets. We argue that this approach substantially reduces the potential for omitted-variable bias that has cast a shadow on previous studies of lending discrimination. Results fail to reject the null hypothesis of no noneconomic discrimination. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCRIMINATION in mortgage loans KW - MORTGAGE loans KW - HOME ownership KW - LOANS KW - COMMERCE KW - ECONOMICS KW - COMPETITION N1 - Accession Number: 623706; Berkovec, James A. 1,2; Canner, Glenn B. 1,2; Gabriel, Stuart A. 1,2; Hannan, Timothy H. 1,2; Affiliations: 1: Freddie Mac, Board of Governors of the Federal Reserve System, University of Southern California.; 2: Board of Governors of the Federal Reserve System, University of Southern California.; Issue Info: May98, Vol. 80 Issue 2, p241; Thesaurus Term: DISCRIMINATION in mortgage loans; Thesaurus Term: MORTGAGE loans; Thesaurus Term: HOME ownership; Thesaurus Term: LOANS; Thesaurus Term: COMMERCE; Thesaurus Term: ECONOMICS; Subject Term: COMPETITION; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 10p; Illustrations: 5 Charts; Document Type: Article; Full Text Word Count: 8235 L3 - 10.1162/003465398557483 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=623706&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schmitt-Grohe, Stephanie T1 - The international transmission of economic fluctuations: Effects of U.S. business cycles on the Canadian economy. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1998/04// VL - 44 IS - 2 M3 - Article SP - 257 EP - 287 SN - 00221996 AB - The article presents a study which examined the impact of the United States (US) business on the Canadian economy, in relation to the innovations in the US output. The article examines whether international trade in goods and financial markets can account for the observed effects of U.S. business cycles on the Canadian economy in a setting in which trade transmits cyclical fluctuations through its effects on world interest rates and relative prices. Cross-country business-cycle correlations have been widely documented, and empirical studies consistently find that cyclical variations in output and other macroeconomic aggregates are positively correlated across countries. Attempts to explain these correlations in a dynamic equilibrium-business-cycle framework have been made by a number of recent authors. In most of this literature, however, the only implications of the theoretical models that are examined are the implied correlation and relative volatility properties of macroeconomic time series when the model economy is subjected to technology or taste disturbances. Such analyses test a complex joint hypothesis, involving specification of both the transmission mechanism and the set of exogenous shocks generating short-term fluctuations in different countries. This paper, in contrast, tries to isolate the importance of the transmission mechanism and asks whether it alone can explain the effects of foreign business cycles on the home economy. Transmission mechanism here means the propagation of shocks in a foreign economy to domestic endogenous variables through international trade in goods and financial markets and through effects on world relative prices. KW - BUSINESS enterprises KW - INTERNATIONAL trade KW - SECURITIES markets KW - MONETARY policy KW - CANADA -- Economic conditions KW - UNITED States KW - CANADA KW - International trasmission of business cycles N1 - Accession Number: 607629; Schmitt-Grohe, Stephanie 1; Email Address: sgrohe@frb.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Apr98, Vol. 44 Issue 2, p257; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: SECURITIES markets; Thesaurus Term: MONETARY policy; Subject Term: CANADA -- Economic conditions; Subject: UNITED States; Subject: CANADA; Author-Supplied Keyword: International trasmission of business cycles; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 31p; Illustrations: 1 Chart, 24 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=607629&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Zervos, David T1 - MYOPIA AND ADDICTIVE BEHAVIOUR. JO - Economic Journal JF - Economic Journal Y1 - 1998/01// VL - 108 IS - 446 M3 - Article SP - 75 EP - 91 PB - Wiley-Blackwell SN - 00130133 AB - We present a theory of addictive behaviour which can account for addicts' apparent disregard for the future consequences of their current actions. The discounting of future utility is increasing in past consumption, indicating increasingly myopic behaviour as consumption increases. The intertemporal complementarity generated by the endogenous discounting produces multiple steady states which can account for the simultaneous existence of myopic addicts and non-myopic non-addicts within a time consistent expected utility framework. The theory also accounts for the probabilistic incidence of addiction and successful rehabilitation and the possibility of recurrence. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Journal is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UTILITY theory KW - DEMAND (Economic theory) KW - ECONOMICS KW - COMPULSIVE behavior KW - SUBSTANCE abuse KW - HUMAN behavior KW - PERSONALITY disorders KW - PATHOLOGICAL psychology N1 - Accession Number: 151572; Orphanides, Athanasios 1; Zervos, David 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Greenwich NatWest Markets; Issue Info: Jan98, Vol. 108 Issue 446, p75; Thesaurus Term: UTILITY theory; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: ECONOMICS; Subject Term: COMPULSIVE behavior; Subject Term: SUBSTANCE abuse; Subject Term: HUMAN behavior; Subject Term: PERSONALITY disorders; Subject Term: PATHOLOGICAL psychology; Number of Pages: 17p; Illustrations: 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=151572&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brunner, Allan D. AU - Kamin, Steven B. T1 - Bank Lending and Economic Activity in Japan: Did 'Financial Factors' Contribute to the Recent Downturn? JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 1998/01// VL - 3 IS - 1 M3 - Article SP - 73 EP - 89 SN - 10769307 AB - In this paper, we examine the role of 'financial factors' in Japan and attempt to gauge their recent impact on the Japanese economy. First, we find that proxies for financial factors enter significantly in behavioural equations for loan standards, loan demand, and aggregate demand. Second, we find strong evidence that financial factors contributed to Japan's recent recession. On the loan supply side, exogenous declines in equity prices appear to have led to a sharp increase in bank loan standards and a substantial subsequent decline in loans and economic activity. We also find some evidence that an exogenous contraction in loan supply may have lowered output by a small degree, but only in the early phases of the recession. On the loan demand side, asset price declines also led firms and households to sharply reduce their demand for bank loans and goods, although it is unclear how much this influence may reflect traditional wealth effects. In addition, loan demand shocks, which could reflect balance-sheet problems not captured by our model, account for much of the remainder of the shortfall in loans. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS KW - BANK loans KW - LOANS KW - SUPPLY & demand KW - PRICES KW - JAPAN N1 - Accession Number: 16615963; Brunner, Allan D. 1; Kamin, Steven B. 1; Affiliations: 1: Mail Stop 42, Division of International Finance, Board of Governors of the Federal Reserve System, 20th and C Streets, NW Washington, DC 20551, USA; Issue Info: Jan1998, Vol. 3 Issue 1, p73; Thesaurus Term: RECESSIONS; Thesaurus Term: BANK loans; Thesaurus Term: LOANS; Thesaurus Term: SUPPLY & demand; Thesaurus Term: PRICES; Subject: JAPAN; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 17p; Illustrations: 2 Charts, 21 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16615963&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - 'Big Bang' deregulation and Japanese corporate governance: a survey of the issues PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 624 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700469; Keywords: Financial institutions - Japan ; Bank management; Publication Type: Working Paper; Update Code: 200404 N2 - The "Big Bang" deregulation of Japanese financial markets focuses on financial modernization. I argue that financial modernization is of secondary importance for improving the performance of the Japanese economy. A key long-term issue facing Japan is to maintain its high level of per capita income in the face of an aging population and slower productivity growth. To achieve this, it is important to increase the return earned on Japan's large stock of wealth. I argue the low return on wealth reflects characteristics of the Japanese corporate governance system. The proper focus of the Big Bang should be on measures to strengthen corporate governance. I identify three characteristics of the Japanese corporate governance system that lead Japanese managers to produce low returns for shareholders. First, insider stakeholders dominate corporate governance. Second, institutional investors are weak. Third, there is no market for corporate control. For each characteristic, I describe potential changes which would strengthen Japanese corporate governance. For each potential corporate governance change, I review empirical evidence on its effectiveness, its current status in Japan, and how it is addressed, if at all, in the Big Bang. I conclude that the progress of the Big Bang reforms to corporate governance has been limited. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/624/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700469&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/624/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AD - Unlisted T1 - A comparative anatomy of credit risk models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-47 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699635; Keywords: Investments ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Within the past two years, important advances have been made in modeling credit risk at the portfolio level. Practitioners and policy makers have invested in implementing and exploring a variety of new models individually. Less progress has been made, however, with comparative analyses. Direct comparison often is not straightforward, because the different models may be presented within rather different mathematical frameworks. This paper offers a comparative anatomy of two especially influential benchmarks for credit risk models, J.P. Morgan's CreditMetrics and Credit Suisse Financial Product's CreditRisk+. We show that, despite differences on the surface, the underlying mathematical structures are similar. The structural parallels provide intuition for the relationship between the two models and allow us to describe quite precisely where the models differ in functional form, distributional assumptions, and reliance on approximation formulae. We then design simulation exercises which evaluate the effect of each of these differences individually. L3 - http://www.federalreserve.gov/pubs/feds/1998/199847/199847abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699635&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199847/199847abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haller, Hans AU - Lengwiler, Yvan AD - Unlisted AD - Unlisted T1 - A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-08 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699597; Keywords: Econometric models ; Auctions ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe that the non-existence problem disappears if bids must come in multiples of smallest units--- a realistic feature. Moreover, we show that most of the analysis can be recast in a discrete action model. L3 - http://www.federalreserve.gov/pubs/feds/1998/199808/199808abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699597&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199808/199808abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - A framework for economic forecasting PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 626 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700471; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - This paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and interpreting economic forecasts. This framework's value is illustrated by re-examining mean square forecast errors from dynamic models and nonlinearity biases from empirical forecasts of U.S. external trade. Previous studies have examined properties such as nonlinearity bias and the possible nonmonotonicity and nonexistence of mean square forecast errors in isolation from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling phenomena. The framework developed reveals how each such property follows from systematically integrating all aspects of the forecasting process. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/626/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700471&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/626/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AD - Unlisted T1 - A generalization of generalized beta distributions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-18 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699610; Keywords: Econometric models ; Statistics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper introduces the "compound confluent hypergeometric" (CCH) distribution. The CCH unifies and generalizes three recently introduced generalizations of the beta distribution: the Gauss hypergeometric (GH) distribution of Armero and Bayarri (1994), the generalized beta (GB) distribution of McDonald and Xu (1995), and the confluent hypergeometric (CH) distribution of Gordy (forthcoming). Unlike the beta, GB and GH, the CCH allows for conditioning on explanatory variables in a natural and convenient way. The CCH family is conjugate for gamma distributed signals, and so may also prove useful in Bayesian analysis. Application of the CCH is demonstrated with two measures of household liquid assets. In each case, the CCH yields a statistically significant improvement in fit over the more restrictive alternatives. L3 - http://www.federalreserve.gov/pubs/feds/1998/199818/199818abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699610&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199818/199818abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AD - Unlisted T1 - A model of crises in emerging markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 630 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700475; Keywords: Econometric models ; Banking market ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a "first generation" model of speculative attacks on emerging markets. Credit-constrained governments accumulate liquid assets in order to self-insure against shocks to national consumption. Governments also insure poorly regulated domestic financial markets. Given this policy regime, a variety of internal and external shocks generate capital inflows followed by anticipated speculative attacks. The model suggests that a common shock generated capital inflows to emerging markets in Asia and Latin America after 1989. Country-specific factors determined the timing of speculative attacks. Economic reform programs may also have generated capital inflow/crisis sequences. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/630/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700475&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/630/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - A multi-country comparison of the linkages between inflation and exchange rate competitiveness PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 603 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700448; Keywords: Interest rates ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper describes research comparing the response of inflation to changes in exchange rate competitiveness in various regions of the world. The paper first presents evidence that an empirical relationship between the rate of inflation and the level of the real exchange rate, which was documented for Mexico in previous research by the author, holds for a large set of other countries as well. This result may pose a dilemma for policy-makers, since it implies that it may not be possible to achieve low inflation and a high export competitiveness simultaneously. The paper then demonstrates that the responsiveness of inflation to the real exchange rate has been much higher in Latin America than in Asian or industrialised countries. This difference in inflationary responsiveness is not fully explained either by the prior history of inflation or by the extent of openness to foreign trade. It is possible that the lower responsiveness of inflation to the real exchange rate in Asia than in Latin America is what has allowed the Asian countries to remain more consistently focused on maintaining competitiveness and export growth. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/603/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700448&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/603/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kodres, Laura E. AU - Pritsker, Matthew AD - Unlisted AD - Unlisted T1 - A rational expectations model of financial contagion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-48 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699636; Keywords: Rational expectations (Economic theory) ; Financial markets ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a financial market also increases its susceptibility to contagion. We focus on contagion through the cross-market hedging of macroeconomic risks. Through this channel, idiosyncratic shocks in one market are transmitted to others. Interestingly, contagion can occur between markets that have no macroeconomic risks in common. In addition, contagion occurs in the absence of any news, and before the macroeconomic risk factors are realized. Because contagion occurs through hedging, the pattern of contagion is strongly influenced by the presence or absence of derivatives markets for unbundling and hedging the macroeconomic risks. Errors in market participants' beliefs about dynamic hedging activity influence the pattern of contagion and, in some cases, strongly magnify the size of the contagious price responses. L3 - http://www.federalreserve.gov/pubs/feds/1998/199848/199848abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699636&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199848/199848abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AD - Unlisted T1 - Adjustment costs of investment in general equilibrium: analytic results PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-39 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699627; Keywords: Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper formulates and compares various specifications of investment adjustment costs in a simple dynamic general-equilibrium model and studies their implications by showing some analytic results. One way to introduce costs is to incorporate them as a constant elasticity of substitution between investment and capital in the capital accumulation equation. Another way is as a nonlinear transformation between consumption and investment in the national income identity. We observe that there is a problem in identifying the two types of adjustment costs and show how to solve the problem. The properties of persistence and volatility are analyzed, with an emphasis on the size of adjustment costs. L3 - http://www.federalreserve.gov/pubs/feds/1998/199839/199839abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699627&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199839/199839abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John AU - Kimball, Miles AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are technology improvements contractionary? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 625 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700470; Keywords: Technology; Publication Type: Working Paper; Update Code: 200404 N2 - We construct a measure of aggregate technology change, controlling for imperfect competition, varying utilization of capital and labor, and aggregation effects. On impact, when technology improves, input use falls sharply, and output may fall slightly. With a lag of several years, inputs return to normal and output rises strongly. These results are inconsistent with frictionless dynamic general equilibrium models, which generally predict that technology improvements are expansionary, with inputs and (especially) output rising immediately. However, the results are consistent with plausible sticky-price models, which predict the results we find: When technology improves, input use generally falls in the short run, and output itself may also fall. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/625/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700470&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/625/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Luangaram, Pongsak AU - Miller, Marcus AD - Unlisted AD - Unlisted AD - Unlisted T1 - Asset bubbles, domino effects and 'lifeboats': elements of the East Asian crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 606 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700452; Keywords: Financial crises - Asia ; Financial markets ; Asia; Publication Type: Working Paper; Update Code: 200404 N2 - Credit market imperfections have been blamed for the depth and persistence of the Great Depression in the USA. Could similar mechanisms have played a role in ending the East Asian miracle? After a brief account of the nature of the recent crises, we use a model of highly levered credit-constrained firms due to Kiyotaki and Moore (1997) to explore this question. As applied to land-holding property companies, it predicts greatly amplified responses to financial shocks--like the ending of the land price bubble or the fall of the exchange rate. The initial fall in asset values is followed by the 'knock-on' effects of the scramble for liquidity as companies sell land to satisfy their collateral requirements--causing land prices to fall further. This could lead to financial collapse where--like falling dominoes--prudent firms are brought down by imprudent firms. ; Key to avoiding collapse is the nature of financial stabilisation policy; in a crisis, temporary financing can prevent illiquidity becoming insolvency and launching 'lifeboats' can do the same. But the vulnerability of financial systems like those in East Asia to short-term foreign currency exposure suggests that preventive measures are also required. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/606/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700452&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/606/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lehnert, Andreas AD - Unlisted T1 - Asset pooling, credit rationing, and growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-52 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699640; Keywords: Financial markets ; Credit; Publication Type: Working Paper; Update Code: 200404 N2 - I study the effect of improved financial intermediation on the process of capital accumulation by augmenting a standard model with a general contract space. With the extra contracts, intermediaries endogenously begin using ROSCAs, or Rotating Savings and Credit Associations. These contracts allow poor agents, previously credit rationed, access to credit. As a result, agents work harder and total economy-wide output increases; however, these gains come at the cost of increased inequality. I provide sufficient conditions for the allocations to be Pareto optimal, and for there to be a unique invariant distribution of wealth. I provide an analytic characterization of a simple model and use numerical techniques to study more general models. L3 - http://www.federalreserve.gov/pubs/feds/1998/199852/199852pap.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699640&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199852/199852pap.pdf DP - EBSCOhost DB - ecn ER - TY - UNPB AU - English, William B. AU - Nelson, William R. AD - Unlisted AD - Unlisted T1 - Bank risk rating of business loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-51 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699639; Keywords: Commercial loans ; Bank loans ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years many banks have attempted to improve the measurement and management of credit risk by assigning risk ratings to business loans. Virtually all large banks now assign such ratings. However, until recently there has been little information on the use of risk ratings by smaller banks. Recent revisions to the Federal Reserve's Survey of Terms of Business Lending and telephone consultations with more than 100 banks on the survey panel provide data on the prevalence and precision of risk rating systems at banks of all sizes. We find that the use of risk rating systems is quite widespread, but that smaller banks generally have less detailed systems than do larger banks. In addition, the new survey data allow us to asses the relationships between loan risk ratings and loan terms. Not surprisingly, riskier loans generally carry higher interest rates, even after taking account of other loan terms. There are more complex relationships between loan risk and other loan terms. Regression results indicate that banks of all sizes price for risk. We do not find a relationship between reported loan risk and delinquency and charge-off rates. However, this may reflect how recently the risk rating data have become available. L3 - http://www.federalreserve.gov/pubs/feds/1998/199851/199851abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699639&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199851/199851abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hines, Richard AU - Berkowitz, Jeremy AD - Unlisted AD - Unlisted T1 - Bankruptcy exemptions and the market for mortgage loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-07 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699596; Keywords: Bankruptcy ; Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - The recent explosion in personal bankruptcy filings has motivated research into whether credit markets are being adversely affected by generous legal provisions. Empirically, this question is examined by comparing credit conditions and bankruptcy exemptions across states. We note that the literature has focused on aggregate household credit, making no distinction between secured and unsecured credit. We argue that such aggregation obscures important differences in forms of credit. Most significantly, property exemptions do not prevent the home mortgage lender from foreclosing on the home if not fully repaid. L3 - http://www.federalreserve.gov/pubs/feds/1998/199807/199807abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699596&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199807/199807abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - TeSelle, Garrett H. AD - Unlisted T1 - Bubbles or noise? Reconciling the results of broad-dividend variance-bounds tests PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-42 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699630; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Recent research indicates that results of variance-bounds tests of stock price volatility may depend on the definition of cash flows deemed relevant to shareholders: Tests using regular (or "narrow") dividends repeatedly have suggested that stock prices fluctuate more than can be explained by a simple present value hypothesis, while some tests using "broad dividends" (i.e., narrow dividends plus proceeds from share liquidations) do not detect such excess price volatility. Researchers disagree as to the cause and meaning of these differences. This paper derives and analyzes the broad-dividend version of the present value hypothesis to show that under common assumptions, these differences in variance-bounds tests have only two possible causes: Either narrow-dividend tests have rejected the present value hypothesis because of bubbles (either rational bubbles, or "empirical" bubbles as might be effected by dividend-smoothing or dividend-nonpayment); or broad-dividend tests simply have lacked power to detect mispricing. Using simulation and results from previous studies, this paper demonstrates that the second possible cause--the lack of power in broad-dividend tests--most likely explains the differences between narrow- and broad-dividend variance-bounds tests. L3 - http://www.federalreserve.gov/pubs/feds/1998/199842/199842abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699630&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199842/199842abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lengwiler, Yvan AD - Unlisted T1 - Certainty equivalence and the non-vertical long run Phillips-curve PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-36 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699624; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound constraint on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zero bound are negligible for target inflation rates as low as 2 percent. However, the effects of the constraint are very non-linear with respect to the inflation target and produce a quantitatively significant deterioration of the performance of the economy with targets between 0 and 1 percent. The variability of output increases significantly and that of inflation also rises somewhat. The stationary distribution of output is distorted, with recessions becoming somewhat more frequent and longer lasting. Our model also uncovers the fact the asymmetry of the policy ineffectiveness induced by the zero bound constraint generates a non-vertical long run Phillips curve. Output falls increasingly short of potential, with lower inflation targets. At zero average inflation, the output loss is on the order of 0.1 percentage points. We also investigate the consequences of the constraint on the analysis of optimal policy based on the inflation-output variability frontier. We demonstrate that in the presence of the zero bound, the variability frontier is distorted as the inflation target approaches zero. As a result, comparisons of alternative policy rules that ignore the zero bound can be seriously misleading. L3 - http://www.federalreserve.gov/pubs/feds/1998/199836/199836abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699624&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199836/199836abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Davies, Sally M. AU - Flannery, Mark J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Comparing market and supervisory assessments of bank performance: who knows what when? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-32 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699620; Keywords: Bank holding companies ; Bank management; Publication Type: Working Paper; Update Code: 200404 N2 - We compare the timeliness and accuracy of government supervisors versus market participants in assessing the condition of large U.S. bank holding companies. We find that supervisors and bond rating agencies both have some prior information that is useful to the other. In contrast, supervisory assessments and equity market indicators are not strongly interrelated. We also find that supervisory assessments are much less accurate overall than both bond and equity market assessments in predicting future changes in performance, but supervisors may be more accurate when inspections are recent. To some extent, these results may reflect differing incentives of the parties. We compare the timeliness and accuracy of government supervisors versus market participants in assessing the condition of large U.S. bank holding companies. We find that supervisors and bond rating agencies both have some prior information that is useful to the other. In contrast, supervisory assessments and equity market indicators are not strongly interrelated. We also find that supervisory assessments are much less accurate overall than both bond and equity market assessments in predicting future changes in performance, but supervisors may be more accurate when inspections are recent. To some extent, these results may reflect differing incentives of the parties. L3 - http://www.federalreserve.gov/pubs/feds/1998/199832/199832abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699620&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199832/199832abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fisher, Mark AU - Gilles, Christian AD - Unlisted AD - Unlisted T1 - Consumption and asset prices and recursive preferences PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-40 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699628; Keywords: Consumption (Economics) ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - We analyze consumption and asset pricing with recursive preferences given by Kreps--Porteus stochastic differential utility (K--P SDU). We show that utility depends on two state variables: current consumption and a second variable (related to the wealth--consumption ratio) that captures all information about future opportunities. This representation of utility reduces the internal consistency condition for K--P SDU to a restriction on the second variable in terms of the dynamics of a forcing process (consumption, the state--price deflator, or the return on the market portfolio). Solving the model for (i) optimal consumption, (ii) the optimal portfolio, and (iii) asset prices in general equilibrium amounts to finding the process for the second variable that satisfies this restriction. We show that the wealth--consumption ratio is the value of an annuity when the numeraire is changed from units of the consumption good to units of the consumption process, and we characterize certain features of the solution in a non-Markovian setting. In a Markovian setting, we provide a solution method that is quite general and can be used to produce fast, accurate numerical solutions that converge to the Taylor expansion. L3 - http://www.federalreserve.gov/pubs/feds/1998/199840/199840abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699628&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199840/199840abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AD - Unlisted T1 - Currency and banking crises: the early warnings of distress PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 629 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700474; Keywords: Money ; Financial crises; Publication Type: Working Paper; Update Code: 200404 N2 - The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and thus they were unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises in other regions, occur when the economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, which are evaluated in terms of accuracy both in-sample and out-of-sample. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/629/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700474&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/629/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Porter, Richard D. AU - Weinbach, Gretchen C. AD - Unlisted AD - Unlisted T1 - Currency ratios and U.S. underground economic activity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-41 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699629; Keywords: Money ; Informal sector (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - Cagan's classic currency ratio suggests that underground economic activity in the U.S. surged starting in 1994. In contrast, we show that a ratio adjusted to take care of two distorting developments--retail sweep programs and overseas demand for U.S. currency--did not surge, and that movements in the adjusted ratio owe primarily to the differential effects of interest rates on currency and checkable deposits. As a result, we are skeptical of monetary-based claims that the underground economy has expanded significantly in recent years and believe that any claims that is has must rely on other evidence. L3 - http://www.federalreserve.gov/pubs/feds/1998/199841/199841abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699629&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199841/199841abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AD - Unlisted T1 - Dealer polling in the presence of possibly noisy reporting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-33 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699621; Keywords: Over-the-counter markets ; Derivative securities ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - The value of a vast array of financial assets are functions of rates or prices determined in OTC, interbank, or other off-exchange markets. In order to price such derivative assets, underlying rate and price indexes are routinely sampled and estimated. To guard against misreporting, whether unintentional or for market manipulation, many standard contracts utilize a technique known as trimmed-means. This paper points out that this polling problem falls within the statistical framework of robust estimation. Intuitive criteria for choosing among robust valuation procedures are discussed. In particular, the approach taken is to minimize the worst-case scenario arising from a false report. The finite sample performance of the procedures that qualify, the trimmed-mean and the Huber-estimator, are examined in a set of simulation experiments. L3 - http://www.federalreserve.gov/pubs/feds/1998/199833/199833abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699621&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199833/199833abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Djankov, Simeon AU - Freund, Caroline AD - Unlisted AD - Unlisted T1 - Disintegration PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 618 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700463; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 N2 - We study the effects of trade barriers and the persistence of past linkages on trade flows in the former Soviet Union (FSU). Estimating gravity equations on 1987-1996 trade among and between nine Russian regions and fourteen FSU republics, we find that Russian regions traded 60 percent more with each other than with republics in the reform period (1994-96). In contrast, they did not trade significantly more with each other than with republics in the pre-reform period (1987-90). Estimating a richer model, we find that trade barriers are primarily responsible for the current domestic bias. However, the existing infrastructure stock has significantly limited the recent reorientation in trade. Finally, we find evidence of anticipatory adjustment during the transition to independence. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/618/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700463&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/618/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Burke, Jim AD - Unlisted T1 - Divestiture as an antitrust remedy in bank mergers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-14 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699606; Keywords: Antitrust law ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 N2 - The purpose of this study is to determine whether, from a public policy standpoint, divestitures constitute an effective antitrust remedy in bank merger cases. A number of findings emerge from the study: Divested branches have a remarkable survival record; structural changes effected by divestitures tend to persist over time; larger buyers of divested branches tended to be more successful than smaller buyers; divestiture of the target institutions' branches rather than those of applicants proved preferable from an antitrust standpoint; and divested branches selected by the Department of Justice do not perform better than others. The findings suggest that divestitures of bank offices have generally provided an effective public policy remedy L3 - http://www.federalreserve.gov/pubs/feds/1998/199814/199814abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699606&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199814/199814abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - Does the Fed act gradually? a VAR analysis. PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-17 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699609; Keywords: Federal funds market (United States) ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - The tendency for changes in the federal funds rate to be implemented gradually has been considered evidence of an interest-rate smoothing objective for the Federal Reserve. This paper investigates whether gradual movements in the federal funds rate can be explained by the dynamic structure of the economy and the uncertainty that the Fed faces regarding this structure, without recourse to including an ad-hoc interest rate smoothing argument in the objective function of the Fed. The analysis calculates the optimal funds rate policy given the structural form of the economy estimated in a VAR. In the absence of parameter uncertainty, the calculated policy responds more aggressively to changes in the economy than the observed policy, resulting in a substantially higher volatility of the funds rate than observed. Parameter uncertainty, however, limits the willingness of the Fed to deviate from the policy rule that has been previously implemented. Because the Fed has historically smoothed interest rates, the calculated policy under parameter uncertainty can account for a considerable portion of the gradualism observed in funds rate movements. L3 - http://www.federalreserve.gov/pubs/feds/1998/199817/199817abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699609&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199817/199817abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AD - Unlisted T1 - El Nino and world primary commodity prices: warm water or hot air? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 608 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700454; Keywords: Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the historical effects of El Nino on world prices and economic activity. Although the primary focus is on world real non-oil primary commodity prices, the effects on G-7 consumer price inflation and GDP growth are also considered. This paper has several distinct advantages over previous studies. First, several econometric models are estimated using fairly broad measures of prices and economic activity. Second, the models include continuous measures of El Nino intensity (sea surface temperature and sea-level air pressure anomalies in the Pacific Ocean) rather than dummy variable measures. Finally, confidence intervals are constructed for all estimated effects of El Nino on world prices and economic activity. ; The analysis indicates that El Nino has economically-important and statistically-significant effects on world real commodity prices. A one-standard-deviation surprise in El Nino, for example, raises real commodity price inflation about 3-1/2 to 4 percentage points. Moreover, El Nino appears to account for over 20 percent of commodity price inflation movements over the past several years. El Nino also has some explanatory power for world consumer price inflation and world economic activity, accounting for about 10 to 15 percent of movements in those variables. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/608/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700454&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/608/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmitt-Grohe, Stephanie AD - Unlisted T1 - Endogenous business cycles and the dynamics of output, hours, and consumption PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-19 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699611; Keywords: Business cycles ; Input-output analysis; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the business-cycle fluctuations predicted by a two-sector endogenous-business-cycle model with sector-specific external increasing returns to scale. It focuses on aspects of actual fluctuations that have been identified both as defining features of the business cycle and as ones that standard real-business-cycle models cannot explain: the autocorrelation function of output growth, the impulse response function of output to demand shocks, and the forecastable movements of output, hours, and consumption. For empirically realistic calibrations of the degree of sector-specific external returns to scale, the results suggest that endogenous fluctuations do not provide the dynamic element that is missing in existing real-business-cycle models. L3 - http://www.federalreserve.gov/pubs/feds/1998/199819/199819abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699611&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199819/199819abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yu, Dahai AD - Unlisted T1 - Equilibrium liquidity premia PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 615 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700461; Keywords: Liquidity (Economics) ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies in a general framework the relative prices of perpetuities with identical dividends and different bid-ask spreads. It establishes four sets of conditions under which the liquidity premium is always positive (i.e., an asset with smaller spread always commands a higher price). To show that the liquidity premium is not necessarily positive, the paper presents two examples of general equilibrium in which the liquidity premium is sometimes negative. The paper also establishes four sets of conditions under which the price-spread relation is convex and uses results on asset price bubbles to establish liquidity premium bounds. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/615/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700461&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/615/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dupont, Dominique AD - Unlisted T1 - Equilibrium price with institutional investors and with naive traders PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-23 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699615; Keywords: Stock - Prices ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses a competitive equilibrium model to study how institutional investors influence the volatility and the informativeness of asset prices. Institutional investors are assumed to be "rational" informed traders, while individual investors are supposed to be "naive" informed traders, insofar as the former use the equilibrium price to extract information while the latter do not. The paper compares the informativeness and the volatility of the equilibrium price in an economy in which the informed traders are naive and in one where they are rational; the paper also investigates how the price characteristics react to changes in the parameters, in particular in the number of informed traders. L3 - http://www.federalreserve.gov/pubs/feds/1998/199823/199823abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699615&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199823/199823abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Hendry, David F. AU - Mizon, Grayham E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Exogeneity, cointegration, and economic policy analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 616 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700449; Keywords: Econometrics ; Economic policy; Publication Type: Working Paper; Update Code: 200404 N2 - This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general; and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse response analysis. A small money-demand model for the United Kingdom illustrates the main analytical points. This paper then summarizes the other articles in this special section of the Journal of Business and Economic Statistics on "Exogeneity, Cointegration, and Economic Policy Analysis." L3 - http://www.federalreserve.gov/pubs/ifdp/1998/616/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700449&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/616/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elmendorf, Douglas W. AU - Mankiw, N. Gregory AD - Unlisted AD - Unlisted T1 - Government debt PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-09 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699598; Keywords: Expenditures, Public ; Debt; Publication Type: Working Paper; Update Code: 200404 N2 - This paper surveys the literature on the macroeconomic effects of government debt. It begins by discussing the data on debt and deficits, including the historical time series, measurement issues, and projections of future fiscal policy. The paper then presents the conventional theory of government debt, which emphasizes aggregate demand in the short run and crowding out in the long run. It next examines the theoretical and empirical debate over the theory of debt neutrality called Ricardian equivalence. Finally, the paper considers the various normative perspectives about how the government should use its ability to borrow. L3 - http://www.federalreserve.gov/pubs/feds/1998/199809/199809abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699598&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199809/199809abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warnock, Francis E. AD - Unlisted T1 - Idiosyncratic tastes in a two-country optimizing model: implications ; of a standard presumption PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 631 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700476; Keywords: Econometric models ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that allows for idiosyncratic tastes across countries. Specifically, there is a home-good bias in consumption patterns: at given relative prices the ratio of home goods consumed to foreign goods consumed is higher in the home country. The setup nests Obstfeld and Rogoff (1995), who assume identical tastes. Allowing for idiosyncratic tastes produces results that differ from Obstfeld and Rogoff's expansionary monetary policy increases home utility by more, the positive spillovers of a fiscal expansion are reduced, and both short-run and long-run deviations from consumption-based purchasing power parity are possible. The model's predictions are broadly consistent with those from the Frenkel, Razin and Yuen (1996) version of the two-country Mundell-Fleming model and with observed behavior of real and nominal exchange rates. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/631/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700476&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/631/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AD - Unlisted T1 - Indeterminacy and investment adjustment costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-38 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699626; Keywords: Investments ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - It is widely known that a neoclassical growth model with sufficient increasing returns to production may feature an indeterminate steady state. This note shows how investment adjustment costs increase the degree of increasing returns required for indeterminacy to arise. We also argue that sector-specific externalities are observationally equivalent to negative adjustment costs. It is widely known that a neoclassical growth model with sufficient increasing returns to production may feature an indeterminate steady state. This note shows how investment adjustment costs increase the degree of increasing returns required for indeterminacy to arise. We also argue that sector-specific externalities are observationally equivalent to negative adjustment costs. L3 - http://www.federalreserve.gov/pubs/feds/1998/199838/199838abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699626&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199838/199838abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Inflation and the great ratios: long-term evidence from the U.S. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 628 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700473; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Using over 100 years of U.S. data, we find that the long-run effects of inflation on consumption, investment, and output are positive. Thus, models generating long-term negative effects of inflation on output and consumption (including endogenous growth and RBC models with money) seem to be at odds with data from the moderate inflation rate environment we consider. Also, great ratios like the consumption and investment rates are not independent of inflation, which we interpret in terms of the Fisher effect. However, in the full sample, the variability of the stochastic inflation trend is small relative to the variability of the productivity and fiscal trends, so inflation accounts for little of the movements in real variables. By comparison, we find in the post-WWII sub-period that although significant "permanent" shocks to inflation are a more regular feature of the data, the long-run real effects of a given size inflation shock are much smaller. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/628/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700473&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/628/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roberts, John M. AD - Unlisted T1 - Inflation expectations and the transmission of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-43 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699631; Keywords: Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - New Keynesian models with sticky prices and rational expectations have a difficult time explaining why reducing inflation usually requires a recession. An explanation for the costliness of reducing inflation is that inflation expectations are less than perfectly rational. To explore this possibility, I estimate the degree of nonrationality implicit in two survey measures of inflation expectations. I find that the surveys reflect an intermediate degree of rationality: Expectations are nether perfectly rational nor as unsophisticated as simple autoregressive models would suggest. I also find that a structural New Keynesian model with expectations formation based on the survey results is able to match closely the empirical costs of reducing inflation. L3 - http://www.federalreserve.gov/pubs/feds/1998/199843/199843abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699631&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199843/199843abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Furfine, Craig AD - Unlisted T1 - Interbank payments and the daily federal funds rate PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-31 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699619; Keywords: Federal funds market (United States) ; Bank reserves; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a model of bank reserve management and federal funds rate determination that incorporates the role of interbank payments. In the model, uncertainty in the receipt of payments generates a precautionary demand for bank reserves as banks face both reserve requirements and penalties for overnight overdrafts. Days with higher payment volume are assumed to create more uncertainty in a bank's reserve account that accentuates this precautionary motive. As a result, upward pressure is placed on the equilibrium funds rate. Implications of the model are then estimated using a panel of large banking institutions. Using the parameter estimates, simulations of the model suggest that patterns in payment activity explain many intra-maintenance period movements in both the level and volatility of the federal funds rate. L3 - http://www.federalreserve.gov/pubs/feds/1998/199831/199831abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699619&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199831/199831abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Williams, John AD - Unlisted AD - Unlisted T1 - Investment, capacity, and output: a putty-clay approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-44 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699632; Keywords: Industrial capacity ; Macroeconomics ; Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. We show that the combination of log-normally distributed idiosyncratic productivity uncertainty and Leontief utilization choice yields an aggregate production function that is easily characterized in terms of hazard rates for the standard normal distribution. At low levels of idiosyncratic uncertainty, the short-run elasticity of supply is substantially lower than the elasticity of supply obtained from a fully-flexible Cobb-Douglas alternative. In the presence of irreversible factor proportions, an increase in idiosyncratic uncertainty typically reduces investment at the micro level but increases aggregate investment. Finally, we study the relationship between growth and uncertainty on aggregate capacity utilization and rates of machine replacement and investigate the factors that affect the magnitude of replacement echoes. L3 - http://www.federalreserve.gov/pubs/feds/1998/199844/199844abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699632&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199844/199844abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Laderman, Elizabeth AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - Is mortgage lending by savings associations special? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-25 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699617; Keywords: Savings and loan associations ; Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we investigate whether elimination of the savings association charter might reduce lending to nontraditional mortgage borrowers. We present a theoretical model of lender portfolio choice, in which nontraditional lenders have some market power and traditional lenders are price-takers in the mortgage market. The comparative statics indicate differences between nontraditional and traditional lenders in terms of their asset allocation responses to changes in borrower income and house prices. Empirical tests indicate the absence of such differences between savings associations and commercial banks, suggesting that elimination of the savings association charter would not impair lending to nontraditional mortgage borrowers. L3 - http://www.federalreserve.gov/pubs/feds/1998/199825/199825abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699617&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199825/199825abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted T1 - Macroeconomic implications of competitive college admissions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 613 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700459; Keywords: Education ; Income distribution; Publication Type: Working Paper; Update Code: 200404 N2 - We present a public higher education model in which there exist indivisibilities in educational investment. Consequently, when demand for educational services exceed supply, a screening mechanism, which may potentially be imperfect, is required to choose the student body. We demonstrate how distortions or biases in screening--caused by parental factors--interact with the distribution of income to help explain the considerable differences across countries in the share of resources devoted to public higher education. Moderate degrees of admission bias lower the share of resources devoted to public education whereas higher levels of bias may have positive effects on public education supply. Thus, while lower screening biases lead to a better allocation of a given amount of spending on education, they do not necessarily lead to more political support for public education, and thereby to higher aggregate human capital and output. When wage rates are endogenous, the effects of screening biases on public higher education supply can be positive even for smaller biases. Moreover, higher inequality will lead to a lower share of resources devoted to public higher education when biases are relatively moderate. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/613/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700459&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/613/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benhabib, Jess AU - Schmitt-Grohe, Stephanie AU - Uribe, Martin AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and multiple equilibria PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-29 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699600; Keywords: Monetary policy ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we characterize conditions under which interest rate feedback rules whereby the nominal interest rate is set as an increasing function of the inflation rate generate multiple equilibria. We show that these conditions depend not only on the fiscal regime (as emphasized in the fiscal theory of the price level) but also on the way in which money is assumed to enter preferences and technology. We analyze this issue in flexible and sticky price environments. We provide a number of examples in which, contrary to what is commonly believed, active monetary policy in combination with a fiscal policy that preserves government solvency gives rise to multiple equilibria and passive monetary policy renders the equilibrium unique. L3 - http://www.federalreserve.gov/pubs/feds/1998/199829/199829abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699600&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199829/199829abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wieland, Volker AD - Unlisted T1 - Monetary policy and uncertainty about the natural unemployment rate PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-22 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699614; Keywords: Monetary policy ; Unemployment; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the optimal monetary policy in the presence of uncertainty about the natural rate and the short-run inflation-unemployment tradeoff. Two conflicting motives drive policy. In the static version of the model, uncertainty provides a motive for the policymaker to move cautiously. In the dynamic version, uncertainty motivates an element of experimentation. I find that the optimal policy that balances these motives typically still exhibits gradualism, i.e., is less aggressive than a policy that disregards parameter uncertainty. Exceptions occur when uncertainty is very high and inflation close to target. L3 - http://www.federalreserve.gov/pubs/feds/1998/199822/199822abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699614&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199822/199822abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Monetary policy evaluation with noisy information PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-50 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699638; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the implications of noisy information regarding the measurement of economic activity for the evaluation of monetary policy. A common implicit assumption in such evaluations is that policymakers observe the current state of the economy promptly and accurately and can therefore adjust policy based on this information. However, in reality, decisions are made in real time when there is considerable uncertainty about the true state of affairs in the economy. Policy must be made with partial information. Using a simple model of the U.S. economy, I show that failing to account for the actual level of information noise in the historical data provides a seriously distorted picture of feasible macroeconomic outcomes and produces inefficient policy rules. Naive adoption of policies identified as efficient when such information noise is ignored results in macroeconomic performance worse than actual experience. When the noise content of the data is properly taken into account, policy reactions are cautious and less sensitive to the apparent imbalances in the unfiltered data. The resulting policy prescriptions reflect the recognition that excessively activist policy can increase rather than decrease economic instability. L3 - http://www.federalreserve.gov/pubs/feds/1998/199850/199850abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699638&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199850/199850abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AD - Unlisted T1 - Monetary policy in a stochastic equilibrium model with real and nominal rigidities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-02 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699593; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - A dynamic stochastic general-equilibrium (DSGE) model with real and nominal rigidities succeeds in capturing some key nominal features of U.S. business cycles. Additive technology shocks, as well as multiplicative shocks, are introduced. Monetary policy is specified following the developments in the structural vector autoregression (VAR) literature. Interaction between real and nominal rigidities is essential to reproduce the liquidity effect of monetary policy. The model is estimated by maximum likelihood on U.S. data, and its fit is comparable to that of an unrestricted first-order VAR. Besides producing reasonable impulse responses and second moments, this model replicates a feature of U.S. business cycles, never captured by previous research with DSGE models, that an increase in interest rates predicts a decrease in output two to six quarters in the future. Finally, some policy implications are discussed. L3 - http://www.federalreserve.gov/pubs/feds/1998/199802/199802abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699593&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199802/199802abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Monetary policy rules based on real-time data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-03 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699594; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, simple policy rules have received attention as a means to a more transparent and effective monetary policy. Often, however, the analysis is based on unrealistic assumptions about the timeliness of data availability. This permits rule specifications that are not operational and ignore difficulties associated with data revisions. This paper examines the magnitude of these informational problems using Taylor's rule as an example. I demonstrate that the real-time policy recommendations differ considerably from those obtained with the ex post revised data and are revised substantially even a year after the relevant quarter. Further, I show that estimated policy reaction functions obtained using the ex post revised data can yield misleading descriptions of historical policy. Using Federal Reserve staff forecasts I show that in the 1987-1992 period simple forward-looking specifications describe policy better than comparable Taylor-type specifications, a fact that is largely obscured when the analysis is based on the ex post revised data. L3 - http://www.federalreserve.gov/pubs/feds/1998/199803/199803abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699594&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199803/199803abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Monetary policy under neoclassical and new-Keynesian Phillips curves, with an application to price level and inflation targeting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-27 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699604; Keywords: Monetary policy ; Monetary theory; Publication Type: Working Paper; Update Code: 200404 N2 - This paper compares discretionary monetary policy under two Phillips curves. Previous work uses a Phillips curve consistent with "Neoclassical" models of price adjustment. Sticky price models imply a "New-Keynesian" Phillips curve based on staggered price setting that delivers familiar results on an inflationary bias and inflation contracts. However, the comparison of price level and inflation targeting reveals an output/price stability tradeoff under the New-Keynesian model that does not arise under the Neoclassical specification, illustrating the usefulness of considering the New-Keynesian model. Given the empirical support for the New-Keynesian specification, a stability tradeoff likely exists. L3 - http://www.federalreserve.gov/pubs/feds/1998/199827/199827abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699604&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199827/199827abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AD - Unlisted T1 - Monetary shocks and real exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 612 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700458; Keywords: Foreign exchange rates ; Monetary policy ; Vector autoregression; Publication Type: Working Paper; Update Code: 200404 N2 - Many explanations of the stylized facts concerning real exchange rate movements focus on monetary shocks, but it is often found empirically that monetary shocks are unimportant. I provide evidence that is contrary to this empirical finding. Using over 100 years of data, I estimate the contribution of various shocks to explaining variation in the real pound-dollar exchange rate. Monetary shocks consist of both monetary base and money multiplier shocks; real shocks include fiscal, productivity, and preference shocks. Estimates of several alternative VAR specifications provide a range for the contribution of the various shocks: from 19 to 60 percent in the short-run for monetary shocks and 4 to 26 percent for fiscal and productivity shocks combined. My modeling strategy and results are compared directly to related work. The results lend empirical support to the convention in recent quantitative general equilibrium modeling of focusing on monetary shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/612/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700458&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/612/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AD - Unlisted T1 - Multilateralism and the endogenous formation of PTAs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 614 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700460; Keywords: International trade ; Tariff; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the interaction between preferential trade agreements (PTAs) and multilateral tariff reduction in a model of imperfect competition. A growing literature finds that the formation of PTAs alters the incentives for and the sustainability of multilateral tariff reduction. We show that the causation is not one-sided--multilateral tariff reduction also affects the formation of PTAs. Specifically, tariff reduction enhances the incentives to form a PTA and increases the likelihood that it is self-enforcing. Thus, each round of multilateral tariff reduction should lead to a new wave of PTAs. This may help to explain the current trend towards regionalism. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/614/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700460&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/614/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello M. AU - Wilson, Beth Anne AD - Unlisted AD - Unlisted T1 - Nominal wage rigidity and real wage cyclicality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-21 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699613; Keywords: Wages; Publication Type: Working Paper; Update Code: 200404 N2 - We discuss the ability of standard estimates of the correlation of wages and employment to measure the relative strength of aggregate demand and supply shocks, given that the choice of time period, deflator, and explanatory variables inherently biases the estimated cyclical coefficients toward identifying labor supply or demand. We determine that a closer look at the standard wage/labor correlation shows that it can neither provide information on the relative strength of supply and demand shocks, nor give an indication of the response of wages to aggregate demand shocks. Following this, we test the predictions of a neo-Keynesian model for the correlation of employment and wages using restrictions generated by the model to identify movements along or shifts in labor demand. Our results are consistent with the theory of nominal wage rigidity and we find no reason to reject the neo-Keynesian model based on the correlation of wages and employment. L3 - http://www.federalreserve.gov/pubs/feds/1998/199821/199821abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699613&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199821/199821abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Opportunistic and deliberate disinflation under imperfect credibility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-01 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699592; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - One strategy for disinflation prescribes a deliberate path towards low inflation. A contrasting opportunistic approach eschews deliberate action and instead waits for unforeseen shocks to reduce inflation. This paper compares the ability of these two approaches to achieve disinflation---and at what cost. We analyze these issues using the Federal Reserve's FRB/US model, which allows alternative assumptions to be made about expectations held by agents in the economy; hence, the credibility of the central bank can be considered in assessing the cost of deliberate and opportunistic disinflations. L3 - http://www.federalreserve.gov/pubs/feds/1998/199801/199801abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699592&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199801/199801abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Porter, Richard AD - Unlisted AD - Unlisted T1 - P* revisited: money-based inflation forecasts with a changing equilibrium velocity. PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-26 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699603; Keywords: Econometric models ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - This paper implements recursive techniques to estimate the equilibrium level of M2 velocity and to forecast inflation using the P* model. The recursive estimates of equilibrium velocity are obtained by applying regression trees and least squares methods to a standard representation of M2 demand, namely a model in which the velocity of M2 depends on the opportunity cost of holding M2 instruments. Equilibrium velocity is defined as the level of velocity that would be expected to obtain if deposit rates were at their long-run average (equilibrium) value. We simulate the alternative models to obtain real-time forecasts of inflation and evaluate the performance of the forecasts obtained from the alternative models. We find that while a P* model assuming a constant equilibrium velocity does not provide accurate inflation forecasts in the 1990s, a model based on our time-varying equilibrium velocity estimates does quite well. L3 - http://www.federalreserve.gov/pubs/feds/1998/199826/199826abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699603&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199826/199826abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AD - Unlisted T1 - Part-time work and industry growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-16 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699608; Keywords: Employment (Economic theory) ; Industries; Publication Type: Working Paper; Update Code: 200404 N2 - The impression that employment in the U.S. has become more part-time intensive may be driven by a tendency for faster-growing industries to use more part-time work. I document this association over 1983-1993, and demonstrate that it is robust to alternative measures. Similar relationships are discernable in several countries. However, the association does not emerge clearly in the U.S. until the 1980s. Moreover, both relative growth rates and relative part-time intensities of industries have changed markedly since 1940. Part-time work at fast-growing industries is not more likely to be involuntary, although this may be true for entering workers, nor is there a trend in that direction. L3 - http://www.federalreserve.gov/pubs/feds/1998/199816/199816abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699608&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199816/199816abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Wieland, Volker AD - Unlisted AD - Unlisted T1 - Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-35 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699623; Keywords: Prices ; Monetary policy ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound constraint on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the 1980s and 1990s, the consequences of the zero bound are negligible for target inflation rates as low as 2 percent. However, the effects of the constraint are very non-linear with respect to the inflation target and produce a quantitatively significant deterioration of the performance of the economy with targets between 0 and 1 percent. The variability of output increases significantly and that of inflation also rises somewhat. The stationary distribution of output is distorted, with recessions becoming somewhat more frequent and longer lasting. Our model also uncovers the fact the asymmetry of the policy ineffectiveness induced by the zero bound constraint generates a non-vertical long run Phillips curve. Output falls increasingly short of potential, with lower inflation targets. At zero average inflation, the output loss is on the order of 0.1 percentage points. We also investigate the consequences of the constraint on the analysis of optimal policy based on the inflation-output variability frontier. We demonstrate that in the presence of the zero bound, the variability frontier is distorted as the inflation target approaches zero. As a result, comparisons of alternative policy rules that ignore the zero bound can be seriously misleading. L3 - http://www.federalreserve.gov/pubs/feds/1998/199835/199835abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699623&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199835/199835abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - David, Alexander AD - Unlisted T1 - Pricing the strategic value of poison put bonds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-06 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699595; Keywords: Bonds; Publication Type: Working Paper; Update Code: 200404 N2 - In times of low liquidity for a firm, poison put bondholders can threaten to either force the company into a reorganization or to raise its borrowing costs. A multilateral bargaining solution for the strategic value is formulated at the time of exercise. Even infinitesimal bondholders, putting non-cooperatively, are able to extract more than the intrinsic value whenever the amount of putable debt exceeds the firm's effective liquidity. Prior to the crisis all financial assets are priced in a continuous-time framework when interest rates follow the Vasicek process and firm's debtholders are subject to a sharp price decline due to an LBO. The model is calibrated to one such recent crisis--- that of Kmart Corp. L3 - http://www.federalreserve.gov/pubs/feds/1998/199806/199806abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699595&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199806/199806abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Putty-clay and investment: a business cycle analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-30 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699618; Keywords: Business cycles; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a dynamic stochastic general equilibrium model with putty-clay technology that incorporates embodied technology, investment irreversibility, and variable capacity utilization. Low short-run capital-labor substitutability native to the putty-clay framework induces the putty-clay effect of a tight link between changes in capacity and movements in employment and output. As a result, persistent shocks to technology or factor prices generate business cycle dynamics absent in standard neoclassical models, including a prolonged hump-shaped response of hours, persistence in output growth, and positive comovement in the forecastable components of output and hours. Capacity constraints result in a nonlinear aggregate production function that implies asymmetric responses to large shocks with recessions steeper and deeper than expansions. Minimum distance estimation of a two-sector model that nests putty-clay and neoclassical production technologies supports a significant role for putty-clay capital in explaining business cycle and medium-run dynamics. L3 - http://www.federalreserve.gov/pubs/feds/1998/199830/199830abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699618&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199830/199830abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Puzzles in the Chinese stock market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 619 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700464; Keywords: China ; Stock market - China; Publication Type: Working Paper; Update Code: 200404 N2 - Many companies on China's stock markets have separate, restricted classes of shares for domestic residents and foreigners. Other than who can own them, these shares are identical, but foreigners pay only about one-quarter the price paid by domestic residents. We show that plausible differences--about 4 percentage-points--in expected rates of return by foreign and domestic investors can account for the generally higher level and volatility of prices for domestic shares relative to foreign shares. We attribute low Chinese expected returns to the limited alternative investments available in China. We then explore the extent to which various company characteristics can explain cross-company differences in the relative price paid by foreigners. For example, foreigners pay a lower relative price for companies with a higher proportion owned by the state--reflecting, surprisingly, a higher absolute price paid by both foreigners and domestic residents. Several puzzles remain. For example, we are unable to explain why Chinese investors in Shanghai paid lower prices in 1994 and 1995 for companies with their foreign listings in Hong Kong rather than Shanghai. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/619/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700464&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/619/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yu, Dahai AD - Unlisted T1 - Rational bubbles under diverse information PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 621 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700466; Keywords: Information theory ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses a set of post-extraction information trees to generally model diverse information and agent specific state price processes to define present and fundamental values. It shows that there can be no negative or finite bubbles and that, if agents are impatient and the aggregate endowment has a finite present value under some state price process of some agent, then there can be no bubble under this state price process for any asset with positive supply. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/621/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700466&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/621/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tinsley, P. A. AD - Unlisted T1 - Rational error correction PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-37 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699625; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 N2 - Under general conditions, linear decision rules of agents with rational expectations are equivalent to restricted error corrections. However, empirical rejections of rational expectation restrictions are the rule, rather than the exception, in macroeconomics. Rejections often are conditioned on the assumption that agents aim to smooth only the levels of actions or are subject to geometric random delays. Generalizations of dynamic frictions on agent activities are suggested that yield closed-form, higher-order decision rules with improved statistical fits and infrequent rejections of rational expectations restrictions. Properties of these generalized "rational" error corrections are illustrated for producer pricing in manufacturing industries. L3 - http://www.federalreserve.gov/pubs/feds/1998/199837/199837abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699625&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199837/199837abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freund, Caroline L. AD - Unlisted T1 - Regionalism and permanent diversion PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 602 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700447; Keywords: Regional economics; Publication Type: Working Paper; Update Code: 200404 N2 - We compare free trade reached through expanding regional trading blocks to free trade accomplished by multilateral negotiation. With sunk costs, the outcomes are different. Trade in an imperfectly competitive good flows disproportionately more between the original members of a regional agreement even after free trade is reached. They secure a higher welfare level from regionalism than from free trade achieved multilaterally; non-members, however, reach a lower welfare level. A surprising result is that world welfare during free trade is greater when it is achieved by the regional path. We conclude with some empirical evidence from the European Union that is consistent with the model. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/602/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700447&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/602/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engle, Charles AU - Rogers, John AD - Unlisted AD - Unlisted T1 - Relative price volatility: what role does the border play? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 623 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700468; Keywords: Prices ; Canada ; International trade ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - We reexamine the effect of the U.S.-Canadian border on integration of markets. The paper updates work from our earlier paper, Engel and Rogers (1996). We consider alternative measures of deviations from the law of one price. We pay special attention to the effect of the U.S.-Canada free trade agreement on market integration. Our conclusions are unchanged: markets in the U.S. and Canada are more segmented than can be explained by the physical distance between the two locations. Formal trade barriers do not appear to explain much of that segmentation. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/623/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700468&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/623/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levin, Andrew AU - Wieland, Volker AU - Williams, John C. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Robustness of simple monetary policy rules under model uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-45 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699633; Keywords: Macroeconomics ; Monetary policy ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we investigate the properties of alternative monetary policy rules using four structural macroeconometric models: the Fuhrer-Moore model, Taylor's Multi-Country Model, the MSR model of Orphanides and Wieland, and the FRB staff model. All four models incorporate the assumptions of rational expectations, short-run nominal inertia, and long-run monetary neutrality, but differ in many other respects (e.g., the dynamics of prices and real expenditures). We compute the output-inflation volatility frontier of each model for alternative specifications of the interest rate rule, subject to an upper bound on nominal interest rate volatility. Our analysis provides strong support for rules in which the first-difference of the federal funds rate responds to the current output gap and the deviation of the one-year average inflation rate from a specified target. In all four models, first-difference rules perform much better than rules of the type proposed by Taylor (1993) and Henderson and McKibbin (1993), in which the level of the federal funds rate responds to the output gap and the deviation from target. Furthermore, first-difference rules generate essentially the same policy frontier as more complicated rules (i.e., rules that respond to a larger number of variables and/or additional lags of output and inflation). Finally, this class of rules is robust to model uncertainty, in the sense that a first-difference rule taken from the policy frontier of one model is very close to the policy frontier of each of the other three models. In contrast, more complicated rules are less robust to model uncertainty: rules with additional parameters can be fine-tuned to the dynamics of a specified model, but typically perform poorly in the other models. L3 - http://www.federalreserve.gov/pubs/feds/1998/199845/199845abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699633&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199845/199845abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Klau, Marc AD - Unlisted AD - Unlisted T1 - Some multi-country evidence on the effects of real exchange rates on output PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 611 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700457; Keywords: Foreign exchange rates ; Gross domestic product; Publication Type: Working Paper; Update Code: 200404 N2 - The simultaneous occurrence of devaluation and recession in Mexico in 1995, as well as in the East Asian economies more recently, appears to contradict the conventional view that devaluations are expansionary. Moreover, a sizeable theoretical and empirical literature also argues that, contrary to the predictions of textbook analysis, exchange rate devaluations may be contractionary rather than expansionary. However, prior statistical analyses of the effects of exchange rate devaluation on output have been subject to several limitations: (i) they have failed to distinguish adequately between short and long-run effects; (ii) they have not controlled for the full range of external shocks; and (iii) they have not considered whether the effects of devaluation might differ between different regions of the world. The purpose of this paper is to estimate the impact of devaluation on output for 27 countries while attempting to address these limitations in previous empirical analyses. We find no evidence that devaluations are contractionary in the long run. Additionally, controlling for sources of spurious correlation and reverse causality appears to mute the measured contractionary effect of devaluation in the short run, although this effect remains even after these controls are introduced. Finally, while the literature on contractionary devaluation has focused primarily on developing countries, we found no evidence that this effect is stronger in developing countries than in industrialised countries. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/611/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700457&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/611/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AD - Unlisted T1 - Stock market wealth and consumer spending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-20 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699612; Keywords: Consumer behavior ; Wealth ; Stock market; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the effects of stock market wealth on consumer spending. Traditional macroeconometric models estimate that a dollar's increase in stock market wealth boosts consumer spending by 3-7 cents per year. With the substantial 1990s rise in stock prices, the nature and magnitude of this "wealth effect" have been much debated. After describing the issues and reviewing previous research, I present new evidence from the SRC Surveys of Consumers. The survey results are broadly consistent with lifecycle saving and a modest wealth effect: Most stockholders reported no appreciable effect of stock prices on their saving or spending, but many mentioned "retirement saving" in explaining their behavior. L3 - http://www.federalreserve.gov/pubs/feds/1998/199820/199820abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699612&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199820/199820abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Heller, Daniel AU - Lengwiler, Yvan AD - Unlisted AD - Unlisted T1 - The auctions of Swiss government bonds: should the Treasury price discriminate or not? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-11 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699599; Keywords: Auctions ; Government securities; Publication Type: Working Paper; Update Code: 200404 N2 - Ever since Friedman's (1960) contribution, there has been an ongoing controversy about whether the Treasury should auction off its government debt with a discriminatory or with a uniform price format. Many industrialized countries, the United States or Germany, for instance, use discriminatory auctions, while Switzerland applies to uniform price rule. Using recent contributions to multi-unit auction theory, we analyze data on the bids submitted to Swiss Treasury bond auctions over the last three years. We then construct hypothetical bid functions that would occur under price discrimination. Based on these bid functions, we determine which auction format minimizes the government's costs of financing its debt. L3 - http://www.federalreserve.gov/pubs/feds/1998/199811/199811abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699599&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199811/199811abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AU - Uribe, Martin AD - Unlisted AD - Unlisted T1 - The business cycles of currency speculation: a revision of the Mundellian framework PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 617 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700462; Keywords: Business cycles ; Money ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - In his seminal 1960 study on the dynamics of alternative exchange rate regimes, Robert Mundell proposed a theory of balance-of-payments crises in which speculators base their actions on the observed holdings of central bank foreign reserves. We examine the quantitative implications of this view from the perspective of an equilibrium business cycle model in which rational expectations of a devaluation are conditioned on foreign reserves. The model explains some of the empirical regularities of the business cycle associated with temporary fixed-exchange-rate regimes. In turn, these cyclical dynamics validate the agents' expectations by producing devaluation probabilities that resemble those estimated from the data. The model thus aims to explain both the real effects and the collapse of exchange-rate-based stabilizations in a unified framework. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/617/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700462&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/617/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Kim, Jinill AD - Unlisted AD - Unlisted T1 - The choice of a monetary policy reaction function in a simple optimizing model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 601 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700446; Keywords: Monetary policy ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the following: money, the price level, output, nominal income (output), money growth, inflation, and the sum of inflation and output. There are three varieties of one-period nominal stickiness---wage stickiness, wage and price stickiness, and price stickiness---and three kinds of shocks---money demand shocks, goods demand shocks, and productivity shocks. A given type of targeting is "better" than some other type for a given variable and kind of shock if it results in smaller deviations of the variable from its target value. Some familiar results regarding the ranking of types of targeting are confirmed in the optimizing model, and some new results are obtained. It is not surprising that rankings may depend both on the type of shock and on which variable is the target variable. However, it may be somewhat surprising that, given that wages are sticky, rankings depend on whether prices are sticky, but that given that prices are sticky rankings do not depend on whether wages are sticky. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/601/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700446&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/601/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Demsetz, Rebecca S. AU - Strahan, Philip E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The consolidation of the financial services industry: causes, consequences, and implications for the future PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-46 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699634; Keywords: Bank mergers ; Financial services industry; Publication Type: Working Paper; Update Code: 200404 N2 - This article designs a framework for evaluating the causes, consequences, and future implications of financial consolidation, reviews the extant research literature within the context of this framework (over 250 references), and suggests fruitful avenues for future research. The evidence is consistent with increases in market power from some types of consolidation; improvements in profit efficiency and diversification of risks, but little or no cost efficiency improvements; relatively little effect on the availability of services to small customers; potential improvements in payments system efficiency; and potential costs on the financial system from increasing systemic risk or expanding the financial safety net. L3 - http://www.federalreserve.gov/pubs/feds/1998/199846/199846abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699634&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199846/199846abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - The economics of small business finance: the roles of private equity and debt markets in the financial growth cycle. PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-15 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699607; Keywords: Venture capital ; Small business; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the economics of financing small business in private equity and debt markets. Firms are viewed through a financial growth cycle paradigm in which different capital structures are optimal at different points in the cycle. We show the sources of small business finance,and how capital structure varies with firm size and age. The interconnectedness of small firm finance is discussed along with the impact of the macroeconomic environment. We also analyze a number of research and policy issues, review the literature, and suggest topics for future research. L3 - http://www.federalreserve.gov/pubs/feds/1998/199815/199815abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699607&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199815/199815abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - James P. Dow, Jr. AU - Elmendorf, Douglas W. AD - Unlisted AD - Unlisted T1 - The effect of stock prices on the demand for money market mutual funds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-24 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699616; Keywords: Mutual funds ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - During the 1990s, households have sharply increased the share of their portfolios held in equities and mutual funds and sharply reduced the share held in bank accounts. We show that this reallocation has substantially increased the impact of financial-market developments on the demand for money. Specifically, both increases and decreases in the Wilshire 5000 have boosted the demand for money funds during the 1990s, although they had little effect on money funds during the 1980s. The estimated effects in the 1990s are generally statistically significant and economically important. L3 - http://www.federalreserve.gov/pubs/feds/1998/199824/199824abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699616&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199824/199824abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coronado, Julia Lynn AD - Unlisted T1 - The effects of social security privatization on household saving: evidence from the Chilean experience PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-12 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699601; Keywords: Social security ; Privatization ; Chile; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, a handful of countries have converted the financing of their social security systems from pay-as-you-go (PAYGO) to partial or full funding. Privatization is viewed as one way to insulate social security from the political and demographic pressures that currently threaten the financial stability of PAYGO systems. However, privatization would improve a nation's situation only if such a reform increases domestic saving. In this paper I use evidence from Chile, where social security was privatized in 1981, to assess the impact of such a reform on household saving rates. I find that the reform provided a significant stimulus for saving among higher income households, increasing their saving rates by more than seven percentage points. This increase in saving at the household level translates into an increase in national saving of more than two percent of GDP. L3 - http://www.federalreserve.gov/pubs/feds/1998/199812/199812abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699601&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199812/199812abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - The implications of risk management information systems for the organization of financial firms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 632 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700477; Keywords: Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Financial dealer firms have invested heavily in recent years to develop information systems for risk measurement. I take it as given that technological progress is likely to continue at a rapid pace, making it less expensive for financial firms to assemble risk information. I look beyond questions of risk measurement methodology to investigate the implications of risk management information systems. By examining several theoretical models of the firm in the presence of asymmetric information, I explore how a financial firm's capital budgeting, incentive compensation, capital structure, and risk management activities are likely to change as it becomes less costly to assemble risk information. I also explore the likely effects of the falling cost of assembling risk information on a financial firm's organizational structure. Two common themes emerge: centralization within the firm and increased disclosure of risk information outside the firm are both likely to increase. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/632/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700477&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/632/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lengwiler, Yvan AD - Unlisted T1 - The multiple unit auction with variable supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-28 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699605; Keywords: Auctions ; Supply and demand; Publication Type: Working Paper; Update Code: 200404 N2 - The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply to the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. L3 - http://www.federalreserve.gov/pubs/feds/1998/199828/199828abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699605&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199828/199828abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AD - Unlisted T1 - The robustness of identified VAR conclusions about money PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 610 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700456; Keywords: Monetary policy ; Money ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a new way to assess robustness of claims from identified VAR work. All possible identifications are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identified; thus, one can assess claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the forecast error variance of postwar U.S. output in standard 6-variable and 13-variable models. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/610/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700456&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/610/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Johnson, Karen AU - Marquez, Jaime AD - Unlisted AD - Unlisted AD - Unlisted T1 - Trade elasticities for G-7 countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 609 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700455; Keywords: Group of Seven countries ; Exports ; Imports; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reports the results of a project to estimate and test the stability properties of conventional equations relating real imports and exports of goods and services for the G-7 countries to their incomes and relative prices. We begin by estimating cointegration vectors and the error-correction formulations. We then test the stability of these equations using Chow and Kalman-Filter tests. The evidence suggests three findings. First, conventional trade equations and elasticities are stable enough, in most cases, to perform adequately in forecasting and policy simulations. Equations for German trade, as well as equations for French and Italian exports, are an exception. Second, income elasticities of U.S. trade have not been shifting in a direction that will tend to ease the trend toward deterioration in the U.S. trade position. The income-elasticity gap for Japan found in earlier studies was not confirmed in this analysis. Finally, the price channel is weak, if not wholly ineffective, in the case of continental European countries. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/609/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700455&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/609/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AU - Henderson, Dale W. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Tradeoffs between inflation and output-gap variances in an optimizing-agent model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 627 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700472; Keywords: Inflation (Finance) ; Prices ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - We demonstrate the existence of a monetary policy tradeoff between price-inflation variability and output-gap variability in an optimizing-agent model with staggered nominal wage and price contracts. This variance tradeoff is absent only in the special case in which prices are sticky and wages are perfectly flexible. When the model is calibrated to exhibit an empirically reasonable degree of nominal wage inertia, strict inflation targeting induces substantial output-gap volatility. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/627/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700472&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/627/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Svensson, Lars E. O. AD - Unlisted AD - Unlisted T1 - Transparency and credibility: monetary policy with unobservable goals PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 605 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700451; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - We define and study transparency, credibility, and reputation in a model where the central bank's characteristics are unobservable to the private sector and are inferred from the policy outcome. A low-credibility bank optimally conducts a more inflationary policy than a high-credibility bank, in the sense that it induces higher inflation, but a less expansionary policy in the sense that it induces lower inflation and employment than expected. Increased transparency makes the bank's reputation and credibility more sensitive to its actions. This has a moderating influence on the bank's policy. Full transparency of the central bank's intentions is generally socially beneficial, but frequently not in the interest of the bank. Somewhat paradoxically, direct observability of idiosyncratic central bank goals removes the moderating incentive on the bank and leads to the worst equilibrium. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/605/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700451&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/605/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Yu, Dahai AD - Unlisted T1 - Two equivalence theorems for government finance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 622 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700467; Keywords: Finance, Public; Publication Type: Working Paper; Update Code: 200404 N2 - This paper studies the effects of a path change in government debt composition and aggregate transfers on allocations and prices. It is shown that the effects are zero under some agent-specific transfer scheme even when markets are incomplete. If markets are complete, then the effects are zero under any transfer scheme that leaves each agent's lifetime resource unchanged if and only if agents are always collectively compensated for next period's return change. The infinite-horizon framework used has an arbitrary number of assets with arbitrary returns and an arbitrary mixture of finitely and infinitely lived agents. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/622/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700467&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/622/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - U.S. monetary policy and econometric modeling: tales from the FOMC transcripts 1984-1991 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 607 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700453; Keywords: Monetary policy ; Econometric models ; Federal Open Market Committee; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses the transcripts from the FOMC meetings to characterize the interactions between policymakers and macro models in the formulation of U.S. monetary policy. We develop a taxonomy of these interactions and present two case studies. The first case focuses on the debate on the choice of monetary target and the second case focuses on the 1990/1991 recession. The analysis reveals that U.S. monetary policy relies on models for information. Models give estimates of both the outlook and the response of the economy to policy changes. Models also evolve to recognize the changing context in which policymakers operate--exchange rate flexibility, financial deregulation, and international trade agreements L3 - http://www.federalreserve.gov/pubs/ifdp/1998/607/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700453&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/607/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sack, Brian AD - Unlisted T1 - Uncertainty, learning, and gradual monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-34 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699622; Keywords: Monetary policy ; Monetary theory; Publication Type: Working Paper; Update Code: 200404 N2 - The value of a vast array of financial assets are functions of rates or prices determined in OTC, interbank, or other off-exchange markets. In order to price such derivative assets, underlying rate and price indexes are routinely sampled and estimated. To guard against misreporting, whether unintentional or for market manipulation, many standard contracts utilize a technique known as trimmed-means. This paper points out that this polling problem falls within the statistical framework of robust estimation. Intuitive criteria for choosing among robust valuation procedures are discussed. In particular, the approach taken is to minimize the worst-case scenario arising from a false report. The finite sample performance of the procedures that qualify, the trimmed-mean and the Huber-estimator, are examined in a set of simulation experiments. L3 - http://www.federalreserve.gov/pubs/feds/1998/199834/199834abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699622&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199834/199834abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dunn, Wendy E. AD - Unlisted T1 - Unemployment risk, precautionary saving, and durable goods purchase decisions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-49 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699637; Keywords: Consumer behavior ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper household level data are used to explore whether unemployment risk is an important factor in the timing of consumers' durable goods purchase decisions. A theoretical model is presented in which both income uncertainty and household debt play a direct role, offering a potential explanation for fluctuations in durable goods spending over the business cycle. The model predicts that consumers respond to increases in unemployment risk by postponing purchases of the durable good and reducing their spending on nondurable goods in order to bolster their precautionary buffer-stock of liquid assets. Consistent with the model, there is evidence that unemployment risk has a direct effect on the timing of home purchases: households with a higher probability of becoming unemployed are less likely to have recently purchased a home or a car, even after controlling for demographic variables. A prediction that the consumption decisions of older consumers are relatively less sensitive to unemployment risk is also validated. Another finding consistent with the theoretical model is that consumers who are observed to have bought a house despite facing high unemployment risk tend to have more liquid assets left over than homebuyers who face ordinary or low unemployment risks. L3 - http://www.federalreserve.gov/pubs/feds/1998/199849/199849abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699637&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199849/199849abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John AU - Edison, Hali AU - Loungani, Prakash AD - Unlisted AD - Unlisted AD - Unlisted T1 - Was China the first domino? assessing links between China and the rest of emerging Asia. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 604 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700450; Keywords: Financial markets ; Asia ; China; Publication Type: Working Paper; Update Code: 200404 N2 - We assess links between China and the rest of emerging Asia. Some commentators have argued that China's apparent devaluation in 1994 may have contributed to the Asian financial crisis. We argue that the devaluation was not economically important: The more-relevant exchange rate was a floating rate that was not devalued, and high Chinese inflation has led to a very sharp real appreciation of the currency. Although in principle, export competition with China could nevertheless have placed pressure on other Asian exporters, we argue that the striking feature of the data is the common movement between export growth from China and from other developing Asian economies. To the extent there is evidence of export competition, it is the period from about 1989 to 1993: China's exchange rate depreciated sharply, Chinese export growth exceeded export growth of other Asian economies, and the composition of Asian exports (measured by export shares of various goods to the United States and other industrial economies) changed substantially. Finally, we speculate on the effects of the Asian crisis on China's prospects. China's economic growth is likely to slow because of increased trade competition as a result of the devaluation of other Asian currencies, and because of reduced capital inflows. In addition, these reduced inflows are likely to reduce job creation in the non-state sector, and hence make enterprise restructuring more difficult in China. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/604/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700450&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/604/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted T1 - What determines public support for affirmative action? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 620 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700465; Keywords: Discrimination in employment ; Education; Publication Type: Working Paper; Update Code: 200404 N2 - We present a model of public higher education finance in which demand for educational services can exceed supply because of indivisibilities in educational investment. In such situations, a screening mechanism--which may be imperfect because of direct or indirect discrimination--is required for allocation. We show how changes in the education premium affect political support for affirmative action policies. When the education premium is relatively low, the matching efficiency gains provided by affirmative action policies are relatively high compared to the opportunity cost of not acquiring education, and the majority supports broader affirmative action. In contrast, when the education premium is high, the opportunity cost of not acquiring educated is high relative to the matching efficiency gains provided by affirmative action policies, and the majority's support for affirmative action is weaker. With endogenous wages, the negative relationship between the returns to education and affirmative action is reinforced. L3 - http://www.federalreserve.gov/pubs/ifdp/1998/620/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700465&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1998/620/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schnure, Calvin AD - Unlisted T1 - Who holds cash? and why? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-13 Y1 - 1998/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699602; Keywords: Cash management ; Cash flow; Publication Type: Working Paper; Update Code: 200404 N2 - Cash holdings of nonfinancial firms range widely, and are related to firm size, industry and access to the public bond market. Cash holdings are positively correlated with agency proxies, suggesting that firms that cannot borrow easily due to agency problems hold greater cash stocks--perhaps as a cushion to prevent shortfalls in cash flow from impinging on investment. However, this correlation holds only for the very highest cash holders, especially small firms. The group of afflicted firms appears to be less than one-quarter of COMPUSTAT firms. Agency proxies are irrelevant for a large majority of firms. L3 - http://www.federalreserve.gov/pubs/feds/1998/199813/199813abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699602&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199813/199813abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - David, Alexander T1 - Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 1997/12// VL - 32 IS - 4 M3 - Article SP - 427 EP - 462 PB - Cambridge University Press SN - 00221090 AB - The average relative profitability of different firms in the economy jumps erratically. Although investors are unable to observe these productivity switches, they continuously update their beliefs regarding high and low productivity firms by observing the total return on each firm, which consists of the average productivity plus noise. The portfolio choices, interest rate, and stock return processes are derived in a Cox-Ingersoll-Ross (1985a) style general equilibrium model. Three stylized facts of stock market returns are addressed: negative skewness, excess kurtosis, and predictive asymmetry (excess returns and future changes in volatility are negatively correlated). To measure the last stylized fact, an EGARCH model is fitted to sample paths simulated from the model. Parameter values that permit faster learning fit the three facts better. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER confidence KW - STOCK exchanges KW - RATE of return KW - VOLATILITY (Finance) KW - PROFITABILITY KW - INVESTMENT analysis KW - FINANCIAL performance KW - RANDOM walks (Mathematics) KW - INDUSTRIAL productivity KW - INTEREST rate futures KW - CORPORATION reserves KW - AMERICAN investments N1 - Accession Number: 76279; David, Alexander 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: Dec97, Vol. 32 Issue 4, p427; Thesaurus Term: CONSUMER confidence; Thesaurus Term: STOCK exchanges; Thesaurus Term: RATE of return; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: PROFITABILITY; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: FINANCIAL performance; Thesaurus Term: RANDOM walks (Mathematics); Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: INTEREST rate futures; Thesaurus Term: CORPORATION reserves; Subject Term: AMERICAN investments; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 36p; Illustrations: 1 Diagram, 1 Chart, 16 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76279&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engen, Eric T1 - Distributional Analysis of Tax Policy. JO - National Tax Journal JF - National Tax Journal Y1 - 1997/12// VL - 50 IS - 4 M3 - Book Review SP - 805 EP - 809 PB - National Tax Association SN - 00280283 AB - Reviews the book "Distributional Analysis of Tax Policy," edited by David F. Bradford. KW - TAXATION KW - NONFICTION KW - BRADFORD, David F. KW - DISTRIBUTIONAL Analysis of Tax Policy (Book) N1 - Accession Number: 164944; Engen, Eric 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Dec97, Vol. 50 Issue 4, p805; Thesaurus Term: TAXATION; Subject Term: NONFICTION; Reviews & Products: DISTRIBUTIONAL Analysis of Tax Policy (Book); NAICS/Industry Codes: 921130 Public Finance Activities; People: BRADFORD, David F.; Number of Pages: 5p; Document Type: Book Review; Full Text Word Count: 2081 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=164944&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Emmons, William M. AU - Prager, Robin A. T1 - The effects of market structure and ownership on prices and service offerings in the U.S. cable television industry. JO - RAND Journal of Economics (RAND Journal of Economics) JF - RAND Journal of Economics (RAND Journal of Economics) Y1 - 1997///Winter97 VL - 28 IS - 4 M3 - Article SP - 732 EP - 750 PB - RAND Journal of Economics SN - 07416261 AB - This article provides empirical evidence on the effects of alternative market structures and ownership modes on prices and service offerings in the cable television industry. We analyze the underlying characteristics and behavior of competing versus monopoly operators on the one hand, and privately versus nonprivately owned operators on the other. We find that competition and nonprivate ownership are associated with lower prices for basic cable television service. We also find that cable television price and quality differentials vary with certain characteristics of competing operators, and that market structure and ownership status influence changes in price and quality over time. [ABSTRACT FROM AUTHOR] AB - Copyright of RAND Journal of Economics (RAND Journal of Economics) is the property of RAND Journal of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL organization (Economic theory) KW - INDUSTRIAL policy KW - INDUSTRIAL concentration KW - MONOPOLIES KW - ECONOMICS KW - COMPETITION N1 - Accession Number: 93457; Emmons, William M. 1; Email Address: wemmons@hbs.edu; Prager, Robin A. 2; Email Address: mlrap03@frb.gov; Affiliations: 1: Harvard University; 2: Board of Governors of the Federal Reserve System; Issue Info: Winter97, Vol. 28 Issue 4, p732; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: INDUSTRIAL policy; Thesaurus Term: INDUSTRIAL concentration; Thesaurus Term: MONOPOLIES; Thesaurus Term: ECONOMICS; Subject Term: COMPETITION; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 19p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=93457&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Jefferson, Philip N. T1 - On the Neutrality of Inside and Outside Money. JO - Economica JF - Economica Y1 - 1997/11// VL - 64 IS - 256 M3 - Article SP - 567 EP - 586 PB - Wiley-Blackwell SN - 00130427 AB - The relationships between nominal inside money and real economic activity and nominal outside money and real economic activity are explored using data on checkable deposits, M2 excluding currency, the monetary base, and real income in the United States from 1900 to 1992. This is done by calculating the long-run elasticities of real output with respect to inside and outside components of the money stock. Small but significant deviations from neutrality are detected for inside money over a range of identifying assumptions. The evidence suggests, however, that the source of non-neutrality is not the one hypothesized by Gurley and Shaw (1960). [ABSTRACT FROM AUTHOR] AB - Copyright of Economica is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY KW - ECONOMIC activity KW - BUSINESS cycles KW - INTERNATIONAL relations KW - ECONOMETRICS KW - DISCRETIONARY income KW - REAL income KW - UNITED States N1 - Accession Number: 39421; Jefferson, Philip N. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Nov97, Vol. 64 Issue 256, p567; Thesaurus Term: MONEY; Thesaurus Term: ECONOMIC activity; Thesaurus Term: BUSINESS cycles; Thesaurus Term: INTERNATIONAL relations; Thesaurus Term: ECONOMETRICS; Thesaurus Term: DISCRETIONARY income; Thesaurus Term: REAL income; Subject: UNITED States; NAICS/Industry Codes: 928120 International Affairs; NAICS/Industry Codes: 911410 Foreign affairs; Number of Pages: 20p; Illustrations: 5 Charts, 8 Graphs; Document Type: Article L3 - 10.1111/1468-0335.00100 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=39421&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Morton, John E. T1 - Estimating Equilibrium Exchange Rates (Book). JO - Journal of International Economics JF - Journal of International Economics Y1 - 1997/11// VL - 43 IS - 3/4 M3 - Book Review SP - 525 EP - 529 SN - 00221996 AB - Reviews the book "Estimating Equilibrium Exchange Rates," edited by John Williamson. KW - FOREIGN exchange rates KW - NONFICTION KW - WILLIAMSON, John KW - ESTIMATING Equilibrium Exchange Rates (Book) N1 - Accession Number: 9712175467; Morton, John E. 1; Affiliations: 1: Senior Economist, Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: Nov97, Vol. 43 Issue 3/4, p525; Thesaurus Term: FOREIGN exchange rates; Subject Term: NONFICTION; Reviews & Products: ESTIMATING Equilibrium Exchange Rates (Book); People: WILLIAMSON, John; Number of Pages: 5p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9712175467&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bowman, David AU - Faust, Jon T1 - Options, sunspots, and the creation of uncertainty. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1997/10// VL - 105 IS - 5 M3 - Article SP - 957 PB - University of Chicago Press SN - 00223808 AB - We present two examples in which the addition of an option market leads to sunspot equilibria despite the fact that no sunspot equilibria exist without the market. These examples highlight limitations in two prevalent views of option markets. It is often assumed that option markets help complete otherwise incomplete markets. We demonstrate that they can instead increase the number of events agents wish to insure against. As in Black and Scholes, it is often assumed that option markets are redundant. We demonstrate that an option market may not be redundant even when markets were complete before its introduction. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS KW - OPTIONS (Finance) KW - STOCK options KW - MONEY market KW - COMMODITY options KW - MARKETS KW - EQUILIBRIUM (Economics) N1 - Accession Number: 9711112191; Bowman, David 1; Faust, Jon 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct97, Vol. 105 Issue 5, p957; Thesaurus Term: ECONOMICS; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: STOCK options; Thesaurus Term: MONEY market; Thesaurus Term: COMMODITY options; Thesaurus Term: MARKETS; Thesaurus Term: EQUILIBRIUM (Economics); NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 19p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9711112191&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Schmitt-Grohé, Stephanie AU - Uribe, Martín T1 - Balanced-budget rules, distortionary taxes and aggregate instability. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1997/10// VL - 105 IS - 5 M3 - Article SP - 976 PB - University of Chicago Press SN - 00223808 AB - A traditional argument against a balanced-budget fiscal policy rule is that it amplifies business cycles by stimulating aggregate demand during booms via tax cuts and higher public expenditures and by reducing demand during recessions through a corresponding fiscal contraction. This paper suggests an additional source of instability that may arise from this type of fiscal policy rule. It shows that, within the standard neoclassical growth model, a balanced budget rule can make expectations of higher tax rates self-fulfilling if the fiscal authority relies heavily on changes in labor income taxes to eliminate short-run fiscal imbalances. Calibrated versions of the model show that indeterminacy occurs for income tax rates that are empirically plausible for the U.S. economy and other Group of Seven countries. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUDGET process KW - FISCAL policy KW - ECONOMIC recovery KW - ECONOMIC policy KW - PUBLIC finance KW - BUSINESS cycles KW - UNITED States N1 - Accession Number: 9711112192; Schmitt-Grohé, Stephanie 1; Uribe, Martín 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct97, Vol. 105 Issue 5, p976; Thesaurus Term: BUDGET process; Thesaurus Term: FISCAL policy; Thesaurus Term: ECONOMIC recovery; Thesaurus Term: ECONOMIC policy; Thesaurus Term: PUBLIC finance; Thesaurus Term: BUSINESS cycles; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 25p; Illustrations: 30 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9711112192&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Leusner, John H. AU - Mingo, John J. T1 - The efficiency of bank branches. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1997/09// VL - 40 IS - 1 M3 - Article SP - 141 EP - 162 SN - 03043932 AB - An understanding of bank branch efficiency may help resolve a number of conceptual, measurement, and policy questions about efficiency at the bank level. We measure the efficiency of over 760 branches of a large U.S. commercial bank. We find that there are about twice as many branches as would minimize costs, but this may be optimal from a profitability standpoint because 'overbranching' raises revenues from providing extra customer convenience. X-inefficiencies are quite large, over 20% of operating costs. These findings may help explain some efficiency results commonly found in bank-level analysis, and have important implications regarding bank M&As and interstate branching. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BRANCH banks KW - COST control KW - BANKING industry KW - BRANCHES (Business enterprises) KW - FINANCIAL performance KW - OPERATING costs KW - Bank KW - Efficiency KW - Merger KW - Scale N1 - Accession Number: 12912882; Berger, Allen N. 1,2; Leusner, John H. 1; Mingo, John J. 3; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Wharton Financial Institutions Center, Philadelphia, PA 19104, USA; 3: University of Chicago Graduate School of Business, Chicago, IL 60637, USA; Issue Info: Sep97, Vol. 40 Issue 1, p141; Thesaurus Term: BRANCH banks; Thesaurus Term: COST control; Thesaurus Term: BANKING industry; Thesaurus Term: BRANCHES (Business enterprises); Thesaurus Term: FINANCIAL performance; Thesaurus Term: OPERATING costs; Author-Supplied Keyword: Bank; Author-Supplied Keyword: Efficiency; Author-Supplied Keyword: Merger; Author-Supplied Keyword: Scale; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522112 Corporate and institutional banking industry; Number of Pages: 22p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12912882&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Uribe, Martîn T1 - Hysteresis in a simple model of currency substitution. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1997/09// VL - 40 IS - 1 M3 - Article SP - 185 EP - 202 SN - 03043932 AB - A cash-in-advance model in which the cost of buying goods with a foreign currency is decreasing in the economy's accumulated experience in transacting in the foreign currency is shown to display hysteresis in money velocity; that is, a temporary increase in expected inflation can cause a permanent increase in velocity. In addition, the model implies that the domestic currency does not have to dominate the foreign currency in rate of return to induce agents to stop using the foreign currency. Finally, inflation rates that trigger currency substitution need not be associated with steady states in which the domestic currency disappears from circulation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CURRENCY substitution KW - HYSTERESIS (Economics) KW - RATE of return KW - FOREIGN exchange KW - INFLATION (Finance) KW - CIRCULAR velocity of money KW - Currency substitution KW - Dollarization KW - Network externalities N1 - Accession Number: 12913054; Uribe, Martîn 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep97, Vol. 40 Issue 1, p185; Thesaurus Term: CURRENCY substitution; Thesaurus Term: HYSTERESIS (Economics); Thesaurus Term: RATE of return; Thesaurus Term: FOREIGN exchange; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CIRCULAR velocity of money; Author-Supplied Keyword: Currency substitution; Author-Supplied Keyword: Dollarization; Author-Supplied Keyword: Network externalities; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 18p; Illustrations: 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12913054&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Grossman, Herschell I. AU - Iyigun, Murat F. T1 - Population Increase and the End of Colonialism. JO - Economica JF - Economica Y1 - 1997/08// VL - 64 IS - 255 M3 - Article SP - 483 EP - 493 PB - Wiley-Blackwell SN - 00130427 AB - This article presents information on the economic conditions of European Colonies towards the end of colonialism between 1946 and 1976. The main theoretical innovation is to consider the effect of population increase on the allocation of time by the indigenous population between productive and subversive activities. The analysis suggests that the increase in population during the colonial period increased the potential private return to subversive activity until the colonies became a net burden on the metropolitan governments. It also suggests that there was less subversive activity in colonies in which the market for indigenous labour was monopsonized because monopsonistic employers internalized the potential negative effect of subversive activity on net profits. The large European colonies in Southeast Asia and Africa were similar in key respects. An important motivation for establishing each of these colonies was the income to be earned by exploiting their natural resources. In most of the colonies the main natural resource was agricultural land, but in some extractable minerals were more important. KW - IMPERIALISM KW - SECURITY systems KW - POWER resources KW - LABOR market KW - COLONIES KW - NATURAL resources N1 - Accession Number: 9710174758; Grossman, Herschell I. 1; Iyigun, Murat F. 1; Affiliations: 1: Brown University and Board of Governors of the Federal Reserve System.; Issue Info: Aug97, Vol. 64 Issue 255, p483; Thesaurus Term: IMPERIALISM; Thesaurus Term: SECURITY systems; Thesaurus Term: POWER resources; Thesaurus Term: LABOR market; Subject Term: COLONIES; Subject Term: NATURAL resources; NAICS/Industry Codes: 561621 Security Systems Services (except Locksmiths); Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9710174758&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Mester, Loretta J. T1 - Inside the black box: What explains differences in the efficiencies of financial institutions? JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1997/07// VL - 21 IS - 7 M3 - Article SP - 895 EP - 947 SN - 03784266 AB - Over the past several years, substantial research effort has gone into measuring the efficiency of financial institutions. Many studies have found that inefficiencies are quite large, on the order of 20% or more of total banking industry costs and about half of the industry's potential profits. There is no consensus on the sources of the differences in measured efficiency. This paper examines several possible sources, including differences in efficiency concept, measurement method, and a number of bank, market, and regulatory, characteristics. We review the existing literature and provide new evidence using data on US banks over the period 1990-1995. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL institutions KW - INDUSTRIAL efficiency KW - BANKING industry KW - COST KW - PROFIT N1 - Accession Number: 11496157; Berger, Allen N. 1,2; Email Address: aberger@frb.gov; Mester, Loretta J. 3,4; Email Address: loretta.mester@phil.frb.org; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; 2: Wharton Financial Institutions Center, PA, USA; 3: Federal Reserve Bank of Philadelphia; 4: Finance Department, The Wharton School, University of Pennsylvania; Issue Info: Jul97, Vol. 21 Issue 7, p895; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: BANKING industry; Thesaurus Term: COST; Thesaurus Term: PROFIT; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 53p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11496157&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Roberts, John M. T1 - Is inflation sticky? JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1997/07// VL - 39 IS - 2 M3 - Article SP - 173 EP - 196 SN - 03043932 AB - New Keynesian sticky-price models predict that monetary policy can affect real variables. However, they also predict that inflation can be reduced without depressing output or employment. In fact, bringing down inflation is costly, presenting a challenge to the New Keynesian model. Two departures from the New Keynesian model predict costly disinflation. One assumes sticky inflation rather than sticky prices, while the other assumes less-than-perfectly rational expectations. Taking into account information from surveys of inflation expectations, I find the evidence suggests that inflation is not sticky and that inflation expectations are less than perfectly rational. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - KEYNESIAN economics KW - MONETARY policy KW - INFLATION (Finance) KW - DEPRESSIONS (Economics) KW - DEFLATION (Finance) KW - BUSINESS cycles KW - Inflation KW - New Keynesian Economics KW - Price rigidity N1 - Accession Number: 13278138; Roberts, John M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Jul97, Vol. 39 Issue 2, p173; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: DEPRESSIONS (Economics); Thesaurus Term: DEFLATION (Finance); Thesaurus Term: BUSINESS cycles; Author-Supplied Keyword: Inflation; Author-Supplied Keyword: New Keynesian Economics; Author-Supplied Keyword: Price rigidity; Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13278138&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - DeYoung, Robert T1 - Problem loans and cost efficiency in commercial banks. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1997/06// VL - 21 IS - 6 M3 - Article SP - 849 EP - 870 SN - 03784266 AB - This paper addresses a little examined intersection between the problem loan literature and the bank efficiency literature. We employ Granger-causality techniques to test four hypotheses regarding the relationships among loan quality, cost efficiency, and bank capital. The data suggest that problem loans precede reductions in measured cost efficiency; that measured cost efficiency precedes reductions in problem loans; and that reductions in capital at thinly capitalized banks precede increases in problem loans. Hence, cost efficiency may be an important indicator of future problem loans and problem banks. Our results are ambiguous concerning whether or not researchers should control for problem loans in efficiency estimation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - BANKING industry KW - BANK capital KW - FINANCE KW - UNITED States N1 - Accession Number: 11496140; Berger, Allen N. 1,2; DeYoung, Robert 3; Email Address: robert.deyoung@occ.treas.gov; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; 2: Wharton Financial Institutions Center, Philadelphia; 3: Office of the Comptroller of the Currency, Washington, DC; Issue Info: Jun97, Vol. 21 Issue 6, p849; Thesaurus Term: BANK loans; Thesaurus Term: BANKING industry; Thesaurus Term: BANK capital; Thesaurus Term: FINANCE; Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 22p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11496140&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lander, Joel AU - Orphanides, Athanasios AU - Douvogiannis, Martha T1 - Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P. JO - Journal of Portfolio Management JF - Journal of Portfolio Management Y1 - 1997///Summer97 VL - 23 IS - 4 M3 - Article SP - 24 EP - 35 SN - 00954918 AB - This article provides supporting evidence that could be useful to gauge the direction of future stock prices and to time the market. It also investigates a well-known security valuation theory that presumes a simple relationship between earnings yields and yields on government and high-grade corporate bonds. In particular, the approach considers whether stocks are appropriately valued relative to analysts' perceptions of future earnings and yields on alternative investments. Documentation of the usefulness of earnings forecasts and price-to-earnings ratios in this regard has a long history. For the 1984-1996 sample period, the trading rule performs well compared to the alternative of buying and holding the S&P 500 and yields significantly higher returns than would be expected by pure chance. Surprisingly, the rule also tends to produce returns with significantly lower variance. KW - STOCKS (Finance) -- Prices KW - EARNINGS forecasting KW - RATE of return KW - MARKETING strategy KW - BOND market KW - INVESTMENTS N1 - Accession Number: 9709176281; Lander, Joel 1; Orphanides, Athanasios 1; Douvogiannis, Martha 1; Affiliations: 1: Member of the research staff, Board of Governors of the Federal Reserve System, Washington (DC 20551); Issue Info: Summer97, Vol. 23 Issue 4, p24; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: EARNINGS forecasting; Thesaurus Term: RATE of return; Thesaurus Term: MARKETING strategy; Thesaurus Term: BOND market; Thesaurus Term: INVESTMENTS; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 12p; Illustrations: 5 Charts, 4 Graphs; Document Type: Article; Full Text Word Count: 6196 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9709176281&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engen, Eric M. AU - Gale, William G. T1 - Consumption Taxes and Saving: The Role of Uncertainty in Tax Reform. JO - American Economic Review JF - American Economic Review Y1 - 1997/05// VL - 87 IS - 2 M3 - Article SP - 114 PB - American Economic Association SN - 00028282 AB - The effects of fundamental tax reform may work through many different avenues, but an important goal is to increase saving. The effect on saving of a switch to a fiat-rate consumption tax would be influenced by at least several factors. First, the effect on saving would depend on the magnitude of the tax burden placed on saving in the current system. Second, it would be determined by the response of the rate of return to capital and the sensitivity of saving to changes in its after-tax return. Third, the effect would be contingent upon the redistribution of tax burdens across groups with different propensities to save, including any windfall gains and losses created in the transition to the new system. The uncertainties that households face and the role of precautionary saving are important components for evaluating these issues. These issues are examined using a general equilibrium, overlapping-generations, stochastic life-cycle simulation model. The existing U.S. tax system is modeled as a progressive tax with a base that is a hybrid between a consumption tax and an income tax. KW - CONSUMPTION tax KW - TAXATION KW - SAVING & investment KW - TAX reform KW - TAX incidence KW - SIMULATION methods & models KW - TAXATION -- Law & legislation KW - UNITED States N1 - Accession Number: 9709295099; Engen, Eric M. 1; Gale, William G. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, 20551; 2: The Brookings Institution, Washington, DC, 20036; Issue Info: May97, Vol. 87 Issue 2, p114; Thesaurus Term: CONSUMPTION tax; Thesaurus Term: TAXATION; Thesaurus Term: SAVING & investment; Thesaurus Term: TAX reform; Thesaurus Term: TAX incidence; Thesaurus Term: SIMULATION methods & models; Thesaurus Term: TAXATION -- Law & legislation; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 6p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9709295099&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Humphrey, David B. T1 - Efficiency of financial institutions: International survey and directions for future research. JO - European Journal of Operational Research JF - European Journal of Operational Research Y1 - 1997/04/16/ VL - 98 IS - 2 M3 - Article SP - 175 EP - 212 SN - 03772217 AB - This paper surveys 130 studies that apply frontier efficiency analysis to financial instiutions in 21 countries. The primary goals are to summarize and critically review empirical estimates of financial instiution efficiency and to attempt to arrive at a consensus view. We find that the various efficiency methods do not necessarily yield consistent results anal suggest some ways that these methods might be improved to bring about findings that are more consistent, accurate, and useful. Secondary goals are to address the implications of efficiency results for financial institutions in the areas of government policy, research, and managerial performance. Areas needing additional research are also outlined. [ABSTRACT FROM AUTHOR] AB - Copyright of European Journal of Operational Research is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL institutions KW - FINANCIAL services industry KW - FINANCE KW - LENDER liability KW - INDUSTRIAL efficiency KW - BANKING industry N1 - Accession Number: 7926192; Berger, Allen N. 1,2; Email Address: mlanb00@frb.gov; Humphrey, David B. 3; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; 2: Wharton Financial Institutions Center, University of Pennsylvania, Philadelphia, PA 19104, USA.; 3: Department of Finance, Florida State University, Tallahassee, FL 32306-1042, USA.; Issue Info: 04/16/97, Vol. 98 Issue 2, p175; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: FINANCE; Thesaurus Term: LENDER liability; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: BANKING industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 38p; Illustrations: 4 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7926192&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edison, Hali J. T1 - The Reaction of Exchange Rates and Interest Rates to News Releases. JO - International Journal of Finance & Economics JF - International Journal of Finance & Economics Y1 - 1997/04// VL - 2 IS - 2 M3 - Article SP - 87 EP - 100 SN - 10769307 AB - This paper examines the response of exchange rates and interest rates--US and foreign--to economic news. The news is associated with the surprise component of the monthly release of six US macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real economic activity--a surprise of 100000 on non-farm payroll employment leads to a 0.2% appreciation of the exchange rate. In general, exchange rates do not react systematically to news on inflation. In contrast, US interest rates respond to both types of news, although the response continues to be extremely small, of the order of 1 to 2 basis points. Finally, Japanese interest rates systematically react, but to a very minor extent, to news about US real economic activity, while German rates, in general, do not. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Finance & Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTEREST rates KW - FOREIGN exchange rates KW - INFLATION (Finance) KW - ECONOMIC indicators KW - UNITED States KW - JAPAN KW - GERMANY KW - announcement effects KW - exchange rates KW - interest rates N1 - Accession Number: 16615680; Edison, Hali J. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, U.S.A.; Issue Info: Apr1997, Vol. 2 Issue 2, p87; Thesaurus Term: INTEREST rates; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC indicators; Subject: UNITED States; Subject: JAPAN; Subject: GERMANY; Author-Supplied Keyword: announcement effects; Author-Supplied Keyword: exchange rates; Author-Supplied Keyword: interest rates; Number of Pages: 14p; Illustrations: 10 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16615680&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Basu, Susanto AU - Fernald, John G. T1 - Returns to scale in U.S. Production: Estimates and implications. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1997/04// VL - 105 IS - 2 M3 - Article SP - 249 PB - University of Chicago Press SN - 00223808 AB - A typical (roughly) two-digit industry in the United States appears to have constant or slightly decreasing returns to scale. Three puzzles emerge, however. First, estimates often rise at higher levels of aggregation. Second, apparent decreasing returns contradicts evidence of only small economic profits. Third, estimates with value added differ substantially from those with gross output. A representative-firm paradigm cannot explain these puzzles, but a simple story of aggregation over heterogeneous units can. Theory and evidence on aggregation invalidate the common use of demand-side instruments. Finally, we discuss implications of heterogeneity for macroeconomic modeling: A one-sector macroeconomic model that ignores heterogeneity may sometimes require firm-level parameters, but at other times the model may require the "biased" aggregate parameters. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIES KW - PRODUCTION (Economic theory) KW - ECONOMETRIC models KW - ECONOMICS KW - MACROECONOMICS KW - ECONOMIC models KW - ECONOMETRICS KW - UNITED States N1 - Accession Number: 9706046484; Basu, Susanto 1; Fernald, John G. 2; Affiliations: 1: University of Michigan and National Bureau of Economic Research; 2: Board of Governors of the Federal Reserve System; Issue Info: Apr97, Vol. 105 Issue 2, p249; Thesaurus Term: INDUSTRIES; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMICS; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC models; Thesaurus Term: ECONOMETRICS; Subject: UNITED States; Number of Pages: 35p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9706046484&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Doms, Mark AU - Dunne, Timothy T1 - WORKERS, WAGES AND TECHNOLOGY. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1997/02// VL - 112 IS - 1 M3 - Article SP - 254 EP - 290 SN - 00335533 AB - The use of automated technology in factories correlates positively with wages, workforce education, productivity, and generally high skills, but adopting the technology did not change workforce characteristics. Factories adopting this technology since the mid-1970's already had relatively advantaged workforces and were encouraged to automate because of their higher wage levels. KW - CORRELATION (Statistics) KW - ANALYSIS of variance KW - TIME series analysis KW - AUTOCORRELATION (Statistics) KW - TECHNOLOGICAL innovations KW - PERFORMANCE technology KW - EMPLOYEES KW - TECHNOLOGY KW - WAGES KW - ABILITY KW - LABOR KW - FACTORIES KW - AUTOMATION KW - UNITED States N1 - Accession Number: 9703303292; Doms, Mark 1,2,3; Dunne, Timothy 1,2,3; Affiliations: 1 : Board of Governors of the Federal Reserve System; 2 : University of Oklahoma; 3 : The Center for Economic Studies/U.S. Bureau of the Census; Source Info: Feb97, Vol. 112 Issue 1, p254; Historical Period: 1977 to 1993; Subject Term: CORRELATION (Statistics); Subject Term: ANALYSIS of variance; Subject Term: TIME series analysis; Subject Term: AUTOCORRELATION (Statistics); Subject Term: TECHNOLOGICAL innovations; Subject Term: PERFORMANCE technology; Subject Term: EMPLOYEES; Subject Term: TECHNOLOGY; Subject Term: WAGES; Subject Term: ABILITY; Subject Term: LABOR; Subject Term: FACTORIES; Subject Term: AUTOMATION; Subject: UNITED States; Number of Pages: 37p; Illustrations: 6 Charts, 1 Graph; Document Type: Article; Full Text Word Count: 13617 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=9703303292&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Schmitt-Grohé, Stephanie T1 - Comparing Four Models of Aggregate Fluctuations due to Self-Fulfilling Expectations. JO - Journal of Economic Theory JF - Journal of Economic Theory Y1 - 1997/01// VL - 72 IS - 1 M3 - Article SP - 96 EP - 147 SN - 00220531 AB - This paper compares four equilibrium business cycle models with increasing returns to scale production technologies that allow for aggregate fluctuations due to self-fulfilling expectations. Necessary and sufficient conditions for the existence of stationary sunspot equilibria are derived. Numerical examples demonstrate that the degree of increasing returns necessary for the existence of stationary sunspot equilibria lies in the upper range of available empirical estimates. The paper also shows that persistent fluctuations are not a necessary property of these four models when the only source of fluctuations is changes in people's expectations about the future path of the economy. Journal of Economic Literature Classification Numbers: E32, D43. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic Theory is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BUSINESS cycles KW - CAPITALISM KW - DIRECT costing KW - INDUSTRIAL organization (Economic theory) KW - PRODUCTION (Economic theory) KW - EQUILIBRIUM N1 - Accession Number: 12493923; Schmitt-Grohé, Stephanie 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jan97, Vol. 72 Issue 1, p96; Thesaurus Term: BUSINESS cycles; Thesaurus Term: CAPITALISM; Thesaurus Term: DIRECT costing; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: PRODUCTION (Economic theory); Subject Term: EQUILIBRIUM; Number of Pages: 52p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12493923&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Jefferson, Philip N. AD - Unlisted T1 - 'Home' base and monetary base rules: elementary evidence from the 1980s and 1990s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-21 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699672; Keywords: Money supply; Publication Type: Working Paper; Update Code: 200404 N2 - This paper evaluates the quantitative importance of removing U.S. currency held abroad from the monetary base. We find that a simple macroeconometric model that uses home base has more explanatory power for changes in nominal income than a model using the total base. Moreover, proposed base rules for the conduct of monetary policy perform better when the model for home base is employed. The evidence from our elementary exercises suggests that accounting for foreign holdings of U.S. currency may also be important in other contexts. L3 - http://www.federalreserve.gov/pubs/feds/1997/199721/199721abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699672&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199721/199721abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levin, Andrew T. AU - Rogers, John H. AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - A guide to FRB/Global PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 588 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700426; Keywords: European Monetary System (Organization) ; Econometric models ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper describes the structure and illustrates the key features of FRB/Global, a large-scale macroeconomic model used in analyzing exogenous shocks and alternative policy responses in foreign economies and in examining the impact of these external shocks on the U.S. economy. FRB/Global imposes fiscal and national solvency constraints and utilizes error-correction mechanisms in the behavioral equations to ensure the long-run stability of the model. In FRB/Global, expectations play an important role in determining financial market variables and domestic expenditures. Simulations can be performed using either limited-information ("adaptive") or model-consistent ("rational") expectations. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/588/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700426&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/588/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Chunsheng AD - Unlisted T1 - A jump-diffusion approach to modeling credit risk and valuing defaultable securities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-15 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699665; Keywords: Risk ; Securities; Publication Type: Working Paper; Update Code: 200404 N2 - The existing structural models of credit risk have relied almost exclusively on diffusion processes to model the evolution of firm value. While a diffusion approach is convenient, it has produced very disappointing results in empirical application. Jones, Mason, and Rosenfeld (1984) find that the credit spreads on corporate bonds are too high to be matched by the diffusion approach. Also, because the instantaneous default probability of a healthy firm is zero under a continuous process, the diffusion approach predicts that the term structure of credit spreads should always start at zero and slope upward for firms that are not currently in financial distress. Empirical literature shows, however, that the actual credit spread curves are sometimes flat or even downward-sloping. If a diffusion approach cannot capture the basic features of credit risk, what approach can? This paper develops a new structural approach to valuing default-risky securities by modeling the evolution of firm value as a jump-diffusion process. Under a jump-diffusion process, a firm can default instantaneously because of a sudden drop in its value. With this characteristic, a jump-diffusion model can match the size of credit spreads on corporate bonds and can generate various shapes of yield spread curves and marginal default rate curves. The model also links recovery rates to firm value at default in a natural way so that variation in recovery rates is endogenously generated in the model. The model is also consistent with many other stylized empirical facts in the credit-risk literature. L3 - http://www.federalreserve.gov/pubs/feds/1997/199715/199715abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699665&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199715/199715abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schineller, Lisa M. AD - Unlisted T1 - A nonlinear econometric analysis of capital flight PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 594 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700422; Keywords: Capital movements ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the impact of globalization on productivity growth and the procyclicality of productivity growth in manufacturing industries in the United States and Germany. For U.S. industries, the analysis suggests that changes in international demand affect productivity growth differently from changes in exposure to international competition. An increase in foreign demand for U.S. exports raises trend productivity growth, but to a lesser degree than does a similar demand shock from domestic buyers. On the other hand, whereas an increase in U.S. imports reduces trend productivity growth of U.S. industries, a loss of market share to imports is associated with gains to productivity growth. For Germany, neither international demand shocks nor exposure to international competition seem to be associated with productivity growth rates, perhaps because German industries experienced a smaller increase in exposure to international competition over the time period. Comparing the U.S. and German results suggests that "going global" may affect productivity growth rates more than simply "being global." As for the procyclical characteristics of productivity growth, the U.S. and German measures evidence different procyclical behavior. For many industries, both U.S. and German labor productivity growth rates exhibit some degree of procyclicality. For German industries, this procyclicality of productivity growth disappears with broader measures of productivity growth that include utilization of capital and intermediate inputs. For U.S. industries, the degree of procyclicality increases when productivity growth is measured on these broader bases. Moreover, in the United States, procyclicality appears to be accentuated by export demand growth and dampened by import demand growth. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/594/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700422&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/594/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Small, David H. AU - Wieland, Volker AU - Wilcox, David W. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - A quantitative exploration of the opportunistic approach to disinflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-36 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699649; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - A number of observers have advocated recently that the Federal Reserve take an "opportunistic" approach to the conduct of monetary policy. A hallmark of this approach is that the central bank focuses on fighting inflation when inflation is high, but focuses on stabilizing output when inflation is low. The implied policy rule is nonlinear. This paper compares the behavior of inflation and output under opportunistic and conventional linear policies. Using stochastic simulations of a small-scale rational expectations model, we study the cost and time required to achieve a given disinflation, as well as the steady-state distributions of inflation and output under the various rules. L3 - http://www.federalreserve.gov/pubs/feds/1997/199736/199736abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699649&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199736/199736abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John G. AD - Unlisted AD - Unlisted T1 - Aggregate productivity and aggregate technology PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 593 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700421; Keywords: Productivity ; Technology; Publication Type: Working Paper; Update Code: 200404 N2 - Aggregate productivity and aggregate technology are meaningful but distinct concepts. We show that a slightly-modified Solow productivity residual measures changes in economic welfare, even when productivity and technology differ because of distortions such as imperfect competition. We then present a general accounting framework that identifies several new non-technological gaps between productivity and technology, gaps reflecting imperfections and frictions in output and factor markets. Empirically, we find that these gaps are important, even though we abstract from variations in factor utilization and estimate only small average sectoral markups. Compared with productivity growth, our measured technology shocks are significantly less correlated with output, and are essentially uncorrelated with inputs. Our results imply that calibrating dynamic general equilibrium models as if Solow residuals were technology shocks confuses impulses and propagation mechanisms. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/593/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700421&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/593/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schineller, Lisa M. AD - Unlisted T1 - An econometric model of capital flight from developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 579 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700437; Keywords: Capital movements ; Developing countries ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes capital flight from a group of seventeen developing nations over the period 1978 to 1993. The paper briefly discusses several empirical definitions of capital flight and presents estimates of capital flight for the sample based on some of these measures. In general, the data reveal periodic episodes of dramatic flight through the late 1980s, at which point many nations began to experience strong capital inflows. Anecdotal evidence for the nations in our sample underpins our hypothesis that capital flight is driven by a heightened, pervasive risk which reflects the degree of domestic macroeconomic imbalance which is domestically undiversifiable. Our econometric model of the determinants of capital flight extends previous empirical studies of flight by expanding both the cross section of nations and time horizon of analysis. Given the panel data set, we consider a country specific error component to account for the possibility of unobserved country heterogeneity and employ fixed-effects and random-effects estimation. We instrument for potentially endogenous explanatory variables and in doing so consider a fixed-effects system. The results, based on several different measures of flight, highlight the importance of modelling flight with a country specific error component. While other proxies of the risk associated with macroeconomic imbalance are not significant, the central government surplus is negatively, statistically significantly related to flight. This highlights the motivation of investors to move capital both to escape future taxation directly and indirectly via monetization of deficits. Therefore, even when taking into account other measures of risk, the higher taxation risk, both directly and indirectly through expectations of future inflation, dominates the regressions. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/579/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700437&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/579/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Furfine, Craig AU - Stehm, Jeff AD - Unlisted AD - Unlisted T1 - Analyzing alternative intraday credit policies in real-time gross settlement systems PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-40 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699653; Keywords: Clearinghouses (Banking); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines a central bank's choice of intraday credit policy for Real-Time Gross Settlement (RTGS) systems. Formal analysis of central bank objectives and commercial bank payment activity provides insight into both the choice and effects of several possible intraday credit policies. Observed intraday credit policies are interpreted within the context of the model. Among G-10 central banks, different combinations of prices, collateral, and quantity limits have been chosen to manage the supply of intraday credit. Conditions that rationalize these choices are shown to rely on a) central bank preferences regarding credit risk and systemic risk, b) liquidity management technologies, and c) the cost of collateral. L3 - http://www.federalreserve.gov/pubs/feds/1997/199740/199740abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699653&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199740/199740abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tinsley, P. A. AU - Krieger, Reva AD - Unlisted AD - Unlisted T1 - Asymmetric adjustments of price and output PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-31 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699644; Keywords: Input-output analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Asymmetries in price adjustment can reconcile contrasts between rapid price movements in inflationary episodes, consistent with classical theories of flexible pricing, and sluggish price responses in contractions, consistent with Keynesian theories of sticky price adjustments. Nonparametric analysis of SIC two-digit industry data indicates that negative asymmetries are more pronounced for real outputs than for nominal outputs, suggesting reversed positive asymmetries in producer pricing. Pricing decision rules are estimated to distinguish between asymmetries in conditioning shocks and asymmetries in producer responses. Two rational motives for asymmetric pricing are supported. L3 - http://www.federalreserve.gov/pubs/feds/1997/199731/199731abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699644&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199731/199731abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Irons, John S. AU - Salant, Stephen W. AU - Thomas, Sebastian AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Can government gold be put to better use?: Qualitative and quantitative policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 582 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700440; Keywords: Gold ; International finance; Publication Type: Working Paper; Update Code: 200404 N2 - Gold has both private uses (depletion uses and service uses) and government uses. It can be obtained from mines with high extraction costs (about $300 per ounce) or from above ground stocks with no extraction costs. Governments still store massive stocks of gold. Making government gold available for private uses through some combination of sales and loans raises welfare from private uses by removing two types of inefficiencies. For given private uses, there is a production inefficiency if costless government gold is withheld while costly gold is taken from mines. There are use inefficiencies if costless government gold is withheld from private users. We assess both qualitatively and quantitatively the gain in welfare and its distribution. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/582/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700440&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/582/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Wood, Paul R. AD - Unlisted AD - Unlisted T1 - Capital inflows, financial intermediation, and aggregate demand. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 583 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700441; Keywords: Capital movements ; Mexico ; Pacific Area; Publication Type: Working Paper; Update Code: 200404 N2 - In trying to explain the balance-of-payments and banking crises of 1994-95 that erupted in Mexico, observers have pointed to various effects of the substantial capital inflows that took place in the preceding half decade. It has been argued that these inflows contributed to rapid monetary growth, real appreciation of the peso, and the widening of Mexico's current account deficit. In addition, by making available credit for consumption loans at a time when investment spending in Mexico was not yet ready to grow rapidly, these inflows may have contributed to the fall in Mexico's savings rate. ; This paper looks at the effect of capital flows on macroeconomic and financial variables in Mexico during the 1980s and 1990s and compares Mexico's experience with that of a cross-section of Pacific Basin countries. In particular, we attempt to gauge the effect of capital flows on money growth, interest rates, consumption, and investment. We do find evidence of an independent effect of capital flows on monetary conditions and domestic demand, controlling for certain other domestic factors. However, these inflows appear not to have altered substantially the basic trajectories of money, consumption, and investment in the recipient countries. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/583/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700441&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/583/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loungani, Prakash AU - Razin, Assaf AU - Yuen, Chi-Wa AD - Unlisted AD - Unlisted AD - Unlisted T1 - Capital mobility and the output-inflation tradeoff PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 577 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700435; Keywords: Capital movements ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Our paper analyses the effects of restrictions on capital mobility on the output-inflation tradeoff. Using a stochastic version of the Mundell-Fleming model, we establish a theoretical presumption that an increase in restrictions on capital mobility should make the tradeoff parameter smaller, that is, a given change in the inflation rate should be associated with smaller movements in output. To measure the extent to which countries restrict capital movements, we construct an index using data from the IMF's Annual Report on Exchange Rate Arrangements and Exchange Restrictions. The estimates of the output-inflation tradeoff parameter are obtained from studies by Lucas (1973), Ball, Mankiw and Romer (1988) and others. Consistent with the theoretical presumption, countries with greater restrictions on capital controls have a smaller tradeoff parameter, that is, a steeper Phillips curve. This result holds after controlling for the impact of variability of aggregate demand [as suggested by Lucas (1973)] and mean inflation [as suggested by Ball, Mankiw and Romer (1988)] on the tradeoff parameter. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/577/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700435&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/577/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AD - Unlisted T1 - Cleaning up the errors in the monthly employment situation report: a multivariate state-space approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-05 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699655; Keywords: Employment (Economic theory) ; Statistics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the underlying state of the labor market, assuming data in the monthly "Employment Situation" are contaminated by measurement error and other transient noise. To better filter out unobserved noise, the methodology exploits correlations among labor-market series. Household employment and labor force have cross-correlated sampling errors; establishment employment and hours-worked may, also. The Kalman filtering procedure also exploits fundamental economic relationships among these series. Error cross-correlations and economic relationships shape a multivariate labor-market model where observed variables embody unobserved components: trend, cycle and noise. Maximum-likelihood estimation enables construction of labor series from which noise components have been removed. L3 - http://www.federalreserve.gov/pubs/feds/1998/199805/199805abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699655&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199805/199805abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordy, Michael B. AD - Unlisted T1 - Computationally convenient distributional assumptions for common value auctions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-5 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699681; Keywords: Auctions ; Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - Although the mathematical foundations of common value auctions have been well understood since Milgrom & Weber (1982), equilibrium bidding strategies are computationally complex. Very few calculated examples can be found in the literature, and only for highly specialized cases. This paper introduces two sets of distributional assumptions that are flexible enough for theoretical and empirical applications and yet permit straightforward calculation of equilibrium bidding strategies. L3 - http://www.federalreserve.gov/pubs/feds/1997/199705/199705abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699681&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199705/199705abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bauer, Paul W. AU - Berger, Allen N. AU - Ferrier, Gary D. AU - Humphrey, David B. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Consistency conditions for regulatory analysis of financial institutions: a comparison of frontier efficiency methods PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-50 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699641; Keywords: Bank supervision ; Bank management; Publication Type: Working Paper; Update Code: 200404 N2 - We propose a set of consistency conditions that frontier efficiency measures should meet to be most useful for regulatory analysis or other purposes. The efficiency estimates should be consistent in their efficiency levels, rankings, and identification of best and worst firms; consistent over time and with competitive conditions in the market; and consistent with standard nonfrontier measures of performance. We provide evidence on these conditions by evaluating and comparing efficiency estimates on U.S. bank efficiency from variants of all four of the major approaches--DEA, SFA, TFA, and DFA--and find mixed results. L3 - http://www.federalreserve.gov/pubs/feds/1997/199750/199750abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699641&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199750/199750abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AU - Zhou, Chunsheng AD - Unlisted AD - Unlisted T1 - Credit derivatives in banking: useful tools for managing risk? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-13 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699663; Keywords: Derivative securities ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - We model the effects on banks of the introduction of a market for credit derivatives--in particular, credit default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans would trigger the bank's financial distress. Because credit derivatives are more flexible at transferring risks than are other, more established tools, such as loan sales without recourse, these instruments make it easier for banks to circumvent the "lemons" problem caused by banks' superior information about the credit quality of their loans. However, we find that the introduction of a credit derivatives market is not necessarily desirable because it can cause other markets for loan risk-sharing to break down. In this case, the existence of a credit derivatives market will lead to a greater risk of bank insolvency. L3 - http://www.federalreserve.gov/pubs/feds/1997/199713/199713abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699663&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199713/199713abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, James A. AU - Elmendorf, Douglas W. AD - Unlisted AD - Unlisted T1 - Declining required reserves and the volatility of the federal funds rate. PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-30 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699658; Keywords: Bank reserves ; Federal funds rate; Publication Type: Working Paper; Update Code: 200404 N2 - Low required reserve balances in 1991 led to a sharp increase in the volatility of the federal funds rate, but similarly low balances in 1996 did not. This paper develops and simulates a microeconomic model of the funds market that explains these facts. We show that reductions in reserve balances increase the volatility of the federal funds rate, but that this relationship changes over time in response to observable changes in bank behavior. The model predicts that a continued decline in required reserves could increase funds-rate volatility significantly. L3 - http://www.federalreserve.gov/pubs/feds/1997/199730/199730abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699658&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199730/199730abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Chunsheng AD - Unlisted T1 - Default correlation: an analytical result PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-27 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699678; Keywords: Credit ; Debt ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - Evaluating default correlations and the probabilities of multiple defaults is an important task in credit analysis and risk management, but it has never been an easy one because default correlations cannot be measured directly. This paper provides, for the first time, an analytical formula for calculating default correlations based on a first-passage-time model that can be easily implemented and conveniently used in a variety of financial applications. This paper also provides a theoretical justification for many empirical results found in the literature and increases our understanding of the important features of default correlations. L3 - http://www.federalreserve.gov/pubs/feds/1997/199727/199727abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699678&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199727/199727abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Deposit insurance, bank incentives, and the design of regulatory policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-10 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699656; Keywords: Deposit insurance ; Bank supervision; Publication Type: Working Paper; Update Code: 200404 N2 - This study analyzes alternative bank regulatory polices within a theoretical framework that can encompass many policy design issues. Consequences of generalizing banks' investment and financing opportunities for results in the existing literature are examined. Under costless equity issuance, a narrow banking requirement costlessly resolves moral hazard and insurance pricing problems addressed in the literature. With costly equity, minimum capital requirements can be effective but optimal policy design is complicated by its dependence on equity issuance costs, heterogenous bank investment opportunities, and the information requirements these dependencies create. Incentive compatible policy mechanisms appear limited in their ability to resolve the information problems. L3 - http://www.federalreserve.gov/pubs/feds/1998/199810/199810abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699656&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199810/199810abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Ohanian, Lee E. AU - Berkowitz, Jeremy AD - Unlisted AD - Unlisted AD - Unlisted T1 - Dynamic equilibrium economies: a framework for comparing models and data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-23 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699674; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance of deviations between models and data, and we use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. We provide a detailed illustrative application to modeling the U.S. cattle cycle. L3 - http://www.federalreserve.gov/pubs/feds/1997/199723/199723abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699674&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199723/199723abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lander, Joel AU - Orphanides, Athanasios AU - Douvogiannis, Martha AD - Unlisted AD - Unlisted AD - Unlisted T1 - Earnings forecasts and the predictability of stock returns: evidence from trading the S&P PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-6 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699682; Keywords: Forecasting ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - We develop a simple error-correction model, based on a well-known theory, espoused by Benjamin Graham and David Dodd and others, which presumes stock returns tend to restore an equilibrium relationship between the forecasted earnings yield on common stocks and the yield on bonds. The estimation uses I/B/E/S analysts forecasts of S&P earnings. To evaluate the model, we use rolling regressions to obtain out-of-sample forecasts of excess returns. Tests of association show the implicit timing signals to be statistically significant. Further, a strategy of investing in cash, when the excess return forecast is negative, and investing in the S&P, when the excess return forecast is positive, outperforms the S&P with higher returns and smaller volatility. Using the bootstrap methodology, we demonstrate that the findings are statistically significant. L3 - http://www.federalreserve.gov/pubs/feds/1997/199706/199706abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699682&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199706/199706abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - Efficiency of financial institutions: international survey and directions for future research PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-11 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699661; Keywords: Financial institutions; Publication Type: Working Paper; Update Code: 200404 N2 - This paper surveys 130 studies that apply frontier efficiency analysis to financial institutions in 21 countries. The primary goals are to summarize and critically review empirical estimates of financial institution efficiency and to attempt to arrive at a consensus view. We find that the various efficiency methods do not necessarily yield consistent results, and we suggest some ways that these methods might be improved to bring about findings that are more consistent, accurate, and useful. Secondary goals are to address the implications of efficiency results for financial institutions in the areas of government policy, research, and managerial performance. Areas needing additional research are also outlined. L3 - http://www.federalreserve.gov/pubs/feds/1997/199711/199711abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699661&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199711/199711abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Efficiency wages, nominal rigidities, and the cyclical behavior of real wages and marginal cost PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-24 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699675; Keywords: Wages; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a model in which efficiency wages generate acyclical real wages but do not lower the sensitivity of marginal cost to output or increase price stickiness. Consideration of previous models suggests that efficiency wages are a poor source of real rigidity. L3 - http://www.federalreserve.gov/pubs/feds/1997/199724/199724abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699675&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199724/199724abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth A. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - Estimating dynamic panel data models: a practical guide for macroeconomists PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-3 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699679; Keywords: Econometric models ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - We use a Monte Carlo approach to investigate the performance of several different methods designed to reduce the bias of the estimated coefficients for dynamic panel data models estimated with the longer, narrower panels typical of macro data. We find that the bias of the least squares dummy variable approach can be significant, even when the time dimension of the panel is as large as 30. For panels with small time dimensions, we find a corrected least squares dummy variable estimator to be the best choice. However, as the time dimension of the panel increases, the computationally simpler Anderson-Hsiao estimator performs equally well. L3 - http://www.federalreserve.gov/pubs/feds/1997/199703/199703abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699679&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199703/199703abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AU - Boyer, Brian H. AD - Unlisted AD - Unlisted T1 - Evaluating forecasts of correlation using option pricing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 600 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700429; Keywords: Options (Finance) ; Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - A forecast of the correlation between two asset prices is required to price or hedge an option whose payoff depends on both asset prices or to measure the risk of a portfolio whose return depends on both asset prices. However, a number of factors make it difficult to evaluate forecasts of correlation. We develop a forecast evaluation methodology based on option pricing, extending a technique that Engle et al. (1993) introduced to evaluate volatility forecasts. A forecast of the variance-covariance matrix of joint asset returns is used to generate a trading strategy for a package of simulated options. The most accurate forecast will produce the most profitable trading strategy. The package of simulated options can be chosen to be sensitive to correlation, to volatility, or to any arbitrary combination of the two. In an empirical application, we focus on the ability to forecast the correlation between two stock market indices. We compare the correlation forecasting ability of three more sophisticated models (two GARCH models and a two-state Markov switching model) and two simple moving averages. We find that the more sophisticated models produce better correlation forecasts than the simple moving averages. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/600/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700429&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/600/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio AU - Tetlow, Robert AU - Muehlen, Peter Von Zur AU - Williams, John AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Expectations, learning and the costs of disinflation: experiments using the FRB/US model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-42 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699687; Keywords: Inflation (Finance) ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - The costs of disinflation are explored using the Board's new sticky-price rational expectations macroeconometric model of the U.S. economy, FRB/US. The model nests both model consistent and 'restricted-information rational' expectations. Monetary policy is governed by interest-rate reaction functions of which two are considered: the well-known Taylor rule and another rule that is more aggressive and richer in its specification, estimated using data for the last 15 years. Agents are required to learn of shifts of the inflation target using linear updating rules. The simulated costs of disinflation are compared with other estimates of sacrifice ratios. L3 - http://www.federalreserve.gov/pubs/feds/1997/199742/199742abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699687&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199742/199742abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dupont, Dominique AD - Unlisted T1 - Extracting information from trading volume PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-20 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699671; Keywords: Information theory; Publication Type: Working Paper; Update Code: 200404 N2 - This paper shows how to infer information about any random variable from trading volume, assuming that the random variable and the traders' demands are symmetrically (and then normally) distributed around zero. The volume-based conditional expectation of such a random variable is zero, while the covariance between its absolute value and volume is positive if the variable is jointly normally distributed with the traders' demands. In that case, numerical examples indicate that the volume-based conditional probability of extreme asset value realizations (positive or negative) increases with volume. These results, developed in a market-clearing framework, apply also to market-making frameworks. Finally, the paper develops a simple model where transaction costs can generate a positive covariance between price and trading volume. L3 - http://www.federalreserve.gov/pubs/feds/1997/199720/199720abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699671&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199720/199720abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, John AU - Whiteman, Charles H. AD - Unlisted AD - Unlisted T1 - General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and critique PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 576 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700434; Keywords: Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - We characterize the LSE approach by its implications for reduced-form modeling and structural interpretations. Much of what has come to be associated with the LSE methodology involves the approach to fitting reduced forms, and can be thought of as a pragmatic solution to problems created by short samples plagued by serial correlation. The policy analysis one might be able to do with an LSE model, on the other hand, hinges on structural identification arguments which do not meet the classic Cowles Commission standards, and is thus suspect. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/576/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700434&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/576/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Globalization and productivity in the United States and Germany PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 595 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700423; Keywords: Productivity ; International economic relations ; Germany; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the impact of globalization on productivity growth and the procyclicality of productivity growth in manufacturing industries in the United States and Germany. For U.S. industries, the analysis suggests that changes in international demand affect productivity growth differently from changes in exposure to international competition. An increase in foreign demand for U.S. exports raises trend productivity growth, but to a lesser degree than does a similar demand shock from domestic buyers. On the other hand, whereas an increase in U.S. imports reduces trend productivity growth of U.S. industries, a loss of market share to imports is associated with gains to productivity growth. For Germany, neither international demand shocks nor exposure to international competition seem to be associated with productivity growth rates, perhaps because German industries experienced a smaller increase in exposure to international competition over the time period. Comparing the U.S. and German results suggests that "going global" may affect productivity growth rates more than simply "being global." As for the procyclical characteristics of productivity growth, the U.S. and German measures evidence different procyclical behavior. For many industries, both U.S. and German labor productivity growth rates exhibit some degree of procyclicality. For German industries, this procyclicality of productivity growth disappears with broader measures of productivity growth that include utilization of capital and intermediate inputs. For U.S. industries, the degree of procyclicality increases when productivity growth is measured on these broader bases. Moreover, in the United States, procyclicality appears to be accentuated by export demand growth and dampened by import demand growth. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/595/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700423&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/595/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fenn, George W. AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Good news and bad news about share repurchases PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1998-04 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699654; Keywords: Stocks ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - We estimate the cross-sectional relationship between open market repurchases and accounting data for a large sample of dividend-paying and non-dividend paying firms over a twelve year period (1984-95). Consistent with the hypothesis that firms use open market repurchases to reduce the agency costs of free cash flow, we find that repurchases are positively related to proxies for free cash flow and negatively related to proxies for marginal financing costs. We also examine the extent to which management stock options influence the choice between open market repurchases and dividend payments. Because the value of management stock options--like any call option--is negatively related to expected future dividend payments, management can increase the value of its stock options by substituting share repurchases for dividend growth. We find evidence that such substitution occurs: for dividend-paying firms, share repurchases are positively related and dividend increases are negatively related to a proxy for management stock options, whereas for non-dividend-paying firms, the relationship between repurchases and options is weak and statistically insignificant. L3 - http://www.federalreserve.gov/pubs/feds/1998/199804/199804abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699654&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1998/199804/199804abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - Habit formation and the comovement of prices and consumption during exchange-rate based stabilization programs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 598 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700442; Keywords: Consumption (Economics) ; Prices ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 N2 - A defining stylized fact associated with exchange-rate-based (ERB) stabilization programs is that their initial phase is characterized by several years of expansion in private consumption and a gradual appreciation of the real exchange rate. In this paper, I argue that standard optimizing models are unable to account for this empirical regularity, as they predict that, except for the date of announcement of the program, an appreciation of the real exchange rate must necessarily be accompanied by a decline in consumption. I show that this price-consumption problem can be resolved by relaxing the assumption of time separability in preferences. Specifically, under habit formation a permanent ERB program generates a smooth boom in consumption and gradual real exchange rate appreciation. A temporary program induces, in addition, a smooth boom-recession cycle with the recession beginning before the abandonment of the program. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/598/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700442&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/598/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - Income inequality and macroeconomic fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 586 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700425; Keywords: Income distribution ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - When per capita income is low, increases in income inequality make macroeconomic cycles less severe. We present a model in which access to credit is based on earnings potential. If low as well as middle income individuals are credit constrained, increases in income inequality lead to smaller fluctuations in aggregate consumption and output. Empirical evidence from cross-country data supports the view that greater income inequality causes lower variation of real consumption and output growth in low income countries. When per capita income is high, however, this effect is reversed. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/586/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700425&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/586/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Inflation regimes and inflation expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 581 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700439; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - There has been much talk in the popular press about the difficulty of attaining credibility in the bond markets for the low-inflation policies that have been adopted by a number of central banks in recent years. This credibility problem is particularly severe for those countries that have a history of high inflation. Gaining credibilty is often viewed in the context of learning by the public about the central bank's true intentions. However, this paper argues that a more important aspect of credibility--at lease for long-term inflation expectations--may be public views about how future changes in personnel, electoral results, or economic shocks may affect central bank behavior. In other words, there is always a positive probability that the current regime will end. Views about the nature of possible future regimes are likely to be influenced by observed past regimes. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/581/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700439&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/581/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AU - Hassett, Kevin A. AD - Unlisted AD - Unlisted T1 - Inflation, taxes, and the durability of capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-53 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699694; Keywords: Inflation (Finance) ; Taxation ; Capital; Publication Type: Working Paper; Update Code: 200404 N2 - Auerbach (1979, 1981) has demonstrated that inflation can lead to large inter-asset distortions, with the negative effects of higher inflation unambiguously declining with asset life. We show that this is true only if depreciation is treated as geometric for tax purposes. When depreciation is straightline, higher inflation can have the opposite effect, discouraging investment in long-lived assets. Since our current system can be thought of as a mixture of straightline and geometric, the sign of the inter-asset distortion is indeterminate. We show that under current U.S. tax rules, the "straightline" and "geometric" effects approximately cancel for equipment, causing almost no inter-asset distortions. For structures, inflation clearly causes substitution into long-lived assets. L3 - http://www.federalreserve.gov/pubs/feds/1997/199753/199753abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699694&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199753/199753abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doyle, Maura P. AU - Snyder, Christopher M. AD - Unlisted AD - Unlisted T1 - Information sharing and competition in the motor vehicle industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-4 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699680; Keywords: Automobile industry and trade; Publication Type: Working Paper; Update Code: 200404 N2 - Up to six months ahead of actual production, U.S. automakers announce plans for their monthly domestic production of cars. A leading industry trade journal publishes the initial plan and then a series of revisions leading up to the month in question. We analyze a panel data set spanning the years 1965--1995, matching the production forecasts with data for actual monthly production. We show that a firm's plan announcement affects competitors' later revisions of their own plans and eventual production. The interaction appears to be complementary---large plans or upward revisions cause competitors to revise plans upward and increase production. The results are consistent with models in which firms share information about common demand parameters. L3 - http://www.federalreserve.gov/pubs/feds/1997/199704/199704abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699680&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199704/199704abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Information systems for risk management PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 585 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700424; Keywords: Risk ; Information theory; Publication Type: Working Paper; Update Code: 200404 N2 - Risk management information systems are designed to overcome the problem of aggregating data across diverse trading units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of the resulting measures of risk and the burden of computing them. Technical progress will make this tradeoff more favorable over time, leading firms to implement more accurate methodologies, such as full revaluation of nonlinear positions. The current and likely future improvements in risk management information systems make feasible new ways of collecting aggregate data on firms' risk-taking activities. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/585/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700424&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/585/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Mester, Loretta J. AD - Unlisted AD - Unlisted T1 - Inside the black box: what explains differences in the efficiencies of financial institutions? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-10 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699660; Keywords: Bank loans ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 N2 - Over the past several years, substantial research effort has gone into measuring the efficiency of financial institutions. Many studies have found that inefficiencies are quite large, on the order of 20 percent or more of total banking industry costs and about half of the industry's potential profits. There is no consensus on the sources of the differences in measured efficiency. This paper examines several possible sources, including differences in efficiency concept, measurement method, and a number of bank, market, and regulatory characteristics. We review the extant literature and provide new evidence using data on U.S. banks over the period 1990-95. L3 - http://www.federalreserve.gov/pubs/feds/1997/199710/199710abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699660&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199710/199710abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schnure, Calvin AD - Unlisted T1 - Internal capital markets and investment: do the cash flow constraints really bind? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-39 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699652; Keywords: Cash flow ; Liquidity (Economics) ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - Lamont (1997) claims to find evidence of credit market imperfections that distort financing and investment decisions of a sample of oil-dependent firms, as investment by non-oil units fell when oil cash flow dropped. However, a simple test reveals that few of these firms behaved in a fashion consistent with binding cash flow constraints. In addition, most were cash rich. The data provide strong evidence against the hypothesis that investment decisions by non-oil units were significantly affected by oil cash flow, or that credit market imperfections are an important factor for this set of firms. L3 - http://www.federalreserve.gov/pubs/feds/1997/199739/199739abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699652&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199739/199739abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Hendrickson, Michael K. AU - Rogers, John H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Intra-national, intra-continental, and intra-planetary PPP PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 589 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700427; Keywords: Purchasing power ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a general framework to address several issues that have arisen in recent work that investigates purchasing power parity (PPP) and other inter-regional relative price movements: (1) How can we model real exchange rate movements in a consistent manner, so that our model for the real exchange rate for country B relative to country C is commensurate with our models for country A/ country B and country A/ country C real exchange rates? For example, can things be modeled so that our tests do not depend on the "base country"? (2) How should we handle correlation across real exchange rates in panel tests of PPP? (3) Are speeds of adjustment toward PPP different for intra-national, cross-national and cross-continental real exchange rates? (4) Is the innovation variance different for intra-national, cross-national and cross-continental real exchange rates; and, if so, how does that influence how we model and test PPP? L3 - http://www.federalreserve.gov/pubs/ifdp/1997/589/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700427&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/589/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Margin requirements, volatility, and market integrity: what have we learned since the crash? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-22 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699673; Keywords: Securities; Publication Type: Working Paper; Update Code: 200404 N2 - This study assesses the state of the policy debate that surrounds the federal regulation of margin requirements. A relatively comprehensive review of the literature finds no undisputed evidence that supports the hypothesis that margin requirements can be used to control stock return volatility and correspondingly little evidence that suggests that margin-related leverage is an important underlying source of "excess" volatility. The evidence does not support the hypothesis that there is a stable inverse relationship between the level of Regulation T margin requirements and stock returns volatility nor does it support the hypothesis that the leverage advantage in equity derivative products is a source of additional returns volatility in the stock market. L3 - http://www.federalreserve.gov/pubs/feds/1997/199722/199722abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699673&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199722/199722abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwast, Myron L. AU - Starr-McCluer, Martha AU - Wolken, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market definition and the analysis of antitrust in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-52 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699643; Keywords: Antitrust law ; Bank supervision; Publication Type: Working Paper; Update Code: 200404 N2 - In antitrust analysis of bank mergers, banking markets are viewed as geographically local, with a "cluster" of products as the relevant product line. This view is criticized as outdated, now that many bank products are offered by nonbank institutions and financial institutions' operations are increasingly national in scope. This paper reexamines the question of market definition in banking, using two micro data sets uniquely well-suited to the task. We find that local depositories remain the dominant supplier of key financial services to households and small businesses, with geographic proximity still important in their institution choice. L3 - http://www.federalreserve.gov/pubs/feds/1997/199752/199752abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699643&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199752/199752abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jones, Charles I. AU - Williams, John C. AD - Unlisted AD - Unlisted T1 - Measuring the social return to R&D PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-12 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699662; Keywords: Research and development; Publication Type: Working Paper; Update Code: 200404 N2 - A large, empirical literature reports estimates of the rate of return to R&D ranging from 30 percent to over 100 percent, supporting the notion that there is too little private investment in research. This conclusion is challenged by the new growth theory. We derive analytically the relationship between the social rate of return to R&D and the coefficient estimates of the empirical literature. We show that these estimates represent a lower bound on the true social rate of return. Using a conservative estimate of the rate of return to R&D of about 30 percent, optimal R&D investment is at least four times larger than actual investment. L3 - http://www.federalreserve.gov/pubs/feds/1997/199712/199712abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699662&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199712/199712abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooker, Mark A. AD - Unlisted T1 - Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-49 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699693; Keywords: Econometrics ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes tests of the Cagan hyperinflation-money demand model that have several advantages relative to those in the literature. They do not confound specification error with rational bubbles, are implementable with a linear procedure, and are frequently able to detect periodically collapsing bubbles that have challenged existing tests. After a Monte Carlo analysis, the tests are applied to data from hyperinflations in Austria, Germany, Hungary, and Poland. Strong evidence of model misspecification is found for Austria, while the model with a rational, explosive component well characterizes the Polish data. Inferences for Germany and Hungary are mixed. L3 - http://www.federalreserve.gov/pubs/feds/1997/199749/199749abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699693&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199749/199749abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bordo, Michael D. AU - Erceg, Christopher J. AU - Evans, Charles L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Money, sticky wages, and the great depression PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 591 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700432; Keywords: Money ; Wages ; Depressions; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the ability of a simple stylized general equilibrium model that incorporates nominal wage rigidity to explain the magnitude and persistence of the Great Depression in the United States. The impulses to our analysis are money supply shocks. The Taylor contracts model is surprisingly successful in accounting for the behavior of major macroaggregates and real wages during the downturn phase of the Depression, i.e., from 1929:3 through mid-1933. Our analysis provides support for the hypothesis that a monetary contraction operating through a sticky wage channel played a significant role in accounting for the downturn, and also provides an interesting refinement to this explanation. In particular, both the absolute severity of the Depression's downturn and its relative severity compared to the 1920-21 recession are likely attributable to the price decline having a much larger unanticipated component during the Depression, as well as less flexible wage-setting practices during this latter period. Another finding casts doubt on explanations for the 1933-36 recovery that rely heavily on the substantial remonetization that began in 1933. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/591/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700432&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/591/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, Beth Anne AD - Unlisted T1 - Movements of wages over the business cycle: an intra-firm view PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-1 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699659; Keywords: Business cycles ; Wages; Publication Type: Working Paper; Update Code: 200404 N2 - This paper tests the hypothesis that firms adjust to the business cycle by altering employment through promotion and hiring and holding the salary structure and salaries assigned to jobs relatively constant. Two comprehensive firm-level panel datasets are used to examine salary setting and worker movement within firms. The salary structure is found to be rigid whereas promotion rates are cyclically sensitive. In contrast to the hypothesis, wage cyclicality in these two firms is driven by changes in salaries associated with jobs rather than by worker movement. An additional finding is that salaries in the two firms are countercyclical. L3 - http://www.federalreserve.gov/pubs/feds/1997/199701/199701abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699659&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199701/199701abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Erceg, Christopher J. AD - Unlisted T1 - Nominal wage rigidities and the propagation of monetary disturbances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 590 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700428; Keywords: Wages ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - Recent research has challenged the ability of sticky price general equilibrium models to generate a contract multiplier, i.e., an effect of a monetary innovation on output that extends beyond the contract interval. We show that a simple dynamic general equilbrium model that includes "Taylor-style" (1980) wage and price contracts can account for a substantial contract multiplier under various assumptions about the structure of the capital market. Most interestingly, our results do not rely on a high intertemporal labor supply elasticity or elastic supply of capital: our preference specification is standard (logarithmic), and we can account for a strong contract multiplier even when the aggregate stock of capital is fixed. Finally, our analysis highlights the importance of the income elasticity of money demand in accounting for output persistence. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/590/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700428&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/590/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pritsker, Matt AD - Unlisted T1 - Nonparametric density estimation and tests of continuous time interest rate models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-26 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699677; Keywords: Interest rates ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Nonparametric kernel density estimation has recently been used to estimate and test short-term interest rate models, but inference has been based on asymptotics. We derive finite sample properties of kernel density estimates of the ergodic distribution of the short-rate when it follows a continuous time AR(1) as in Vasicek. We find that the asymptotic distribution substantially understates finite sample bias, variance, and correlation. Also, estimator quality and bandwidth choice depend strongly on the persistence of the interest rate process and on the span of the data, but not on sampling frequency. We also examine the size and power of one of Ait-Sahalia's nonparametric tests of continuous time interest rate models. The test rejects too often. This is probably because the quality of the nonparametric density estimate depends on persistence, but the asymptotic distribution of the test does not. After critical values are adjusted for size, the test has low power in distinguishing between the Vasicek and Cox-Ingersoll-Ross models relative to a conditional moment-based specification test. L3 - http://www.federalreserve.gov/pubs/feds/1997/199726/199726abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699677&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199726/199726abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - On the inverse of the covariance matrix in portfolio analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 587 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700431; Keywords: Risk; Publication Type: Working Paper; Update Code: 200404 N2 - The goal of this study is the derivation and application of a direct characterization of the inverse of the covariance matrix central to portfolio analysis. As argued below, such a specification, in terms of a few primitive constructs, provides new and illuminating expressions for such key concepts as the optimal holdings of a given risky asset and the slope of the risk-return efficiency locus faced by the individual investor. The building blocks of the inverse turn out to be the regression coefficients and residual variance optained by regressing the asset's excess return on the set of excess returns for all other risky assets. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/587/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700431&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/587/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Output and the real exchange rate in developing countries: an application to Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 580 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700438; Keywords: Foreign exchange ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - Since Mexico's devaluation of the peso in 1994, some observers have called for policies designed to keep the real exchange rate highly competitive in order to promote exports and output growth. However, over the past few decades, devaluations of the real exchange rate have been associated nearly exclusively with economic contraction, while real appreciations have been followed almost invariably by expansions in economic activity. The purpose of this paper is to attempt to disentangle the possible factors underlying this correlation--(1) reverse causation from output to the real exchange rate, (2) spurious correlation with third factors such as capital account shocks, and (3) temporary contractionary effects of devaluation--and determine whether, once those factors are accounted for, a positive, long-run effect of real depreciation on output can be identified in the data. Based on the results of a VAR model designed to explore the linkages between the real exchange rate and output, we conclude that even after sources of spurious correlation and reverse causation are controlled for, real devaluation has led to high inflation and economic contraction in Mexico. While changes in Mexico's economic structure and financial situation may qualify the future applicability of this conclusion, we view our findings as pointing to substantial risks to targeting the exchange rate at too competitive a level. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/580/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700438&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/580/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Chunsheng AD - Unlisted T1 - Path-dependent option valuation when the underlying path is discontinuous PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-16 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699666; Keywords: Asset-backed financing ; Options (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - The payoffs of path-dependent options depend not only on the final values, but also on the sample paths of the prices of the underlying assets. A rigorous modeling of the underlying asset price processes which can appropriately describe the sample paths is therefore critical for pricing path-dependent options. This paper allows for discontinuities in the sample paths of the underlying asset prices by assuming that these prices follow jump diffusion processes. A general yet tractable approach is presented to value a variety of path-dependent options with discontinuous processes. The numerical examples show that ignoring the jump risk may lead to serious biases in path-dependent option pricing. L3 - http://www.federalreserve.gov/pubs/feds/1997/199716/199716abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699666&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199716/199716abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Sunden, Annika E. AD - Unlisted AD - Unlisted T1 - Pensions, social security, and the distribution of wealth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-55 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699696; Keywords: Pensions ; Social security ; Wealth; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses the Survey of Consumer Finances (SCF) to examine pension coverage, estimate Social Security and pension wealth for U.S. households in 1989 and 1992, and estimate the effects of pension wealth on non-pension net worth. As expected, the SCF data show that including pensions and Social Security in net worth makes the distribution more even. The analysis of the effects of pension wealth on other types of savings indicates that there is a negative effect of defined benefit plan coverage on non-pension net worth. Surprisingly, the effect of defined contribution plans, such as 401(k) plans is insignificant. L3 - http://www.federalreserve.gov/pubs/feds/1997/199755/199755abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699696&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199755/199755abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Boyer, Brian H. AU - Gibson, Michael S. AU - Loretan, Mico AD - Unlisted AD - Unlisted AD - Unlisted T1 - Pitfalls in tests for changes in correlations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 597 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700444; Keywords: Bank management ; Risk ; Derivative securities; Publication Type: Working Paper; Update Code: 200404 N2 - Correlations are crucial for pricing and hedging derivatives whose payoff depends on more than one asset. Typically, correlations computed separately for ordinary and stressful market conditions differ considerably, a pattern widely termed "correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely during "stressful" market situations. ; We show that such worries may not be justified since "correlation breakdowns" can easily be generated by data whose distribution is stationary and, in particular, whose correlation coefficient is constant. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk managers should not necessarily relax. Although "correlation breakdown" can be an artifact of poor data analysis, other evidence suggests that correlations do in fact change over time, though not in a way that is correlated with "stressful" market conditions. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/597/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700444&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/597/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkovec, James A. AU - Mingo, John J. AU - Zhang, Xuechun AD - Unlisted AD - Unlisted AD - Unlisted T1 - Premiums in private versus public bank branch sales PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-33 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699646; Keywords: Branch banks; Publication Type: Working Paper; Update Code: 200404 N2 - This paper is the first to directly estimate the determinants of differences in premiums received by public and private sellers in the market for bank branches (deposit bases). Deposit premiums received in private sector transactions exceeded those received by the FDIC and the RTC, even after controlling for known characteristics of the transactions and after corrections for possible sample selection bias. The observed differential disappeared by 1992, suggesting improved market efficiency and/or the impact of FDICIA (1991), which mandated "least-cost" resolution procedures for failed institutions. Additionally, the evidence suggests that bank branches are independent value objects whose auctions always result in "unintended" transfers of value to the winning bidders. This result, while consistent with previous literature that found positive cumulative abnormal returns (CARs) to the winners of auctions for the branches of failed banks, nevertheless suggests that not all of the positive CARs can be due to market inefficiency. L3 - http://www.federalreserve.gov/pubs/feds/1997/199733/199733abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699646&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199733/199733abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmitt-Grohe, Stephanie AU - Uribe, Martin AD - Unlisted AD - Unlisted T1 - Price level determinacy and monetary policy under a balanced-budget requirement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-17 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699667; Keywords: Forecasting ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes the implications of a balanced budget fiscal policy rule for the determinacy of the price level in a cash-in-advance economy under three alternative monetary policy regimes. It shows that, in such stylized models with flexible prices and a period-by-period balanced budget requirement, the price level is determinate under a money growth rate peg and is indeterminate under a pure nominal interest rate peg. Under a feedback rule whereby the nominal interest rate is set as an increasing function of the inflation rate, the price level is determinate for intermediate values of the inflation elasticity of the feedback rule and is indeterminate for both very low and very high values of the inflation elasticity. Finally, regardless of the particular monetary policy specification, a rational expectations equilibrium consistent with the optimal quantity of money may not exist. L3 - http://www.federalreserve.gov/pubs/feds/1997/199717/199717abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699667&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199717/199717abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Robitaille, Patrice AD - Unlisted T1 - Private payments systems in historical perspective: the Banco Central system of Mexico. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 599 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700445; Keywords: Payment systems ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - Payments systems have grown considerably and have become increasingly complex, prompting regulators to reassess their roles and renewing interest in historical experiences with payments systems. In this paper, I study the Banco Central System of Mexico, which was a bank note par redemption and clearing system for other payments that operated in Mexico City from 1899 until 1913. I first describe the origins of the Banco Central System. I then consider whether it became prone to behavioral problems, as some observers contended. I find that although Banco Central was less well-positioned to address incentive problems relative to one of its counterparts in the United States (the Suffolk Bank of Boston), it did act to constrain bank behavior. However, considerable government intervention weakened the disciplinary role of Banco Central and thus made the system more prone to collapse. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/599/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700445&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/599/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - DeYoung, Robert AD - Unlisted AD - Unlisted T1 - Problem loans and cost efficiency in commercial banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-8 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699684; Keywords: Banks and banking - Costs ; Bank loans; Publication Type: Working Paper; Update Code: 200404 N2 - This paper addresses a little-examined intersection between the problem-loan literature and the bank-efficiency literature. We employ Granger causality techniques to test four hypotheses regarding the relationships among loan quality, cost efficiency, and bank capital. The data suggest that problem loans precede reductions in measured cost efficiency; that measured cost efficiency precedes reductions in problem loans; and that reductions in capital at thinly capitalized banks precede increases in problem loans. Hence, cost efficiency may be an important indicator of future problem loans and problem banks. Our results are ambiguous concerning whether or not researchers should control for problem loans in efficiency estimation. L3 - http://www.federalreserve.gov/pubs/feds/1997/199708/199708abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699684&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199708/199708abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bostic, Raphael W. AD - Unlisted T1 - Racial differences in short-run earnings stabilityand implications for credit markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-34 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699647; Keywords: Discrimination in consumer credit ; Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the claim that observed racial differences in rejection rates for mortgage applications, which persist after controlling for many relevant factors, are due to racial differences in short-run earnings stability, which has not typically been included in empirical tests. The evidence does not support the proposition that blacks suffer from greater earnings instability than comparable whites, as few consistent significant differences between black and white earnings volatility are found. Only in the case of drastic earnings shocks with persistent effects does the possibility of significant racial differences reasonably remain. In general, racial differences in earnings stability appear to be minor and are unlikely to result in substantial differences in creditworthiness L3 - http://www.federalreserve.gov/pubs/feds/1997/199734/199734abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699647&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199734/199734abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Steven J. AU - Loungani, Prakash AU - Mahidhara, Ramamohan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Regional labor fluctuations: oil shocks, military spending, and other driving forces PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 578 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700436; Keywords: Labor supply ; Petroleum industry and trade; Publication Type: Working Paper; Update Code: 200404 N2 - We quantify the contribution of various driving forces to state-level movements in unemployment rates and employment growth from 1956 to 1992. Our story of regional fluctuations in the U.S. economy has a large cast of players--including government contract awards and the basing of military personnel--but oil price shocks have been the leading actor since 1973. Beyond the magnitude and abruptness of oil price movements, the explanation for their pronounced regional effects has three essential elements: (i) regions differ in industry mix, (ii) industries differ in sensitivity to movements in the relative price of oil, and (iii) the reallocation of productive factors across industries and regions is costly and time-consuming. ; Our study provides estimates of the costs of creating regional jobs and reducing regional unemployment through the awarding of military contracts. Based on the BLS measure of state employment, our baseline specifications imply that creating one local job-year requires national government purchases from local firms in the amount of $56,000 to $91,000 (measured in 1982 dollars). The estimated cost of job creation is more than twice as large for the broader CPS measure. Econometric specifications that consider demand spillovers across state boundaries deliver job creation cost estimates roughly 40-45% smaller. ; We find asymmetric unemployment responses to positive and negative regional shocks. Negative shocks--whether involving increases in oil prices, or scaling back of contract awards and military bases--have a greater impact than equal-sized positive shocks. This evidence implies that shocks to the spatial structure of demand (e.g., a reallocation of government contract awards) cause short-run increases in aggregate unemployment. ; State-level unemployment responses to regional shocks persist for several years. Net migration of people and workers between states is the dominant equilibrating mechanism that brings regional unemployment rates back into alignment. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/578/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700436&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/578/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cutler, David M. AU - Elmendorf, Douglas W. AU - Zeckhauser, Richard AD - Unlisted AD - Unlisted AD - Unlisted T1 - Restraining the Leviathan: property tax limitations in Massachusetts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-47 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699697; Keywords: Property tax ; Massachusetts; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the effects of Proposition 2-1/2--a property tax limitation law approved by Massachusetts voters in 1980--and assess voter satisfaction with these effects. We find that the proposition had a smaller effect on local revenues and spending than expected, as a result of both amendments to the law and a strong economy. Voters in 1980 believed there was significant waste in local government, partly because of an inability to monitor local officials. Proposition 2-1/2 curbed these agency losses, but direct local override votes and municipal expenditure patterns imply that the proposition initially reduced spending more than voters wanted. L3 - http://www.federalreserve.gov/pubs/feds/1997/199747/199747abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699697&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199747/199747abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - Risk, entrepreneurship and human capital accumulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-37 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699650; Keywords: Risk ; Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - Entrepreneurial human capital plays a relatively more important role in intermediate income countries, but professional human capital is relatively more abundant in richer economies. Because the return to entrepreneurship is risky, individuals devote less time to the accumulation of entrepreneurial skills and more to the accumulation of professional skills as per capita income grows. Countries that initially have too little of either entrepreneurial or professional skills may end up in a development trap. The steady state may be characterized by either too much or too little education. L3 - http://www.federalreserve.gov/pubs/feds/1997/199737/199737abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699650&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199737/199737abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fernald, John AD - Unlisted T1 - Roads to prosperity? assessing the link between public capital and productivity PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 592 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700433; Keywords: Capital ; Productivity; Publication Type: Working Paper; Update Code: 200404 N2 - At a macroeconomic level, infrastructure and productivity are positively correlated in the United States and other countries. However, it remains unclear whether this correlation reflects causation, and if so, whether causation runs from infrastructure to productivity, or the reverse. This paper focuses on roads, and finds that vehicle-intensive industries benefit disproportionately from road-building: when road growth changes, productivity growth changes more in industries that are more vehicle intensive. These results suggest that causation runs from infrastructure to productivity. However, there is no evidence that at the margin, roads offer an above-average return; road-building in essence offered a one-time boost to the level of productivity in the 1950s and 1960s. Finally, it appears that congestion significantly affects road-services at the margin, although congestion does not appear important before 1973. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/592/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700433&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/592/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Walraven, Nicholas AD - Unlisted T1 - Small business lending by banks involved in mergers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-25 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699676; Keywords: Bank loans ; Bank mergers ; Small business; Publication Type: Working Paper; Update Code: 200404 N2 - The paper uses data on the volume outstanding of small business loans from the midyear Call Reports to summarize the nature of small business lending at banks that were involved in mergers between June 1993 and June 1996. Then a model of gradual adjustment by the consolidated bank following the merger is estimated to determine whether the portfolio share of small business loans at the consolidated bank tends to move over time toward either the pre-merger share at the acquiring bank or the typical share at other banks of roughly the same size as the consolidated bank. L3 - http://www.federalreserve.gov/pubs/feds/1997/199725/199725abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699676&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199725/199725abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mariger, Randall P. AD - Unlisted T1 - Social security privatization: what it can and cannot accomplish PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-32 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699645; Keywords: Social security ; Privatization; Publication Type: Working Paper; Update Code: 200404 N2 - This paper assesses the effect of social security privatization on the government budget, economic efficiency, national savings, and the distribution of resources across generations. It is shown that the benefits of privatization most often touted by privatization advocates can be achieved by simply altering taxes and social security pensions and leaving the basic structure of social security unchanged. In the conclusion, two simple arguments are given for why privatization might be a good idea nonetheless. L3 - http://www.federalreserve.gov/pubs/feds/1997/199732/199732abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699645&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199732/199732abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Staggered price setting and real rigidities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-46 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699691; Keywords: Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper emphasizes the notion that model features that contribute to endogenous price rigidity under staggered price setting lower the elasticity of marginal cost with respect to output, and these same model features tend to generate equilibrium indeterminacy, or "sunspot fluctuations", under price flexibility. Using this insight, staggered price setting is shown to imply persistent output responses to monetary shocks for certain parameterizations of one- and two-sector models with small increasing returns or countercyclical markups, and other model features that would contribute to persistence are discussed. L3 - http://www.federalreserve.gov/pubs/feds/1997/199746/199746abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699691&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199746/199746abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 584 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700430; Keywords: Bank loans ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - I test for the existence of a bank lending channel of monetary policy transmission. I identify bank lending channel effects with a simple model of bank behavior incorporating long-term customer relationships. The model suggests that when a large fraction of bank assets is held in loans, contractionary monetary policy shocks are more likely to cause a cutback in bank lending, in turn reducing real economic activity. This implication of the model is supported in the data. I conduct a "horse race" between the bank lending channel and two alternative non-user-cost-of-capital channels of monetary transmission. The bank lending channel is the strongest of the three. The ability of the fraction of bank assets held in loans to predict how the strength of monetary policy transmission varies over time should be of interest to both theorists and forecasters of business cycles. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/584/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700430&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/584/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canner, Glenn AU - Passmore, Wayne AD - Unlisted AD - Unlisted T1 - The Community Reinvestment Act and the profitability of mortgage-oriented banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-7 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699683; Keywords: Bank profits ; Community Reinvestment Act of 1977 ; Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - The Community Reinvestment Act (CRA) requires lenders "to help meet the credit needs of the local communities in which they are chartered, consistent with the safe and sound operation of such institutions." For proponents of efficient markets, the CRA is a threat to lender profitability. For others, the CRA has the potential to increase profitability. We examine the relative profitability of commercial banks that specialize in mortgage lending in lower-income neighborhoods or to lower-income borrowers using three different techniques, and find that lenders active in lower-income neighborhoods and with lower-income borrowers appear to be as profitable as other mortgage-oriented commercial banks. L3 - http://www.federalreserve.gov/pubs/feds/1997/199707/199707abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699683&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199707/199707abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Hendry, David F. AU - Prestwich, Kevin M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The demand for broad money in the United Kingdom, 1878-1993 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 596 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700443; Keywords: Money ; Great Britain; Publication Type: Working Paper; Update Code: 200404 N2 - Using annual data from Friedman and Schwartz (1982), Hendry and Ericsson (1991a) developed an empirical model of the demand for broad money in the United Kingdom over 1878-1975. We update that model over 1976-1993, accounting for changed data definitions and clarifying the concept of constancy. With appropriate measures of opportunity cost and credit deregulation, the model's parameters are empirically constant over the extended sample, which was economically turbulent. Policy implications follow for parameter nonconstancy and predictive failure, causation between money and prices, monetary targeting, deregulation and financial innovation, and the effect of policy on economic agents' behavior. L3 - http://www.federalreserve.gov/pubs/ifdp/1997/596/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700443&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1997/596/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sparks, Roger AD - Unlisted AD - Unlisted T1 - The effect of automated underwriting on the profitability of mortgage securitization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-19 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699669; Keywords: Mortgages ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 N2 - Over the past two years, many mortgage market analysts have praised automated underwriting as a technological innovation that will lower the costs of processing mortgage applications. However, automated underwriting is unlikely to decrease processing costs uniformly for all mortgage applications. Instead, it makes identifying and processing low-risk mortgage borrowers less costly, but may not significantly lower the costs of identifying and processing relatively high-risk applicants. Our results suggest that after the one-time cost reduction produced by automated underwriting, the resulting mortgage market equilibrium is characterized by lower mortgage rates and lower profits for the mortgage securitizer. L3 - http://www.federalreserve.gov/pubs/feds/1997/199719/199719abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699669&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199719/199719abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Saunders, Anthony AU - Scalise, Joseph M. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effects of bank mergers and acquisitions on small business lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-28 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699657; Keywords: Bank mergers ; Bank loans ; Commercial loans ; Small business; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the effects of over 6,000 M&As involving more than 10,000 banks on small business lending. We are the first to decompose the impact of M&As into static effects associated with a simple melding of the antecedent institutions and dynamic effects associated with post-M&A refocusing of the consolidated institution. We are also the first to estimate the reactions of other local banks to M&As. We find that the static effects that reduce small business lending are mostly offset by the reactions of other banks and, in some cases, also by the refocused efforts of the consolidating institutions themselves. L3 - http://www.federalreserve.gov/pubs/feds/1997/199728/199728abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699657&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199728/199728abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Doyle, Maura P. AD - Unlisted T1 - The effects of interest rates and taxes on new car prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-38 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699651; Keywords: Taxation ; Automobile industry and trade ; Interest rates ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Utilizing the Consumer Expenditure Survey and state-level variation in taxes, this study finds that prices for most models of new cars shift by more than the amount of a sales tax. The evidence of an overshifting of prices offers support for the recent models of tax incidence in imperfectly competitive markets. The results also suggest that changes in the after-tax interest rate have offsetting effects on new car prices; a one percentage point increase in the after-tax real interest rate will prompt, on average, a mark-down of $106. L3 - http://www.federalreserve.gov/pubs/feds/1997/199738/199738abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699651&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199738/199738abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Akhavein, Jalal D. AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The effects of megamergers on efficiency and prices: evidence from a bank profit function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-9 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699685; Keywords: Bank profits ; Bank mergers ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the efficiency and price effects of mergers by applying a frontier profit function to data on bank "megamergers." We find that merged banks experience a statistically significant 16 percentage point average increase in profit-efficiency rank relative to other large banks. Most of the improvement is from increasing revenues, including a shift in outputs from securities to loans, a higher-valued product. Improvements were greatest for the banks with the lowest efficiencies prior to merging, who therefore had the greatest capacity for improvement. By comparison, the effects on profits from merger-related changes in prices were found to be very small. L3 - http://www.federalreserve.gov/pubs/feds/1997/199709/199709abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699685&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199709/199709abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Surette, Brian J. AD - Unlisted T1 - The effects of two-year college on the labor market and schooling experiences of young men PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-44 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699689; Keywords: Education ; Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses the NLSY to examine (1) the returns to two-year college, (2) whether attendance at a two-year college helps students to transfer to four-year college, and (3) whether reducing tuition would alter attendance enough to affect labor outcomes. I find that the returns to a year of two-year college are large (7 to 10 percent). Completing an associate's degree raises wages further. One year of two-year credits has the same effect on subsequent four-year attendance as one year of four-year credits. Finally, simulations show that reducing tuition could raise income modestly by increasing college attendance. L3 - http://www.federalreserve.gov/pubs/feds/1997/199744/199744abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699689&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199744/199744abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fleischman, Charles A. AD - Unlisted T1 - The GMM parameter normalization puzzle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-43 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699688; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 N2 - A feature of GMM estimation--the use of a consistent estimate of the optimal weighting matrix rather than the joint estimation of the model parameters and the weighting matrix--can lead to the sensitivity of GMM estimation to the choice of parameter normalization. In many applications, including Euler equation estimation, a model parameter multiplies the equation error in some, but not all, normalizations. But, conventional GMM estimators that either hold the estimate of the weighting matrix fixed or allow some limited iteration on the weighting matrix fail to account for the dependence of the weighting matrix on the parameter vector implied by the multiplication of the error by the parameter. In finite samples, GMM effectively minimizes the square of the parameter times the objective function that obtains from an alternative normalization where no parameter multiplies the equation error, resulting in estimates that are smaller (in absolute value) than those from the alternative normalization. Of course, normalization is irrelevant asymptotically. L3 - http://www.federalreserve.gov/pubs/feds/1997/199743/199743abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699688&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199743/199743abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - The pre-commitment approach: using incentives to set market risk capital requirements PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-14 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699664; Keywords: Capital market ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a model of bank behavior that focuses on the interaction between the incentives created by fixed-rate deposit insurance and a bank's choice of its loan portfolio and its market-traded financial instruments. The model is used to analyze the consequences of the Federal Reserve Board's proposed pre-commitment approach (PCA) for setting market risk capital requirements for bank trading portfolios. Under the PCA, a bank determines its own market risk capital requirement and is subject to a known regulatory penalty should its trading activities generate subsequent losses that exceed its market risk capital commitment. L3 - http://www.federalreserve.gov/pubs/feds/1997/199714/199714abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699664&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199714/199714abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bostic, Raphael W. AD - Unlisted T1 - The role of race in mortgage lending: revisiting the Boston Fed study PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-2 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699670; Keywords: Discrimination in consumer credit ; Federal Reserve Bank of Boston ; Mortgages; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reexamines claims that non-economic discrimination persists in mortgage loan origination decisions. I find that racial differences in outcomes do exist, as minorities fare worse regarding debt-to-income requirements but better for loan-to-value requirements. Overall, significant racial differentials exist only for "marginal" applicants and are not present for those with higher incomes or those with no credit problems. Thus, the claim that non-economic discrimination is a general phenomenon is refuted. Further, I can say little regarding the existence of discrimination among "marginal" applicants. To conclude that such discrimination exists, one must prove that the observed differences are not due to economic factors. L3 - http://www.federalreserve.gov/pubs/feds/1997/199702/199702abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699670&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199702/199702abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Otoo, Maria Ward AD - Unlisted T1 - The sources of worker anxiety: evidence from the Michigan survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-48 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699692; Keywords: Labor supply ; Labor productivity; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses individual responses from the Michigan SRC survey of consumer attitudes to examine worker anxiety. It identifies "anxious" households (those that express some concern about job security) and analyzes some factors that might be driving this angst. It found that a little more than a quarter of households revealed concerns about job security. Also, the results suggest that less-educated households (those lacking a high-school diploma) were significantly more likely to be concerned about job loss than were black or Asian households. L3 - http://www.federalreserve.gov/pubs/feds/1997/199748/199748abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699692&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199748/199748abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - The supply of skilled labor and skill-based technological progress PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-45 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699690; Keywords: Labor supply; Publication Type: Working Paper; Update Code: 200404 N2 - Rising inequality in the relative wages of skilled and unskilled labor is often attributed to skill-biased technological progress. This paper presents a model in which the adoption of skill-biased or "unskilled-biased" technologies is endogenous. Conventional wisdom states that an increase in the supply of skilled labor lowers the relative wage of skilled to unskilled labor. In this paper, an increase in the supply of skilled labor leads to temporary stagnation in the wages of unskilled workers and an expanding gap between the wages of skilled and unskilled workers through an acceleration of skill-biased technological change. L3 - http://www.federalreserve.gov/pubs/feds/1997/199745/199745abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699690&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199745/199745abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Jinill AD - Unlisted T1 - Three sources of increasing returns to scale PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-18 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699668; Keywords: Economies of scale; Publication Type: Working Paper; Update Code: 200404 N2 - This paper reviews various types of increasing returns from a critical perspective. Increasing returns have been introduced in a monopolistic-competition model both at the firm level and at the aggregate level. We show that the degree of the aggregate returns to scale is a linear combination of three return parameters, with the weights determined by the specification of a zero-profit condition. Identification issues are discussed with an emphasis on recent macro literature. We argue that disaggregate data give information on the market structure rather than the technology. Welfare implications explain why it is important to identify various increasing returns. L3 - http://www.federalreserve.gov/pubs/feds/1997/199718/199718abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699668&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199718/199718abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dupont, Dominique AD - Unlisted T1 - Trading volume and information distribution in a market-clearing framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-41 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699686; Keywords: Financial markets ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - This paper investigates the relations between aggregate trading volume and information on financial markets from a theoretical standpoint. Through numerical examples, it relates some statistics describing equilibrium price and volume--such as the variance of the price and its correlation with the true asset value, the volume mean, variance, skewness, and kurtosis--to the distribution of information across traders. The analysis is carried out in a static noisy rational expectations framework, with multiple informed traders, where both the precision and the correlation of the signals observed by the traders can be modified. L3 - http://www.federalreserve.gov/pubs/feds/1997/199741/199741abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699686&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199741/199741abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Unemployment and the durational structure of exit rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-54 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699695; Keywords: Unemployment ; Wages ; Econometric models; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents a simple model of wage bargaining and employment flows designed to address the effects of policies to increase the rate of exit to employment of the long-term unemployed. Exit rates from long- and short-term unemployment have two effects on the unemployment rate: a positive one as high exit rates strengthen current employees' bargaining positions and thus wages and a negative one as faster outflows from unemployment reduce the stock of unemployed. Thus, there is a trade-off between the exit rate from long-term unemployment and the exit rate from short-term unemployment. The paper's principal result is that, in steady-state, increasing the exit rate from long-term unemployment reduces the unemployment rate. Dynamic simulations show that raising the exit rate of the long-term unemployed leads to a decrease in both the mean and variance of the unemployment rate. L3 - http://www.federalreserve.gov/pubs/feds/1997/199754/199754abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699695&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199754/199754abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whelan, Karl AD - Unlisted T1 - Wage curve vs. Phillips curve: are there macroeconomic implications? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-51 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699642; Keywords: Wages ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 N2 - The standard derivation of the accelerationist Phillips curve relates expected real wage inflation to the unemployment rate and invokes a constant price markup and adaptive expectations to generate the accelerationist price inflation formula. Blanchflower and Oswald (1994) argue that microeconomic evidence of a low autoregression coefficient in real wage regressions invalidates the macroeconomic Phillips curve. This conclusion has been disputed by a number of authors on the grounds that the true autoregression coefficient is close to 1. This paper shows that given the assumption of a constant price markup, micro-level real wage dynamics have no observable implications for macro data on wage and price inflation. L3 - http://www.federalreserve.gov/pubs/feds/1997/199751/199751abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699642&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199751/199751abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Kwast, Myron L. AD - Unlisted AD - Unlisted T1 - Who uses electronic banking? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1997-35 Y1 - 1997/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699648; Keywords: Electronic funds transfers ; Automated tellers; Publication Type: Working Paper; Update Code: 200404 N2 - This study uses the 1995 Survey of Consumer Finances to examine households' use of technologies, including electronic means, to carry out transactions at a financial institution and to gain information for making saving and borrowing decisions. Household use of various technologies is correlated with household income, financial assets, age, and years of education. Results suggest that relatively new electronic technologies are used by relatively few households, and that household use of electronic sources of information for financial decisionmaking is barely off the ground. L3 - http://www.federalreserve.gov/pubs/feds/1997/199735/199735abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699648&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1997/199735/199735abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Engel, Charles AU - Rogers, John H. T1 - How Wide Is the Border? JO - American Economic Review JF - American Economic Review Y1 - 1996/12// VL - 86 IS - 5 M3 - Article SP - 1112 EP - 1125 PB - American Economic Association SN - 00028282 AB - We use CPI data for U.S. and Canadian cities for 14 categories of consumer prices to examine the nature of the deviations from the law of one price. The distance between cities explains a significant amount of the variation in the prices of similar goods in different cities. But the variation of the price is much higher for two cities located in different countries than for two equidistant cities in the same country. We explore some of the reasons for this finding. Sticky nominal prices appear to be one explanation but probably do not explain most of the border effect. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER price indexes KW - PRICES KW - COST KW - CITIES & towns KW - UNITED States KW - CANADA N1 - Accession Number: 9701203780; Engel, Charles 1,2; Rogers, John H. 3; Affiliations: 1: Department of Economics, University of Washington, Seattle, WA 98195-3330; 2: National Bureau of Economic Research; 3: Division of International, Finance, Board of Governors of the Federal Reserve System, Washington, DC, 20551; Issue Info: Dec96, Vol. 86 Issue 5, p1112; Thesaurus Term: CONSUMER price indexes; Thesaurus Term: PRICES; Thesaurus Term: COST; Subject Term: CITIES & towns; Subject: UNITED States; Subject: CANADA; Number of Pages: 14p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9701203780&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ammer, John AU - Mei, Jianping T1 - Measuring International Economic Linkages with Stock Market Data. JO - Journal of Finance JF - Journal of Finance Y1 - 1996/12// VL - 51 IS - 5 M3 - Article SP - 1743 EP - 1763 PB - Wiley-Blackwell SN - 00221082 AB - This article develops a new framework for measuring financial and real economic linkages between countries. Using United States and United Kingdom data from 1957 to 1989, we find closer financial linkages after the Bretton Woods currency arrangement was abandoned and Britain suspended exchange controls. In a pair-wise application to fifteen countries over a shorter period, we also find that news about future dividend growth is more highly correlated between countries than contemporaneous output measures. This suggests that there are lags in the international transmission of economic shocks and that contemporaneous output correlation may understate the magnitude of integration. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL finance KW - INTERNATIONAL economic relations KW - INTERNATIONAL markets KW - CORRELATION (Statistics) KW - FOREIGN exchange KW - DIVIDEND yield KW - BRETTON Woods System KW - INTERNATIONAL economic integration KW - GREAT Britain -- Economic conditions KW - UNITED States -- Economic conditions KW - GREAT Britain KW - UNITED States N1 - Accession Number: 9707254399; Ammer, John 1; Mei, Jianping 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Department of Finance, New York University; Issue Info: Dec1996, Vol. 51 Issue 5, p1743; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: INTERNATIONAL economic relations; Thesaurus Term: INTERNATIONAL markets; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: FOREIGN exchange; Thesaurus Term: DIVIDEND yield; Thesaurus Term: BRETTON Woods System; Thesaurus Term: INTERNATIONAL economic integration; Subject Term: GREAT Britain -- Economic conditions; Subject Term: UNITED States -- Economic conditions; Subject: GREAT Britain; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 911420 International assistance; Number of Pages: 21p; Illustrations: 9 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9707254399&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - GREENSPAN, ALAN T1 - Remarks on Evolving Payment System Issues. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/11/02/Nov96 PartII VL - 28 IS - 4 M3 - Speech SP - 689 EP - 695 PB - Ohio State University Press SN - 00222879 AB - The article presents a speech by Alan Greenspan, Chairman of the Board of Governors of the Federal Reserve System presented to the Payment Systems Research & Public Policy Conference, in which he talked about money, the payment system infrastructure, and payment system risks. KW - GREENSPAN, Alan, 1926- N1 - Accession Number: 9705253310; GREENSPAN, ALAN 1,2; Affiliations: 1: Chairman of the Board of Governors of the Federal Reserve System; 2: Chairman of the Board of Governors of the Federal Reserve System.; Issue Info: Nov96 PartII, Vol. 28 Issue 4, p689; People: GREENSPAN, Alan, 1926-; Number of Pages: 7p; Document Type: Speech UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9705253310&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERGER, ALLEN N. AU - HANCOCK, DIANA AU - MARQUARDT, JEFFREY C. T1 - A Framework for Analyzing Efficiency, Risks, Costs, and Innovations in the Payments System. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/11/02/Nov96 PartII VL - 28 IS - 4 M3 - Article SP - 696 EP - 732 PB - Ohio State University Press SN - 00222879 AB - The article focuses on a framework for analyzing efficiency, risks, costs, and innovations in payment systems. It states that new electronic methods of payment can lessen risk by speeding up settlement and reduce the financial and real resource costs of making payments. It mentions that the trade-off between costs and risks can be affected by financial, technological, and regulatory innovations. It comments on the major types of risks and costs in the payment system, including credit risk, liquidity risk, resource costs, financial costs, and costs of delays in the payment mechanism. KW - PAYMENT systems KW - LIQUIDITY (Economics) KW - CREDIT risk KW - RISK assessment KW - TECHNOLOGICAL innovations KW - COST KW - UNITED States N1 - Accession Number: 9705253312; BERGER, ALLEN N. 1,2,3,4; HANCOCK, DIANA 2,4; MARQUARDT, JEFFREY C. 5,6; Affiliations: 1: Senior economist of the Board of Governors of the Federal Reserve System.; 2: Senior economist, Board of Governors of the Federal Reserve System; 3: Senior Fellow, Wharton Financial Institutions Center; 4: Senior Fellow, Wharton Financial Institutions Center.; 5: Assistant director, Board of Governers of the Federal Reserve system; 6: Assistant director of the Board of Governers of the Federal Reserve system.; Issue Info: Nov96 PartII, Vol. 28 Issue 4, p696; Thesaurus Term: PAYMENT systems; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: CREDIT risk; Thesaurus Term: RISK assessment; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: COST; Subject: UNITED States; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 37p; Illustrations: 1 Chart, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9705253312&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - HANCOCK, DIANA AU - WILCOX, JAMES A. T1 - Intraday Management of Bank Reserves: The Effects of Caps and Fees on Daylight Overdrafts. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/11/02/Nov96 PartII VL - 28 IS - 4 M3 - Article SP - 870 EP - 908 PB - Ohio State University Press SN - 00222879 AB - The article focuses on the impact of the U.S. Federal Reserve System's imposition of limits and fees on bank daylight overdrafts on the level of banks' exposure to daylight overdrafts. It states that U.S. financial institutions transfer funds electronically to each other each business day via two large-dollar electronic payments systems, the Clearing House Interbank Payments System and Fedwire. It mentions that the Federal Reserve Regulation J has made funds transfered over Fedwire irrevocable at the time a Federal Reserve Bank notifies the receiving bank that payment has been credited to its reserve account whether or not the sending bank makes good on the payment request. It mentions that the Federal Reserve has tried to stop disruption risks of payment systems from growing too high. KW - BANK reserves KW - ELECTRONIC funds transfers KW - PAYMENT systems KW - CLEARINGHOUSES (Banking) KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 9705253330; HANCOCK, DIANA 1,2; WILCOX, JAMES A. 3,4; Affiliations: 1: Senior economist, Board of Governors of the Federal Reserve System; 2: Senior economist, Board of Governors of the Federal Reserve System.; 3: Professor, Haas School of Business at the University of California, Berkeley; 4: Professor, Haas School of Business at the University of California, Berkeley.; Issue Info: Nov96 PartII, Vol. 28 Issue 4, p870; Thesaurus Term: BANK reserves; Thesaurus Term: ELECTRONIC funds transfers; Thesaurus Term: PAYMENT systems; Thesaurus Term: CLEARINGHOUSES (Banking); Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 39p; Illustrations: 6 Charts, 7 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9705253330&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. T1 - Comment on CASH, PAPER, AND ELECTRONIC PAYMENTS: A CROSS-COUNTRY ANALYSIS. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/11/02/Nov96 PartII VL - 28 IS - 4 M3 - Article SP - 940 EP - 941 PB - Ohio State University Press SN - 00222879 AB - The author comments on the paper "Cash, Paper, and Electronic Payments: A Cross-Country Analysis," by David B. Humphrey, Lawrence B. Pulley, and Jukka M. Vesala, published in the November 2, 1996 issue of "The Journal of Money, Credit and Banking." He states that the writers expand on the payments system framework to consider cross-country variation, but suggests that if countries are idiosyncratic with basic cultural factors causing differences in the payment systems rather than the countries being at different development stages, then cross-country comparisons can give misleading forecasts. He comments on differences between the U.S. and several European countries concerning noncash transactions. KW - PAYMENT systems KW - FORECASTING KW - ELECTRONIC funds transfers KW - CULTURE KW - ECONOMIC aspects KW - DEVELOPED countries KW - UNITED States KW - EUROPE N1 - Accession Number: 9705253336; Avery, Robert B. 1; Affiliations: 1: Senior economist, Board of Governors of the Federal Reserve System; Issue Info: Nov96 PartII, Vol. 28 Issue 4, p940; Thesaurus Term: PAYMENT systems; Thesaurus Term: FORECASTING; Thesaurus Term: ELECTRONIC funds transfers; Thesaurus Term: CULTURE; Subject Term: ECONOMIC aspects; Subject: DEVELOPED countries; Subject: UNITED States; Subject: EUROPE; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9705253336&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Humphrey, David B. AU - Pulley, Lawrence B. T1 - Do consumers pay for one-stop banking? Evidence from an alternative revenue function. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1996/11// VL - 20 IS - 9 M3 - Article SP - 1601 EP - 1621 SN - 03784266 AB - In providing financial services jointly, banks may reduce costs due to complementarities in production (cost economies of scope) or raise revenues from complementarities in consumption (revenue economies of scope). Cost economies of scope between bank deposits and loans have been found to be small. Revenue economies of scope are investigated here for the first time and found to be insignificant over 1978-1990 for both small and large banks and for those on or off the revenue-efficient frontier. The lack of complementarities between deposits and loans — where benefits are most likely to occur — suggests that claims of important synergies from an expansion of banking powers be taken with caution. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - ECONOMIES of scope KW - BANK deposits KW - BANK loans KW - REVENUE N1 - Accession Number: 11496033; Berger, Allen N. 1,2; Humphrey, David B. 3; Pulley, Lawrence B. 4; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Wharton Financial Institutions Center, University of Pennsylvania, USA; 3: Department of Finance, Florida State Univeristy, USA; 4: Graduate School of Business Administration, College of William and Mary, USA; Issue Info: Nov96, Vol. 20 Issue 9, p1601; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMIES of scope; Thesaurus Term: BANK deposits; Thesaurus Term: BANK loans; Subject Term: REVENUE; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 21p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11496033&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Eisenbeis, Robert A. AU - Horvitz, Paul M. AU - Cole, Rebel A. T1 - Commercial Banks and Real Estate Lending: The Texas Experience. JO - Journal of Regulatory Economics JF - Journal of Regulatory Economics Y1 - 1996/11// VL - 10 IS - 3 M3 - Article SP - 275 EP - 290 SN - 0922680X AB - This paper examines the performance of Texas commercial banks specializing in mortgage lending during the difficult times of the late 1980s and early 1990s to investigate how representative their experience as compared with that of banks concentrating in real estate lending across the country. The results show that Texas REBs performed very poorly during the 1980s and early 1990s, but this was because the Texas REBs were clearly different from the majority of the banks classified as REBs in the rest of the country. In contract to non-Texas real estate specializing banks, those in Texas banks put substantial assets into much riskier construction and development loans, and in loans on commercial property, such as office buildings, hotels and shopping centers. In a poor real estate market, these loans performed very poorly. The analysis indicates that the Texas experience is not a basis for rejecting the view that the commercial bank industry can safely replace the declining thrift industry as a major source of residential mortgage financing. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Regulatory Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - REAL property KW - LOANS KW - BANKING industry KW - HOTELS KW - BUILDINGS N1 - Accession Number: 16581914; Eisenbeis, Robert A. 1; Horvitz, Paul M. 2; Cole, Rebel A. 3; Affiliations: 1: Federal Reserve Bank of Atlanta Division of Research, Atlanta, GA 30303.; 2: University of Houston Department of Finance, College of Busniess Administration, Houston, TX 77204-6282.; 3: Board of Governors of The Federal Reserve System Division of Research and Statistics, Washington, DC 20551.; Issue Info: Nov1996, Vol. 10 Issue 3, p275; Thesaurus Term: MORTGAGE loans; Thesaurus Term: REAL property; Thesaurus Term: LOANS; Thesaurus Term: BANKING industry; Thesaurus Term: HOTELS; Subject Term: BUILDINGS; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 721110 Hotels (except Casino Hotels) and Motels; NAICS/Industry Codes: 721111 Hotels; NAICS/Industry Codes: 236220 Commercial and Institutional Building Construction; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16581914&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bayoumi, Tamim AU - Gagnon, Joseph E. AD - IMF AD - Board of Governors of the Federal Reserve System T1 - Taxation and Inflation: A New Explanation for Capital Flows JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1996/10// VL - 38 IS - 2 SP - 303 EP - 330 SN - 03043923 N1 - Accession Number: 0410316; Keywords: Capital Flows; Inflation; Tax; Geographic Descriptors: OECD; Publication Type: Journal Article; Update Code: 199704 N2 - In a world of mobile capital, the current system of taxation implies that the after-tax cost of capital and return to saving in each country are negatively correlated with the rate of inflation. Thus, a country's net foreign asset position ought to be negatively correlated with its long-run inflation rate. The magnitude of these effects is shown to be potentially large. For OECD countries, cross-section and time-series regressions confirm that inflation rates are good predictors of net foreign assets. The existing distribution of net foreign assets may, therefore, largely reflect tax distortions. KW - Current Account Adjustment; Short-term Capital Movements F32 KW - Price Level; Inflation; Deflation E31 KW - Fiscal Policy E62 L3 - http://www.sciencedirect.com/science/journal/03043932 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0410316&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/03043932 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - McAllister, Patrick H. AU - Mingo, John J. T1 - Bank capital requirements for securitized loan pools. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1996/09// VL - 20 IS - 8 M3 - Article SP - 1381 EP - 1405 SN - 03784266 AB - This paper analyzes the riskiness of credit enhancements offered on securitized pools of commercial and industrial loans. It develops a technique for allocating capital to such credit enhancements, based on setting the expected value of the credit losses in excess of allocated capital equal to the expected value of losses beyond required capital on the original loan pool. The resulting capital allocations are compared with those derived from a more general, bank-wide capital decision-role, as well as newly published agency proposals regarding capital for credit enhancements. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT risk KW - BANK capital KW - LOANS KW - SAVINGS & loan associations N1 - Accession Number: 11487603; McAllister, Patrick H. 1; Mingo, John J. 2; Email Address: mljjm00@frb.gov; Affiliations: 1: Constellation Financial Management New York; 2: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep96, Vol. 20 Issue 8, p1381; Thesaurus Term: CREDIT risk; Thesaurus Term: BANK capital; Thesaurus Term: LOANS; Thesaurus Term: SAVINGS & loan associations; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 25p; Illustrations: 3 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11487603&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brunner, Allan D. AU - Simon, David P. T1 - EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH-M APPROACH. JO - Journal of Financial Research JF - Journal of Financial Research Y1 - 1996///Fall96 VL - 19 IS - 3 M3 - Article SP - 443 PB - Wiley-Blackwell SN - 02702592 AB - In this paper we model weekly excess returns of ten-year Treasury notes and long-term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional heteroskedasticity in mean (EGARCH-M) approach. The results indicate the presence of conditional heteroskedasticity and a strong tendency for the ex-ante volatility of excess returns to increase more following negative excess return innovations compared with positive innovations of equal magnitude. In addition, increases in ex-ante volatility are associated in some subperiods with rising excess returns on longer-term instruments, although the slope of the yield curve and lagged excess returns generally remain significant predictors of excess returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Research is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT securities KW - VOLATILITY (Finance) KW - PUBLIC debts KW - PUBLIC finance KW - SECURITIES markets KW - SECURITIES N1 - Accession Number: 9707170560; Brunner, Allan D. 1; Simon, David P. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Bentley College; Issue Info: Fall96, Vol. 19 Issue 3, p443; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: PUBLIC debts; Thesaurus Term: PUBLIC finance; Thesaurus Term: SECURITIES markets; Thesaurus Term: SECURITIES; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 15p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9707170560&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Maki, Dean M. T1 - PORTFOLIO SHUFFLING AND TAX REFORM. JO - National Tax Journal JF - National Tax Journal Y1 - 1996/09// VL - 49 IS - 3 M3 - Article SP - 317 EP - 329 PB - National Tax Association SN - 00280283 AB - This paper analyzes the response of households to the provision in the Tax Reform Act of 1986 that phased out the deductibility of interest paid on consumer debt. The evidence suggests that the policy goals of the provision were frustrated because households shuffled their portfolios, substituting mortgage debt for consumer debt High-income homeowners appear to have shuffled more of their debt and thus increased their share of the benefits of the mortgage interest deduction. One reason for this difference in shuffling may be that high-income homeowners scored better on measures of financial sophistication, and better scores appear to predict greater shuffling. Policy options that would reduce the use of mortgage debt for nonhousing purchases are discussed. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAX reform KW - ECONOMIC reform KW - TAXATION KW - DEBT KW - MORTGAGE loans KW - INCOME KW - PERSONAL finance KW - HOUSEHOLDS KW - HOMEOWNERS N1 - Accession Number: 9610222702; Maki, Dean M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: Sep96, Vol. 49 Issue 3, p317; Thesaurus Term: TAX reform; Thesaurus Term: ECONOMIC reform; Thesaurus Term: TAXATION; Thesaurus Term: DEBT; Thesaurus Term: MORTGAGE loans; Thesaurus Term: INCOME; Thesaurus Term: PERSONAL finance; Subject Term: HOUSEHOLDS; Subject Term: HOMEOWNERS; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 814110 Private Households; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 13p; Illustrations: 6 Charts; Document Type: Article; Full Text Word Count: 6170 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9610222702&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engen, Eric M. AU - Gale, William G. T1 - TAX-PREFERRED ASSETS AND DEBT, AND THE TAX REFORM ACT OF 1986: SOME IMPLICATIONS FOR FUNDAMENTAL TAX REFORM. JO - National Tax Journal JF - National Tax Journal Y1 - 1996/09// VL - 49 IS - 3 M3 - Article SP - 331 EP - 339 PB - National Tax Association SN - 00280283 AB - This paper focuses on two aspects of the tax changes enacted in the Tax Reform Act of 1986 (TRA86). First, the TRA86 phased out tax deductions for interest on consumer debt, which contributed to a marked shift in the composition of household debt. Second, the TRA86 restricted the tax deductibility of contributions to individual retirement accounts (IRAs) for some higher-income households. This appears to have contributed to, but is not solely responsible for, the shift in the composition of some households' portfolios of tax-preferred saving incentive plans. This paper also discusses the interaction of household debt and 401 (k) plans following the TRA86. The aspects of the TRA86 focused upon in this paper appear to represent examples of more typical responses to tax changes: changes in the composition of economic activity but with little change in the real level of economic activity This conclusion is consistent with the hierarchy of taxpayer responses suggested by Siemrod (1990, 199S) and yields some potentially relevant implications for fundamental tax reform. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAXATION KW - ECONOMIC reform KW - TAX reform KW - TAX deductions KW - DEBT KW - ECONOMIC indicators KW - TAX incentives KW - INCOME tax KW - TAX administration & procedure N1 - Accession Number: 9610222703; Engen, Eric M. 1; Gale, William G. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; 2: The Brookings Institution, Washington, D.C. 20036-2188; Issue Info: Sep96, Vol. 49 Issue 3, p331; Thesaurus Term: TAXATION; Thesaurus Term: ECONOMIC reform; Thesaurus Term: TAX reform; Thesaurus Term: TAX deductions; Thesaurus Term: DEBT; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: TAX incentives; Thesaurus Term: INCOME tax; Thesaurus Term: TAX administration & procedure; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 9p; Document Type: Article; Full Text Word Count: 4681 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9610222703&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bull, Nicholas AU - Lindsey, Lawrence B. T1 - MONETARY IMPLICATIONS OF TAX REFORMS. JO - National Tax Journal JF - National Tax Journal Y1 - 1996/09// VL - 49 IS - 3 M3 - Article SP - 359 EP - 379 PB - National Tax Association SN - 00280283 AB - Recently, several proposals for significant reform of the federal tax system have received serious political consideration, and many sound arguments for and against these proposals have been made. Although we summarize some of the economic arguments in this paper, it is not our purpose to discuss the merits of the proposals. Rather, our purpose is to show that, whatever proposal is adopted, it will be affected by and will affect the making and carrying out of monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of National Tax Journal is the property of National Tax Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TAXATION KW - TAX reform KW - ECONOMIC policy KW - ECONOMIC reform KW - MONETARY theory KW - MONETARY policy KW - CENTRAL banking industry KW - PUBLIC spending KW - MONEY supply N1 - Accession Number: 9610222705; Bull, Nicholas 1; Lindsey, Lawrence B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; Issue Info: Sep96, Vol. 49 Issue 3, p359; Thesaurus Term: TAXATION; Thesaurus Term: TAX reform; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMIC reform; Thesaurus Term: MONETARY theory; Thesaurus Term: MONETARY policy; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: PUBLIC spending; Thesaurus Term: MONEY supply; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 21p; Illustrations: 3 Charts; Document Type: Article; Full Text Word Count: 10996 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9610222705&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - PILLOFF, STEVEN J. T1 - Performance Changes and Shareholder Wealth Creation Associated with Mergers of Publicly Traded Banking Institutions. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/08//Aug96 Part 1 VL - 28 IS - 3 M3 - Article SP - 294 EP - 310 PB - Ohio State University Press SN - 00222879 AB - The article examines whether accounting and market data yield consistent implications regarding the gains achieved in mergers of publicly traded institutions between 1982 and 1991. The study found that although both the average and cross-sectional properties of merger-related performance measures and consolidated abnormal returns show little to no change on average, cross-sectional properties differ between the two. Performance gains are related primarily to high total target and acquirer expenses, and abnormal returns are associated with the difference between the two total cost measures. While abnormal returns are related to target noninterest expenses, the relationship does not hold with total expenses. KW - CONSOLIDATION & merger of corporations KW - PUBLIC companies KW - PROFIT KW - RATE of return KW - INTEREST costs KW - INDUSTRIAL costs KW - COST effectiveness N1 - Accession Number: 9702145210; PILLOFF, STEVEN J. 1,2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; 2: economist, Board of Governors of the Federal Reserve System; Issue Info: Aug96 Part 1, Vol. 28 Issue 3, p294; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: PUBLIC companies; Thesaurus Term: PROFIT; Thesaurus Term: RATE of return; Thesaurus Term: INTEREST costs; Thesaurus Term: INDUSTRIAL costs; Thesaurus Term: COST effectiveness; Number of Pages: 17p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9702145210&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Baily, Martin Neil AU - Bartelsman, Eric J. AU - Halliwanger, John T1 - Downsizing and Productivity Growth: Myth or Reality? JO - Small Business Economics JF - Small Business Economics Y1 - 1996/08// VL - 8 IS - 4 M3 - Article SP - 259 EP - 278 SN - 0921898X AB - The conventional wisdom is that the rising productivity in the U.S. manufacturing sector in the 1980s has been driven by the apparently pervasive downsizing over this period. Aggregate evidence clearly shows falling employment accompanying the rise in productivity. In this paper, we examine the microeconomic evidence using the plant level data from the Longitudinal Research Database (LRD). In contrast to the conventional wisdom, we find that plants that increased employment as well as productivity contribute almost as much to overall productivity growth in the 1980s as the plants that increased productivity at the expense of employment. Further, there are striking differences by sector (defined by industry, size, region, wages, and ownership type) in the allocation of plants in terms of whether they upsize or downsize and whether they increase or decrease productivity. Nevertheless, in spite of the striking differences across sectors defined in a variety of ways, most of the variance of productivity and employment growth is accounted for by idiosyncratic factors. [ABSTRACT FROM AUTHOR] AB - Copyright of Small Business Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DOWNSIZING of organizations KW - LABOR productivity KW - MANUFACTURING industries KW - MICROECONOMICS KW - EMPLOYMENT (Economic theory) KW - UNITED States N1 - Accession Number: 16844581; Baily, Martin Neil 1; Bartelsman, Eric J. 2; Halliwanger, John 1; Affiliations: 1: University of Maryland and NBER.; 2: Board of Governors of the Federal Reserve System.; Issue Info: Aug1996, Vol. 8 Issue 4, p259; Thesaurus Term: DOWNSIZING of organizations; Thesaurus Term: LABOR productivity; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: MICROECONOMICS; Thesaurus Term: EMPLOYMENT (Economic theory); Subject: UNITED States; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16844581&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - West, Kenneth D. AU - Wilcox, David W. T1 - A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1996/07// VL - 14 IS - 3 M3 - Article SP - 281 EP - 293 SN - 07350015 AB - Using a dynamic linear equation that has a conditionally homoscedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator to one that is asymptotically optimal in a class of estimators that includes the conventional one. We find that, for some plausible data-generating processes, the optimal one is distinctly more efficient asymptotically. Simulations indicate that in samples of size typically available, asymptotic theory describes the distribution of the parameter estimates reasonably well but that test statistics sometimes are poorly sized. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ANALYSIS of variance KW - ESTIMATION theory KW - STATISTICS KW - SYSTEMS theory KW - HOMOSCEDASTICITY KW - EQUATIONS KW - COMPUTER simulation KW - THEORY KW - ALGEBRA KW - VARIABLES (Mathematics) KW - LINEAR systems KW - Asymptotic approximation KW - Efficient estimation KW - Optimal estimation KW - Simulation KW - Test statistics N1 - Accession Number: 9607240689; West, Kenneth D. 1; Wilcox, David W. 2; Affiliations: 1: Dept. of Economics, University of Wisconsin, Madison, Wl 53706; 2: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Jul96, Vol. 14 Issue 3, p281; Thesaurus Term: ANALYSIS of variance; Thesaurus Term: ESTIMATION theory; Thesaurus Term: STATISTICS; Thesaurus Term: SYSTEMS theory; Subject Term: HOMOSCEDASTICITY; Subject Term: EQUATIONS; Subject Term: COMPUTER simulation; Subject Term: THEORY; Subject Term: ALGEBRA; Subject Term: VARIABLES (Mathematics); Subject Term: LINEAR systems; Author-Supplied Keyword: Asymptotic approximation; Author-Supplied Keyword: Efficient estimation; Author-Supplied Keyword: Optimal estimation; Author-Supplied Keyword: Simulation; Author-Supplied Keyword: Test statistics; Number of Pages: 13p; Illustrations: 10 Charts, 18 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9607240689&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Beeson, Patricia E. AU - Sniderman, Mark S. T1 - Posted Rates and Mortgage Lending Activity. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1996/07// VL - 13 IS - 1 M3 - Article SP - 11 EP - 26 SN - 08955638 AB - In many metropolitan areas (MSAs) newspapers post mortgage terms for Leaden in a manner designed to permit an easy comparison of discount points and note rates. Using these advertised rates for 73 lenders in three MSAs we examine I) how applicants respond to short-run changes in relative rates, and 2) the relationship between the services provided and quality of applications received by lenders and their long-term market positions. We find that applicant flows increase when lenders lower their rates. We also find that persistent cross-lender differences in rates are associated with differences in product quality reflected in processing limes, loan sales, and PHA/VA lending; and that high-risk borrowers tend to apply to lenders posting above average rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEYLENDERS KW - MORTGAGE loans KW - MONEY center banks KW - LOANS KW - URBAN growth KW - mortgage interest rates KW - mortgage lending KW - Nome Mortgage Disclosure Act KW - pricing strategy N1 - Accession Number: 17323842; Avery, Robert B. 1; Beeson, Patricia E. 2; Sniderman, Mark S. 3; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: Department of Economics, University of Pittsburgh, Pittsubrgh, PA 15260; 3: Research Department, Federal Reserve bank of Cleveland, Cleveland, Pa 15260; Issue Info: Jul1996, Vol. 13 Issue 1, p11; Thesaurus Term: MONEYLENDERS; Thesaurus Term: MORTGAGE loans; Thesaurus Term: MONEY center banks; Thesaurus Term: LOANS; Thesaurus Term: URBAN growth; Author-Supplied Keyword: mortgage interest rates; Author-Supplied Keyword: mortgage lending; Author-Supplied Keyword: Nome Mortgage Disclosure Act; Author-Supplied Keyword: pricing strategy; NAICS/Industry Codes: 237210 Land Subdivision; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17323842&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calem, Paul S. T1 - Mortgage Credit Availability in Low- and Moderate- Income Minority Neighborhoods: Are Information Externalities Critical? JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1996/07// VL - 13 IS - 1 M3 - Article SP - 71 EP - 89 SN - 08955638 AB - This study conducts a cross-sectional analysis of U.S. mctlDpolitan counties to inquire into the factors affecting white and minority mortgage loan approval rates during 1990-1991. In particular, evidence is sought on whether minority loan applicants are denied credit more frequently than white applicants because of information externalitiet Within each county, all predominantly minority, low- or moderate-income census tracts are grouped together, and then regression equations are estimated across counties and baa groupings. Separate approval rate equations are estimated for conventional and federally insured (FHA or VA) home purchase loans. In addition, a regression equation for the percentage of applicants applying for federally insured loans is estimated. Both approval rate regressions indicate that across white tract groupings, the depth of the housing market (the number of sales of owner-occupied units during 1989) has a positive and statistically significant effect on the loan approval rate consistent with Ut view that information externalities act mortgage Iran evaluations. However, this relationship appears not to hold across minority bract groupings. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING -- Finance KW - LOANS KW - VETERANS -- Loans KW - MORTGAGE loans KW - REAL property -- Finance KW - HOME ownership KW - MORTGAGE banks KW - UNITED States N1 - Accession Number: 17323869; Calem, Paul S. 1; Affiliations: 1: Financial Structure Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Jul1996, Vol. 13 Issue 1, p71; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: LOANS; Thesaurus Term: VETERANS -- Loans; Thesaurus Term: MORTGAGE loans; Thesaurus Term: REAL property -- Finance; Thesaurus Term: HOME ownership; Thesaurus Term: MORTGAGE banks; Subject: UNITED States; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 923140 Administration of Veterans' Affairs; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17323869&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cole, Rebel A. AU - Eisenbeis, Robert A. T1 - The Role of Principal-Agent Conflicts in the 1980s Thrift Crisis. JO - Real Estate Economics JF - Real Estate Economics Y1 - 1996///Summer96 VL - 24 IS - 2 M3 - Article SP - 195 EP - 218 PB - Wiley-Blackwell SN - 10808620 AB - Agency theory suggests that many of the costs incurred by the taxpayer during the 1980s thrift crisis were the result of conflicts between principals and their agents. This study models the costs associated with three distinct types of agency conflicts involved in closing an insolvent thrift--conflicts between creditors and owners, between owners and managers, and between taxpayers and government officials. Using a model that controls for sample-selection bias, the study presents strong evidence that thrift owners effected wealth transfers from creditors by undertaking high-risk investments, and that government officials pursued policies that increased losses to the thrift deposit insurance fund which ultimately were funded by the taxpayer. The results do not show that managers effected wealth transfers from owners through expense-preference behavior, but rather that inefficient management increased the losses of the deposit insurance fund. [ABSTRACT FROM AUTHOR] AB - Copyright of Real Estate Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REAL estate agents KW - AGENCY theory KW - SAVING & investment KW - REAL property KW - ECONOMICS N1 - Accession Number: 9607105765; Cole, Rebel A. 1; Eisenbeis, Robert A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: University of North Carolina, Chapel Hill, NC 27599-3490; Issue Info: Summer96, Vol. 24 Issue 2, p195; Thesaurus Term: REAL estate agents; Thesaurus Term: AGENCY theory; Thesaurus Term: SAVING & investment; Thesaurus Term: REAL property; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 531212 Offices of real estate brokers; NAICS/Industry Codes: 531211 Real estate agents; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 24p; Illustrations: 4 Charts; Document Type: Article; Full Text Word Count: 9433 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9607105765&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Calvo, Guillermo A. AU - Mendoza, Enrique G. T1 - Petty crime and cruel punishment: Lessons from the Mexican debacle. JO - American Economic Review JF - American Economic Review Y1 - 1996/05// VL - 86 IS - 2 M3 - Article SP - 170 SN - 00028282 AB - Prior to the recent monetary crisis, Mexico was considered to have a successful economy, in part because of its market-oriented reforms. At first the devaluation of the peso in 1994 was considered a necessary action to correct imbalances in the economy. But the devaluation was followed by a punishment of Mexico by the global market. The global market has, therefore, imposed a harsh environment in which emerging countries can function. KW - DEVALUATION of currency KW - MARKETS KW - ECONOMIC reform KW - MEXICO -- Economic conditions KW - FOREIGN exchange rates KW - MONETARY policy KW - ECONOMIC structure KW - FINANCIAL crises KW - MEXICO N1 - Accession Number: 9605282472; Calvo, Guillermo A. 1; Mendoza, Enrique G. 2; Affiliations: 1 : Center for International Economics, Department of Economics, University of Maryland, College Park, MD 20742.; 2 : International Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Source Info: May96, Vol. 86 Issue 2, p170; Note: Based on Federal Reserve data and secondary sources; 2 fig., ref.; Historical Period: 1994 to 1995; Subject Term: DEVALUATION of currency; Subject Term: MARKETS; Subject Term: ECONOMIC reform; Subject Term: MEXICO -- Economic conditions; Subject Term: FOREIGN exchange rates; Subject Term: MONETARY policy; Subject Term: ECONOMIC structure; Subject Term: FINANCIAL crises; Subject: MEXICO; Number of Pages: 6p; Illustrations: 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=hia&AN=9605282472&site=ehost-live&scope=site DP - EBSCOhost DB - hia ER - TY - JOUR AU - HESS, GREGORY D. AU - ORPHANIDES, ATHANASIOS T1 - Taxation and Intergenerational Transfers with Family-Size Heterogeneity: Do Parents with More Children Prefer Higher Taxes? JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1996/05// VL - 28 IS - 2 M3 - Article SP - 162 EP - 177 PB - Ohio State University Press SN - 00222879 AB - The article examines the results of a study which tested the Ricardian equivalence hypothesis on family size and tax preferences using survey data from the General Social Survey. The Ricardian equivalence hypothesis suggests that a representative household will not be able to distinguish between bond and tax financing in regard to government liabilities. This ultimately implies that tax cuts will not lead to cumulative consumption. The author also explores the links that exist between generations within a heterogeneous family. KW - TAXATION KW - TAX expenditures KW - PUBLIC finance KW - CONSUMPTION (Economics) KW - FAMILY size KW - SOCIAL surveys N1 - Accession Number: 9606196927; HESS, GREGORY D. 1; ORPHANIDES, ATHANASIOS 2; Affiliations: 1: Assistant professor of economics at the University of Kansas.; 2: Economist in the Division of Monetary Affairs at the Board of Governors of the Federal Reserve System.; Issue Info: May96, Vol. 28 Issue 2, p162; Thesaurus Term: TAXATION; Thesaurus Term: TAX expenditures; Thesaurus Term: PUBLIC finance; Thesaurus Term: CONSUMPTION (Economics); Subject Term: FAMILY size; Subject Term: SOCIAL surveys; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 16p; Illustrations: 4 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9606196927&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oliner, Stephen D. AU - Rudebusch, Glenn D. T1 - Monetary policy and credit conditions: Evidence from the composition of external finance: Comment. JO - American Economic Review JF - American Economic Review Y1 - 1996/03// VL - 86 IS - 1 M3 - Article SP - 300 EP - 309 PB - American Economic Association SN - 00028282 AB - The article presents the author's comments on the article "Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance," by Anil K. Kashyap, Jeremy C. Stein and David W. Wilcox (KSW) published in the March 1993 issue. The crucial shortcoming of most previous empirical work on the bank lending channel is the inability to identify whether movements in bank debt reflect shocks to overall credit demand or shocks to bank loan supply. KSW attempt to solve this problem by controlling for demand shocks with changes in commercial paper outstanding. With this identification of demand shocks, KSW interpret movements in bank loans relative to commercial paper after a monetary shock as reflecting changes in bank loan supply. The authors believe that this strategy for distinguishing supply from demand shocks is sound. However, their disagreement with KSW concerns the interpretation of their aggregate results. In an economy with heterogeneous agents, aggregate results must always he treated with caution. The authors find that, for both small and large firms, bank debt behaves little differently than nonbank debt after a monetary shock. KW - MONETARY policy KW - NEGOTIABLE instruments KW - SHORT-term debt KW - EXTERNAL debts KW - LOAN workouts KW - BANKING industry N1 - Accession Number: 9604090401; Oliner, Stephen D. 1; Rudebusch, Glenn D. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC.; 2: Economic Research Department, Federal Reserve Bank of San Francisco, San Francisco, CA.; Issue Info: Mar1996, Vol. 86 Issue 1, p300; Thesaurus Term: MONETARY policy; Thesaurus Term: NEGOTIABLE instruments; Thesaurus Term: SHORT-term debt; Thesaurus Term: EXTERNAL debts; Thesaurus Term: LOAN workouts; Thesaurus Term: BANKING industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; Number of Pages: 10p; Illustrations: 2 Charts, 2 Graphs; Document Type: Article; Full Text Word Count: 4888 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9604090401&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Helwege, Jean AU - Liang, Nellie T1 - Is there a pecking order? Evidence from a panel of IPO firms. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1996/03// VL - 40 IS - 3 M3 - Article SP - 429 EP - 458 SN - 0304405X AB - We test the pecking order model of capital structure by examining the financing of firms that went public in 1983. We estimate a logic to predict external financing, and a multinomial logic to predict the type of financing using data on the IPO firms' security offerings during 1984-1992. Our results indicate that the probability of obtaining external funds is unrelated to the shortfall in internally generated funds, although firms with cash surpluses avoid external financing. Firms that access the capital markets do not follow the pecking order when choosing the type of security to offer. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOING public (Securities) KW - CAPITAL structure KW - LONG-term business financing KW - CORPORATIONS -- Finance KW - CAPITAL market KW - SECURITIES KW - External financing KW - IPOs KW - Pecking order N1 - Accession Number: 12243850; Helwege, Jean 1; Liang, Nellie 2; Affiliations: 1: Federal Reserve Bank of New York, New York, NY 10045, USA.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Mar1996, Vol. 40 Issue 3, p429; Thesaurus Term: GOING public (Securities); Thesaurus Term: CAPITAL structure; Thesaurus Term: LONG-term business financing; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: CAPITAL market; Thesaurus Term: SECURITIES; Author-Supplied Keyword: External financing; Author-Supplied Keyword: IPOs; Author-Supplied Keyword: Pecking order; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12243850&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bernanke, Ben AU - Gertler, Mark AU - Gilchrist, Simon T1 - The Financial accelerator and the flight... JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1996/02// VL - 78 IS - 1 M3 - Article SP - 1 PB - MIT Press SN - 00346535 AB - Adverse shocks to the economy may be amplified by worsening credit-market conditions-the "financial accelerator" Theoretically, we interpret the financial accelerator as resulting from endogenous changes over the business cycle in the agency costs of lending. An implication of the theory is that, at the onset of a recession, borrowers facing high agency costs should receive a relatively lower share of credit extended (the flight to quality) and hence should account for a proportionally greater part of the decline in economic activity. We review the evidence for these predictions and present new evidence drawn from a panel of large and small manufacturing firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS -- Methodology KW - FINANCE KW - BUSINESS cycles KW - ECONOMETRIC models KW - ECONOMIC activity KW - BUSINESS enterprises KW - LOANS KW - ECONOMICS N1 - Accession Number: 9605212441; Bernanke, Ben 1; Gertler, Mark 2; Gilchrist, Simon 3; Affiliations: 1: Princeton University; 2: New York University; 3: Board of Governors of the Federal Reserve System; Issue Info: Feb96, Vol. 78 Issue 1, p1; Thesaurus Term: ECONOMICS -- Methodology; Thesaurus Term: FINANCE; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMIC activity; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: LOANS; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 15p; Illustrations: 20 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9605212441&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN ID - 57122 AU - Sheets, Nathan AU - Boata, Simona AU - Board of Governors of the Federal Reserve System (U.S.) T1 - [Untitled] T3 - International Finance Discussion Paper no. 562 Y1 - 1996/01/01/ CY - Washington, D.C. CY - United States PB - Board of Governors of the Federal Reserve System N1 - Accession Number: 57122; Extent: 41 pp; Document Type: Government document; Language: English; Note/Abstract: "September 1996." Government document number: FR 1.62:562 KW - Eastern Europe--Economic Conditions--1989- KW - Eastern Europe--Economic Policy--1989- KW - Eastern Europe--Exports KW - Eastern Europe--Foreign Trade UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=sbh&AN=57122&site=ehost-live&scope=site UR - http://www.bog.frb.fed.us/pubs/ifdp DP - EBSCOhost DB - sbh ER - TY - JOUR AU - Brunner, Allan D. AU - Kamin, Steven B. T1 - Has Japan Entered a New Era of Financial Constraints? JO - International Executive JF - International Executive Y1 - 1996/01//Jan/Feb96 VL - 38 IS - 1 M3 - Article SP - 123 EP - 144 SN - 00206652 AB - The collapse of Japanese asset prices in the early 1990s-which weakened the balance-sheet positions of banks, firms, and households-has led some observers to suggest that "balance-sheet problems" may have contributed to the recent economic downturn and may impede a recovery. In this article, we conclude that balance-sheet problems did not and will not play a significant role in depressing the Japanese economy. First, while asset prices appear to have some explanatory power in loan demand and supply relationships, we find that asset price shocks in the 1990s had little effect on borrowing and lending, other than through traditional wealth effects on aggregate demand. Second, we find little evidence that bank lending was tighter than usual compared to downturns of the 1990-1993 magnitude. Finally, we find some puzzling evidence that borrowers lowered their appetite for loans, even after accounting for sharp declines in aggregate demand and asset prices. [ABSTRACT FROM AUTHOR] AB - Copyright of International Executive is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL crises KW - PRICES KW - LOANS KW - FINANCIAL statements KW - JAPAN -- Economic conditions KW - JAPAN N1 - Accession Number: 5959557; Brunner, Allan D. 1; Kamin, Steven B. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Mail Stop 42, 20th and C Streets, NW, Washington, DC 20551.; Issue Info: Jan/Feb96, Vol. 38 Issue 1, p123; Thesaurus Term: FINANCIAL crises; Thesaurus Term: PRICES; Thesaurus Term: LOANS; Thesaurus Term: FINANCIAL statements; Subject Term: JAPAN -- Economic conditions; Subject: JAPAN; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 22p; Illustrations: 2 Charts, 21 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5959557&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - 'Forecasting the forecasts of others.' Expectational heterogeneity and aggregate dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-41 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699738; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 N2 - I construct a dynamic general equilibrium model where agents differ in the way they form expectations. Sophisticated agents form model-consistent expectations. Rule-of-thumb agents' expectations are based on an intuitive forecasting rule. All agents solve standard dynamic optimization problems and face strategic complementarity in production. Extending the work of Haltiwanger and Waldman (1989), I show that even a minority of rule-of-thumb forecasters can have a significant effect on the aggregate properties of the economy. For instance, as agents try to forecast each others' behavior they effectively strengthen the internal propagation mechanism of the economy. I solve the model by assuming a hierarchical information structure similar to the one in Townsend's (1983) model of informationally dispersed markets. The quantitative results are obtained by calibrating the model and running a battery of sensitivity tests on key parameters. The analysis highlights the role of strategic complementarity in the heterogeneous expectations literature and precisely quantify many qualitative claims about the aggregate implications of expectational heterogeneity. L3 - http://www.federalreserve.gov/pubs/feds/1996/199641/199641abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699738&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199641/199641abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Antoniewicz, Rochelle L. AD - Unlisted T1 - A comparison of the household sector from the Flow of Funds Accounts and the Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-26 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699723; Keywords: Consumer behavior ; Flow of funds; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines selected assets and liabilities from the FFA household sector and from the 1989 and 1992 SCF. SCF and FFA comparisons have proved difficult in the past, and previous research has not fully adjusted for definitional differences between the FFA and the SCF. This analysis addresses common misperceptions about the definitions of the FFA's assets and liabilities and describes the reconciliations between the FFA and SCF measures. The results show that for some asset and liability categories the SCF and FFA estimates are quite close. Measures of liabilities, however, match up better than those for assets. L3 - http://www.federalreserve.gov/pubs/feds/1996/199626/199626abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699723&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199626/199626abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brayton, F. AU - Tinsley, P. AD - Unlisted AD - Unlisted T1 - A guide to FRB/US: a macroeconomic model of the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-42 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699739; Keywords: Econometric models ; Economic conditions - United States; Publication Type: Working Paper; Update Code: 200404 N2 - FRB/US is a large-scale quarterly econometric model of the U.S. economy, developed to replace the MPS model. Most behavioral equations are based on specifications of optimizing behavior containing explicit expectations of firms, households, and financial markets. Although expectations are explicit, the empirical fits of the structural descriptions of macroeconomic behavior are comparable to those of reduced-form time series models. In most instances, tests do not reject overidentifying restrictions of rational expectations or the hypothesis of serially independent residuals. As modeled, private sector expectations of policy constitute a major transmission channel of monetary policy. L3 - http://www.federalreserve.gov/pubs/feds/1996/199642/199642abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699739&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199642/199642abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William AU - Collins, Sean AD - Unlisted AD - Unlisted T1 - A minor redefinition of M2 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-7 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699716; Keywords: Money supply; Publication Type: Working Paper; Update Code: 200404 N2 - This paper recommends redefining M2 by shifting overnight wholesale RPs and overnight Eurodollars from non-M1 M2 to non-M2 M3. The overnight components are quite volatile and difficult to measure accurately. Their movements no longer exhibit the negative correlation with demand deposits that had been observed in 1980, when these components were originally included in M2. The redefinition does not affect the quarterly and annual behavior of M2, nor its relationship to interest rates and income. L3 - http://www.federalreserve.gov/pubs/feds/1996/199607/199607abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699716&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199607/199607abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - Alternatives in human capital accumulation: implications for economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 550 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700498; Keywords: Economic development ; Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - This paper demonstrates that considering alternative means of human capital accumulation, such as learning-by-doing, overturns the presumption that formal education is unconditionally beneficial for economic growth. It analyzes a model in which the average level of human capital creates externalities in future human capital accumulation and individuals can augment their human capital with work experience or education. The model shows that in the early stages of development, education enhances growth by creating a positive externality, and, in later stages, it may depress growth by leading to a negative externality. It also demonstrates the possibility of multiple equilibria in which low-income equilibria are characterized by under-education and high-income equilibria are characterized by over-education. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/550/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700498&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/550/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fisher, Mark AU - Gilles, Christian AD - Unlisted AD - Unlisted T1 - Around and around: the expectations hypothesis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-17 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699707; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - We show how to construct arbitrage-free models of the term structure of interest rates in which various expectations hypotheses can hold. McCulloch (1993) provided a Gaussian non-Markovian example of the unbiased expectations hypothesis (U--EH), thereby contradicting the assertion by Cox, Ingersoll, and Ross (CIR, 1981) that only the so-called local expectations hypothesis could hold. We generalize that example in three ways: (i) We characterize the U--EH in terms of forward rates; (ii) we extend this characterization to a class of expectations hypotheses that includes all of those considered by CIR; and (iii) we construct stationary Markovian and non-Gaussian economies. The building block is a maturity-dependent vector that travels around a circle at a constant speed as maturity increases. L3 - http://www.federalreserve.gov/pubs/feds/1996/199617/199617abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699707&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199617/199617abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Sharma, Sunil AD - Unlisted AD - Unlisted T1 - Broad money demand and financial liberalization in Greece PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 559 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700505; Keywords: Greece ; Money; Publication Type: Working Paper; Update Code: 200404 N2 - This paper develops a constant, data-coherent, error correction model for broad money demand (M3) in Greece. This model contributes to a better understanding of the effects of monetary policy in Greece and of the portfolio consequences of financial innovation in general. The broad monetary aggregate M3 was targeted until recently, and current monetary policy still uses such aggregates as guidelines, yet analysis of this aggregate has been dormant for over a decade. ; In spite of large fluctuations in the inflation rate, introduction of new financial instruments, and liberalization of the financial system, the estimated model is remarkably stable. The dynamics of money demand are important, with price and income elasticities being much smaller in the short run than in the long run. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/559/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700505&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/559/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilles, Christian AU - LeRoy, Stephen F. AD - Unlisted AD - Unlisted T1 - Bubbles as payoffs at infinity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-9 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699718; Keywords: Capital assets pricing model ; Money market; Publication Type: Working Paper; Update Code: 200404 N2 - We define rational bubbles to be securities with payoffs occurring in the infinitely distant future and investigate the behavior of bubble values. We extend our analysis to a setting of uncertainty. In an infinite-horizon arbitrage-free model of asset prices, we interpret the money market account as the value of a particular bubble; a similar interpretation holds for other assets related to the state-price deflator and to payoffs on bonds maturing in the distant future. We present three applications of this characterization of bubbles. L3 - http://www.federalreserve.gov/pubs/feds/1996/199609/199609abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699718&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199609/199609abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhasin, Vijay AU - Cole, Rebel A. AU - Kiely, Joseph K. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Changes in REIT liquidity 1990-94: evidence from intra-day transactions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-22 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699720; Keywords: Liquidity (Economics) ; Real property; Publication Type: Working Paper; Update Code: 200404 N2 - In this study, we use data on intra-day transactions to analyze whether REIT liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry s market capitalization increased from $9 billion to $45 billion. We find that REIT spreads narrowed significantly. We then use a variation of the empirical model proposed by Stoll (1978) to analyze the determinants of percentage spreads including whether spreads are determined by return variability, share price, exchange listing, and asset type. We find strong support for Stoll s model, in that return variance and share price are the primary determinants of percentage spreads in both periods analyzed. This suggests that the liquidity of REIT securities is similar to that of non-REIT securities with similar prices and return variance. In addition, we find that spreads are wider for REITs trading on NASDAQ. In contrast with an earlier study, we find that market capitalization is not a significant determinant of REIT spreads. L3 - http://www.federalreserve.gov/pubs/feds/1996/199622/199622abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699720&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199622/199622abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eisenbeis, Robert A. AU - Horvitz, Paul M. AU - Cole, Rebel A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Commercial banks and real estate lending: the Texas experience PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-15 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699705; Keywords: Bank loans ; Mortgages ; Texas; Publication Type: Working Paper; Update Code: 200404 N2 - This study analyzes the performance of Texas commercial banks specializing in mortgage lending during the late 1980s and early 1990s to investigate how representative was their experience as compared with that of banks across the country concentrating in real estate lending. The results show that Texas real estate banks (REBs) performed very poorly during the 1980s and early 1990s, but this was because the Texas REBs were clearly different from the majority of the banks classified as REBs in the rest of the country. Texas REBs invested more heavily in commercial mortgages than did other banks. In a poor real estate market, these loans performed very poorly. The analysis indicates that the Texas experience is not a basis for rejecting the view that the commercial banking industry can safely replace the declining thrift industry as a major source of residential mortgage financing. L3 - http://www.federalreserve.gov/pubs/feds/1996/199615/199615abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699705&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199615/199615abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - Comparing the welfare costs and the initial dynamics of alternative temporary stabilization policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 539 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700485; Keywords: Fiscal policy ; Welfare; Publication Type: Working Paper; Update Code: 200404 N2 - This paper compares the welfare costs and initial dynamics of three alternative inflation stabilization policies using the staggered price model with imperfect credibility and currency substitution developed by Calvo and Vegh (1990). In addition to the policies analyzed by Calvo and Vegh (1990)--a temporary exchange-rate based stabilization program (ERB) and a temporary money based program (MB)--this paper considers a third stabilization policy consisting of a temporary money based program with initial reliquefication--i.e., an initial once-and-for-all increase in the money supply--that keeps the nominal and real exchange rate from appreciating on impact (MBR). Simulation results suggest that the welfare costs associated with ERB and MBR programs are lower than those generated by MB programs. This seems to be the case even for highly temporary programs and for economies with low degree of currency substitution. ERB and MBR programs produce similar welfare costs except in two cases; when the policy change is very temporary, MBR programs do better, while for high values of the elasticity of currency substitutmitted efficiently within the bank-based German system of corporate governance. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/539/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700485&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/539/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Compensation incentives and risk taking behavior: evidence from mutual funds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-21 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699719; Keywords: Risk ; Mutual funds ; Income distribution; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the role of compensation contracts in determining risk taking decisions by money managers in the financial industry. A methodology is developed for empirically testing and assessing the magnitude of the effect that incentive contracts have on risk taking in the mutual fund industry using paneldata. The methodology exploits the within-year cross sectional variation in the performance of mutual funds to identify systematic time series variation in risk taking. Growth and growth and income mutual funds in the 1976 to 1993 period are examined. The evidence suggests that incentive compensation has substantial influence on risk decisions. A strong seasonal component on average risk is present with risk reaching a peak in the first quarter of the year. However the relationship between within-year performance, especially towards year-end, appears to have changed over time. For losing managers, excess risk taking appears early in the sample but not in later years. For winning managers, reductions in risk taking appears towards year-end in later years but not early in the sample. L3 - http://www.federalreserve.gov/pubs/feds/1996/199621/199621abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699719&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199621/199621abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AU - Schmukler, Sergio L. AD - Unlisted AD - Unlisted T1 - Country fund discounts and the Mexican crisis of December 1994: did local residents turn pessimistic before international investors? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 563 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700478; Keywords: Mexico ; Investments ; Financial crises - Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - It has been suggested that Mexican investors were the "front-runners" in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper investigates whether data from three Mexican country funds provide evidence that supports the "divergent expectations" hypothesis. We find that, right before the devaluation, Mexican country fund Net Asset Values (driven mainly by Mexican investors) dropped faster than their prices (driven mainly by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/563/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700478&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/563/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AU - Rose, Andrew K. AD - Unlisted AD - Unlisted T1 - Currency crashes in emerging markets: an empirical treatment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 534 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700480; Keywords: Money; Publication Type: Working Paper; Update Code: 200404 N2 - We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of the nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic, external and foreign factors. Our factors are significantly related to crash incidence, especially output growth, the rate of change of domestic credit, and foreign interest rates. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/534/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700480&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/534/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fenn, George W. AU - Post, Mitch AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Debt maturity and the use of interest rate derivatives by non-financial firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-36 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699733; Keywords: Derivative securities ; Swaps (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - We develop and test a simple model of a firm's optimal debt maturity and its demand for interest rate swaps using 1994 data of over 4000 nonfinancial corporations. As in other models of derivative use, ours predicts a systematic relationship between a firm's swap position and the interest-sensitivity of its cash flow. We test this by estimating the cross-sectional relationship between a firm's swap position and: (1) the amount of short-term and floating-rate debt in its capital structure; and (2) the interest-sensitivity of its EBITD. We find strong evidence that firms use swaps to hedge interest rate risk arising from debt obligations but little evidence that they hedge interest rate risks from operating income. Consistent with theories of swap use (Arak et al., 1988, Wall, 1989, and Titman, 1992), our model also predicts that firms that avoid using swaps because of "transactions costs" issue less short-term debt than swap users, since the former are unable to hedge the resulting interest rate risk. We find this to be the case. L3 - http://www.federalreserve.gov/pubs/feds/1996/199636/199636abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699733&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199636/199636abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AD - Unlisted T1 - Do low human capital coefficients make sense? A puzzle and some answers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-13 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699703; Keywords: Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - I develop a new measure of human capital stock that has two advantages over previous measures. First, it allows for varying costs of education across time, countries, and level of education. Second, the unit of measurement is dollars, which allows comparison of human capital stocks with other macro-economic variables, including national income (GDP) and physical capital stocks. Using cross-country panel regression analysis, I find that human capital accumulation accounts for a relatively small (about ten percent) of per-capita GDP growth. I further find that, unlike physical capital, the stock of human capital as a share of GDP increases with GDP. L3 - http://www.federalreserve.gov/pubs/feds/1996/199613/199613abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699703&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199613/199613abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark AU - Post, Mitch AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does corporate lending by banks and finance companies differ? Evidence on specialization in private debt contracting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-25 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699744; Keywords: Bank loans ; Debt; Publication Type: Working Paper; Update Code: 200404 N2 - This paper establishes empirically that specialization in private-market corporate lending exists, adding a new dimension to the public vs. private debt distinctions now common in the literature on debt contracting and financial intermediation. Using a large database of individual loans, we compare lending by finance companies to that by banks. The evidence implies that it is intermediaries in general that are special in solving information problems, not banks in particular. But lending by the two types of institutions is not identical. Finance companies tend to serve observably riskier borrowers, especially highly leveraged borrowers, although banks and finance companies do compete across the spectrum of borrower risk. The evidence supports both regulatory and reputational explanations for this specialization and perhaps an explanation based on institutional differences in borrower monitoring and control. In passing, we shed light on various theories of debt contracting and intermediation and also present facts about finance companies, which have received little attention. L3 - http://www.federalreserve.gov/pubs/feds/1996/199625/199625abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699744&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199625/199625abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheets, Nathan AU - Boata, Simona AD - Unlisted AD - Unlisted T1 - Eastern European export performance during transition PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 562 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700508; Keywords: Europe, Eastern ; Exports; Publication Type: Working Paper; Update Code: 200404 N2 - During the past decade, Eastern European exports have undergone a deep transformation, as communist bloc trading relationships have collapsed and trade with the West has increased. The extent of this geographical re-orientation has generally exceeded the predictions of equilibrium models developed by Hamilton and Winters (1992) and Collins and Rodrik (1991), suggesting the prospect for increased export activity among the transition economies as aggregate demand in these countries strengthens and payment systems mature. Significant changes in the product composition of Eastern European exports have accompanied the geographical reorientation. Exports of manufacturing goods to former communist countries have declined sharply, but exports to the EC across an array of goods--including heavy machinery--have grown robustly. Evidence suggests that the observed changes in export composition reflect the redirection of physical goods through price competition and the emergence of market-determined comparative advantage. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/562/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700508&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/562/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - Endogenous price stickiness and business cycle persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-23 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699721; Keywords: Business cycles ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Both imperfect information and sticky prices allow nominal shocks to act as business cycle impulses, but only sticky prices propagate the real effects of nominal shocks. A simple model of imperfect information and sticky prices developed herein indicates that high rates of inflation lead to less price stickiness, and hence less persistent output fluctuations. Estimation of the model, as well as simple autocorrelations of real output, indicate that indeed output fluctuations are less persistent in high inflation economies. These results lend little support to models in which output persistence is explained through persistent real shocks, capital accumulation, or adjustment costs. L3 - http://www.federalreserve.gov/pubs/feds/1996/199623/199623abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699721&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199623/199623abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - Estimating the price of default risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-29 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699726; Keywords: Credit ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - A firm's instantaneous probability of default is modeled as a square-root diffusion process. The parameters of these processes are estimated for 188 firms, using both the time series and cross-sectional (term structure) properties of the individual firms' bond prices. Although the estimated models are moderately successful at bond pricing, there is strong evidence of misspecification. The results indicate that single factor models of instantaneous default risk face a significant challenge in matching certain key features of actual corporate bond yield spreads. In particular, such models have difficulty generating both relatively flat yield spreads when firms have low credit risk and steeper yield spreads when firms have higher credit risk. L3 - http://www.federalreserve.gov/pubs/feds/1996/199629/199629abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699726&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199629/199629abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schuh, Scott AD - Unlisted T1 - Evidence on the link between firm-level and aggregate inventory behavior. PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-46 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699698; Keywords: Inventories; Publication Type: Working Paper; Update Code: 200404 N2 - This paper describes the finished goods inventory behavior of more than 700 U.S. manufacturing firms between 1985-93 using a new Census Bureau longitudinal data base. Three key results emerge. First, there is a broad mix of production-smoothing and production-bunching firms, with about two-fifths smoothing production. Second, firm-level inventory adjustment speeds are about an order of magnitude larger than aggregate adjustment speeds due to econometric aggregation bias. Finally, accounting for time variation in the inventory adjustment speed due to fluctuations in firm size improves the fit of a traditional aggregate inventory model by one-fifth. L3 - http://www.federalreserve.gov/pubs/feds/1996/199646/199646abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699698&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199646/199646abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copelman, Martina AD - Unlisted T1 - Financial innovation and the speed of adjustment of money demand: evidence from Bolivia, Israel, and Venezuela PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 567 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700512; Keywords: Bolivia ; Israel ; Money ; Venezuela; Publication Type: Working Paper; Update Code: 200404 N2 - Traditional studies of money demand for both developed and less developed countries have shown that there are periods of "missing money," that is, there is consistent overprediction of real balances. This paper uses cointegration techniques to study the effects of financial innovation on the demand for real balances in Bolivia, Israel, and Venezuela. The results show that financial innovation can account for the instability of money demand observed in these countries. In particular, I find that the long run demand for real balances shifted down. In addition, I show that the speed at which people adjust their demand for money when out of equilibrium increases following financial innovation. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/567/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700512&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/567/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghosal, Vivek AU - Loungani, Prakash AD - Unlisted AD - Unlisted T1 - Firm size and the impact of profit-margin uncertainty on investment: do financing constraints play a role? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 557 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700503; Keywords: Business enterprises ; Investments; Publication Type: Working Paper; Update Code: 200404 N2 - We study the response of investment to changes in uncertainty about future profits. We find that in industries dominated by small firms, an increase in uncertainty about future profits depresses investment; in all other industries, increased uncertainty has virtually no effect (or has a positive effect) on investment. The data set from which these findings emerge is a balanced panel, consisting of annual data from 1958 to 1991 for 252 manufacturing industries in the United States. The theoretical work on this topic points to uncertainty about future profit flows as one of the important actors that determines the ease with which firms can access external credit. The prediction made by the theory is that an increase in uncertainty exacerbates informational asymmetries, and hence makes lenders reduce the flow of credit; this in turn lowers investment in credit-constrained firms. If one is willing to accept firm size as a proxy for access to external credit, then our finding that greater uncertainty lowers investment in small-firm-dominated industries is consistent with the theoretical prediction. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/557/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700503&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/557/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Chunsheng AD - Unlisted T1 - Forecasting long- and short-horizon stock returns in a unified framework PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-4 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699713; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - If stock prices do not follow random walks, what processes do they follow? This question is important not only for forecasting purpose, but also for theoretical analyses and derivative pricing where a tractable model of the movement of underlying stock prices is needed. Although several models have been proposed to capture the predictability of stock returns, their empirical performances have not been evaluated. This paper evaluates some popular models using a Kalman Filter technique and finds that they have serious flaws. The paper then proposes an alternative parsimonious state-space model in which state variables characterize the stochastic movements of stock returns. Using equal-weighted CRSP monthly index, the paper shows that (1) this model fits the autocorrelations of returns well over both short and longer horizons and (2) although the forecasts obtained with the state-space model are based solely on past returns, they subsume the information in other potential predictor variables such as dividend yields. L3 - http://www.federalreserve.gov/pubs/feds/1996/199604/199604abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699713&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199604/199604abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AD - Unlisted T1 - Generalized spectral estimation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-37 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699734; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - This paper provides a framework for estimating parameters in a wide class of dynamic rational expectations models. The framework recognizes that RE models are often meant to match the data only in limited ways. In particular, interest may focus on a subset of frequencies. This paper designs a frequency domain version of GMM. The estimator has several advantages over traditional GMM. Aside from allowing band-restricted estimation, it does not require making arbitrary instrument or weighting matrix choices. The framework also includes least squares, maximum likelihood, and band restricted maximum likelihood as special cases. L3 - http://www.federalreserve.gov/pubs/feds/1996/199637/199637abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699734&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199637/199637abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Masson, Paul R. AU - McKibbin, Warwick J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - German unification: what have we learned from multi-country models? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 547 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700493; Keywords: Germany ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This study reports on early simulations of the effects of German unification using three different rational-expectations multi-country models. Despite significant differences in their structures and in the implementations of the unification shock, the models delivered a number of common results that proved to be a reasonably accurate guide to the direction and magnitude of the effects of unification on most key macroeconomic variables. In particular, unification was expected to give rise to an increase in German aggregate demand that would put upward pressure on output, inflation, and the exchange rate, and downward pressure on the current account balance in Germany. The model simulations also highlighted the contractionary effects of high German interest rates on other member countries of the Exchange Rate Mechanism of the European Monetary System. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/547/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700493&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/547/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eika, Kari H. AU - Ericsson, Neil R. AU - Nymoen, Ragnar AD - Unlisted AD - Unlisted AD - Unlisted T1 - Hazards in implementing a monetary conditions index PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 568 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700513; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Some recent studies have suggested constructing a Monetary Conditions Index (or MCI) to serve as an indicator of monetary policy stance. The central banks of Canada, Sweden, and Norway all construct an MCI and (to varying degrees) use it in conducting monetary policy. Empirically, an MCI is calculated as the weighted sum of changes in a short-term interest rate and the exchange rate relative to values in a baseline year. The weights aim to reflect these variables' effects on longer-term focuses of policy--economic activity and inflation. This paper derives analytical and empirical properties of MCIs in an attempt to ascertain their usefulness in monetary policy. ; An MCI assumes an underlying model relating economic activity and inflation to the variables in the MCI. Several issues arise for that model, including its empirical constancy, cointegration, exogeneity, dynamics, and potential omitted variables. Because of its structure, the model is unlikely to be constant or to have strongly exogenous variables; and we show that constancy and exogeneity are critical for the usefulness of an MCI. Empirical analyses of Canadian, Swedish, and Norwegian MCIs confirm such difficulties. Thus, the value of an MCI for conduct of economic policy is in doubt. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/568/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700513&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/568/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Leiderman, Leonardo AD - Unlisted AD - Unlisted T1 - High real interest rates in the aftermath of disinflation: is it a lack of credibility? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 543 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700489; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - High real interest rates have been observed in many countries for several months after the adoption of disinflation programs. While they may reflect primarily a liquidity crunch, high ex post real interest rates can also be explained in terms of an ex post error in inflation expectations that reflects a lack of credibility of the low-inflation policy. The latter hypothesis is tested using data for Argentina, Israel, and Mexico during the implementation of the stabilization programs in the mid-1980s. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/543/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700489&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/543/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted T1 - Household saving and portfolio change: evidence from the 1983-89 SCF panel PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-18 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699708; Keywords: Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - There are very few sources of high-quality data on the dynamics of wealth accumulation. This paper uses newly-available data from the 1983-89 panel of the Survey of Consumer Finances to examine household saving and portfolio change over the 1980s. The 1983 SCF collected detailed information on households' assets, liabilities, income and other characteristics for a sample of 4,103 families. In 1989, 1,479 of these families were re-interviewed using a similar questionnaire. After describing the sample and methodology of the panel survey, we analyze changes in household wealth over the 1983-89 period. We also investigate changes in the structure of households' assets and liabilities. L3 - http://www.federalreserve.gov/pubs/feds/1996/199618/199618abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699708&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199618/199618abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bryson, Jay H. AU - Chen, Chih-Huan AU - VanHoose, David D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Implications of economic interdependence and exchange rate policy on endogenous wage indexation decisions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 571 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700516; Keywords: Foreign exchange rates ; Indexation (Economics); Publication Type: Working Paper; Update Code: 200404 N2 - This paper shows how economic interdependence affects wage indexation decisions when monetary authorities do not observe stochastic disturbances. Under a managed exchange rate, atomistic wage setters in interdependent nations will choose the same degree of indexation as they would in a small open economy. Under a flexible exchange rate, the likelihood rises that they will choose a lower degree of indexation than their counterparts in a small open economy as the degree of interdependence rises, as the variance of money demand shocks rise relative to supply shocks, and as supply curves steepen. Finally, wage indexation choices are more likely to be strategic complements as the degree of interdependence rises and as the variance of money demand shocks rises relative to supply shocks. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/571/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700516&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/571/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - English, William B. AD - Unlisted T1 - Inflation and financial sector size PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-16 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699706; Keywords: Banks and banking - Customer services ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Traditionally, the cost of expected inflation has been seen as the "shoeleather cost" of going to the bank more often. This paper focuses on the other side of these transactions--i.e., on the increased production of financial services by financial firms. I construct a model in which households must make purchases either with cash or with costly transactions services produced by firms in the financial services sector. Higher inflation leads households to substitute purchased transactions services for money balances, increasing the size of the financial sector. A test of the model using cross-sectional data suggests that this effect is large. L3 - http://www.federalreserve.gov/pubs/feds/1996/199616/199616abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699706&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199616/199616abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Judson, Ruth AU - Orphanides, Athanasios AD - Unlisted AD - Unlisted T1 - Inflation, volatility and growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-19 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699709; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper re-examines the relationship between inflation, inflation volatility and growth using cross-country panel data for the past 30 years. With regard to the level of inflation, we find that in contrast to current findings which are based on cross-sectional time-average regression comparisons, exploiting the time dimension of the data reveals a strong negative correlation between inflation and income growth for all but very low inflation countries. To examine the role of inflation uncertainty on growth, we use intra-year inflation data to construct an annual measure of inflation volatility. Using this measure, we find that inflation volatility is also robustly negatively correlated with growth even after the effect of the level of inflation is controlled for. L3 - http://www.federalreserve.gov/pubs/feds/1996/199619/199619abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699709&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199619/199619abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane T. AD - Unlisted T1 - Inflation-adjusted potential output PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 561 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700507; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper estimates potential output for seven countries using a multivariate version of the Hodrick-Prescott filter in which observations on inflation are used to help separate trend from cyclical movements in output. The potential series are estimated first on an aggregate basis, and then by disaggregating output into three major components: labor productivity, the employment-population ratio, and population. Potential levels of productivity and the employment-population ratios are calculated using the multivariate filter and combined with actual population to derive an alternative, "disaggregated" estimate of potential. The method is then applied to forecasting potential growth. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/561/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700507&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/561/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Initial public offerings in hot and cold markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-34 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699731; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Asymmetric information models characterize hot IPO markets as periods when better quality firms have an incentive to issue equity, and cold markets when the lemons premium associated with equity is too high to draw in many issuers. Recent empirical evidence, however, suggests that firms that issue in hot markets are a major source of stock price underperformance of equity issuers. We investigate these opposing views with data on IPO firms that issued in 1983, a hot market, and 1988, a cold market. We find that the two sets of firms have similar operating performance, but stock returns are worse for firms that went public in the hot market. Our results are largely consistent with investor overoptimism in hot markets, but not with the asymmetric information models. L3 - http://www.federalreserve.gov/pubs/feds/1996/199634/199634abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699731&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199634/199634abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AU - Hassett, Kevin A. AD - Unlisted AD - Unlisted T1 - Investment and union certification PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-43 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699740; Keywords: Investments ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - A growing body of work--both theoretical and empirical--has emphasized that unionization may be better understood as a tax on capital rather than a tax on labor. Under this "new" view, unionization unambiguously lowers investment. Using data on union certification elections, we estimate the impact of unionization on firms' investment behavior. Employing both a standard q-model and an "investment surprises" technique, we find that union certification significantly reduces investment. We find that a winning certification election has, on average, about the same effect on investment as would a 30 percentage point increase in the corporate tax. L3 - http://www.federalreserve.gov/pubs/feds/1996/199643/199643abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699740&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199643/199643abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clerides, Sofronis AU - Lach, Saul AU - Tybout, James AD - Unlisted AD - Unlisted AD - Unlisted T1 - Is 'learning-by-exporting' important? Micro-dynamic evidence from Colombia, Mexico and Morocco PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-30 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699727; Keywords: Colombia ; Exports ; Morocco ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - Is there any empirical evidence that firms become more efficient after becoming exporters? Do firms that become exporters generate positive spillovers for domestically-oriented producers in their industry or region? In this paper we analyze the causal links between exporting and productivity using firm-level panel data from three semi-industrialized economies. Representing export market participation and production costs as jointly dependent autoregressive processes, we look for evidence that firms' stochastic cost process shifts when they break into foreign markets. We find that relatively more efficient firms become exporters, and that their costs are not affected by previous export market participation. This implies that self-selection of the more efficient firms into the export market, and not earning-by-exporting, explains the efficiency gap between exporter and non-exporters previously documented in the literature. Further, we find some evidence that exporters reduce the costs of breaking into foreign markets for domestically oriented producers, but do not appear to help these producers become more efficient. L3 - http://www.federalreserve.gov/pubs/feds/1996/199630/199630abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699727&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199630/199630abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baily, Martin N. AU - Bartelsman, Eric J. AU - Haltiwanger, John AD - Unlisted AD - Unlisted AD - Unlisted T1 - Labor productivity: structural change and cyclical dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-10 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699700; Keywords: Labor productivity; Publication Type: Working Paper; Update Code: 200404 N2 - A longstanding puzzle of empirical economics is that average labor productivity declines during recessions and increases during booms. This paper provides a framework to assess the empirical importance of competing hypotheses for explaining the observed procyclicality. For each competing hypothesis we derive the implications for cyclical productivity conditional on expectations of future demand and supply conditions. The novelty of the paper is that we exploit the tremendous heterogeneity in long-run structural changes across individual plants to identify the short-run sources of procyclical productivity. Our findings favor an adjustment cost model which involves a productivity penalty for downsizing as the largest source of procyclical labor productivity. L3 - http://www.federalreserve.gov/pubs/feds/1996/199610/199610abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699700&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199610/199610abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wieland, Volker AD - Unlisted T1 - Learning by doing and the value of optimal experimentation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-5 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699714; Keywords: Employees, Training of; Publication Type: Working Paper; Update Code: 200404 N2 - Research on learning-by-doing has typically been restricted to cases where estimation and control can be treated separately. Recent work has provided convergence results for more general learning problems where experimentation is an important aspect of optimal control. However the associated optimal policy cannot be derived analytically because Bayesian learning introduces a nonlinearity in the dynamic programming problem. This paper characterizes the optimal policy numerically and shows that it incorporates a substantial degree of experimentation. Dynamic simulations indicate that optimal experimentation dramatically improves the speed of learning, while separating control and estimation frequently induces a long-lasting bias in the control and target variables. L3 - http://www.federalreserve.gov/pubs/feds/1996/199605/199605abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699714&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199605/199605abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Long memory in inflation expectations: evidence from international expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 538 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700484; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This study provides evidence that 10-year-ahead inflation expectations adapt very slowly to changes in realized inflation. This evidence derives primarily from yields on 10-year government bonds in a sample of OECD countries, including inflation-indexed bonds where they are available. The study examines both the cross-country and time-series behavior of interest rates and inflation rates. For the United States, additional evidence is provided from a survey of 10-year inflation expectations held by market participants. This study does not present a theoretical model of expectations formation. However, long memory of the type documented in this study would be implied by a model of multiple inflationary regimes in which agents base their probability distributions of future regimes on past inflationary experience. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/538/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700484&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/538/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AU - Giorgianni, Lorenzo AD - Unlisted AD - Unlisted T1 - Long-horizon exchange rate predictability? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-39 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699736; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 N2 - Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. We show that such a procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates and diagnostic statistics suggest a high degree of predictability of the dependent variable. We apply a simple modification of the long-horizon regression due to Jegadeesh (1991), which may provide more accurate inferences for researchers interested in comparing short and long-run predictability of U.S. dollar exchange rates. L3 - http://www.federalreserve.gov/pubs/feds/1996/199639/199639abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699736&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199639/199639abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Long-term evidence on the Tobin and Fisher effects: a new approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 566 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700511; Keywords: Inflation (Finance) ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - Using a new approach, we reexamine the empirical evidence on the long-term interactions between inflation and real variables. We find, using over 100 years of U.S. data, that in the long run the effect of inflation on investment and output is positive (a "Tobin type effect") and the investment rate, and hence the real interest rate, are not independent of inflation. However, over the full sample at least, the variability of the innovations to the stochastic inflation trend is small relative to the variability of the innovations to the productivity and fiscal trends. We conclude that models generating a reverse-Tobin effect, including standard real-business-cycle and endogenous growth models that incorporate money, may not be the best models for understanding the long-term real effects of inflation. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/566/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700511&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/566/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AD - Unlisted T1 - Macroeconomic state variables as determinants of asset price covariances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 553 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700499; Keywords: Asset-liability management; Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores the possible advantages of introducing observable state variables into risk management models as a strategy for modeling the evolution of second moments. A simulation exercise demonstrates that if asset returns depend upon a set of underlying state variables that are autoregressively conditionally heteroskedastic (ARCH), then a risk management model that fails to take account of this dependence can badly mismeasure a portfolio's "Value-at-Risk" (VaR), even if the model allows for conditional heteroskedasticity in asset returns. Variables measuring macroeconomic news are constructed as the orthogonalized residuals from a vector autoregression (VAR). These news variables are found to have some explanatory power for asset returns. We also estimate a model of asset returns in which time variation in variances and covariances derives only from conditional heteroskedasticity in the underlying macroeconomic shocks. Although the data give some support for several of the specifications that we tried, neither these models nor GARCH models that used only asset returns appear to have much ability to forecast the second moments of returns. Finally, we allow asset return variances and covariances to depend directly on unemployment rates--proxying for the general state of the economy--and find fairly strong evidence for this sort of specification relative to a null hypothesis of homoskedasticity. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/553/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700499&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/553/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello AD - Unlisted T1 - Measurement error and time aggregation: a closer look at estimates of output-labor elasticities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-2 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699710; Keywords: Labor productivity; Publication Type: Working Paper; Update Code: 200404 N2 - This paper analyzes the effect of time aggregation on estimates of the elasticities of output with respect to employment and to average hours of work. The main goal is to get accurate estimates of production function parameters. Low frequency data generate better estimates of output-employment elasticity while high frequency data generate better estimates of output-average hours elasticity. This result comes from the fact that time aggregation increases (decreases) the bias in the estimate of the elasticity with respect to average hours (employment). Estimations of these elasticities at different data frequencies and numerical simulations illustrate this point. In addition, this estimation methodology shows that the elasticity of output with respect to employment is bigger than the elasticity of output with respect to average hours, as theory predicts, contradicting an established result in the literature. L3 - http://www.federalreserve.gov/pubs/feds/1996/199602/199602abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699710&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199602/199602abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calvo, Guillermo A. AU - Mendoza, Enrique G. AD - Unlisted AD - Unlisted T1 - Mexico's balance-of-payments crisis: a chronicle of death foretold PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 545 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700491; Keywords: Balance of payments ; Mexico ; Financial crises - Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - This paper claims that the roots of Mexico's balance-of-payments crisis are found in the prevailing high degree of capital mobility and financial globalization. Under these circumstances, shifts in foreign capital flows and anticipation of a banking-system bailout may produce large imbalances between stocks of financial assets and foreign reserves, threatening the sustainability of currency pegs. Econometric analysis suggests that 1/2 of Mexico's reserve losses could be accounted for by these phenomena. Large financial imbalances are also fertile ground for self-fulfilling-prophesy crises which lead devaluations to produce deep recessions. These difficulties can be partly remedied by appropriate policies. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/545/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700491&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/545/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Wascher, William L. AD - Unlisted AD - Unlisted T1 - Minimum wage effects on employment and school enrollment: reply to Evans and Turner PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-28 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699725; Keywords: Education ; Minimum wage; Publication Type: Working Paper; Update Code: 200404 N2 - In earlier work, we presented results suggesting that minimum wage increases have important consequences for both the employment opportunities of youths and their decision to enroll in school. In this paper, we show that the recent claim made by William Evans and Mark Turner that our results are sensitive to changes in the definition of the enrollment rate is based upon an analysis that uses a mismeasured minimum wage index. When the data are constructed properly, our original conclusions are not affected by changes in the enrollment definition. L3 - http://www.federalreserve.gov/pubs/feds/1996/199628/199628abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699725&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199628/199628abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Monetary policy in the end-game to exchange-rate based stabilizations: the case of Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 540 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700486; Keywords: Mexico ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - Exchange-rate based stabilizations, while useful in accelerating the disinflation process, typically lead to overvalued exchange rates and large current account deficits. These factors, in turn, make it difficult to sustain exchange rate pegs, placing heaving demands upon monetary policy to sustain exchange-rate based programs in their later phases. This paper evaluates the extent to which Mexican monetary policy in 1994 may have loosened, or not tightened sufficiently, in the lead up to the devaluation of the peso that December. Using econometric models of the demand for money, we find evidence that the high growth of the monetary base in 1994 reflected strong positive shocks to the demand for money, not to its supply. Next, we estimate a monetary policy reaction function for Mexico. Based on this estimate, we argue that interest rates rose only moderately less in 1994, in response to downward pressure on the peso and on international reserves, than was predicted by the authorities' reaction function. This result is qualified somewhat by our finding that if interest rates are modeled as reacting to reserves net of Tesobonos, rather than gross reserves, the measured deviation of actual from predicted interest rates would have been much greater. However, the relative complacency with which both the authorities and the market viewed the build-up in Tesobonos, at least until late in 1994, suggests that the reaction function based on net reserves probably does not capture "normal" monetary policy behavior. Our findings suggest that in order to have maintained the peg, the authorities would have needed to intensify their response to exchange market developments--that is, to alter their reaction function--at a time when concerns over the health of the banking sector, and of the economy more generally, would have pointed to a relaxation of monetary policy. Insofar as such tightenings of monetary reaction functions are difficult to achieve, Mexico's experience suggests that policymakers relying on the exchange rate as a nominal anchor probably should be prepared either to abandon that anchor or tighten monetary policy well before speculative pressures intensify. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/540/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700486&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/540/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Irons, John AD - Unlisted AD - Unlisted T1 - Money, politics and the post-war business cycle PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 572 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700517; Keywords: Business cycles ; Monetary policy ; Money; Publication Type: Working Paper; Update Code: 200404 N2 - While macroeconometricians continue to dispute the size, timing, and even the existence of effects of monetary policy, political economists often find large effects of political variables and often attribute the effects to manipulation of the Fed. Since the political econometricians often use smaller information sets and less elaborate approaches to identification than do macroeconometricians, their striking results could be the result of simultaneity and omitted variable biases. Alternatively, political whims may provide the instrument for exogenous policy changes that has been the Grail of the policy identification literature. In this paper, we lay out and apply a framework for distinguishing these possibilities. We find almost no support for the hypothesis that political effects on the macroeconomy operate through monetary policy and only weak evidence that political effects are significant at all. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/572/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700517&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/572/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - More evidence on the link between bank health and investment in Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 549 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700495; Keywords: Japan ; Bank investments; Publication Type: Working Paper; Update Code: 200404 N2 - Among stock-market-listed Japanese firms in 1994-95, the financial health of the firm's main bank did not significantly affect its investment behavior, after controlling for stock market valuation and cash flow. However, among the subset of bank-dependent firms, investment was lower by over 50 percent at firms that have one of the lowest-rated banks as their main bank. Because low-rated banks are smaller and deal with fewer firms, and because bank-dependent firms themselves tend to be smaller than non-bank-dependent firms, the aggregate effect on business investment in 1994-95 that I identify is tiny. These results contrast with Gibson (1995), a similar study which, using data for 1991-92, found a small effect of poor bank health on investment for all stock-market-listed Japanese firms and no difference between bank-dependent and non-bank-dependent firms. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/549/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700495&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/549/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Greenspan, Alan AU - Cohen, Darrel AD - Unlisted AD - Unlisted T1 - Motor vehicle stocks, scrappage, and sales PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-40 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699737; Keywords: Automobile industry and trade ; Stocks; Publication Type: Working Paper; Update Code: 200404 N2 - This paper offers a new framework for analyzing aggregate sales of new motor vehicles that incorporates separate models for the change in the vehicle stock and for the rate of vehicle scrappage. Because this approach requires only a minimal set of assumptions about demographic trends, the state of the economy, consumer "preferences," new vehicle prices and repair costs, and vehicle retirements, it is shown to be especially useful as a macroeconomic forecasting tool. In addition, a new historical annual time series estimate of motor vehicle stocks in the United States is presented. L3 - http://www.federalreserve.gov/pubs/feds/1996/199640/199640abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699737&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199640/199640abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kozicki, Sharon AU - Tinsley, P. A. AD - Unlisted AD - Unlisted T1 - Moving endpoints and the internal consistency of agents' ex ante forecasts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-47 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699743; Keywords: Forecasting ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run "endpoints"---fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of "moving endpoint" time series models provide substantially improved tracking of the historical term structure and generally support the internal consistency of the ex ante long-run expectations of bond traders and survey respondents. L3 - http://www.federalreserve.gov/pubs/feds/1996/199647/199647abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699743&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199647/199647abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Net foreign assets and equilibrium exchange rates: panel evidence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 574 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700519; Keywords: Foreign exchange rates ; Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 N2 - By exploiting the information in a panel data set, this paper is able to construct more powerful tests of various hypotheses on the determinants of real exchange rates than would be possible with single-country time-series data. Focusing on annual data for 20 industrial countries from 1973 through 1995, there are three major results. First, the evidence for a stationary real exchange rate is stronger when the exchange rate is defined in terms of wholesale prices than consumer prices, presumably because of the greater tradability of wholesale commodities. Second, the half-life of shocks to the real exchange rate is between two and three years. Third, there is a significant and robust relationship between real exchange rates and net foreign assets. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/574/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700519&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/574/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lamb, Russell L. AD - Unlisted T1 - Off-farm labor supply and fertilizer use PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1996-49 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699746; Keywords: Agricultural laborers ; Agricultural productivity; Publication Type: Working Paper; Update Code: 200404 N2 - I develop a two-period stochastic dynamic programming model to explain the interaction between fertilizer use and off-farm labor supply. Using a well-known sample of Indian farmers, I find that fertilizer use responds strongly to the village wage and that irrigation raises fertilizer use, while larger farmers use less fertilizer (per acre) than smaller ones. Response to one-sided production shocks, is stronger for female labor, indicating that it is more important for smoothing consumption than male labor. L3 - http://www.federalreserve.gov/pubs/feds/1996/199649/199649abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699746&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199649/199649abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AU - Haliassos, Michael AD - Unlisted AD - Unlisted T1 - Precautionary portfolio behavior from a life-cycle perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 542 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700488; Keywords: Consumer behavior ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - The literature on asset accumulation by households draws a sharp distinction between "short-run" precautionary motives to buffer annual consumption from annual labor income shocks, and "long-run" life cycle considerations under labor income certainty. However, empirical estimates of the persistence of shocks to annual incomes imply that households are subject to considerable career uncertainty. We study long-run precautionary motives for life-cycle wealth accumulation and portfolio choice. We compute optimal portfolios under three sources of uncertainty (stock returns, incomes, and lifespan), and explore the separate contributions of several key factors for mean and median asset holdings, including education, risk aversion, household heterogeneity, utility from bequests, time preference, and variance and serial correlation of income shocks. Numerical solutions for households in three education groups are compared with data from the most recent and comprehensive source, the 1992 Survey of Consumer Finances. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/542/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700488&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/542/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Real exchange rates and inflation in exchange-rate based stabilizations: an empirical examination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 554 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700500; Keywords: Foreign exchange rates ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Considerable research has focused on explaining why currencies appreciate in real terms after the nominal exchange rate is stabilized, but this research generally has taken a theoretical approach, and rarely has tested its hypotheses empirically. In this paper I estimate a simple error-correction model for Mexico, based on the Salter-Swan framework, in which inflation is determined by (1) the gap between the actual real exchange rate and the exchange rate that clears the market for non-traded goods, and (2) persistence effects of past inflation. Using this model, I decompose the excess of Mexican inflation in 1988-94 over peso-adjusted international inflation rates--that is, the real appreciation of the peso--into that part attributable to the initial undervaluation of the peso, that part explained by the subsequent expansion of domestic demand, and that part attributable to inertial inflation. The results indicate that the effects of inertial inflation in appreciating the real exchange rate were quite temporary, lasting only about a year after the stabilization of the peso in 1988. Of the real appreciation that took place between 1988 and 1994, about half was attributable to the expansion of domestic demand-which appreciated the equilibrium real exchange rate in the non-tradeables sector--and about half reflected the correction of the initial undervaluation of the real exchange rate relative to its equilibrium level in the non-tradeables sector. Finally, the paper uses the model to illustrate the impact of various prospective exchange rate policies on inflation and the real exchange rate in Mexico. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/554/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700500&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/554/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkowitz, Jeremy AU - Kilian, Lutz AD - Unlisted AD - Unlisted T1 - Recent developments in bootstrapping time series PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-45 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699742; Keywords: Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - In recent years, several new parametric and nonparametric bootstrap methods have been proposed for time series data. Which of these methods should applied researchers use? We provide evidence that for many applications in time series econometrics parametric methods are more accurate, and we identify directions for future research on improving nonparametric methods. We explicitly address the important, but often neglected issue of model selection in bootstrapping. In particular, we emphasize the advantages of the AIC over other lag order selection criteria and the need to account for lag order uncertainty in resampling. We also show that the block size plays an important role in determining the success of the block bootstrap, and we propose a data-based block size selection procedure. L3 - http://www.federalreserve.gov/pubs/feds/1996/199645/199645abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699742&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199645/199645abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huh, Chan AD - Unlisted T1 - Regime switching in the dynamic relationship between the federal funds rate and innovations in nonborrowed reserves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 536 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700482; Keywords: Bank reserves ; Federal funds market (United States); Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the dynamic relationship between changes in the funds rate and nonborrowed reserves within a reduced form framework that allows the relationship to have two distinct patterns over time. A regime switching model a la Hamilton (1989) is estimated. On average, CPI inflation has been significantly higher in the regime characterized by large and volatile changes in funds rate. Innovations in money growth are associated with a strong anticipated inflation effect in this high inflation regime, and a moderate liquidity effect in the low inflation regime. Furthermore, an identical money innovation generates a much bigger increase in the interest rate during a transition period from the low to high inflation regime than during a steady high inflation period. This accords well with economic intuition since the transition period is when the anticipated inflation effect initially gets incorporated into the interest rate. The converse also holds. That is, the liquidity effect becomes stronger when the economy leaves a high inflation regime period and enters a low inflation regime period. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/536/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700482&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/536/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Regional patterns in the law of one price: the roles of geography vs. currencies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 533 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700479; Keywords: Money ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - We find evidence that the law of one price (LOOP) holds more nearly for country pairs that are within geographic regions than for country pairs that are not. These findings are established using consumer price data from 23 countries (including data from eight North American cities.) We find that failures of LOOP are closely related to nominal exchange rate variability, suggesting a link to sticky nominal prices. We also find that distance can explain failures of LOOP, suggesting the failures arise from imperfect market integration. However, these two sources do not explain all of the failures of LOOP. We speculate that integrated marketing and distribution systems within regions cause LOOP to hold more nearly intraregionally. We present a formal model of marketing and distribution to illustrate this hypothesis. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/533/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700479&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/533/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Gibson, Michael S. AD - Unlisted AD - Unlisted T1 - Regulation and the cost of capital in Japan: a case study PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 556 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700502; Keywords: Capital ; Japan; Publication Type: Working Paper; Update Code: 200404 N2 - Over the last several years, a combination of loan losses and regulatory barriers to equity issuance have left Japanese banks starved for capital. In September 1995, the Mitsubishi Bank was permitted to issue a complicated convertible security in a foreign market. The results of simulations of the price path of the underlying equity imply that Mitsubishi Bank's annualized risk-adjusted cost of capital through this instrument was between 80 and 310 basis points higher than if the bank had instead been able to issue common stock at its current price. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/556/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700502&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/556/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - White, A. Patricia AD - Unlisted AD - Unlisted T1 - Regulatory competition and the efficiency of alternative derivative product margining systems PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-11 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699701; Keywords: Derivative securities; Publication Type: Working Paper; Update Code: 200404 N2 - Although margin requirements would arise naturally in the context of unregulated trading of clearinghouse-guaranteed derivative contracts, the margin requirements on U.S. exchange-traded derivative products are subject to government regulatory oversight. At present, two alternative methodologies are used for margining exchange-traded derivative contracts. Customer positions in securities and securities options are margined using a strategy-based approach. Futures, futures-options, and securities-option clearinghouse margins are set using a portfolio margining system. This study evaluates the relative efficiency of these alternative margining techniques using data on S&P500 futures-option contracts traded on the Chicago Mercantile Exchange. The results indicate that the portfolio margining approach is a much more efficient system for collateralizing the one-day risk exposures of equity derivative portfolios. Given the overwhelming efficiency advantage of the portfolio approach, the simultaneous existence of these alternative margining methods is somewhat puzzling. It is argued that the co-existence of these systems can in part be explained in the context of Kane's (1984) model of regulatory competition. The efficiency comparison also provides insight into other industry and regulatory issues including the design of bilateral collateralization agreements and the efficiency of alternative schemes that have been proposed for setting regulatory capital requirements for market risk in banks and other financial institutions L3 - http://www.federalreserve.gov/pubs/feds/1996/199611/199611abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699701&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199611/199611abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John G. AD - Unlisted AD - Unlisted T1 - Returns to scale in U.S. production: estimates and implications PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 546 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700492; Keywords: Business cycles ; Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 N2 - A typical (roughly) two-digit industry in the United States appears to have constant or slightly decreasing returns to scale. Three puzzles emerge, however. First, estimates tend to rise at higher levels of aggregation. Second, estimates of decreasing returns in many industries contradict evidence of only small economic profits. Third, estimates using value added differ substantially from those using gross output, and appear less robust. These puzzles are inconsistent with a representative firm paradigm, but are consistent with simple stories of aggregation over heterogeneous units. We discuss implications of this heterogeneity for recent models of imperfect competition in macroeconomics. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/546/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700492&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/546/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Starr-McCluer, Martha AU - Sunden, Annika E. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Saving and financial planning: some findings from a focus group PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-1 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699699; Keywords: Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - This paper summarizes the results of a focus group on saving and financial planning. The group consisted of eight individuals with relatively high income and wealth. The savings behavior of such people is of interest partly due to their large contribution to total personal saving. The participants expressed concerns about how their circumstances will change as they age, and about uncertainties in income and health. While these concerns are consistent with theories emphasizing life-cycle and precautionary motives, the idea that saving involves self-control was also mentioned repeatedly. L3 - http://www.federalreserve.gov/pubs/feds/1996/199601/199601abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699699&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199601/199601abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Board, Raymond AU - Tinsley, P. A. AD - Unlisted AD - Unlisted T1 - Smart systems and simple agents: industry pricing by parallel rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1996-50 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699747; Keywords: Prices; Publication Type: Working Paper; Update Code: 200404 N2 - A standard macroeconomic specification is that the aggregate economy is directed by a single, smart representative agent using optimal decision rules. This paper explores an alternative conjecture--that the dynamic behavior of markets is often better interpreted as the interactions of many heterogeneous, rule-of-thumb agents who are loosely coupled in smart systems--much like the contrast of a single serial processor with global information versus parallel processors with limited communications. The illustration used in this paper is the contrast between a conventional macro model of sluggish adjustments in an aggregate producer price index and a model of delayed industry price adjustments in a distributed production system under costly inter-firm communications. L3 - http://www.federalreserve.gov/pubs/feds/1996/199650/199650abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699747&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199650/199650abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leusner, John AU - Akhavein, Jalal D. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Solving an empirical puzzle in the capital asset pricing model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-14 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699704; Keywords: Capital assets pricing model; Publication Type: Working Paper; Update Code: 200404 N2 - A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. This paper presents a new approach to estimating the CAPM, taking into account the differences between observable and expected returns for risky assets and for the market portfolio of all traded assets, as well as inherent nonlinearities and the effects of excluded variables. Using this approach, we provide evidence that the relation between the observable returns on stock and market portfolios is nonlinear. L3 - http://www.federalreserve.gov/pubs/feds/1996/199614/199614abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699704&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199614/199614abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Huh, Chan AD - Unlisted T1 - Some evidence on the efficacy of the UK inflation targeting regime: an out-of-sample forecast approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 565 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700510; Keywords: Great Britain ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - Inflation targeting (IT)--a policy framework that directly targets an explicit inflation goal--has gained widespread attention recently as it has been adopted by several OECD countries. There is a growing body of literature on the ultimate long-term benefits of price stability and on theoretical issues related to inflation targeting. But the short duration of this practice has limited the number of works that empirically analyze the performance of IT regimes. This paper examines the British inflation targeting experience since 1993 by focusing on the out-of-sample forecast performance of models fitted to the 1980s. The model over-predicts actual short-term and long-term interest rates, while its inflation forecast is on tract for the recent period. This implies that it took less monetary tightening to obtain a favorable inflation outcome. Identical exercises were repeated for France and the US, countries that have not adopted IT but have experienced low inflation in the recent period. The results for these countries show that recent low inflation has not been unusual when compared to forecasts from the models designed to fit the second half of the 1980s. That is, given the level of inflation, the degree of actual monetary policy tightness (measured in terms of short-term interest rate) is about what the model expects. Findings of this paper could be explained by enhanced credibility of the UK monetary policy since the adoption of IT. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/565/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700510&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/565/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Zhou, Chunsheng AD - Unlisted T1 - Stock market fluctuations and the term structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-3 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699712; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses the term structure of interest rates to explain the variations of stock prices and stock returns. It shows that interest rates have an important impact on stock returns, especially at long horizons. The hypothesis that expected stock returns move one-for-one with ex ante interest rates, which has been rejected strongly in other studies using short horizon data, is supported by long horizon data. The paper proposes, for the first time, a single measure---the present value of forward interest rates---to summarize the information of the term structure that is useful in characterizing the comovements of the equity market and the bond market, and finds that such a single measure explains a significant part of variation in dividend-price ratios. The paper also suggests that the high volatility of the stock market is related to the high volatility of long-term bond yields and may be accounted for by changing forecasts of discount rates. The findings of this paper are quite different from the typical findings of the previous work and may provide a reasonable economic explanation for the predictability of long-horizon stock returns. L3 - http://www.federalreserve.gov/pubs/feds/1996/199603/199603abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699712&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199603/199603abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bertaut, Carol C. AD - Unlisted T1 - Stockholding behavior of U.S. households: evidence from the 1983-89 Survey of Consumer Finances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 558 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700504; Keywords: Consumer behavior ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 N2 - Most households persistently invest in riskless assets but not stocks, and may do so because they perceive the information required for market participation to be costly relative to expected benefits. In a CCAPM, increased risk aversion, income risk, and lower resources reduce the information expense sufficient to deter stockholding. Bivariate probit analysis using the 1983-89 Survey of Consumer Finances shows that households with lower risk aversion, higher education, and greater wealth who were nonstockholders in 1983 had an increased conditional probability of entering by 1989, while 1983 stockholders with lower resources, more limited education, and greater risk aversion were more likely to be nonstockholders by 1989. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/558/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700504&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/558/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Malley, Michael P. AD - Unlisted T1 - Tax exhaustion, firm investment, and leasing; a test of the Q model of investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-31 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699728; Keywords: Investments ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - Standard models of investment usually incorporate various tax factors but often overlook "tax exhaustion," the case when a firm has negative taxable income and cannot claim immediately its tax deductions or credits. However, tax exhausted firms face a higher cost of capital, and evidence shows that tax exhaustion is not uncommon. This paper incorporates tax exhaustion into a "Q" model of investment to see whether its performance is improved. In addition, leased investment is fully incorporated into the model, in part because tax exhaustion creates incentives to lease investment products and because investment models explain decisions to use equipment, not the decision about how to finance them. The results show that accounting for leasing improves significantly the performance of the Q model, whereas accounting for tax exhaustion does not affect the results meaningfully. L3 - http://www.federalreserve.gov/pubs/feds/1996/199631/199631abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699728&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199631/199631abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elmendorf, Douglas W. AU - Kimball, Miles S. AD - Unlisted AD - Unlisted T1 - Taxation of labor income and the demand for risky assets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-32 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699729; Keywords: Saving and investment ; Taxation; Publication Type: Working Paper; Update Code: 200404 N2 - It is well known that the implicit insurance provided by labor income taxes can reduce total saving. We show that this insurance can change the composition of saving as well, because the reduction in labor-income risk may affect the amount of financial risk that an individual chooses to bear. Given plausible restrictions on preferences, any change in taxes that reduces an individual's labor-income risk and does not make her worse off will lead her to invest more in risky assets. This effect can be quantitatively important for realistic changes in tax rates. L3 - http://www.federalreserve.gov/pubs/feds/1996/199632/199632abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699729&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199632/199632abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AU - Owen, Ann L. AD - Unlisted AD - Unlisted T1 - The accumulation of human capital: alternative methods and why they matter PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 551 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700496; Keywords: Human capital; Publication Type: Working Paper; Update Code: 200404 N2 - We show how the ability to accumulate human capital through formal education and through a learning-by-doing process that occurs on the job affects the dynamic behavior of the human capital stock under a liquidity-constrained and a non-constrained case. When there are alternatives to formal schooling in the accumulation of human capital, investing resources in increasing school enrollment rates in low-income countries may not be the most efficient means of increasing the human capital stock. In addition, removal of liquidity constraints may not be sufficient to escape a development trap. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/551/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700496&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/551/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AU - Mehran, Hamid AD - Unlisted AD - Unlisted T1 - The effect of changes in ownership structure on performance: evidence from the thrift industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-6 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699715; Keywords: Stocks ; Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 N2 - Restrictions on the ownership structure of a public company may harm the company's performance by preventing owners from choosing the best structure. We examine the stock-price performance and ownership structure, before and after the expiration of anti-takeover regulations, of a sample of thrift institutions that converted from mutual to stock ownership. We find that after the anti-takeover provisions expire, firm performance improves significantly, and the portions of the firm owned by managers, noninstitutional outside blockholders, and the firm's employee stock ownership plan increase. Changes in performance are positively associated with changes in ownership by managers and by noninstitutional outside blockholders but negatively associated with changes in ownership by employee stock ownership plans. L3 - http://www.federalreserve.gov/pubs/feds/1996/199606/199606abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699715&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199606/199606abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elmendorf, Douglas W. AD - Unlisted T1 - The effect of interest-rate changes on household saving and consumption: a survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-27 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699724; Keywords: Consumption (Economics) ; Consumer behavior ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - Direct estimates of the interest elasticity of saving suffer from several serious problems. As an alternative, this survey uses an indirect approach that combines models of individual behavior with estimates of certain features of individuals' preferences. The paper examines the effect of interest-rate changes on the consumption and saving of people who follow the lifecycle model, who plan to leave bequests, who save to reach a fixed target, and who have short planning horizons. The models that likely describe the behavior of the people who account for most of aggregate saving imply positive interest elasticities of saving. L3 - http://www.federalreserve.gov/pubs/feds/1996/199627/199627abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699724&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199627/199627abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elmendorf, Douglas W. AD - Unlisted T1 - The effects of deficit-reduction laws on real interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-44 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699741; Keywords: Budget deficits ; Expenditures, Public ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper uses news reports about two deficit-reduction laws of the past decade to identify days when expected fiscal policy clearly became more or less expansionary. The paper also proposes a technique for identifying whether the real interest rate increased or decreased on those days, based on changes in the nominal interest rate, the exchange rate, commodity prices, and stock prices. As economic theory predicts, higher expected government spending and budget deficits raised real interest rates and the value of the dollar, while lower expected spending and deficits reduced real rates and the value of the dollar. L3 - http://www.federalreserve.gov/pubs/feds/1996/199644/199644abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699741&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199644/199644abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fleischman, Charles A. AD - Unlisted T1 - The endogeneity of employment adjustment costs: the tradeoff between efficiency and flexibility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1996-48 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699745; Keywords: Employment (Economic theory) ; Labor productivity; Publication Type: Working Paper; Update Code: 200404 N2 - This paper models a firm's choice of employment adjustment costs as one component of its choice of production process. In making a one-time choice of production process, firms tradeoff increased flexibility--the reduced cost of changing levels of production--against the diminished efficiency of producing a given level of output. The model predicts that firms facing greater volatility in expected employment choose production processes that entail relatively low costs of adjusting employment. Using estimates of adjustment costs and employment volatility for four-digit manufacturing industries, the paper finds empirical support for the model: Among four-digit industries facing similar choices of production process, those with more volatile employment tend to have lower costs of adjusting employment. Moreover, the paper finds that interindustry heterogeneity in the amplitude of deterministic seasonal fluctuations in employment is more important than the variance of stochastic employment fluctuations in explaining the choice of adjustment costs. L3 - http://www.federalreserve.gov/pubs/feds/1996/199648/199648abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699745&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199648/199648abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calem, Paul S. AU - Rob, Rafael AD - Unlisted AD - Unlisted T1 - The impact of capital-based regulation on bank risk-taking: a dynamic model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-12 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699702; Keywords: Bank capital ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - In this paper, we model the dynamic portfolio choice problem facing banks, calibrate the model using empirical data from the banking industry for 1984-1993, and assess quantitatively the impact of recent regulatory developments related to bank capital. The model suggests that two aspects of the new regulatory environment may have unintended effects: higher capital requirements may lead to increased portfolio risk, and capital-based premia do not deter risk-taking by well-capitalized banks. On the other hand, risk-based capital standards may have favorable effects provided the requirements are stringent enough. L3 - http://www.federalreserve.gov/pubs/feds/1996/199612/199612abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699702&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199612/199612abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kiley, Michael T. AD - Unlisted T1 - The lead of output over inflation in sticky price models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-33 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699730; Keywords: Inflation (Finance) ; Productivity ; Prices; Publication Type: Working Paper; Update Code: 200404 N2 - Output growth is negatively correlated with inflation, and detrended output is positively correlated with inflation, in the major North American and European economies. In addition, output growth and detrended output lead inflation. I explore the consistency of these correlations with three models of price adjustment: the partial adjustment model, a staggered price setting model, and the P-bar model. The ratio of the variance of supply to demand shocks necessary to match the pattern of output-inflation correlations can be ranked across the three models; the P-Bar model requires the lowest ratio, and the partial adjustment model requires the highest ratio. These results reveal that the recent burst of researchers using the partial adjustment model will find a larger role for supply shocks than alternative models of price rigidity. L3 - http://www.federalreserve.gov/pubs/feds/1996/199633/199633abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699730&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199633/199633abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AU - Palmer, David E. AD - Unlisted AD - Unlisted T1 - The management of financial risks at German nonfinancial firms: the case of Metallgesellschaft PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 560 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700506; Keywords: Germany ; Risk; Publication Type: Working Paper; Update Code: 200404 N2 - In late 1993 and early 1994, the wholly-owned U.S. subsidiary of a German conglomerate experienced substantial losses in connection with the implementation of a petroleum marketing strategy, triggering an emergency recapitalization of the German parent company. The rescue was overseen by the firm's supervisory board, which was chaired by a member of the senior management of the largest German bank. This paper draws on a special auditor's report that examined the near-bankruptcy of the firm, as well as other sources. We develop a case study which finds that the German bank was not well informed as to the formulation and execution of the client firm's risk management strategy that was to be implemented through the large-scale use of financial derivatives. The analysis in the paper raises questions as to whether private information is transmitted efficiently within the bank-based German system of corporate governance. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/560/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700506&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/560/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Wilcox, David W. AD - Unlisted AD - Unlisted T1 - The opportunistic approach to disinflation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-24 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699722; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 N2 - This paper explores the theoretical foundations of a new approach to monetary policy. Proponents of this approach hold that when inflation is moderate but still above the long-run objective, the Fed should not take deliberate anti-inflation action, but rather should wait for external circumstances-such as favorable supply shocks and unforeseen recessions-to deliver the desired reduction in inflation. While waiting for such circumstances to arise, the Fed should aggressively resist incipient increases in inflation. This strategy has come to be known as "the opportunistic approach to disinflation." We deduce policymaker preferences that rationalize the opportunistic approach as the optimal strategy for disinflation in the context of a model that is standard in other respects. The policymaker who is endowed with these preferences tends to focus on stabilizing output when inflation is low, but on fighting inflation when inflation is high. We contrast the opportunistic approach to a more conventional strategy derived from strictly quadratic preferences. L3 - http://www.federalreserve.gov/pubs/feds/1996/199624/199624abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699722&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199624/199624abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - The reaction of exchange rates and interest rates to news releases PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 570 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700515; Keywords: Foreign exchange rates ; Interest rates; Publication Type: Working Paper; Update Code: 200404 N2 - This paper examines the response of exchange rates and interest rates--U.S. and foreign--to economic news. The news is associated with the surprise component of the monthly release of six U.S. macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real economic activity--a surprise of 100,000 on nonfarm payroll employment leads to a 0.2 percent appreciation of the exchange rate. In general, exchange rates do not react systematically to news on inflation. By contrast, U.S. interest rates respond to both types of news, although the response continues to be extremely small, on the order of 1 to 2 basis points. Finally, Japanese interest rates systematically react, but to a very minor extent, to news about U.S. real economic activity, while German rates in general do not. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/570/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700515&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/570/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - The risks and implications of external financial shocks: lessons from Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 535 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700481; Keywords: Financial markets ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - The lessons from the 1994-95 Mexican peso crisis are examined from the perspective of creditors and their markets, countries that are recipients of large capital inflows, and the functioning of the international system as a whole. From each of these perspectives, recent changes in the financial world are sketched, lessons from the Mexican experience are derived, and implications for policies are considered. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/535/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700481&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/535/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copelman, Martina AD - Unlisted T1 - The role of credit in post-stabilization consumption booms PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 569 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700514; Keywords: Chile ; Credit ; Israel ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - This paper presents an empirical investigation of the role of credit in the post-stabilization consumption booms of Mexico, Chile, and Israel. Credit from the banking sector to the private sector expanded very rapidly following the stabilizations. I show that this increase in credit reduced the proportion of consumers that were liquidity constrained in the economy. This reduction in liquidity constraints could have helped to fuel the observed consumption booms. In addition, I show that the most important channels for the expansion in credit to consumers in Mexico are the rapid remonetization of the economy, the fall in the ratio of debt held by banks to GDP held by banks, and the increase in the foreign liabilities of banks. For Chile, the most important channel is the remonetization of the economy, whereas in Israel, it is the crowding in effect from the fall in the ratio of public debt held by banks to GDP. The fact that only the crowding in effect was important for Israel, is explained by the differences between its banking system and those of the other countries. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/569/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700514&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/569/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leahy, Michael P. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - The sovereignty option: the Quebec referendum and market views on the Canadian dollar PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 555 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700501; Keywords: Canada ; Money; Publication Type: Working Paper; Update Code: 200404 N2 - We use exchange traded options on Canadian dollar futures to estimate the market's risk-neutral distribution for the Canadian dollar in the days before and after the Quebec sovereignty referendum. We employ a relatively new technique that places little a priori structure on the estimated distribution. This lack of structure allows the estimated distribution to reflect the multi-modal nature of expectations associated with the referendum's results. The technique is especially suited to circumstances in which a particular event will reduce a large degree of uncertainty prior to the expiration date of the options. Our estimated distributions are consistent with a significant perceived probability that the Canadian dollar would move up or down by as much as 5 percent as a result of the vote. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/555/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700501&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/555/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AU - Uribe, Martin AD - Unlisted AD - Unlisted T1 - The syndrome of exchange-rate-based stabilizations and the uncertain duration of currency pegs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 548 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700494; Keywords: Foreign exchange rates ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - This paper conducts a quantitative examination of the hypothesis that uncertain duration of currency pegs causes the sharp real appreciations and business cycles that affect chronically countries using fixed exchange rates as an instrument to stop high inflation. Numerical solutions of equilibrium dynamics of a two-sector small open economy with incomplete markets show that uncertain duration rationalizes the syndrome of exchange-rate-based stabilizations without price or wage rigidities. Three elements of the model are critical for these results: (a) a strictly-convex hazard rate function describing time-dependent devaluation probabilities, (b) the wealth effects introduced by incomplete insurance arkets, and (c) the supply-side effects introduced via capital accumulation and elastic labor supply. Uncertain duration also entails large welfare costs, compared to the perfect-foresight credibility framework, although temporary disinflations are welfare-improving. The model's potential empirical relevance is examined further by reviewing Mexico's post-war experience with the collapse of six currency pegs. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/548/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700494&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/548/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - The Tequila effect: theory and evidence from Argentina PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 552 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700497; Keywords: Argentina ; Bank loans ; Mexico; Publication Type: Working Paper; Update Code: 200404 N2 - The Tequila Effect hypothesis states that the economic crisis that affected several South American countries in 1995 was caused by an exogenous capital flight triggered by the loss of confidence of foreign investors after the collapse of the Mexican peso in December 1994. I analyze the recent Argentine experience before and after the Mexican crisis and argue that the Tequila Effect played an important role in the 1995 crisis. I model the Tequila Effect in an optimizing, small, open economy, as a situation in which agents at time 0 learn that at some random future date foreign investors will pull their assets out of the country. The model captures key features of the Argentine crisis of 1995: the decline in aggregate domestic spending and the outflow of capital that began in December 1994; the credit crunch and interest rate hike of March 1995; the slow return of the real interest rate to its pre-crisis level, and the protracted decline in output and investment that began in March 1995. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/552/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700497&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/552/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Reinhart, Carmen M. AD - Unlisted AD - Unlisted T1 - The twin crises: the causes of banking and balance-of-payments problems PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 544 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700490; Keywords: Balance of payments ; Bank failures; Publication Type: Working Paper; Update Code: 200404 N2 - In the wake of the ERM and Mexican currency crises, the subject of balance-of-payments crises has come to the forefront of academic and policy discussions. This paper focuses on the potential links between banking and balance-of-payments crises. We examine these episodes for a large number of countries and find that knowing that there are banking problems helps in predicting balance-of-payments crises, but the converse is not true; financial liberalization usually predates banking crises, indeed, it helps predict them. Rather than a causal relationship from banking to balance-of-payments crises, the macroeconomic "stylized facts" that characterize these episodes point to common causes. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/544/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700490&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/544/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghei, Nita AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - The use of the parallel market rate as a guide to setting the official exchange rate PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 564 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700509; Keywords: Foreign exchange - Law and legislation; Publication Type: Working Paper; Update Code: 200404 N2 - This paper addresses the merits of using the parallel exchange rate as a guide to setting the official exchange rate. Ideally, policymakers would set the exchange rate at the level that would balance trade and sustainable capital flows--that level is referred to as the equilibrium exchange rate. In practice, it is difficult to identify the equilibrium exchange rate, particularly in countries that have experienced macroeconomic volatility and/or structural change. In this context, where parallel markets for foreign exchange exist, it is natural to consider the parallel rate as a proxy for the equilibrium exchange rate, since it is set directly by the market. The paper develops an analytic model to explore the relationship between the parallel exchange rate and the equilibrium rate. It is determined that only under a fairly narrow set of circumstances will the parallel rate be set at a level close to the equilibrium exchange rate. The paper then compares the evolution of official and parallel exchange rates over time, in a large sample of different countries, to provide a feel for the applicability of the previously-derived theoretical results. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/564/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700509&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/564/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AD - Unlisted T1 - Theoretical confidence level problems with confidence intervals for the spectrum of a time series PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 575 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700520; Keywords: Time-series analysis; Publication Type: Working Paper; Update Code: 200404 N2 - Textbook approaches to forming asymptotically justified confidence intervals for the spectrum under very general assumptions were developed by the mid-1970s. This paper shows that under the textbook assumptions, the true confidence level for these intervals does not converge to the asymptotic level, and instead is fixed at zero in all sample sizes. The paper explores necessary conditions for solving this problem, most notably showing that under weak conditions, forming valid confidence intervals requires that one limit consideration to a finite-dimensional time series model. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/575/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700520&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/575/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AD - Unlisted T1 - Timing of childbearing, family size and economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 573 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700518; Keywords: Demography ; Economics; Publication Type: Working Paper; Update Code: 200404 N2 - This paper incorporates the timing of childbearing into a growth model with endogenous fertility. It analyzes a model in which individuals' human capital stock depends positively on their education and parental human capital and in which producing and raising children and acquiring human capital are intensive. The model highlights how changes in the human capital stock interact with individuals' timing of childbearing in affecting the evolution of the economy. It shows that, if the complementarity between parental human capital and education in determining individuals' human capital is relatively large, then increases in the human capital stock raise the opportunity cost of having children while young and induce individuals to delay childbearing. That, in turn, accelerates human capital accumulation in the future. The model also demonstrates that early childbearing may lead to a development trap with low human capital. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/573/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700518&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/573/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - Treasury yields and corporate bond yield spreads: an empirical analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-20 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699711; Keywords: Bonds ; Government securities; Publication Type: Working Paper; Update Code: 200404 N2 - This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are "refreshed" indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined. L3 - http://www.federalreserve.gov/pubs/feds/1996/199620/199620abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699711&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199620/199620abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AD - Unlisted T1 - Using measures of expectations to identify the effects of a monetary policy shock PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 537 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700483; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 N2 - This paper considers an alternative econometric approach to the VAR methodology for identifying and estimating the effects of monetary policy shocks. The alternative approach incorporates available measures of market participants' expectations of economic variables in order to calculate economic innovations to those variables. In general, expectations measures should provide important additional information relative to a standard VAR analysis, since market participants presumably use a much richer information set than that assumed in a typical VAR model. The resulting innovations are easily incorporated in a VAR-like framework. ; The empirical results are quite surprising. First, when expectations are incorporated, the variance of all innovations is reduced substantially. Second, innovations to the federal funds rate derived using the alternative approach are only somewhat correlated with their VAR counterparts, while innovations to other economic variables are essentially uncorrelated. Still, monetary policy shocks derived using both approaches are still somewhat correlated, however, since innovations to prices and economic activity explain only a small fraction of innovations to the federal funds rate. As a consequence, the impulse responses of economic variables to the two sets of monetary policy shocks have remarkably similar properties. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/537/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700483&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/537/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Melick, William R. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 541 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700487; Keywords: Power resources - Prices ; Options (Finance) ; Persian Gulf War, 1991; Publication Type: Working Paper; Update Code: 200404 N2 - We develop a general method to infer martingale equivalent probability density functions (PDFs) for asset prices using American options prices. The early exercise feature of American options precludes expressing the option price in terms of the PDF of the price of the underlying asset. We derive tight bounds for the option price in terms of the PDF and demonstrate how these bounds, together with observed option prices, can be used to estimate the parameters of the PDF. We infer the distribution for the price of crude oil during the Persian Gulf crisis and find the distribution differs significantly from that recovered using standard techniques. L3 - http://www.federalreserve.gov/pubs/ifdp/1996/541/default.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700487&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/ifdp/1996/541/default.htm DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted T1 - Vehicle ownership, vehicle acquisitions and the growth of auto leasing: evidence from consumer surveys PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-35 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699732; Keywords: Automobile industry and trade ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 N2 - This paper documents the basic features of data on motor vehicles from the Federal Reserve Board's Survey of Consumer Finances and the Bureau of Labor Statistics' Consumer Expenditure Survey. Despite some methodological differences between the two surveys, we find that they yield strikingly similar pictures of households' vehicle holdings. The survey data are also quite consistent with population estimates of vehicle stocks obtained from other sources. Finally, we document the growth of auto leasing by consumers, and find little evidence for the commonly-held view that liquidity constraints are an important motivation for leasing. L3 - http://www.federalreserve.gov/pubs/feds/1996/199635/199635abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699732&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199635/199635abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AU - Prowse, Steven D. AD - Unlisted AD - Unlisted T1 - What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-38 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699735; Keywords: Automobile industry and trade ; Business cycles ; Gross domestic product; Publication Type: Working Paper; Update Code: 200404 N2 - We examine the ability of auto industry stock returns to forecast quarterly changes in the growth rates of real GDP, consumption, and investment. We find that auto stock returns are superior to aggregate stock market returns in predicting growth rates of GDP and various forms of consumption. The superior predictive power of auto returns holds for both in-sample and out-of-sample forecasts and has not declined over time. We then apply a finding in this paper---that market returns have no explanatory power for future output or consumption growth when auto returns are included in the regression---to analyze the causal relation between the stock market and investment. We use auto returns to proxy for forecasts of future fundamentals, allowing market returns to capture the effect of the stock market on investment. We find that aggregate returns forecast equipment investment in the presence of auto returns, providing empirical support for q-theory. Results for structures investment are less convincing. L3 - http://www.federalreserve.gov/pubs/feds/1996/199638/199638abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699735&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199638/199638abs.html DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lamb, Russell L. AU - Diebold, Francis X. AD - Unlisted AD - Unlisted T1 - Why are estimates of agricultural supply response so variable? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96-8 Y1 - 1996/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699717; Keywords: Agriculture - Forecasting ; Agricultural prices; Publication Type: Working Paper; Update Code: 200404 N2 - Estimates of the response of agricultural supply to movements in expected price display curiously large variation across crops, regions, and time periods. We argue that this anomaly may be traced, at least in part, to the statistical properties of the commonly-used econometric estimator, which has infinite moments of all orders and may have a bimodal distribution. We propose an alternative minimum-expected-loss estimator, establish its improved sampling properties, and argue for its usefulness in the empirical analysis of agricultural supply response. L3 - http://www.federalreserve.gov/pubs/feds/1996/199608/199608abs.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699717&site=ehost-live&scope=site UR - http://www.federalreserve.gov/pubs/feds/1996/199608/199608abs.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Calem, Paul S. AU - Mester, Loretta J. T1 - Consumer Behavior and the Stickiness of Credit-Card Interest Rates. JO - American Economic Review JF - American Economic Review Y1 - 1995/12// VL - 85 IS - 5 M3 - Article SP - 1327 EP - 1336 PB - American Economic Association SN - 00028282 AB - The article presents empirical evidence in support of the argument that the credit-card industry deviates from the perfectly competitive model because cardholders do not confirm to the behavioral assumptions of perfect competition. Between May 1989 and November 1991, the prime rate dropped from 11.5 percent to 7.5 percent, and the interest rate on large-denomination CD's fell from around 9 percent to 5 percent. During this period, bank credit-card rates barely moved, the largest issuers holding their rates fixed at 18-20 percent. During several episodes in the l980's, when other interest rates rose or fell credit-card rates changed little. At the same time, credit cards consistently earned higher returns than most other bank products. The historically slow response of credit-card rates to changes in money-market rates is consistent with imperfect competition. The shifting spread between card rates and banks' costs of funds suggests that card issuers have exercised market power. For an issuer with market power, the preferred spread depends upon the perceived elasticity of demand for card credit and would shift with perceived changes in demand. KW - CREDIT cards KW - CONSUMER credit KW - CHARGE accounts KW - PRIME rate KW - INTEREST rates KW - COMPETITION N1 - Accession Number: 9602051811; Calem, Paul S. 1; Mester, Loretta J. 2,3; Affiliations: 1: Financial Structure, Mail Stop 149, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: Research Department, Federal Reserve Bank of Philadelphia, Ten Independence Mall, Philadelphia, PA 19106-1574; 3: Finance Department Wharton School, University of Pennsylvania; Issue Info: Dec95, Vol. 85 Issue 5, p1327; Thesaurus Term: CREDIT cards; Thesaurus Term: CONSUMER credit; Thesaurus Term: CHARGE accounts; Thesaurus Term: PRIME rate; Thesaurus Term: INTEREST rates; Subject Term: COMPETITION; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 326199 All Other Plastics Product Manufacturing; NAICS/Industry Codes: 522210 Credit Card Issuing; Number of Pages: 10p; Illustrations: 2 Charts; Document Type: Article; Full Text Word Count: 5864 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9602051811&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - LABADIE, PAMELA T1 - Financial Intermediation and Monetary Policy in a General Equilibrium Banking Model. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1995/11/02/Nov95 2 of 2 VL - 27 IS - 4 M3 - Article SP - 1290 EP - 1315 PB - Ohio State University Press SN - 00222879 AB - The article reports on financial intermediation and monetary policy through a general equilibrium banking model. The effect of monetary policy on the level of financial intermediation is examined with particular focus on when an expansionary monetary policy results in an increase in lending or inflation. The financial intermediaries discussed are traditional banks which are subject to reserve requirements. The monetary policies are linked because of the budget constraint of the government and are instituted through open market operations and nominal reserve changes. KW - BANKING industry KW - MONETARY policy KW - FINANCIAL institutions KW - RESERVE requirements KW - BANK deposits KW - ECONOMIC aspects KW - POLICY analysis N1 - Accession Number: 9601071519; LABADIE, PAMELA 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; Issue Info: Nov95 2 of 2, Vol. 27 Issue 4, p1290; Thesaurus Term: BANKING industry; Thesaurus Term: MONETARY policy; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: RESERVE requirements; Thesaurus Term: BANK deposits; Subject Term: ECONOMIC aspects; Subject Term: POLICY analysis; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 26p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9601071519&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ahmed, Shaghil AU - Rogers, John H. AD - Board of Governors of the Federal Reserve System AD - Board of Governors of the Federal Reserve System T1 - Government Budget Deficits and Trade Deficits: Are Present Value Constraints Satisfied in Long-Term Data? JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1995/11// VL - 36 IS - 2 SP - 351 EP - 374 SN - 03043923 N1 - Accession Number: 0382720; Keywords: Deficit; Geographic Descriptors: U.S.; U.K.; Geographic Region: Northern America; Europe; Publication Type: Journal Article; Update Code: 199606 N2 - The authors test whether long-term data from the United States and the United Kingdom are consistent with the intertemporal government budget constraint and external borrowing constraint, both individually and simultaneously. A very strong test is provided by the authors' focus on whether the present value constraints continue to hold despite unusual events, such as wars, that cause a structural break in the short-run dynamic behavior of the variables. They find that the present value constraints hold over the whole sample period. The data also indicate that the present value constraints continue to hold following events that cause a structural break in the short-run dynamics. KW - Fiscal Policy E62 KW - Current Account Adjustment; Short-term Capital Movements F32 L3 - http://www.sciencedirect.com/science/journal/03043932 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0382720&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/03043932 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - AHMED, SHAGIL AU - BYUNG SAM YOO T1 - Fiscal Trends in Real Economic Aggregates. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1995/11//Nov95 1 of 2 VL - 27 IS - 4 M3 - Article SP - 985 EP - 1001 PB - Ohio State University Press SN - 00222879 AB - The article presents an exploration into the impact of stochastic fiscal trends on real business cycle models based on productivity disturbance sources of growth. The system's assumptions of consumption-output and investment ratios, hours worked per capita, and leisure-labor ratios are outlined. Statistical testing of U.S. economic data is used to challenge previous claims of element stationarity and a method of isolating fiscal trends through economic aggregates is presented. General equilibrium models which incorporate government consumption and investment are also explored concerning their application to accurate growth measures. KW - BUSINESS cycles KW - ECONOMIC trends KW - FINANCIAL ratios KW - ECONOMIC development -- Mathematical models KW - AGGREGATE demand (Economics) KW - ECONOMETRIC models N1 - Accession Number: 9601220767; AHMED, SHAGIL 1; BYUNG SAM YOO 2; Affiliations: 1: International Finance Division, Board of Governors of the Federal Reserve System; 2: Associate professor of economics, Yonsei University; Issue Info: Nov95 1 of 2, Vol. 27 Issue 4, p985; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC trends; Thesaurus Term: FINANCIAL ratios; Thesaurus Term: ECONOMIC development -- Mathematical models; Thesaurus Term: AGGREGATE demand (Economics); Thesaurus Term: ECONOMETRIC models; Number of Pages: 17p; Illustrations: 1 Chart, 12 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9601220767&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - CALEM, PAUL S. AU - RIZZO, JOHN A. T1 - Financing Constraints and Investment: New Evidence from Hospital Industry Data. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1995/11//Nov95 1 of 2 VL - 27 IS - 4 M3 - Article SP - 1002 EP - 1014 PB - Ohio State University Press SN - 00222879 AB - The article presents empirical research extensions to the investigation of investment and internal finance under information asymmetry conditions through data on U.S. hospitals between 1985 and 1989, suggesting agency costs and internal fund considerations in capital markets highly impact investment activities. Conditions and risk factors for finance constraints are hypothesized through the measure of firm liquidity. Specific results are offered concerning the investment policies of small free-standing hospitals as compared to large chain-member organizations. KW - HOSPITALS -- Finance KW - AGENCY costs KW - INVESTMENT policy KW - LIQUIDITY (Economics) KW - HOSPITALS KW - STATISTICS KW - INFORMATION asymmetry KW - UNITED States N1 - Accession Number: 9601220768; CALEM, PAUL S. 1; RIZZO, JOHN A. 2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; 2: Assistant professor of public health, Yale University School of Medicine; Issue Info: Nov95 1 of 2, Vol. 27 Issue 4, p1002; Thesaurus Term: HOSPITALS -- Finance; Thesaurus Term: AGENCY costs; Thesaurus Term: INVESTMENT policy; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: HOSPITALS; Thesaurus Term: STATISTICS; Thesaurus Term: INFORMATION asymmetry; Subject: UNITED States; NAICS/Industry Codes: 622110 General Medical and Surgical Hospitals; NAICS/Industry Codes: 622111 General (except paediatric) hospitals; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 13p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9601220768&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hess, Gregory D. AU - Orphanides, Athanasios T1 - War Politics: An Economic, Rational-Voter Framework. JO - American Economic Review JF - American Economic Review Y1 - 1995/09// VL - 85 IS - 4 M3 - Article SP - 828 EP - 846 PB - American Economic Association SN - 00028282 AB - The frequency of foreign conflict initiations in the United States is found to be significantly greater following the onset of recessions during a president's first term than in other periods. We develop an economic theory of the political use of wars which links the election cycle, war decisions, and economic performance consistent with the observed relationships among these events. An incumbent leader with an unfavorable economic performance record may initiate a war to force the learning of his war leadership abilities and thus salvage, with some probability, his reelection. This obtains despite voter rationality and informational symmetry. [ABSTRACT FROM AUTHOR] AB - Copyright of American Economic Review is the property of American Economic Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RECESSIONS KW - DEPRESSIONS (Economics) KW - BUSINESS cycles KW - EFFECT of inflation on unemployment KW - ECONOMIC recovery KW - UNITED States N1 - Accession Number: 9512101074; Hess, Gregory D. 1; Orphanides, Athanasios 2; Affiliations: 1: Department of Economics, University of Kansas, Lawrence, KS 66045; 2: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Sep95, Vol. 85 Issue 4, p828; Thesaurus Term: RECESSIONS; Thesaurus Term: DEPRESSIONS (Economics); Thesaurus Term: BUSINESS cycles; Thesaurus Term: EFFECT of inflation on unemployment; Thesaurus Term: ECONOMIC recovery; Subject: UNITED States; Number of Pages: 19p; Illustrations: 7 Charts; Document Type: Article; Full Text Word Count: 11228 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9512101074&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dow, James P. AU - Jr. T1 - The demand and liquidity effects of monetary shocks. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1995/08// VL - 36 IS - 1 M3 - Article SP - 91 EP - 115 SN - 03043932 AB - This paper examines the effect of a monetary shock in a stochastic growth model with a cash-in-advance constraint and a financial intermediary. It explores the differences between the results of restrictions on nominal price adjustment (the demand effect) and restrictions on savings behavior (the liquidity effect). It is found that the model that produces the appropriate response to a temporary monetary shock includes both demand and liquidity effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCIAL institutions KW - LIQUIDITY (Economics) KW - SUPPLY & demand KW - STOCHASTIC analysis KW - SAVING & investment KW - BUSINESS cycles N1 - Accession Number: 13277732; Dow, James P.; Jr. 1; Affiliations: 1: Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 2055!, USA.; Issue Info: Aug95, Vol. 36 Issue 1, p91; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: SUPPLY & demand; Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: SAVING & investment; Thesaurus Term: BUSINESS cycles; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 25p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13277732&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Basu, Susanto AU - Fernald, John G. T1 - Are apparent productive spillovers a figment of specification error? JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1995/08// VL - 36 IS - 1 M3 - Article SP - 165 EP - 188 SN - 03043932 AB - Using data on gross output for two-digit manufacturing industries, we find that an increase in the output of one manufacturing sector has little or no significant effect on the productivity of other sectors. Using value-added data, however, we confirm the results of previous studies which find that output spillovers instead appear large. We provide an explanation for these differences, showing why, with imperfect competition, the use of value-added data leads to a spurious finding of large apparent external effects. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MANUFACTURING industries KW - EXTERNALITIES (Economics) KW - IMPERFECT competition KW - INDUSTRIAL productivity KW - INDUSTRIAL efficiency KW - PRODUCTION (Economic theory) N1 - Accession Number: 13277735; Basu, Susanto 1; Fernald, John G. 2; Affiliations: 1: `Department of Economics, University of Michigan, Ann Arbor, MI 48109, USA.; 2: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Aug95, Vol. 36 Issue 1, p165; Thesaurus Term: MANUFACTURING industries; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: IMPERFECT competition; Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: PRODUCTION (Economic theory); Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13277735&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Orphanides, Athanasios AU - Zervos, David T1 - Rational addiction with learning and regret. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1995/08// VL - 103 IS - 4 M3 - Article SP - 739 PB - University of Chicago Press SN - 00223808 AB - We present a theory of rational behavior in which individuals maximize a set of stable preferences over goods with unknown addictive power. The theory is based on three fundamental postulates: that consumption of the addictive good is not equally harmful to all, that individuals possess subjective beliefs concerning this harm, and that beliefs are optimally updated with information gained through consumption. Although individual actions are optimal and dynamically consistent, addicts regret their past consumption decisions and regret their initial assessment of the potential harm of the good. Addict-prone individuals who believe "it could not happen to them" are most likely to be drawn into a harmful addiction. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMPTION (Economics) KW - CONSUMPTION (Economics) -- Mathematical models KW - DEMAND (Economic theory) KW - CONSUMER behavior KW - CONSUMER goods KW - CONSUMERISM KW - SUPPLY & demand N1 - Accession Number: 9509236040; Orphanides, Athanasios 1; Zervos, David 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Aug95, Vol. 103 Issue 4, p739; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: CONSUMPTION (Economics) -- Mathematical models; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: CONSUMER behavior; Thesaurus Term: CONSUMER goods; Thesaurus Term: CONSUMERISM; Thesaurus Term: SUPPLY & demand; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; Number of Pages: 20p; Illustrations: 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9509236040&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Udell, Gregory F. T1 - Relationship lending and lines of credit in small firm finance. JO - Journal of Business JF - Journal of Business Y1 - 1995/07// VL - 68 IS - 3 M3 - Article SP - 351 PB - University of Chicago Press SN - 00219398 AB - This article examines the role of relationship lending in small firm finance. It examines price and nonprice terms of bank lines of credit (L/Cs) extended to small firms. The focus on LICs allows the examination of a type of loan contract in which the hank- borrower relationship is likely to be an important mechanism for solving the asymmetric information problems associated with financing small enterprises. We find that borrowers with longer banking relationships pay lower interest rates and are less likely to pledge collateral. These results are consistent with theoretical arguments that relationship lending generates valuable information about borrower quality. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LINES of credit KW - SMALL business -- Finance KW - BANK loans KW - SMALL business KW - LOAN agreements KW - BANKING industry KW - INTEREST rate risk KW - CREDIT N1 - Accession Number: 9509291678; Berger, Allen N. 1,2; Udell, Gregory F. 3; Affiliations: 1: Board of Governors of the Federal Reserve System.; 2: University of Pennsylvania.; 3: New York University.; Issue Info: Jul95, Vol. 68 Issue 3, p351; Thesaurus Term: LINES of credit; Thesaurus Term: SMALL business -- Finance; Thesaurus Term: BANK loans; Thesaurus Term: SMALL business; Thesaurus Term: LOAN agreements; Thesaurus Term: BANKING industry; Thesaurus Term: INTEREST rate risk; Thesaurus Term: CREDIT; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 31p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=9509291678&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - Rogers, John H. AU - Jenkins, Michael T1 - Haircuts or hysteresis? Sources of movements in real exchange rates. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1995/05// VL - 38 IS - 3/4 M3 - Article SP - 339 SN - 00221996 AB - The article assesses the importance of two sources of real exchange rate movements. Purchasing power panty (PPP) theory states that the price levels in two countries are equal when converted to a common currency, implying that the real exchange rate is equal to unity. Relative PPP implies that the real exchange rate is constant, although it need not be one. Therefore, movements in the real exchange rate are synonymous with deviations from PPP. Theories that explain deviations from PPP generally fall into two categories. One focuses on the properties of price levels, the other on nominal exchange rate determination in a world of sticky prices. Changes in the relative price of non-traded goods to traded goods within a country lead to deviations from PPP. Although hysteresis in economist F.A. Delgado's model takes the form of sluggish price adjustment, in contrast to earlier work on hysteresis in international trade, which focused on entry-exit decisions, the models are intuitively quite similar. KW - FOREIGN exchange rates KW - PURCHASING power parity KW - PRICE levels KW - MONETARY unions KW - PRICES KW - NONTRADED goods KW - HYSTERESIS (Economics) KW - INTERNATIONAL trade KW - Non-tradeables KW - Persistence KW - Relative prices KW - Stationarity N1 - Accession Number: 9507270666; Rogers, John H. 1,2; Jenkins, Michael 3; Affiliations: 1: Department of Economics, Penn State University, University Park, PA 16802, USA.; 2: Board of Governors of the Federal Reserve System, International Finance Division, Washington, DC 20551, USA.; 3: University of Wales, Bangor, Gwynedd LL57 2DG, UK.; Issue Info: May95, Vol. 38 Issue 3/4, p339; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PURCHASING power parity; Thesaurus Term: PRICE levels; Thesaurus Term: MONETARY unions; Thesaurus Term: PRICES; Thesaurus Term: NONTRADED goods; Thesaurus Term: HYSTERESIS (Economics); Thesaurus Term: INTERNATIONAL trade; Author-Supplied Keyword: Non-tradeables; Author-Supplied Keyword: Persistence; Author-Supplied Keyword: Relative prices; Author-Supplied Keyword: Stationarity; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 22p; Illustrations: 3 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9507270666&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BERGER, ALLEN N. T1 - The Relationship between Capital and Earnings in Banking. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1995/05// VL - 27 IS - 2 M3 - Article SP - 432 EP - 456 PB - Ohio State University Press SN - 00222879 AB - The article examines the relationship between capital and earnings in banking, citing conventional views that higher capital-asset ratios (CAR) bring about lower after-tax returns on equity. Empirical data taken from U.S. banks in the 1980s, however, are cited suggesting the opposite and a re-evaluation of the statistical relationship between the two factors is presented. Granger-causality functions are used to analyze the data and alternative hypotheses are presented explaining the positive correlation. Concluding remarks are also included addressing the universal application of the results found in the study. KW - BANKING industry KW - BANK profits KW - BANK capital KW - RATE of return KW - FINANCIAL ratios KW - UNITED States -- Economic conditions -- 1981-2001 KW - UNITED States N1 - Accession Number: 9508161291; BERGER, ALLEN N. 1,2; Affiliations: 1: senior economist, Board of Governors of the Federal Reserve System; 2: senior fellow, Wharton Financial Institutions Center; Issue Info: May95, Vol. 27 Issue 2, p432; Thesaurus Term: BANKING industry; Thesaurus Term: BANK profits; Thesaurus Term: BANK capital; Thesaurus Term: RATE of return; Thesaurus Term: FINANCIAL ratios; Subject Term: UNITED States -- Economic conditions -- 1981-2001; Subject: UNITED States; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; Number of Pages: 25p; Illustrations: 8 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9508161291&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN ID - 57121 AU - Sheets, Nathan AU - Board of Governors of the Federal Reserve System (U.S.) T1 - [Untitled] T3 - International Finance Discussion Paper no. 514 Y1 - 1995/01/01/ CY - Washington, D.C. CY - United States PB - Board of Governors of the Federal Reserve System N1 - Accession Number: 57121; Extent: 48 pp; Document Type: Government document; Language: English; Note/Abstract: "June 1995." "FR 1.62:514." SUBMITTED BY: Maria Gorecki Nowak, University of Illinois at Urbana-Champaign (mgnowak@uiuc.edu) KW - Eastern Europe--Economic Policy--1989- KW - Eastern Europe--Market Economy UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=sbh&AN=57121&site=ehost-live&scope=site UR - http://www.gpoaccess.gov/cgp/index.html DP - EBSCOhost DB - sbh ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - A century of trade elasticities for Canada, Japan, and the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 531 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700559; Keywords: Canada ; International trade ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700559&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - A pre-commitment approach to capital requirements for market risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-36 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699753; Keywords: Bank capital ; Derivative securities; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699753&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AD - Unlisted T1 - A review of the recent empirical literature on displaced workers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-14 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699772; Keywords: Displaced workers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699772&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John G. AD - Unlisted AD - Unlisted T1 - Aggregate productivity and the productivity of aggregates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 532 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700560; Keywords: Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700560&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Melick, William R. AD - Unlisted AD - Unlisted T1 - Alternative approaches to real exchange rates and real interest rates: three up and three down PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 518 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700526; Keywords: Foreign exchange rates ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700526&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennedy, James E. AD - Unlisted T1 - An analysis of time-series estimates of capacity utilization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-37 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699754; Keywords: Industrial capacity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699754&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cohen, Darrel AU - Hassett, Kevin AU - Kennedy, Jim AD - Unlisted AD - Unlisted AD - Unlisted T1 - Are U.S. investment and capital stocks at optimal levels? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-32 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699749; Keywords: Investments ; Stocks; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699749&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AU - Madan, Dilip B. AD - Unlisted AD - Unlisted T1 - Asset pricing in an incomplete market with a locally risky discount factor PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-19 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699777; Keywords: Capital assets pricing model; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699777&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmitt-Grohe, Stephanie AU - Uribe, Martin AD - Unlisted AD - Unlisted T1 - Balanced-budget rules, distortionary taxes, and aggregate instability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-44 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699766; Keywords: Budget ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699766&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Bank capitalization, regulation, and the credit crunch: a critical review of the research findings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-20 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699779; Keywords: Bank capital ; Credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699779&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Bank lending and economic activity in Japan: did 'financial factors' contribute to the recent downturn? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 513 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700521; Keywords: Bank loans ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700521&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Tryon, Ralph AD - Unlisted AD - Unlisted T1 - Block distributed methods for solving multi-country econometric models. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 516 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700539; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700539&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calem, Paul S. AU - Nakamura, Leonard I. AD - Unlisted AD - Unlisted T1 - Branch banking and the geography of bank pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-25 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699790; Keywords: Banks and banking - Service charges ; Branch banks; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699790&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sheets, Nathan AD - Unlisted T1 - Capital flight from the countries in transition: some theory and empirical evidence. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 514 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700537; Keywords: Capital movements; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700537&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loungani, Prakash AU - Sheets, Nathan AD - Unlisted AD - Unlisted T1 - Central bank independence, inflation and growth in transition economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 519 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700527; Keywords: Banks and banking, Central ; Economic development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700527&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Charter value, minimum bank capital requirement and deposit insurance pricing in equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-18 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699776; Keywords: Bank capital ; Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699776&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmitt-Grohe, Stephanie AD - Unlisted T1 - Comparing four models of aggregate fluctuations due to self-fulfilling expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-17 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699775; Keywords: Business cycles; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699775&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AD - Unlisted T1 - Constrained suboptimality in economies with limited communication PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 497 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700546; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700546&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - David, Alexander AD - Unlisted T1 - Controlling information premia by repackaging asset backed securities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-38 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699755; Keywords: Information theory ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699755&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AD - Unlisted T1 - Convertibility risk, default risk, and the Mexdollar anomaly PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 495 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700544; Keywords: Foreign exchange - Law and legislation ; Mexico ; Devaluation of currency ; Peso, Mexican; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700544&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Credit rating enhancement norms and ratings-based bank capital and deposit insurance premium PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-28 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699793; Keywords: Bank capital ; Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699793&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Debtholders' option to walk out of a bankruptcy process, degree of diversification and multi-tier capital structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-16 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699774; Keywords: Bankruptcy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699774&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Barth, James R. AU - Chou, Ray Y. AU - John S. Jahera, Jr. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Determinants of U.S. commercial bank performance: regulatory and econometric issues PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-29 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699794; Keywords: Banks and banking; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699794&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AU - Milesi-Ferretti, Gian Maria AU - Asea, Patrick AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do taxes matter for long-run growth?: Harberger's superneutrality conjecture PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 511 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700558; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700558&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AD - Unlisted T1 - Economic development and intergenerational economic mobility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 524 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700532; Keywords: Economic development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700532&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Efficient resolution of moral hazard under no arbitrage: risk premium, volatility and leverage PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-15 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699773; Keywords: Arbitrage ; Financial leverage; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699773&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kortum, Samuel S. AU - Eaton, Jonathan AD - Unlisted AD - Unlisted T1 - Engines of growth: domestic and foreign sources of innovation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-35 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699752; Keywords: Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699752&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghosal, Vivek AU - Loungani, Prakash AD - Unlisted AD - Unlisted T1 - Evidence on nominal wage rigidity from a panel of U.S. manufacturing industries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 512 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700523; Keywords: Manufactures ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700523&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AU - Simon, David P. AD - Unlisted AD - Unlisted T1 - Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 522 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700530; Keywords: Treasury bills; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700530&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - Exchange-rate based inflation stabilization: the initial real effects of credible plans PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 503 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700552; Keywords: Foreign exchange - Law and legislation ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700552&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mattey, Joe AU - Strongin, Steve AD - Unlisted AD - Unlisted T1 - Factor utilization and margins for adjusting output: evidence from manufacturing plants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-12 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699770; Keywords: Industrial capacity ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699770&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Labadie, Pamela A. AD - Unlisted T1 - Financial intermediation and monetary policy in a general equilibrium banking model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-8 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699765; Keywords: Econometric models ; Banks and banking ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699765&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fisher, Mark AU - Nychka, Douglas AU - Zervos, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Fitting the term structure of interest rates with smoothing splines PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-1 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699767; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699767&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ahmed, Shaghil AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Government budget deficits and trade deficits: are present value constraints satisfied in long-term data? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 494 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700543; Keywords: Budget deficits ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700543&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AU - Kwast, Myron L. AU - Starr-McCluer, Martha AD - Unlisted AD - Unlisted AD - Unlisted T1 - Households' deposit insurance coverage: evidence and analysis of potential reforms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-5 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699783; Keywords: Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699783&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Engel, Charles AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - How wide is the border? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 498 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700547; Keywords: International trade ; Foreign exchange rates ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700547&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Iyigun, Murat F. AD - Unlisted T1 - Human capital accumulation, fertility and growth: a re-analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 523 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700531; Keywords: Human capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700531&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Miller, Marcus AU - Zhang, Lei AD - Unlisted AD - Unlisted T1 - Hyperinflation and stabilization: Cagan revisited PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 529 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700540; Keywords: Europe, Eastern ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700540&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - Hysteresis in a simple model of currency substitution PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 509 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700556; Keywords: Money ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700556&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swagel, Phillip AD - Unlisted T1 - Import prices and the competing goods effect PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 508 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700522; Keywords: Imports ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700522&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - den Haan, Wouter J. AU - Levin, Andrew T. AD - Unlisted AD - Unlisted T1 - Inferences from parametric and non-parametric covariance matrix estimation procedures PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 504 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700553; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700553&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lebow, David E. AU - Stockton, David J. AU - Wascher, William L. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Inflation, nominal wage rigidity, and the efficiency of labor markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-45 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699786; Keywords: Inflation (Finance) ; Wages ; Labor market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699786&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Vrankovich, Elizabeth AD - Unlisted AD - Unlisted T1 - International comparisons of the levels of unit labor costs in manufacturing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 527 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700535; Keywords: Labor productivity ; Manufactures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700535&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kim, Sang W. AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 499 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700548; Keywords: Korea ; Japan ; Stock - Prices ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700548&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Owen, Ann L. AD - Unlisted T1 - International trade and the accumulation of human capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-49 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699796; Keywords: Human capital ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699796&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mariger, Randall P. AD - Unlisted T1 - Labor supply and the Tax Reform Act of 1986: evidence from panel data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-34 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699751; Keywords: Labor supply ; Tax Reform Act of 1986; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699751&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Wascher, William AD - Unlisted AD - Unlisted T1 - Minimum wage effects on school and work transitions of teenagers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-7 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699764; Keywords: Education ; Minimum wage; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699764&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brouwer, Gordon de AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Modelling inflation in Australia PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 530 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700541; Keywords: Australia ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700541&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Noise traders, excess volatility, and a securities transactions tax PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-26 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699791; Keywords: Securities ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699791&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carroll, Christopher D. AU - Kimball, Miles S. AD - Unlisted AD - Unlisted T1 - On the concavity of the consumption function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-10 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699768; Keywords: Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699768&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bhasin, Vijay AD - Unlisted T1 - On the credit risk of OTC derivative users PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-50 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699797; Keywords: Derivative securities ; Over-the-counter markets; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699797&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - On the inverse of the covariance matrix in portfolio analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 528 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700536; Keywords: Risk ; Asset-backed financing ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700536&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Faust, Jon AD - Unlisted AD - Unlisted T1 - Options, sunspots, and the creation of uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 510 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700557; Keywords: Derivative securities ; Options (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700557&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, Diane Lim AU - Rogers, John H. AD - Unlisted AD - Unlisted T1 - Political competition, causal relationships between taxes and spending, and their influence on government size: evidence from state-level data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 500 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700549; Keywords: State finance ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700549&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jovanovic, Boyan AU - Lach, Saul AD - Unlisted AD - Unlisted T1 - Product innovation and the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-46 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699761; Keywords: Business cycles ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699761&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ghosal, Vivek AU - Loungani, Prakash AD - Unlisted AD - Unlisted T1 - Product market competition and the impact of price uncertainty on investment: some evidence from U.S. manufacturing industries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 517 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700525; Keywords: Investments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700525&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mariger, Randall P. AD - Unlisted T1 - Public policy toward pensions: why defined-contribution pensions dominate government-insured defined-benefit pensions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-3 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699781; Keywords: Pensions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699781&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sparks, Roger AD - Unlisted AD - Unlisted T1 - Putting the squeeze on a market for lemons: government-sponsored mortgage securitization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-13 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699771; Keywords: Mortgages ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699771&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lach, Saul AU - Rob, Rafael AD - Unlisted AD - Unlisted T1 - R&D, investment and industry dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-47 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699762; Keywords: Industries ; Research and development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699762&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AU - Wang, Ping AD - Unlisted AD - Unlisted T1 - Real exchange rate movements in high inflation countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 501 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700550; Keywords: Foreign exchange rates ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700550&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Uribe, Martin AD - Unlisted T1 - Real exchange rate targeting and macroeconomic instability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 505 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700554; Keywords: Interest rates ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700554&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogers, John H. AD - Unlisted T1 - Real shocks and real exchange rates in really long-term data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 493 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700542; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700542&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Recent developments in bank capital regulation of market risks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-51 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699798; Keywords: Bank capital ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699798&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Wascher, William AD - Unlisted AD - Unlisted T1 - Reconciling the evidence on employment effects of minimum wages: a review of our research findings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-53 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699800; Keywords: Employment (Economic theory) ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699800&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kortum, Samuel AD - Unlisted T1 - Research and productivity growth: theory and evidence from patent data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-2 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699778; Keywords: Patents ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699778&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carroll, Christopher D. AU - Overland, Jody AU - Weil, David N. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Saving and growth with habit formation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-42 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699759; Keywords: Saving and investment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699759&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - Saving and permanent income: evidence from the 1992 SCF PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-41 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699758; Keywords: Consumer behavior; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699758&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dekle, Robert AD - Unlisted T1 - Saving-investment associations and capital mobility on the evidence from Japanese regional data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 496 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700545; Keywords: Capital movements ; Japan ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700545&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Mei, Jianping AD - Unlisted AD - Unlisted T1 - Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 502 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700551; Keywords: Europe ; International finance ; Japan ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700551&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AU - Tesar, Linda L. AD - Unlisted AD - Unlisted T1 - Supply-side economics in a global economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 507 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700524; Keywords: Supply-side economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700524&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loungani, Prakash AU - Swagel, Phillip AD - Unlisted AD - Unlisted T1 - Supply-side sources of inflation: evidence from OECD countries. PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 515 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700538; Keywords: Supply-side economics ; Inflation (Finance) ; Organisation for Economic Co-operation and Development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700538&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freeman, Richard T. AU - Willis, Jonathan L. AD - Unlisted AD - Unlisted T1 - Targeting inflation in the 1990s: recent challenges PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 525 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700533; Keywords: Inflation (Finance) ; Interest rates ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700533&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mariger, Randall P. AD - Unlisted T1 - Taxes, capital gains realizations, and revenues: a critical review and some new results PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-31 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699748; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699748&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Techniques for verifying the accuracy of risk measurement models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-24 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699789; Keywords: Risk ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699789&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Cummins, J. David AU - Weiss, Mary A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The coexistence of multiple distribution systems for financial services: the case of property-liability insurance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-22 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699787; Keywords: Insurance ; Nonbank activities; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699787&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana M. AU - Kozicki, Sharon AD - Unlisted AD - Unlisted T1 - The comovement of output and labor productivity in aggregate data for auto assembly plants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-33 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699750; Keywords: Automobile industry and trade ; Labor productivity ; Business cycles; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699750&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Krane, Spencer D. AU - Wascher, William L. AD - Unlisted AD - Unlisted T1 - The cyclical sensitivity of seasonality in U.S. employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-43 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699760; Keywords: Employment (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699760&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - The equilibrium Fed funds rate and the indicator properties of term-structure spreads PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-40 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699757; Keywords: Federal funds market (United States); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699757&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schmitt-Grohe, Stephanie AD - Unlisted T1 - The international transmission of economic fluctuations: effects of U. S. business cycles on the Canadian economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-6 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699784; Keywords: Business cycles ; Canada; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699784&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Williams, John C. AD - Unlisted T1 - The limits to 'growing an economy.' PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-30 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699795; Keywords: Economic development ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699795&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Irons, John S. AD - Unlisted AD - Unlisted T1 - The Lucas critique in practice: theory without measurement PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 506 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700555; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700555&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Copelman, Martina AU - Werner, Alejandro M. AD - Unlisted AD - Unlisted T1 - The monetary transmission mechanism in Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 521 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700529; Keywords: Mexico ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700529&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Herring, Richard J. AU - Szego, Giorgio P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The role of capital in financial institutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-23 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699788; Keywords: Bank capital ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699788&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AU - Eisenbeis, Robert A. AD - Unlisted AD - Unlisted T1 - The role of principal agent-conflicts in the 1980s thrift crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-27 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699792; Keywords: Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699792&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Estevao, Marcello AU - Tevlin, Stacey AD - Unlisted AD - Unlisted T1 - The role of profits in wage determination: evidence from US manufacturing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-48 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699763; Keywords: Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699763&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - The use of bank trading risk models for regulatory capital purposes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-11 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699769; Keywords: Bank capital ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699769&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Williams, John C. AU - Jones, Charles I. AD - Unlisted AD - Unlisted T1 - Too much of a good thing? The economics of investment in R&D PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-39 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699756; Keywords: Research and development ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699756&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kortum, Samuel S. AU - Eaton, Jonathan AD - Unlisted AD - Unlisted T1 - Trade in ideas: patenting and productivity in the OECD PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-9 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699785; Keywords: Organisation for Economic Co-operation and Development ; Patents ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699785&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Zhu, Ning S. AD - Unlisted AD - Unlisted T1 - Uncertainty, instrument choice, and the uniqueness of Nash equilibrium: microeconomic and macroeconomic examples PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 526 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700534; Keywords: Macroeconomics ; Microeconomics ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700534&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fallick, Bruce C. AU - Hassett, Kevin A. AD - Unlisted AD - Unlisted T1 - Unionization and acquisitions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-4 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699782; Keywords: Mergers ; Labor unions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699782&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Universal banking and the future of small business lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-21 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699780; Keywords: Bank loans ; Small business; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699780&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Brunner, Allan D. AD - Unlisted AD - Unlisted T1 - When is monetary policy effective? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 520 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700528; Keywords: Monetary policy ; Monetary theory; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700528&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Collins, Sean AU - Mack, Phillip AD - Unlisted AD - Unlisted T1 - Will bank proprietary mutual funds survive? Assessing their viability via scope and scale estimates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95-52 Y1 - 1995/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699799; Keywords: Mutual funds; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699799&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Carroll, Christopher D. AD - Johns Hopkins U and Board of Governors of the Federal Reserve System T1 - The economics of saving JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 1994/12// VL - 32 IS - 4 SP - 1881 EP - 1882 SN - 00220515 N1 - Accession Number: 0348412. Author of Reviewed Book: Gapinski, James H., ed.; Publisher Information: Recent Economic Thought Series., Norwell, Mass. and Dordrecht:, Kluwer Academic, 1993, Reviewed Book ISBN: 0-7923-9256-6; ; Publication Type: Book Review; Update Code: 199503 KW - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data) E20 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0348412&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Goodman, John L. T1 - Using Attitude Data to Forecast Housing Activity. JO - Journal of Real Estate Research JF - Journal of Real Estate Research Y1 - 1994/12// VL - 9 IS - 4 M3 - Article SP - 445 EP - 453 PB - American Real Estate Society SN - 08965803 AB - Several national surveys generate monthly indicators of housing market activity that are released weeks before the "hard" housing statistics (starts, new home sales, existing home sales) for that month. This paper examines whether these surveys of consumers, lenders and builders can help predict what the current month's housing statistics will be. the conclusion is that these surveys, with the exception of homebuilders' attitudes, add little predictive power to that available from the housing series' own histories and from mortgage interest rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Research is the property of American Real Estate Society and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - HOUSING KW - STATISTICS KW - MORTGAGE loans KW - CONSUMERS -- Attitudes KW - MORTGAGE rates KW - MARKET surveys KW - ARCHITECTS & builders N1 - Accession Number: 54884454; Goodman, John L. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: 1994, Vol. 9 Issue 4, p445; Thesaurus Term: HOUSING market; Thesaurus Term: HOUSING; Thesaurus Term: STATISTICS; Thesaurus Term: MORTGAGE loans; Thesaurus Term: CONSUMERS -- Attitudes; Thesaurus Term: MORTGAGE rates; Thesaurus Term: MARKET surveys; Subject Term: ARCHITECTS & builders; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=54884454&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berkovec, James A. AU - Canner, Glenn B. AU - Gabriel, Stuart A. AU - Hannan, Timothy H. T1 - Race, Redlining, and Residential Mortgage Loan Performance. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1994/11// VL - 9 IS - 3 M3 - Article SP - 263 EP - 294 SN - 08955638 AB - Theories of discrimination in credit markets suggest that under certain circumstances systematic lender bias may result in creditors holding minority applicants or applicants from minority neighborhoods to higher standards of creditworthiness than other borrowers. This implies lower default rates or smaller dollar losses on loans to marginally qualified minority borrowers or borrowers from minority neighborhoods, compared to loans extended to other similarly qualified borrowers. This study seeks to test this prediction by examining the default-risk characteristics of FHA-insured single-family residential mortgages. All things equal, empirical findings fail to support the theoretical predictions that observed default rates are relatively lower among minority borrowers or neighborhoods. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - RACE discrimination in mortgage loans KW - FINANCIAL services industry KW - LOANS KW - NEIGHBORHOODS KW - CITIES & towns KW - Default KW - discrimination N1 - Accession Number: 17325826; Berkovec, James A. 1; Canner, Glenn B. 1; Gabriel, Stuart A. 2; Hannan, Timothy H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; 2: Graduate School of Business Administration, University of Southern California, Los Angeles, California.; Issue Info: Nov1994, Vol. 9 Issue 3, p263; Thesaurus Term: MORTGAGE loans; Thesaurus Term: RACE discrimination in mortgage loans; Thesaurus Term: FINANCIAL services industry; Thesaurus Term: LOANS; Subject Term: NEIGHBORHOODS; Subject Term: CITIES & towns; Author-Supplied Keyword: Default; Author-Supplied Keyword: discrimination; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 32p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17325826&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simon, David P. T1 - THE TREASURY'S EXPERIMENT WITH SINGLE-PRICE AUCTIONS IN THE MID-1970S: WINNER'S OR TAXPAYER'S CURSE? JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1994/11// VL - 76 IS - 4 M3 - Article SP - 754 EP - 760 PB - MIT Press SN - 00346535 AB - This study examines the Treasury's experiment with single-price bond auctions in the mid-1970s and finds that controlling for factors unrelated to auction technique, markups of auction average rates over when-issued rates shortly after auctions were a statistically significant seven to eight basis points higher at single-price auctions than at discriminating-price auctions. These results suggest that single-price auctions raised Treasury borrowing costs by roughly 3/4% of the issuing price of auctioned securities. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BONDS (Finance) KW - COMMERCE KW - LOANS KW - SECURITIES KW - AUCTIONS KW - FINANCIAL instruments KW - CAPITAL market KW - SECURITIES -- Taxation KW - INVESTMENTS N1 - Accession Number: 5634410; Simon, David P. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Nov94, Vol. 76 Issue 4, p754; Thesaurus Term: BONDS (Finance); Thesaurus Term: COMMERCE; Thesaurus Term: LOANS; Thesaurus Term: SECURITIES; Thesaurus Term: AUCTIONS; Thesaurus Term: FINANCIAL instruments; Thesaurus Term: CAPITAL market; Thesaurus Term: SECURITIES -- Taxation; Thesaurus Term: INVESTMENTS; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5634410&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bartelsman, Eric J. AU - Caballero, Ricardo J. AU - Lyons, Richard K. T1 - Customer- and Supplier-Driven Externalities. JO - American Economic Review JF - American Economic Review Y1 - 1994/09// VL - 84 IS - 4 M3 - Article SP - 1075 EP - 1084 PB - American Economic Association SN - 00028282 AB - This article focuses on customer- and supplier-driven externalities. It aims to provide empirical evidence helpful for distinguishing different types of externalities. The authors obtain three results. First, from the "within" estimates (using annual data), which emphasize the time-series properties common across sectors, they find a strong reduced-form relationship between industry productivity and the activity level (input growth) of customers. In sharp contrast, supplier activity levels are insignificant. The second result derives from "between" estimates, which emphasize the cross-sectional dimension of the data. Here, they find the opposite is true: there is a strong reduced-form relationship between industry productivity and the activity level of suppliers, but no relationship with customer activity levels. We interpret the first two results as suggesting that over shorter horizons the linkage between an industry and its customers is pivotal in the transmission of external effects, while in the long run external effects are mostly related to intermediate goods linkages. The third result concerns the transition from short to long run. The authors find that as the number of periods over which the variables are averaged is incrementally increased from one year toward the full sample period (27 years), the significance of customers versus suppliers smoothly reverses itself. The remainder of the paper is organized in four sections. Section I presents the core model and the econometric methods for disentangling the external effects; Section II describes the data and estimation; Section III presents the main results; and conclusions are presented in Section IV. KW - EXTERNALITIES (Economics) KW - INDUSTRIAL productivity KW - SUPPLIERS KW - CONSUMERS KW - ECONOMIC activity N1 - Accession Number: 9410250176; Bartelsman, Eric J. 1; Caballero, Ricardo J. 2,3; Lyons, Richard K. 3,4; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551; 2: Department of Economics, Massachusetts Institute of Technology, Cambridge, MA 02139; 3: NBER; 4: Haas School of Business, University of California, Berkeley, CA 94270; Issue Info: Sep94, Vol. 84 Issue 4, p1075; Thesaurus Term: EXTERNALITIES (Economics); Thesaurus Term: INDUSTRIAL productivity; Thesaurus Term: SUPPLIERS; Thesaurus Term: CONSUMERS; Thesaurus Term: ECONOMIC activity; Number of Pages: 10p; Illustrations: 1 Chart, 4 Graphs; Document Type: Article; Full Text Word Count: 4388 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9410250176&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Marquis, Milton H. AU - Reffett, Kevin L. T1 - NEW TECHNOLOGY SPILLOVERS INTO THE PAYMENT SYSTEM. JO - Economic Journal JF - Economic Journal Y1 - 1994/09// VL - 104 IS - 426 M3 - Article SP - 1123 EP - 1138 PB - Wiley-Blackwell SN - 00130133 AB - In modern economies, multiple means of payment associated with the exchange of goods coexist. This paper examines one such payment system in an economy with endogenous technological change. It consists of money and a costly accounting system that receives spillovers from new technologies. Positive nominal interest rates are shown to produce welfare losses by inducing a reallocation of human capital into the payment system, and out of the production of final goods and new knowledge. The former substitution produces level effects on output and the latter produces growth effects. At higher levels of inflation, these marginal effects are seen to be weaker. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Journal is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TECHNOLOGICAL innovations KW - PAYMENT systems KW - ACCOUNTING KW - MONEY KW - INTEREST rates KW - INFLATION (Finance) KW - HUMAN capital N1 - Accession Number: 9501121467; Marquis, Milton H. 1,2; Reffett, Kevin L. 1,2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: Florida State University; Issue Info: Sep94, Vol. 104 Issue 426, p1123; Thesaurus Term: TECHNOLOGICAL innovations; Thesaurus Term: PAYMENT systems; Thesaurus Term: ACCOUNTING; Thesaurus Term: MONEY; Thesaurus Term: INTEREST rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: HUMAN capital; NAICS/Industry Codes: 541219 Other Accounting Services; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 16p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9501121467&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Benson, Bruce L. AU - Faminow, Merle D. AU - Marquis, Milton H. AU - Sauer, Douglas G. T1 - The impact of provincial marketing boards on price relations and pricing dynamics in the North American slaughter hog market. JO - Applied Economics JF - Applied Economics Y1 - 1994/07// VL - 26 IS - 7 M3 - Article SP - 677 PB - Routledge SN - 00036846 AB - Canadian provincial hog marketing boards act as sales agents for hog producers. The hypothesis that the introduction of marketing boards in Alberta, Manitoba and Saskatchewan between 1969 and 1972 created seller side market power is tested and supported: their hog prices rose to levels comparable to Ontario where a marketing board had been in place. Organized sellers can also influence pricing dynamics because of the linked spatial oligopsonistic nature of the hog packing industry. Cointegration tests and variance decompositions indicate that establishing boards in the surplus producing western provinces made them relatively less isolated from pricing innovations in deficit producing eastern Canada. [ABSTRACT FROM AUTHOR] AB - Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MARKETING boards KW - TARGET marketing KW - MARKETING KW - PRICES KW - OLIGOPOLIES KW - INDUSTRIES KW - SWINE KW - DECOMPOSITION (Chemistry) KW - CANADA N1 - Accession Number: 9410122748; Benson, Bruce L. 1; Faminow, Merle D. 2; Marquis, Milton H. 3; Sauer, Douglas G. 4; Affiliations: 1: Department of Economics, Florida State University, Tallahassee, Florida 32306, USA.; 2: Department of Agricultural Economics and Farm Management, University of Manitoba, Winnipeg, Manitoba, Canada, R3T 2N2.; 3: Board of Governors of the Federal Reserve System, 20th and Constitution Avenue, NW Mail Stop 75, Washington DC 20551, USA.; 4: Department of Economics, Boise State University, 1910 University Drive, Boise, Idano 83706, USA.; Issue Info: Jul1994, Vol. 26 Issue 7, p677; Thesaurus Term: MARKETING boards; Thesaurus Term: TARGET marketing; Thesaurus Term: MARKETING; Thesaurus Term: PRICES; Thesaurus Term: OLIGOPOLIES; Thesaurus Term: INDUSTRIES; Subject Term: SWINE; Subject Term: DECOMPOSITION (Chemistry); Subject: CANADA; NAICS/Industry Codes: 424520 Livestock Merchant Wholesalers; NAICS/Industry Codes: 411110 Live animal merchant wholesalers; NAICS/Industry Codes: 112210 Hog and Pig Farming; Number of Pages: 12p; Illustrations: 6 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9410122748&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Montgomery, Edward AU - Stockton, David T1 - Evidence on the Causes of the Rising Dispersion of Relative Wages. JO - Industrial Relations JF - Industrial Relations Y1 - 1994/04// VL - 33 IS - 2 M3 - Article SP - 206 EP - 228 PB - Wiley-Blackwell SN - 00198676 AB - In this paper, a neoclassical model of interindustry wage dispersion is derived and used to examine explicitly the fundamental role of micro-economic variables in determining relative wage movements. The empirical results demonstrate that the variance of labor quality and capital intensities across sectors are the primary determinants of the movement of the dispersion of relative wages within the manufacturing sector in the postwar period. Although the relative wage structure exhibits some response to unemployment, it is not sensitive to changes in inflation. The macro variables were also of limited quantitative importance in explaining changes in the relative wage structure. KW - WAGES KW - INFLATION (Finance) KW - UNEMPLOYMENT KW - CAPITAL intensity KW - LABOR KW - MANUFACTURING industries N1 - Accession Number: 9406280843; Montgomery, Edward 1; Stockton, David 2; Affiliations: 1: Department of Economics, University of Maryland, College Park, MD.; 2: Board of Governors of the Federal Reserve System, Research Division, Washington, DC.; Issue Info: Apr94, Vol. 33 Issue 2, p206; Thesaurus Term: WAGES; Thesaurus Term: INFLATION (Finance); Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: CAPITAL intensity; Thesaurus Term: LABOR; Thesaurus Term: MANUFACTURING industries; Number of Pages: 23p; Illustrations: 5 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9406280843&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fenn, George W. AU - Cole, Rebel A. T1 - Announcements of asset-quality problems and contagion effects in the life insurance industry. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1994/04// VL - 35 IS - 2 M3 - Article SP - 181 EP - 198 SN - 0304405X AB - We investigate contagion effects in the stock returns of life insurance companies at the time of announcements by First Executive and Travelers of significant problems in their investment portfolios. We first demonstrate that investments in junk bonds or commercial mortgages are important for the shareholder wealth effects of other life insurance companies. We then directly link the shareholder wealth effects to characteristics of firms' customers. Our evidence shows that effects on shareholder wealth are larger for companies with significant junk bond/commercial mortgage assets and readily mobile customers as represented by guaranteed investment contracts (GICs). [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKS (Finance) -- Rate of return KW - LIFE insurance companies KW - PORTFOLIO management (Investments) KW - JUNK bonds KW - STOCKHOLDERS KW - GUARANTEED investment contracts KW - CONTAGIOUS distributions KW - Contagion KW - Disintermediation KW - Life insurance KW - Writedown N1 - Accession Number: 12243077; Fenn, George W. 1; Cole, Rebel A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Apr94, Vol. 35 Issue 2, p181; Thesaurus Term: STOCKS (Finance) -- Rate of return; Thesaurus Term: LIFE insurance companies; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: JUNK bonds; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: GUARANTEED investment contracts; Subject Term: CONTAGIOUS distributions; Author-Supplied Keyword: Contagion; Author-Supplied Keyword: Disintermediation; Author-Supplied Keyword: Life insurance; Author-Supplied Keyword: Writedown; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 524113 Direct Life Insurance Carriers; NAICS/Industry Codes: 524112 Direct group life, health and medical insurance carriers; NAICS/Industry Codes: 524111 Direct individual life, health and medical insurance carriers; Number of Pages: 18p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12243077&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Crabbe, Leland AU - Post, Mitchell A. T1 - The Effect of a Rating Downgrade on Outstanding Commercial Paper. JO - Journal of Finance JF - Journal of Finance Y1 - 1994/03// VL - 49 IS - 1 M3 - Article SP - 39 EP - 56 PB - Wiley-Blackwell SN - 00221082 AB - Diamond (1991) argues that a firm's reputation determines whether it borrows directly or through an intermediary. We test the Diamond model by examining the quantity response of commercial paper issued by bank holding companies to a rating downgrade. From 1986 to 1991, cumulative abnormal declines averaged 6.69 percent in the first two weeks after the downgrade and 11.05 percent in the subsequent 12 weeks. In contrast to commercial paper issued by bank holding companies, large CDs issued by affiliated banks did not change significantly in the period around a downgrade, suggesting that deposit insurance may have removed market discipline from the CD market. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SHORT-term business financing KW - COMMERCIAL paper issues KW - CREDIT ratings KW - CERTIFICATES of deposit KW - INTERMEDIATION (Finance) KW - BANK holding companies KW - CAPITAL structure KW - COMMERCIAL credit KW - SHORT-term debt KW - REPUTATION (Sociology) N1 - Accession Number: 9501110590; Crabbe, Leland 1; Post, Mitchell A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics; Issue Info: Mar1994, Vol. 49 Issue 1, p39; Thesaurus Term: SHORT-term business financing; Thesaurus Term: COMMERCIAL paper issues; Thesaurus Term: CREDIT ratings; Thesaurus Term: CERTIFICATES of deposit; Thesaurus Term: INTERMEDIATION (Finance); Thesaurus Term: BANK holding companies; Thesaurus Term: CAPITAL structure; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: SHORT-term debt; Subject Term: REPUTATION (Sociology); NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 561450 Credit Bureaus; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 523910 Miscellaneous Intermediation; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 18p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9501110590&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fergus, James T. AU - Goodman Jr., John L. T1 - The 1989-92 Credit Crunch for Real Estate: A Retrospective. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1994///Spring94 VL - 22 IS - 1 M3 - Article SP - 5 EP - 32 PB - Wiley-Blackwell SN - 10678433 AB - This study surveys a broad range of information to establish the degree to which real estate lending and construction activity decreased in the 1989–92 period owing to a ‘credit crunch.’ It reviews the conditions that led up to the contraction in mortgage lending and construction and then documents the extent to which the evidence is consistent with a credit crunch in lending for residential and nonresidential construction, permanent financing of income properties, and residential mortgage lending. Also, this study weighs the relative importance of the credit crunch and other factors that contributed to the falloff in real estate lending and contrasts the recent period with earlier credit crunch episodes. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - REAL property KW - HOME ownership KW - MORTGAGE loans KW - BANK loans KW - HOUSING -- Finance KW - BUSINESS cycles KW - BUSINESS forecasting N1 - Accession Number: 9502031971; Fergus, James T. 1; Goodman Jr., John L. 1; Affiliations: 1: Division of Research and Statistics. Board of Governors of the Federal Reserve System, Washington. D.C. 20551; Issue Info: Spring94, Vol. 22 Issue 1, p5; Thesaurus Term: REAL property; Thesaurus Term: HOME ownership; Thesaurus Term: MORTGAGE loans; Thesaurus Term: BANK loans; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: BUSINESS cycles; Thesaurus Term: BUSINESS forecasting; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531190 Lessors of Other Real Estate Property; Number of Pages: 28p; Illustrations: 6 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9502031971&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hancock, Diana AU - Wilcox, James A. T1 - Bank Capital and the Credit Crunch: The Roles of Risk-Weighted and Unweighted Capital Regulations. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1994///Spring94 VL - 22 IS - 1 M3 - Article SP - 59 EP - 94 PB - Wiley-Blackwell SN - 10678433 AB - We investigated whether in recent years banks have increased their holdings of securities at the expense of their holdings of business loans in response to shortfalls of their capital relative lo risk-weighted capital standards and relative to a capital standard that made no explicit allowance for credit risk. We estimated that bank credit fell by about $4.50 for each $1 that a bank's capital fell short of the unweighted capital standard. Banks that had less capital than required by the risk-weighted standard appear to have shifted away from assets with low risk weights (securities and single-family mortgages) and to have shifted toward assets with higher risk weights (commercial real estate and commercial and industrial loans). When we included both shortfall variables in a regression, shortfalls relative lo the unweighted capital standard significantly affected bank credit, while shortfalls of capital relative lo the risk-weighted standard did not. We found no significant effects of capital shortfalls at other, local-competitor banks on bank portfolios. Delinquencies in a given category of a bank's loans generally had significantly negative effects on that bank's holdings of loans in that category. In contrast, banks tended to increase holdings of loans in categories in which local-competitor banks were experiencing higher delinquency rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL investments KW - BANK capital KW - MORTGAGES KW - MORTGAGE banks KW - HOUSING -- Finance KW - BANK loans KW - BANKING industry N1 - Accession Number: 9502031975; Hancock, Diana 1; Wilcox, James A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Mail Stop 188, Washington, D.C. 20551; 2: University of California-Berkeley, Berkeley, California 94720; Issue Info: Spring94, Vol. 22 Issue 1, p59; Thesaurus Term: CAPITAL investments; Thesaurus Term: BANK capital; Thesaurus Term: MORTGAGES; Thesaurus Term: MORTGAGE banks; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: BANK loans; Thesaurus Term: BANKING industry; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 36p; Illustrations: 5 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9502031975&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Cole, Rebel A. AU - McKenzie, Joseph A. T1 - Thrift Asset-Class Returns and the Efficient Diversification of Thrift Institution Portfolios. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1994///Spring94 VL - 22 IS - 1 M3 - Article SP - 95 EP - 116 PB - Wiley-Blackwell SN - 10678433 AB - We estimate quarterly return series from March 1984 through December 1989 for 10 classes of thrift assets using the statistical cost-accounting methodology of Hester and Zoellner (1966). We then use these return series to estimate mean-variance efficient frontiers for all thrifts, for thrifts that were well capitalized two years earlier and for thrifts that were insolvent two years earlier. Our results show that neither the asset restrictions existing before nor those in effect after passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989 would have prevented thrifts from reaching most of the portfolios along the efficient frontier. The actual portfolio chosen by well-capitalized thrifts is close to the estimated efficient frontier, while the actual portfolio chosen by insolvent thrifts is located far from the frontier in the high-risk end of investment space. These findings, coupled with the high proportion of nontraditional assets in the actual portfolio chosen by insolvent thrifts, support the hypothesis that moral hazard induced thrifts to take on investments that were excessively risky from the deposit insurer's point of view. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAVING & investment KW - ASSETS (Accounting) KW - ACCOUNTS receivable KW - FINANCIAL institutions KW - BANKING industry KW - THRIFT institutions N1 - Accession Number: 9502031976; Cole, Rebel A. 1; McKenzie, Joseph A. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; 2: Federal Housing Finance Board, 1777 F Street, N.W., Washington, D.C. 20006; Issue Info: Spring94, Vol. 22 Issue 1, p95; Thesaurus Term: SAVING & investment; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: ACCOUNTS receivable; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: BANKING industry; Thesaurus Term: THRIFT institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 22p; Illustrations: 4 Charts, 3 Cartoon or Caricatures; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9502031976&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simon, David P. T1 - Markups, quantity risk, and bidding strategies at strategies coupon auctions. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1994/02// VL - 35 IS - 1 M3 - Article SP - 43 EP - 62 SN - 0304405X AB - This study uses intraday when-issued rate quotes to examine the rewards and risks of the Treasury coupon auctions for bidders who face different tradeoffs between the winner's curse and quantity risk. The data indicate that markups of auction average rates over bid when-issued rates at auction times average ⅜ basis point. I also find that when-issued rates react as strongly to bidding aggressiveness at auctions before the auction results are announced as they do afterward, and that quantity risk is as important as the winner's curse. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TREASURY bills KW - AUCTIONS KW - GOVERNMENT securities KW - BIDDERS KW - MARKUP KW - RISK assessment KW - Treasury auctions N1 - Accession Number: 12249435; Simon, David P. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Feb94, Vol. 35 Issue 1, p43; Thesaurus Term: TREASURY bills; Thesaurus Term: AUCTIONS; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: BIDDERS; Thesaurus Term: MARKUP; Thesaurus Term: RISK assessment; Author-Supplied Keyword: Treasury auctions; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12249435&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Engen, Eric M. AU - Gale, William G. AU - Scholz, John Karl T1 - Do Saving Incentives Work? JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1994/01// IS - 1 M3 - Article SP - 85 EP - 180 PB - Brookings Institution Press SN - 00072303 AB - This article examines the effects of saving incentives on private and national saving in the U.S. A wide variety of saving incentive options are available. Individual retirement accounts were established in 1974 for workers without pensions and featured tax-deductible contributions up to an annual limit, tax-free accrual of interest, and penalties for early withdrawal of funds. In 1981, eligibility was extended to all workers and the limits were raised to their current levels. Meanwhile, tax-free accrual of interest can create significantly higher rates of return. The tax deductibility of contributions to a saving incentive account may also provide a tax advantage. The advantage of contributing to a saving incentive plan relative to conventional saving depends on the holding period. Moreover, borrowing to finance contributions to a saving incentive account is profitable if the after-tax return on the contribution exceeds the aftertax cost of borrowing. Further, it is possible that personal saving in the 1980 could have fallen even further in the absence of saving incentive plans. Nevertheless, it is difficult to conclude from the aggregate data that changes in saving incentives were an important influence on saving behavior in the 1980s. KW - PENSIONS KW - INDIVIDUAL retirement accounts KW - EMPLOYEES KW - RATE of return KW - UNITED States N1 - Accession Number: 9409062994; Engen, Eric M. 1; Gale, William G. 2; Scholz, John Karl 3; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: The Brookings Institution; 3: University of Wisconsin, Madison; Issue Info: 1994, Issue 1, p85; Thesaurus Term: PENSIONS; Thesaurus Term: INDIVIDUAL retirement accounts; Thesaurus Term: EMPLOYEES; Thesaurus Term: RATE of return; Subject: UNITED States; NAICS/Industry Codes: 526111 Trusteed pension funds; Number of Pages: 96p; Illustrations: 17 Charts, 5 Graphs; Document Type: Article; Full Text Word Count: 36411 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9409062994&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Faust, Jon AU - Tryon, Ralph AD - Unlisted AD - Unlisted T1 - A distributed block approach to solving near-block-diagonal systems with an application to a large macroeconometric model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 488 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700582; Keywords: Econometric models ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700582&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Akhavein, Jalal D. AU - Taubman, Stephen B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - A general method of deriving the efficiencies of banks from a profit function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-11 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699826; Keywords: Bank profits ; Bank management; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699826&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Madigan, Brian AU - Stehm, Jeff AD - Unlisted AD - Unlisted T1 - An overview of the secondary market for U.S. Treasury securities in London and Tokyo PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-17 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699824; Keywords: Government securities ; London (England) ; Secondary markets ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699824&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquis, Milton H. AU - Einarsson, Tor AD - Unlisted AD - Unlisted T1 - An RBC model with growth: the role of human capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-33 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699821; Keywords: Business cycles ; Labor market ; Human capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699821&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John G. AD - Unlisted AD - Unlisted T1 - Are apparent productive spillovers a figment of specification error? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 463 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700562; Keywords: Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700562&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Brunner, Allan D. AD - Unlisted AD - Unlisted T1 - Are banks market timers or market makers? Explaining foreign exchange trading profits PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 484 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700578; Keywords: Bank profits ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700578&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Collins, Sean S. AU - Mack, Phillip R. AD - Unlisted AD - Unlisted T1 - Avoiding runs in money market mutual funds: have regulatory reforms reduced the potential for a crash? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-14 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699828; Keywords: Money market funds ; Mutual funds; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699828&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leahy, Michael P. AD - Unlisted T1 - Bank positions and forecasts of exchange rate movements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 486 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700580; Keywords: Forecasting ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700580&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - Bank scale economies, mergers, concentration, and efficiency: the U.S. experience PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-23 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699815; Keywords: Banks and banking - Costs ; Banking structure ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699815&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AU - Nguyen, Hien H. AD - Unlisted AD - Unlisted T1 - Capital market imperfections and the incentive to lease PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-5 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699807; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699807&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Conditional and structural error correction models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 487 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700575; Keywords: Econometric models ; Vector autoregression; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700575&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Basu, Susanto AU - Fernald, John G. AD - Unlisted AD - Unlisted T1 - Constant returns and small markups in U.S. manufacturing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 483 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700574; Keywords: Productivity ; Manufactures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700574&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schnure, Calvin D. AD - Unlisted T1 - Debt maturity choice and risk-free assets: the 'clientele effect' and the commercial paper market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-4 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699806; Keywords: Commercial paper issues ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699806&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AU - Kamin, Steven B. AD - Unlisted AD - Unlisted T1 - Determinants of the 1991-93 Japanese recession: evidence from a structural model of the Japanese economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 479 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700581; Keywords: Japan ; Recessions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700581&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Baily, Martin N. AU - Bartelsman, Eric J. AU - Haltiwanger, John AD - Unlisted AD - Unlisted AD - Unlisted T1 - Downsizing and productivity growth: myth or reality? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-7 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699809; Keywords: Downsizing of organizations ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699809&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - O'Brien, James AU - Orphanides, Athanasios AU - Small, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estimating the interest rate sensitivity of liquid retail deposit values PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-15 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699829; Keywords: Bank deposits ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699829&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Kole, Linda S. AD - Unlisted AD - Unlisted T1 - European monetary arrangements: implications for the dollar, exchange rate variability and credibility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 468 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700567; Keywords: European Monetary System (Organization) ; Foreign exchange rates ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700567&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Galetovic, Alexander AD - Unlisted T1 - Finance and growth: a synthesis and interpretation of the evidence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 477 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700585; Keywords: Economic development ; Financial services industry; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700585&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bryson, Jay H. AD - Unlisted T1 - Fiscal policy coordination and flexibility under European Monetary Union: implications for macroeconomic stabilization PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 467 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700566; Keywords: European Monetary System (Organization) ; Fiscal policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700566&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AD - Unlisted T1 - Health insurance and precautionary saving PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-10 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699802; Keywords: Insurance, Health ; Wealth; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699802&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AD - Unlisted T1 - How long do junk bonds spend in default? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-16 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699823; Keywords: Bankruptcy ; Bonds; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699823&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - Idiosyncratic variation of Treasury bill yields PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-28 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699832; Keywords: Treasury bills; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699832&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Freeman, Richard T. AD - Unlisted AD - Unlisted T1 - Inflation targeting in the 1990s: the experiences of New Zealand, Canada, and the United Kingdom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 473 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700583; Keywords: Inflation (Finance) ; New Zealand ; Canada ; Great Britain; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700583&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AD - Unlisted T1 - Inflation, inflation risk, and stock returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 464 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700563; Keywords: Inflation (Finance) ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700563&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Obstfeld, Maurice AD - Unlisted T1 - International capital mobility in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 472 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700571; Keywords: Capital movements; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700571&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Karen H. AD - Unlisted T1 - International dimension of European Monetary Union: implications for the dollar PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 469 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700568; Keywords: Monetary unions - European Union countries ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700568&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helkie, William L. AU - Howard, David H. AU - Marquez, Jaime AD - Unlisted AD - Unlisted AD - Unlisted T1 - International economic implications of the end of the Soviet Union PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 470 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700569; Keywords: International economic relations ; Russia; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700569&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eaton, Jonathan AU - Kortum, Samuel AD - Unlisted AD - Unlisted T1 - International patenting and technology diffusion PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-35 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699822; Keywords: Technology ; Patents; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699822&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AU - Liang, Nellie AD - Unlisted AD - Unlisted T1 - Is there a pecking order? Evidence from a panel of IPO firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-22 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699830; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699830&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hall, Alastair R. AU - Rudebusch, Glenn D. AU - Wilcox, David W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Judging instrument relevance in instrumental variables estimation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-3 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699805; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699805&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Calomiris, Charles W. AU - Orphanides, Athanasios AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Leverage as a state variable for employment, inventory accumulation, and fixed investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-24 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699816; Keywords: Employment (Economic theory) ; Inventories ; Financial leverage; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699816&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bowman, David AU - Minehart, Deborah AU - Rabin, Matthew AD - Unlisted AD - Unlisted AD - Unlisted T1 - Loss aversion in a consumption/savings model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 492 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700591; Keywords: Consumption (Economics) ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700591&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McManus, Douglas A. AD - Unlisted T1 - Making the Cobb-Douglas functional form an efficient nonparametric estimator through localization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-31 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699833; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699833&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McManus, Douglas A. AD - Unlisted T1 - Measuring scale and scope economies in banking using the localized translog functional form PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-30 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699819; Keywords: Econometrics ; Economies of scale; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699819&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - On measuring credit risks of derivative instruments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-27 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699818; Keywords: Derivative securities ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699818&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AU - Akbarian, Dara AD - Unlisted AD - Unlisted T1 - On risk, rational expectations, and efficient asset markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 478 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700586; Keywords: Rational expectations (Economic theory) ; Risk ; Information theory ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700586&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AD - Unlisted T1 - On the dynamic properties of asymmetric models of real GNP PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 489 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700588; Keywords: Gross national product; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700588&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Optimal bank portfolios and the credit crunch PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-19 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699812; Keywords: Bank capital ; Bank investments ; Credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699812&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquis, Milton H. AU - Einarsson, Tor AD - Unlisted AD - Unlisted T1 - Optimal disinflation paths when growth is endogenous PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-32 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699820; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699820&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Optimal reform postponement PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-25 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699817; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699817&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carey, Mark S. AD - Unlisted T1 - Partial market value accounting, bank capital, volatility, and bank risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-21 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699814; Keywords: Bank capital ; Risk ; Financial Accounting Standards Board; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699814&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Aizcorbe, Ana M. AD - Unlisted T1 - Plant shutdowns, compositional effects, and procyclical labor productivity: the stylized facts for auto assembly plants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-13 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699827; Keywords: Labor productivity ; Plant shutdowns; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699827&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Politics, economics and investment: explaining plant and equipment spending by U.S. direct investors in Argentina, Brazil, and Mexico PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 490 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700589; Keywords: Investments ; Political science ; Argentina ; Brazil ; Mexico; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700589&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AU - Dhrymes, Phoebus J. AD - Unlisted AD - Unlisted T1 - Productivity dynamics: U.S. manufacturing plants, 1972-1986 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-1 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699801; Keywords: Manufactures ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699801&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Rents and quasi-rents in the wage structure: evidence from hostile takeovers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-6 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699808; Keywords: Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699808&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hess, Gregory D. AU - Orphanides, Athanasios AD - Unlisted AD - Unlisted T1 - Taxation and intergenerational transfers with family size heterogeneity: do parents with more children prefer higher taxes? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-8 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699810; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699810&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dekle, Robert AD - Unlisted T1 - Technological progress and endogenous capital depreciation: evidence from the U.S. and Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 485 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700577; Keywords: Saving and investment ; Capital ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700577&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mendoza, Enrique G. AD - Unlisted T1 - Terms-of-trade uncertainty and economic growth: are risk indicators significant in growth regressions? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 491 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700590; Keywords: Economic development ; Regression analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700590&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - The constancy of illusions or the illusion of constancies: income and price elasticities for U.S. imports, 1890-1992 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 475 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700587; Keywords: Imports ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700587&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Pereira, Alfredo AD - Unlisted AD - Unlisted T1 - The debt crisis: lessons of the 1980's for the 1990's PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 481 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700576; Keywords: Capital ; Debt; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700576&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leahy, Michael P. AD - Unlisted T1 - The dollar as an official reserve currency under EMU PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 474 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700572; Keywords: Monetary unions - European Union countries ; European currency unit ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700572&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loungani, Prakash AU - Rush, Mark AD - Unlisted AD - Unlisted T1 - The effect of changes in reserve requirements on investment and GNP PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 471 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700570; Keywords: Bank reserves ; Gross national product; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700570&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, Joe AU - Mattey, Joe AD - Unlisted AD - Unlisted T1 - The effects of general inflation and idiosyncratic cost shocks on within-commodity price dispersion: evidence from microdata PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-12 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699803; Keywords: Microeconomics ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699803&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Hannan, Timothy H. AD - Unlisted AD - Unlisted T1 - The efficiency cost of market power in the banking industry: a test of the 'quiet life' and related hypotheses PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-36 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699836; Keywords: Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699836&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Leusner, John H. AU - Mingo, John AD - Unlisted AD - Unlisted AD - Unlisted T1 - The efficiency of bank branches PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-26 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699831; Keywords: Branch banks; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699831&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kodres, Laura E. AD - Unlisted T1 - The existence and impact of destabilizing positive feedback traders: evidence from the S&P 500 Index futures market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-9 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699811; Keywords: Futures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699811&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AD - Unlisted T1 - The federal funds rate and the implementation of monetary policy: estimating the Federal Reserve's reaction function PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 466 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700565; Keywords: Federal funds market (United States) ; Monetary policy - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700565&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon G. AU - Bernanke, Ben AU - Gertler, Mark AD - Unlisted AD - Unlisted AD - Unlisted T1 - The financial accelerator and the flight to quality PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-18 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699825; Keywords: Business cycles ; Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699825&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Davies, Sally M. AD - Unlisted AD - Unlisted T1 - The information content of bank examinations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-20 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699813; Keywords: Bank supervision ; Bank examination; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699813&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hess, Gregory D. AU - Jones, Christopher S. AU - Porter, Richard D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The predictive failure of the Baba, Hendry and Starr model of the demand for M1 in the United States PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-34 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699834; Keywords: Time-series analysis ; Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699834&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Klein, Michael AD - Unlisted AD - Unlisted T1 - The real exchange rate and fiscal policy during the gold standard period: evidence from the United States and Great Britain PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 482 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700573; Keywords: Foreign exchange rates - Gt. Britain ; Gold standard; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700573&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - The relationship between capital and earnings in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-2 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699804; Keywords: Bank capital ; Bank profits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699804&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lumpkin, Stephen A. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Thrift stock returns and balance sheet interest rate sensitivity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94-29 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699835; Keywords: Banks and banking - Accounting ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699835&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lee, Jong-Wha AU - Swagel, Phillip AD - Unlisted AD - Unlisted T1 - Trade barriers and trade flows across countries and industries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 476 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700584; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700584&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Gagnon, Joseph E. AU - Melick, William R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 465 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700564; Keywords: Foreign exchange ; Purchasing power; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700564&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AU - Leeper, Eric M. AD - Unlisted AD - Unlisted T1 - When do long-run identifying restrictions give reliable results? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 462 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700561; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700561&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Craig, R. Sean AD - Unlisted T1 - Who will join EMU? Impact of the Maastricht convergence criteria on economic policy choice and performance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 480 Y1 - 1994/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700579; Keywords: Monetary unions - European Union countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700579&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Brunner, Allan D. T1 - Comment on INFLATION REGIMES AND THE SOURCES OF INFLATION UNCERTAINTY. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1993/08/02/Aug1993 Part 2 VL - 25 IS - 3 M3 - Article SP - 512 EP - 514 PB - Ohio State University Press SN - 00222879 AB - The article comments on the paper "Inflation Regimes and Sources of Inflation Uncertainty," by Martin Evans and Paul Wachtel. It presents an evaluation of the model developed in the study as well as suggestions for future study. The author feels Evans and Wachtel attempt to address some important deficiencies regarding inflationary dynamics through a simple time series model of inflation. The model is used to form forecasts of inflationary expectations, which are then examined to determine if uncertainty about these forecasts explains uncertainty about economic activity. KW - INFLATION (Finance) KW - ECONOMIC forecasting KW - ECONOMIC activity KW - ECONOMIC indicators KW - BUSINESS cycles KW - MATHEMATICAL models N1 - Accession Number: 9594593; Brunner, Allan D. 1; Affiliations: 1: Economist in the Division of Monetary Affairs, Board of Governors of the Federal Reserve System.; Issue Info: Aug1993 Part 2, Vol. 25 Issue 3, p512; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMIC activity; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: BUSINESS cycles; Thesaurus Term: MATHEMATICAL models; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9594593&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wilcox, David W. T1 - Comment on THE WELFARE GAIN FROM THE INTRODUCTION OF INDEXED BONDS. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1993/08/02/Aug1993 Part 2 VL - 25 IS - 3 M3 - Article SP - 632 EP - 635 PB - Ohio State University Press SN - 00222879 AB - The article comments on the paper "The Welfare Gain from the Introduction of Indexed Bonds," by Alan D. Viard. The author praises the contribution of the paper regarding the portfolio management and consumption behavior of consumers in, and out, of indexed-bond markets. Viard concludes that the welfare gains from introducing trading in indexed bonds would be extremely small. Despite this, the author believes indexed-bonds still have some value because there is evidence households are operating far from the constrained optimum. KW - BONDS (Finance) KW - ECONOMIC models KW - CONSUMPTION (Economics) KW - SECURITIES KW - ECONOMETRICS KW - UNITED States N1 - Accession Number: 9594754; Wilcox, David W. 1; Affiliations: 1: Economist, Division of Monetary Affairs, Board of Governors of the Federal Reserve System.; Issue Info: Aug1993 Part 2, Vol. 25 Issue 3, p632; Thesaurus Term: BONDS (Finance); Thesaurus Term: ECONOMIC models; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: SECURITIES; Thesaurus Term: ECONOMETRICS; Subject: UNITED States; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9594754&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - West, Kenneth D. AU - Edison, Hali J. AU - Cho, Dongchul T1 - A utility-based comparison of some models of exchange rate volatility. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1993/08// VL - 35 IS - 1/2 M3 - Article SP - 23 SN - 00221996 AB - The article evaluates the out-of-sample performance of some univariate models for exchange rate volatility. The models considered include homoskedastic, GARCH, and non-parametric ones, as well as auto-regressions in both the absolute value and square of exchange rate changes. The metric used to compare the models is a utility-based one: How much would an investor with a mean-variance utility function, who uses the estimates of one of these models to divide her wealth between a pair of Eurodeposits, be willing to pay to use one model rather than another? Recent research on conditional volatility has established that for many financial variables, including exchange rates, squared changes that are large tend to be followed by squared changes that are also large. This empirical fact has stimulated a variety of formal statistical models. Since the relative merits of many of these models are as yet not well established, there is a need for systematic evaluation and comparison. Some previous authors have compared the out-of-sample performance of univariate models applied to stock price data. Using a mean squared error criterion, scholars Adrian R. Pagan and G. William Schwert found that GARCH and ARMA models are preferred to non-parametric and Markov switching ones, and scholar Vedat Akgiray that GARCH dominates naive and ARMA models. Using a criterion based on performance in a simulated market, scholar Robert F. Engle and others also found GARCH preferable to naive and ARMA models. KW - FOREIGN exchange rates KW - VOLATILITY (Finance) KW - MONETARY policy KW - CAPITALISTS & financiers KW - RISK KW - PAGAN, Adrian R. KW - SCHWERT, G. William KW - ENGLE, R. F. (Robert F.), 1942- N1 - Accession Number: 9312291409; West, Kenneth D. 1; Edison, Hali J. 2; Cho, Dongchul 3; Affiliations: 1: Department of Economics, University of Wisconsin, Madison, WI 53706, USA.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; 3: Department of Economics, Texas A&M University, College Station, TX 77843, USA.; Issue Info: Aug93, Vol. 35 Issue 1/2, p23; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: MONETARY policy; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: RISK; People: PAGAN, Adrian R.; People: SCHWERT, G. William; People: ENGLE, R. F. (Robert F.), 1942-; Number of Pages: 23p; Illustrations: 6 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9312291409&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Hunter, William C. AU - Timme, Stephen G. T1 - The efficiency of financial institutions: A review and preview of research past, present, and future. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1993/04// VL - 17 IS - 2/3 M3 - Article SP - 221 EP - 249 SN - 03784266 AB - The goals of this article are to assess the progress made on the topic of financial institution efficiency, based on research papers published as of April 1993. The areas of research were subdivided into six categories: scale and scope efficiencies in banking, X-efficiency in banking, efficiency implications of bank mergers, efficiency of thrifts and governmental financial institutions, efficiency of the insurance industry and the determinants of financial institution efficiency. For each category, the authors discussed the prior state of knowledge, summarize the contributions of the articles and suggests directions for future research. KW - INDUSTRIAL efficiency KW - FINANCIAL institutions KW - RESEARCH KW - BANKING industry KW - FINANCE N1 - Accession Number: 11478246; Berger, Allen N. 1; Email Address: mlanb00@fed.frb.gov; Hunter, William C. 2; Timme, Stephen G. 3; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Federal Reserve Bank of Atlanta, USA; 3: Georgia State University, USA; Issue Info: Apr93, Vol. 17 Issue 2/3, p221; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: RESEARCH; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 29p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478246&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bauer, Paul W. AU - Hancock, Diana T1 - The efficiency of the Federal Reserve in providing check processing services. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1993/04// VL - 17 IS - 2/3 M3 - Article SP - 287 EP - 311 SN - 03784266 AB - The efficiency and productivity of check processing offices of the U.S. Federal Reserve System were examined, using a variety of frontier estimation techniques. Although there is broad agreement among the techniques about the relative efficiency rankings of offices, the average level of efficiency varies considerably depending on the technique chosen. It was found out that measured cost inefficiency dominated scale efficiency. The authors did not find any evidence of significant technological progress over the main sample period. The results suggested that the estimate of the potential increase in efficiency is much more sensitive to the choice of frontier estimation technique. KW - CHECKS KW - ESTIMATION theory KW - BANKING industry KW - FINANCE KW - UNITED States N1 - Accession Number: 11478249; Bauer, Paul W. 1; Hancock, Diana 2; Affiliations: 1: Federal Reserve Bank of Cleveland, USA; 2: Board of Governors of the Federal Reserve System, USA; Issue Info: Apr93, Vol. 17 Issue 2/3, p287; Thesaurus Term: CHECKS; Thesaurus Term: ESTIMATION theory; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 25p; Illustrations: 5 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478249&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Hancock, Diana AU - Humphrey, David B. T1 - Bank efficiency derived from the profit function. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1993/04// VL - 17 IS - 2/3 M3 - Article SP - 317 EP - 347 SN - 03784266 AB - Both input and output inefficiencies were derived from a profit function for U.S. banks. These inefficiencies were decomposed into allocative and technical components in a new way using shadow prices. About half of all potential variable profits were estimated to be lost to inefficiency. Most inefficiencies were from deficient output revenues, rather than excessive input costs. Larger banks were found to be more efficient than smaller banks, which may offset scale diseconomies found elsewhere. Tests of a new concept, optimal scope economies. suggested that joint production is optimal for most banks, but that specialization is optimal for others. KW - INDUSTRIAL efficiency KW - INPUT-output analysis KW - PROFIT KW - BANKING industry KW - UNITED States N1 - Accession Number: 11478251; Berger, Allen N. 1; Email Address: mlanb00@fed.frb.gov; Hancock, Diana 1; Humphrey, David B. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; 2: Florida State University, USA; Issue Info: Apr93, Vol. 17 Issue 2/3, p317; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: INPUT-output analysis; Thesaurus Term: PROFIT; Thesaurus Term: BANKING industry; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 31p; Illustrations: 5 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478251&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Groton, Gary AU - Rosen, Richard T1 - Discussants' comments on Pi and Timme, Grabowski et al., and Färe and Primot. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1993/04// VL - 17 IS - 2/3 M3 - Article SP - 545 EP - 547 SN - 03784266 AB - The comments on the research papers 'Corporate control and bank efficiency,' by Lynn Pi and Stephen G. Timme, 'Organizational forms in banking: An empirical investigation of cost efficiency,' by Richard Grabowski et al., and 'Measuring the efficiency of multiunit banking: An activity analysis approach,' by Rolf Fare and Daniel Primont, were presented. It should be emphasized that all of the frontier techniques available in the literature calculate efficiency relative to the best practice frontier, not necessarily the true frontier. Thus, even the efficient observations don't necessarily lie on the true frontier. As a consequence , if all observations are inefficient, but equally so, so they will all lie relatively close to the best practice frontier. KW - FINANCE KW - RESEARCH KW - INDUSTRIAL efficiency KW - BANKING industry KW - COST analysis N1 - Accession Number: 11478272; Groton, Gary 1; Rosen, Richard 2; Affiliations: 1: The Wharton School, PA, USA; 2: Board of Governors of the Federal Reserve System, USA; Issue Info: Apr93, Vol. 17 Issue 2/3, p545; Thesaurus Term: FINANCE; Thesaurus Term: RESEARCH; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: BANKING industry; Thesaurus Term: COST analysis; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478272&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brunner, Allan D. AU - Hess, Gregory D. T1 - Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1993/04// VL - 11 IS - 2 M3 - Article SP - 187 EP - 197 SN - 07350015 AB - Milton Friedman proposed that there is a positive relationship between inflation and uncertainty about the future path of inflation. In contrast to previous studies of this hypothesis, we find strong statistical evidence that higher levels of inflation are less predictable, although innovations in inflation are somewhat better predictors of future volatility than the actual level of inflation. We argue that previous failures to find an inflation-uncertainty relationship are due to two factors. First, none of the previous work directly tested Friedman's hypothesis by including the level of inflation in the model of the conditional variance. Second, these studies also used symmetric models, which appears inconsistent with Friedman's hypothesis. Our results are robust to different sample periods and to assumptions about the presence of a unit root in inflation. To test the inflation-uncertainty hypothesis, we use state-dependent models (SDM's) of conditional moments to estimate the time-varying conditional variance of inflation. SDM's have three distinct advantages for this application: (1)They include the inflation rate in the model of the conditional variance, (2) they allow for asymmetric relationships, and (3) they nest several alternative, but symmetric, models such as ARCH, GARCH, and Rx models of conditional heteroscedasticity. For completeness, we compare our estimates of conditional variance to estimates using EGARCH models, an alternative to SDM models that also allows for asymmetric relationships but that does not nest ARCH, GARCH, and Rx models. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INFLATION (Finance) KW - TIME series analysis KW - ECONOMETRICS KW - ANALYSIS of variance KW - HETEROSCEDASTICITY KW - Conditional heteroscedasticity KW - Inflation uncertainty KW - State-dependent models N1 - Accession Number: 5825821; Brunner, Allan D. 1; Hess, Gregory D. 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Apr93, Vol. 11 Issue 2, p187; Thesaurus Term: INFLATION (Finance); Thesaurus Term: TIME series analysis; Thesaurus Term: ECONOMETRICS; Thesaurus Term: ANALYSIS of variance; Subject Term: HETEROSCEDASTICITY; Author-Supplied Keyword: Conditional heteroscedasticity; Author-Supplied Keyword: Inflation uncertainty; Author-Supplied Keyword: State-dependent models; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5825821&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Campbell, John H. AU - Ammer, John T1 - What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. JO - Journal of Finance JF - Journal of Finance Y1 - 1993/03// VL - 48 IS - 1 M3 - Article SP - 3 EP - 37 PB - Wiley-Blackwell SN - 00221082 AB - This paper uses a vector autoregressive model to decompose excess stock and 10-year bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess stock and bond returns. In monthly postwar U.S. data, stock and bond returns are driven largely by news about future excess stock returns and inflation, respectively. Real interest rates have little impact on returns, although they do affect the short-term nominal interest rate and the slope of the term structure. These findings help to explain the low correlation between excess stock and bond returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCKS (Finance) KW - BONDS (Finance) KW - DIVIDENDS KW - INFLATION (Finance) KW - MATHEMATICAL models KW - RATE of return KW - ECONOMIC forecasting KW - AUTOREGRESSION (Statistics) KW - VECTOR analysis KW - DECOMPOSITION (Mathematics) N1 - Accession Number: 4653256; Campbell, John H. 1; Ammer, John 2; Affiliations: 1: Woodrow Wilson School, Princeton University; 2: International Finance Division, Board of Governors of the Federal Reserve System; Issue Info: Mar1993, Vol. 48 Issue 1, p3; Thesaurus Term: STOCKS (Finance); Thesaurus Term: BONDS (Finance); Thesaurus Term: DIVIDENDS; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MATHEMATICAL models; Thesaurus Term: RATE of return; Thesaurus Term: ECONOMIC forecasting; Subject Term: AUTOREGRESSION (Statistics); Subject Term: VECTOR analysis; Subject Term: DECOMPOSITION (Mathematics); Number of Pages: 35p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653256&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Acharya, Sankarshan T1 - Value of Latent Information: Alternative Event Study Methods. JO - Journal of Finance JF - Journal of Finance Y1 - 1993/03// VL - 48 IS - 1 M3 - Article SP - 363 EP - 385 PB - Wiley-Blackwell SN - 00221082 AB - This paper presents an econometric model to value latent information underlying corporate events. This model computes the market's inference of the value of latent information from the probability of an event, conditional on firm-specific, preevent information. It provides a convenient framework for testing significance of preevent information variables, such as accounting attributes and lagged stock return. Simulations show that this model, when applied to both event and preevent period data, can decrease the incidence of bias in event studies. If restricted to only event period data, this model reduces to a truncated regression and does not perform as well as standard procedures. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATIONS -- Finance KW - ECONOMETRICS KW - STOCK exchanges KW - STOCKS (Finance) KW - ECONOMIC models KW - ACCOUNTING methods KW - ECONOMETRIC models KW - INVESTMENTS -- Mathematical models KW - INFORMATION dissemination KW - LATENT variables N1 - Accession Number: 4653459; Acharya, Sankarshan 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar1993, Vol. 48 Issue 1, p363; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: ECONOMETRICS; Thesaurus Term: STOCK exchanges; Thesaurus Term: STOCKS (Finance); Thesaurus Term: ECONOMIC models; Thesaurus Term: ACCOUNTING methods; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: INVESTMENTS -- Mathematical models; Subject Term: INFORMATION dissemination; Subject Term: LATENT variables; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 23p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653459&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wayne Passmore, Stuart T1 - Econometric Models of the Eleventh District Cost of Funds Index. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1993/03// VL - 6 IS - 2 M3 - Article SP - 175 EP - 188 SN - 08955638 AB - The Eleventh District Cost of Funds Index (COFI) is a popular index for pricing adjustable rate mortgages. COR is calculated from the interest expenses incurred by thrifts when raising funds, It is a mixture of current and past interest rates on many different financial instruments. COR can be modelled well with simple econometric models. Commonly used, simple COFI models are compared using a method developed by Hendry (1989). Some of these models, which appear to fit the data veil, have nonrohust parameters, significant serial correlation, and heteroscedastic errors. These poorly specified models may lead to systematic mispricing of COFI mortgages. Once a robust econometric model is chose, the lagged adjustment of COF1 to movements in interest rates can be incorporated into mortgage pricing models. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGE loans KW - ECONOMETRIC models KW - VARIABLE rate loans KW - ADJUSTABLE rate mortgages KW - PRICING KW - INTEREST rates KW - Adjustable-rate mortgages KW - COFI KW - cost of funds indices KW - mortgage pricing N1 - Accession Number: 17325969; Wayne Passmore, Stuart 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Washington, DC; Issue Info: Mar1993, Vol. 6 Issue 2, p175; Thesaurus Term: MORTGAGE loans; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: VARIABLE rate loans; Thesaurus Term: ADJUSTABLE rate mortgages; Thesaurus Term: PRICING; Thesaurus Term: INTEREST rates; Author-Supplied Keyword: Adjustable-rate mortgages; Author-Supplied Keyword: COFI; Author-Supplied Keyword: cost of funds indices; Author-Supplied Keyword: mortgage pricing; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 14p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17325969&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kennickell, Arthur B. T1 - How Rich is Too Rich? Income and Wealth in America (Book). JO - ILR Review JF - ILR Review Y1 - 1993/01// VL - 46 IS - 2 M3 - Book Review SP - 415 EP - 416 PB - Sage Publications Inc. SN - 00197939 AB - Reviews the book "How Rich is Too Rich? Income and Wealth in America," by Herbert Inhaber and Sidney Carroll. KW - WEALTH KW - NONFICTION KW - INHABER, Herbert KW - CARROLL, Sidney KW - HOW Rich Is Too Rich? Income & Wealth in America (Book) N1 - Accession Number: 9302020913; Kennickell, Arthur B. 1; Affiliations: 1: Senior Economist, Board of Governors of the Federal Reserve System; Issue Info: Jan93, Vol. 46 Issue 2, p415; Thesaurus Term: WEALTH; Subject Term: NONFICTION; Reviews & Products: HOW Rich Is Too Rich? Income & Wealth in America (Book); People: INHABER, Herbert; People: CARROLL, Sidney; Number of Pages: 2p; Document Type: Book Review; Full Text Word Count: 795 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9302020913&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - French, Mark W. AU - Sichel, Daniel E. T1 - Cyclical Pattern in the Variance of Economic Activity. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1993/01// VL - 11 IS - 1 M3 - Article SP - 113 EP - 119 SN - 07350015 AB - This article models the conditional mean and variance of real gross national product (GNP) and its components using asymmetric exponential generalized autoregressive conditional heteroscedasticity, a model previously applied only to financial variables. The results imply that the variance of real GNP is higher following negative innovations than positive innovations and that this asymmetry arises in the cyclically sensitive sectors. Further evidence links this asymmetry to the phase of the business cycle: The conditional variance appears to be largest around business-cycle troughs. In addition, shocks to the conditional variance of GNP and its components typically persist for long periods. The evidence of asymmetry in conditional variance is robust to a variety of alternative specifications. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS national product KW - BUSINESS cycles KW - PROBABILITY theory KW - CONDITIONAL expectations (Mathematics) KW - HETEROSCEDASTICITY KW - ARCH models KW - Asymmetric exponential GARCH KW - Business-cycle asymmetry KW - Nonlinear models N1 - Accession Number: 5823922; French, Mark W. 1; Sichel, Daniel E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Washington, DC 20551; Issue Info: Jan1993, Vol. 11 Issue 1, p113; Thesaurus Term: GROSS national product; Thesaurus Term: BUSINESS cycles; Thesaurus Term: PROBABILITY theory; Subject Term: CONDITIONAL expectations (Mathematics); Subject Term: HETEROSCEDASTICITY; Author-Supplied Keyword: ARCH models; Author-Supplied Keyword: Asymmetric exponential GARCH; Author-Supplied Keyword: Business-cycle asymmetry; Author-Supplied Keyword: Nonlinear models; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5823922&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Krane, Spencer D. T1 - Induced seasonality and production-smoothing models of inventory behavior. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 1993/01//Jan/Feb93 VL - 55 IS - 1/2 M3 - Article SP - 135 EP - 168 SN - 03044076 AB - This paper examines whether seasonal patterns in production are consistent with the observed seasonality in sales and the constraints imposed by a simple model of optimal production and inventory behavior. Formal hypothesis tests often provide statistical rejections of the model's restrictions. Nonetheless, in many cases seasonals constructed from the model explain most of the variation in the unconstrained production seasonals. And in contrast to instrumental variable estimates of Euler equations, the estimates of structural parameters embedded in the constrained seasonals often have the signs postulated by traditional models of inventory behavior. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INVENTORIES KW - SEASONAL variations (Economics) KW - ECONOMETRIC models KW - PRODUCTION (Economic theory) KW - ESTIMATION theory KW - EULERIAN graphs N1 - Accession Number: 11936973; Krane, Spencer D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC 20551, USA.; Issue Info: Jan/Feb93, Vol. 55 Issue 1/2, p135; Thesaurus Term: INVENTORIES; Thesaurus Term: SEASONAL variations (Economics); Thesaurus Term: ECONOMETRIC models; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: ESTIMATION theory; Subject Term: EULERIAN graphs; Number of Pages: 34p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11936973&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bell, William R. AU - Wilcox, David W. T1 - The effect of sampling error on the time series behavior of consumption data. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 1993/01//Jan/Feb93 VL - 55 IS - 1/2 M3 - Article SP - 235 EP - 265 SN - 03044076 AB - Much empirical economic research today involves estimation of tightly specified time series models that derive from theoretical optimization problems. Resulting conclusions about underlying theoretical parameters may be sensitive to imperfections in the data. We illustrate this fact by considering sampling error in data from the Census Bureau's Retail Trade Survey. We find that parameter estimates in seasonal time series models for retail sales axe sensitive to whether a sampling error component is included in the model. We conclude that sampling error should be taken seriously in attempts to derive economic implications by modeling time series data from repeated surveys. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Econometrics is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SAMPLING (Statistics) KW - CONSUMPTION (Economics) KW - MATHEMATICAL optimization KW - RETAIL inventories KW - MARKETING channels KW - ERRORS N1 - Accession Number: 11936979; Bell, William R. 1; Wilcox, David W. 2; Affiliations: 1: U.S. Bureau of the Census, Washington, DC 20233, USA.; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Jan/Feb93, Vol. 55 Issue 1/2, p235; Thesaurus Term: SAMPLING (Statistics); Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: MATHEMATICAL optimization; Thesaurus Term: RETAIL inventories; Thesaurus Term: MARKETING channels; Subject Term: ERRORS; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11936979&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Goodman, John L. AU - Jr. T1 - A Housing Market Matching Model of the Seasonality in Geographic Mobility. JO - Journal of Real Estate Research JF - Journal of Real Estate Research Y1 - 1993///Winter93 VL - 8 IS - 1 M3 - Article SP - 117 PB - American Real Estate Society SN - 08965803 AB - Abstract. Geographic mobility is highly seasonal. Moves are twice as likely to occur during the summer months as during the winter months. Summer marriages and school calendars contribute to the seasonality in mobility. But most people who move are neither newlyweds nor parents of school-age children. Using data from the American Housing Survey, the author shows that the summer peaking of moves is universal: The seasonality is similar for all life cycle stages, for all reasons for moving, in all regions of the country and climate zones, and for both home buyers and renters. The author also presents evidence that the seasonality has been stable over the past quarter century. The second part of the paper offers an explanation for this shared seasonality: While newlyweds and parents of school-age children have specific reasons for moving in the summer, other movers with no particular demographic motivation for moving during the summer nonetheless find it economically advantageous to move when everyone else is moving. These movers are motivated by the greater selection of units available and consequently the better chance of an optimal match, and by the lower search costs of finding a good match. Housing suppliers accommodate this peaking in order to shorten their marketing periods and to secure higher prices from consumers who will pay a premium for housing that closely matches their needs. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Research is the property of American Real Estate Society and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING market KW - SEASONAL variations (Economics) KW - HOUSING KW - INTERNAL migration KW - GEOGRAPHIC mobility KW - HUMAN life cycle KW - MARRIAGE KW - HOUSING surveys KW - UNITED States N1 - Accession Number: 4479387; Goodman, John L.; Jr. 1; Affiliations: 1: Djvjsion of Research and Stattstics, Board of Governors of the Federal Reserve System, Washington, D C. 20551; Issue Info: Winter93, Vol. 8 Issue 1, p117; Thesaurus Term: HOUSING market; Thesaurus Term: SEASONAL variations (Economics); Thesaurus Term: HOUSING; Subject Term: INTERNAL migration; Subject Term: GEOGRAPHIC mobility; Subject Term: HUMAN life cycle; Subject Term: MARRIAGE; Subject Term: HOUSING surveys; Subject: UNITED States; NAICS/Industry Codes: 624229 Other Community Housing Services; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4479387&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Henderson, Dale W. AU - McKibbin, Warwick J. AD - Unlisted AD - Unlisted T1 - A comparison of some basic monetary policy regimes for open economies: implications of different degrees of instrument adjustment and wage persistence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 458 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700844; Keywords: Econometrics ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700844&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - West, Kenneth D. AU - Edison, Hali J. AU - Cho, Dongchul AD - Unlisted AD - Unlisted AD - Unlisted T1 - A utility based comparison of some models of exchange rate volatility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 441 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700830; Keywords: Econometric models ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700830&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AU - Helwege, Jean AD - Unlisted AD - Unlisted T1 - Alternative tests of agency theories of callable corporate bonds PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-26 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699939; Keywords: Corporate bond; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699939&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AU - Sparks, Roger AD - Unlisted AD - Unlisted T1 - An efficiency model of deposit pricing and rate rigidity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-38 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699963; Keywords: Bank deposits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699963&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Starr-McCluer, Martha AD - Unlisted T1 - Are shocks to labor demand transitory or persistent? Evidence from labor flows and wages PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-3 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699932; Keywords: Labor market ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699932&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AU - Eisenbeis, Robert A. AU - McKenzie, Joseph A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Asymmetric-information and principal-agent problems as sources of value in FSLIC-assisted acquisitions of insolvent thrifts PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-35 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699956; Keywords: Bank mergers ; Federal Savings and Loan Insurance Corporation ; Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699956&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - Bank commercial lending and the influence of thrift competition PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-39 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699961; Keywords: Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699961&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AU - Hendry, David F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cointegration tests in the presence of structural breaks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 440 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700829; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700829&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Hendry, David F. AU - Tran, Hong-Anh AD - Unlisted AD - Unlisted AD - Unlisted T1 - Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 457 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700843; Keywords: Great Britain ; Money theory; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700843&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Did risk-based capital allocate bank credit and cause a credit crunch in the U.S.? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-41 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699952; Keywords: Bank capital ; Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699952&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pulley, Lawrence B. AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Do consumers pay for one-stop banking? Evidence from a non-standard revenue function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-30 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699945; Keywords: Consumption (Economics) ; Financial services industry; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699945&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Lewis, Karen K. AD - Unlisted AD - Unlisted T1 - Does foreign exchange intervention signal future monetary policy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-1 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699922; Keywords: Foreign exchange - Law and legislation ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699922&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Dollarization in Argentina PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 460 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700846; Keywords: Argentina ; Money; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700846&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeffrey AU - Moore, George AU - Schuh, Scott AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estimating the linear-quadratic inventory model: maximum likelihood versus generalized method of moments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-11 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699924; Keywords: Inventories; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699924&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilchrist, Simon AU - Himmelberg, Charles P. AD - Unlisted AD - Unlisted T1 - Evidence on the role of cash flow for investment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-7 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699936; Keywords: Cash flow ; Investments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699936&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Thurman, Stephan S. AD - Unlisted AD - Unlisted T1 - Exchange rate episodes and the passthrough of exchange rates to import prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-25 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699955; Keywords: Foreign exchange rates ; Imports; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699955&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Exchange rates and foreign direct investment: a note PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 444 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700833; Keywords: Foreign exchange rates ; Investments, Foreign - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700833&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Marquez, Jaime AD - Unlisted AD - Unlisted T1 - Exchange rates, prices, and external adjustment in the United States and Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 456 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700850; Keywords: Foreign exchange rates ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700850&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Financial market imperfections, firm leverage and the cyclicality of employment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-10 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699923; Keywords: Employment (Economic theory) ; Financial leverage; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699923&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tinsley, P. A. AD - Unlisted T1 - Fitting both data and theories: polynomial adjustment costs and error-correction decision rules PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-21 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699958; Keywords: Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699958&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - David, Alexander AD - Unlisted T1 - Fluctuating confidence and stock-market returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 461 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700847; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700847&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bomfim, Antulio N. AD - Unlisted T1 - Forecast-heterogeneity in the business cycle: small deviations from rationality, large dynamic effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-2 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699931; Keywords: Business cycles ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699931&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Glick, Reuven AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - Global versus country-specific productivity shocks and the current account PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 443 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700832; Keywords: Expenditures, Public ; International trade ; Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700832&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kaminsky, Graciela L. AU - Leiderman, Leonardo AD - Unlisted AD - Unlisted T1 - High real interest rates in the aftermath of disinflation: actual or expected? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-33 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699960; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699960&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, John AU - Gilles, Christian AU - Labadie, Pamela AD - Unlisted AD - Unlisted AD - Unlisted T1 - Identifying monetary policy with a model of the federal funds rate PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-24 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699954; Keywords: Monetary policy ; Federal funds market (United States); Publication Type: Working Paper; Update Code: 200404 N2 - With a stochastic general equilibrium model, we highlight the role of both monetary policy and banks in determining the relationship between the federal funds rate and bank reserves. Monetary policy consists of a stochastic upward-sloping supply schedule for reserves, along with a discount window and open-market operations that are consistent with this schedule. The demand schedule for reserves by banks is downward sloping in the federal runds rate, so shifts in the supply schedule lead to a negative relationship between total reserves and the federal funds rate (a liquidity effect). Shifts in the demand schedule lead to a positive relationship, so the net effect over time depends on the relative magnitude of demand and supply shocks. The model with these featues is simulated and compared to U.S. data. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699954&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, Valerie J. AU - Mann, Catherine L. AD - Unlisted AD - Unlisted T1 - Industry restructuring and export performance: evidence on the transition in Hungary PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 445 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700834; Keywords: Exports ; Hungary ; Industries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700834&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeff AU - Moore, George AD - Unlisted AD - Unlisted T1 - Inflation persistence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-17 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699930; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699930&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brayton, Flint AU - Tinsley, P. A. AD - Unlisted AD - Unlisted T1 - Interest rate policies for price stability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-22 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699959; Keywords: Interest rates ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699959&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Internal funds and the investment function PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 450 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700838; Keywords: Capital investments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700838&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Oliner, Stephen D. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Is there a bank credit channel for monetary policy? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-8 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699937; Keywords: Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699937&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Unferth, Mark D. AD - Unlisted AD - Unlisted T1 - Is there a world real interest rate? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 454 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700842; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700842&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AU - Cleveland, William P. AD - Unlisted AD - Unlisted T1 - Joint seasonal adjustment of economic time series PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-28 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699943; Keywords: Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699943&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Lines of credit, collateral, and relationship lending in small firm finance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-9 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699938; Keywords: Credit ; Small business; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699938&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gibson, Michael S. AD - Unlisted T1 - Long-term banking relationships in general equilibrium PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 452 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700840; Keywords: Banking structure; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700840&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AD - Unlisted T1 - Macroeconomic risk and asset pricing: estimating the apt with observable factors PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 448 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700836; Keywords: Arbitrage ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700836&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bryson, Jay H. AD - Unlisted T1 - Macroeconomic stabilization through monetary and fiscal policy coordination: implications for European Monetary Union PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 453 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700841; Keywords: Monetary unions - European Union countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700841&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feenstra, Robert C. AU - Gagnon, Joseph E. AU - Michael M. Knetter. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Market share and exchange rate pass-through in world automobile trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 446 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700837; Keywords: International trade ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700837&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ammer, John AU - Mei, Jianping AD - Unlisted AD - Unlisted T1 - Measuring international economic linkages with stock market data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 449 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700848; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700848&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeff AU - Moore, George AD - Unlisted AD - Unlisted T1 - Monetary policy and the behavior of long-term real interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-16 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699929; Keywords: Interest rates ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699929&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gertler, Mark AU - Gilchrist, Simon AD - Unlisted AD - Unlisted T1 - Monetary policy, business cycles and the behavior of small manufacturing firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-4 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699933; Keywords: Business cycles ; Manufactures ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699933&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AD - Unlisted T1 - Near observational equivalence and unit root processes: formal concepts and implications PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 447 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700835; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700835&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - On the efficacy of a portfolio approach to margin setting in a futures-style settlement system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-19 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699941; Keywords: Futures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699941&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Zervos, David AD - Unlisted AD - Unlisted T1 - Optimal consumption dynamics with non-concave habit forming utility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-15 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699928; Keywords: Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699928&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, J. Joseph AD - Unlisted T1 - Optimal durable and nondurable consumption with transactions costs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-12 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699925; Keywords: Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699925&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AU - Lenway, Stefanie AU - Utter, Derek AD - Unlisted AD - Unlisted AD - Unlisted T1 - Political and economic consequences of alternative privatization strategies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 455 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700849; Keywords: Europe, Central ; Europe, Eastern ; Privatization; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700849&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Tavlas, George S. AD - Unlisted AD - Unlisted T1 - Random coefficient models: theory and applications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-14 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699927; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699927&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkovec, James A. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - Selection in failed bank auction prices: an econometric model of FDIC resolutions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-40 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699951; Keywords: Bank failures ; Federal Deposit Insurance Corporation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699951&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AU - Gunther, Jeffery W. AD - Unlisted AD - Unlisted T1 - Separating the likelihood and timing of bank failure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-20 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699957; Keywords: Bank failures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699957&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - West, Kenneth D. AU - Wilcox, David W. AD - Unlisted AD - Unlisted T1 - Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-29 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699944; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699944&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clouse, James A. AD - Unlisted T1 - Some monetary policy implications of safety and soundness reforms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-31 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699946; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699946&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gilles, Christian AU - LeRoy, Stephen F. AD - Unlisted AD - Unlisted T1 - Stochastic bubbles in Markov economies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-23 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699962; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699962&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kozicki, Sharon AD - Unlisted T1 - Techniques for estimating dynamic comovement with an application to common international output fluctuations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-32 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699947; Keywords: Business cycles ; Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699947&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gertler, Mark AU - Gilchrist, Simon AD - Unlisted AD - Unlisted T1 - The cyclical behavior of short term business lending: implications for financial propagation mechanisms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-6 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699935; Keywords: Bank loans ; Business cycles ; Credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699935&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Reid, Brian AU - Small, David H. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The empirical properties of a monetary aggregates that adds bond and stock funds to M2 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-42 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699953; Keywords: Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699953&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irwin, Douglas A. AD - Unlisted T1 - The GATT's contribution to economic recovery in post-war Western Europe PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 442 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700831; Keywords: International trade ; Europe; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700831&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - The performance of S&P500 futures product margins under the span margining system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-27 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699942; Keywords: Futures ; Margins (Security trading); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699942&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gertler, Mark AU - Gilchrist, Simon AD - Unlisted AD - Unlisted T1 - The role of credit market imperfections in the monetary transmission mechanism: arguments and evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-5 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699934; Keywords: Credit ; Monetary theory; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699934&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thomas, Charles P. AD - Unlisted T1 - The role of fiscal policy in an incomplete markets framework PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 451 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700839; Keywords: Fiscal policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700839&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AU - McKenzie, Joseph A. AD - Unlisted AD - Unlisted T1 - Thrift asset-class returns and the efficient diversification of thrift institution portfolios PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-34 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699948; Keywords: Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699948&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swagel, Phillip AD - Unlisted T1 - Union behavior, industry rents, and optimal policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 459 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700845; Keywords: Industries ; Labor unions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700845&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Hannan, Timothy H. AD - Unlisted AD - Unlisted T1 - Using efficiency measures to distinguish among alternative explanations of the structure-performance relationship in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-18 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699940; Keywords: Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699940&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Beaulieu, J. Joseph AD - Unlisted T1 - Utilizing cross-sectional evidence in modeling aggregate time series: consumer durables with fixed costs of adjustment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-13 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699926; Keywords: Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699926&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rosen, Richard J. AD - Unlisted T1 - What goes up must come down? Asymmetries and persistence in bank deposit interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-36 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699949; Keywords: Bank deposits ; Interest; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699949&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cole, Rebel A. AD - Unlisted T1 - When are thrifts closed? An agency-theoretic model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93-37 Y1 - 1993/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699950; Keywords: Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699950&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - WHITESELL, WILLIAM C. T1 - Deposit Banks and the Market for Payment Media. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1992/11// VL - 24 IS - 4 M3 - Article SP - 483 EP - 498 PB - Ohio State University Press SN - 00222879 AB - This paper presents a study of the choices banks make with regard to service fees and deposit interest rates. The authors construct a model with consumer choice theory with the focus on the efficiency of equilibria operating in various market structures. They contend it also offers new insights on the payment of implicit interest and on some regulatory issues, while building upon the work of Michael Klein on the modeling of deposit markets. The model suggests a floor on deposit rates, instead of a ceiling, is a more effective form of bank regulation. KW - BANK deposits KW - PRICING KW - BANKING industry -- Service charges KW - INTEREST rates KW - FOREIGN exchange KW - MONEY supply N1 - Accession Number: 5236576; WHITESELL, WILLIAM C. 1; Affiliations: 1: Chief, Money and Reserves Projections Section, Board of Governors of the Federal Reserve System; Issue Info: Nov92, Vol. 24 Issue 4, p483; Thesaurus Term: BANK deposits; Thesaurus Term: PRICING; Thesaurus Term: BANKING industry -- Service charges; Thesaurus Term: INTEREST rates; Thesaurus Term: FOREIGN exchange; Thesaurus Term: MONEY supply; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5236576&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Oliner, Stephen D. AU - Rudebusch, Glenn D. T1 - SOURCES OF THE FINANCING HIERARCHY FOR BUSINESS INVESTMENT. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1992/11// VL - 74 IS - 4 M3 - Article SP - 643 PB - MIT Press SN - 00346535 AB - Abstract--What accounts for the apparent preference of firms to finance investment with internal funds? Recent theories stress information problems in capital markets, while older theories emphasize the transactions costs of external finance. To test these competing hypotheses, we estimate the sensitivity of investment spending to internal funds across firms likely to face varying degrees of information problems and transactions costs. Several attributes are used to differentiate these firms. The results provide some support for information asymmetries as a source of the financing hierarchy but indicate no significant role for transactions costs. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL investments KW - INVESTMENTS KW - BUSINESS enterprises -- Finance KW - CAPITAL market KW - INFORMATION resources KW - TRANSACTION costs KW - INVENTORY control KW - SENSITIVITY theory (Mathematics) N1 - Accession Number: 4645436; Oliner, Stephen D. 1; Rudebusch, Glenn D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Nov92, Vol. 74 Issue 4, p643; Thesaurus Term: CAPITAL investments; Thesaurus Term: INVESTMENTS; Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: CAPITAL market; Thesaurus Term: INFORMATION resources; Thesaurus Term: TRANSACTION costs; Thesaurus Term: INVENTORY control; Subject Term: SENSITIVITY theory (Mathematics); NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 561990 All Other Support Services; NAICS/Industry Codes: 541614 Process, Physical Distribution, and Logistics Consulting Services; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4645436&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Udell, Gregory F. T1 - Some evidence on the empirical significance of credit rationing. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1992/10// VL - 100 IS - 5 M3 - Article SP - 1047 PB - University of Chicago Press SN - 00223808 AB - This paper examines the credit rationing debate using detailed contract information on over one million commercial bank loans from 1977 to 1988. While commercial loan rates are "Sticky," consistent with rationing, this stickiness varies with loan contract terms in ways that are not predicted by equilibrium credit rationing theory. In addition, the proportion of new loans issued under commitment does not increase significantly when credit markets are tight, despite the fact that borrowers without commitments can be rationed whereas commitment borrowers are contractually insulated from rationing. Overall, the data suggest that equilibrium rationing is not a significant macroeconomic phenomenon. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING research KW - COMMERCIAL credit KW - BANKING industry KW - BANK loans KW - LOANS KW - CREDIT KW - ECONOMICS N1 - Accession Number: 9301170378; Berger, Allen N. 1; Udell, Gregory F. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: New York University; Issue Info: Oct92, Vol. 100 Issue 5, p1047; Thesaurus Term: BANKING research; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: BANKING industry; Thesaurus Term: BANK loans; Thesaurus Term: LOANS; Thesaurus Term: CREDIT; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 31p; Illustrations: 5 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9301170378&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Diebold, Francis X. AU - Rudebusch, Glenn D. T1 - Have Postwar Economic Fluctuations Been Stabilized? JO - American Economic Review JF - American Economic Review Y1 - 1992/09// VL - 82 IS - 4 M3 - Article SP - 993 EP - 1005 PB - American Economic Association SN - 00028282 AB - This article addresses the issue of economic stabilization in the U.S. and provides evidence on the stability of the postwar economy by investigating a different aspect of stabilization and by employing a different type of data. The postwar stabilization has been investigation from the perspective of duration, or frequency, as opposed to volatility, or amplitude. The analysis made use of the qualitative information contained in the National Bureau of Economic Research's business-cycle chronology and was robust to criticisms of conventional measures of prewar aggregate data. Using a distribution-free statistical procedure, the authors found strong evidence of a postwar shift toward longer expansions and shorter contractions, which is consistent with a broad interpretation of the stabilization hypothesis. Moreover, no evidence was found for a postwar shift in the distribution of whole cycle duration. To the extent that postwar volatility was stabilized, one expects concomitant duration stabilization due to the upward trend in aggregate economic activity. The postwar shift toward duration stabilization is large and difficult to deny. It is likely, therefore, that duration stabilization arose, independently of volatility stabilization. KW - ECONOMIC stabilization KW - BUSINESS cycles KW - VOLATILITY (Finance) KW - UNITED States -- Economic conditions KW - POSTWAR reconstruction KW - UNITED States N1 - Accession Number: 9301140626; Diebold, Francis X. 1; Rudebusch, Glenn D. 2; Affiliations: 1: Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104-6297; 2: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Sep92, Vol. 82 Issue 4, p993; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: BUSINESS cycles; Thesaurus Term: VOLATILITY (Finance); Subject Term: UNITED States -- Economic conditions; Subject Term: POSTWAR reconstruction; Subject: UNITED States; Number of Pages: 13p; Illustrations: 6 Charts; Document Type: Article; Full Text Word Count: 6938 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9301140626&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fuhrer, Jeff AU - Moore, George T1 - Monetary policy rules and the indicator properties of asset prices. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1992/04// VL - 29 IS - 2 M3 - Article SP - 303 EP - 336 SN - 03043932 AB - We investigate relationships between asset prices and inflation in a modern Keynesian model in which monetary policy controls inflation by manipulating the federal funds rate. The indicator properties of asset prices are quite sensitive to the monetary policy rule. Including the asset prices themselves in the reaction function can invert the sense of the indicator properties. Targeting the asset prices is tantamount to targeting the real interest rate: when all of the weight in the reaction function is placed on asset prices, the real rate converges so rapidly that policy loses control of inflation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - KEYNESIAN economics KW - MONETARY policy KW - PRICES KW - INFLATION (Finance) KW - MONETARY theory KW - INTEREST rates KW - FEDERAL funds market (U.S.) KW - CORRELATION (Statistics) KW - ECONOMICS N1 - Accession Number: 7179112; Fuhrer, Jeff 1; Moore, George 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Apr92, Vol. 29 Issue 2, p303; Thesaurus Term: KEYNESIAN economics; Thesaurus Term: MONETARY policy; Thesaurus Term: PRICES; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONETARY theory; Thesaurus Term: INTEREST rates; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: ECONOMICS; Number of Pages: 34p; Illustrations: 6 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7179112&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brunner, Allan D. T1 - Conditional Asymmetries in Real GNP: A Seminonparametric Approach. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1992/01// VL - 10 IS - 1 M3 - Article SP - 65 EP - 72 SN - 07350015 AB - Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances--linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry. Although these results confirm related results of Brock and Sayers, Sichel, and Hamilton, the SNP approach is novel in that it emphasizes the relationship between common modeling assumptions and the restrictions that these assumptions place on data. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GROSS national product KW - ECONOMIC indicators KW - TIME series analysis KW - MATHEMATICAL statistics KW - PROBABILITY theory N1 - Accession Number: 5826251; Brunner, Allan D. 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Jan1992, Vol. 10 Issue 1, p65; Thesaurus Term: GROSS national product; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: TIME series analysis; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: PROBABILITY theory; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5826251&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - 'Distribution free' estimates of efficiency of the U.S. banking industry and tests of the standard distributional assumptions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 188 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699909; Keywords: Bank management; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699909&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Antoniewicz, Rochelle L. AD - Unlisted T1 - A causal relationship between stock returns and volume PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 208 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699899; Keywords: Vector autoregression ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699899&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - A dynamic model of entry and performance in the U.S. banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 210 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699900; Keywords: Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699900&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cordell, Lawrence R. AU - King, Kathleen Kuester AD - Unlisted AD - Unlisted T1 - A market evaluation of the risk-based capital standards for the U.S. financial system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 189 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699910; Keywords: Bank capital ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699910&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jones, David S. AU - King, Kathleen Kuester AD - Unlisted AD - Unlisted T1 - An analysis of the implementation of prompt corrective action PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 204 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699896; Keywords: Federal Deposit Insurance Corporation Improvement Act of 1991 ; Bank failures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699896&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Hancock, Diana AU - Humphrey, David B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Bank efficiency derived from a profit function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 211 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699894; Keywords: Bank profits ; Bank management; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699894&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - Central banks' use in East Asia of money market instruments in the conduct of monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 426 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700866; Keywords: Monetary policy ; Banks and banking, Central ; East Asia; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700866&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Mehta, J. S. AU - Singamsetti, Rao N. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Circumstances on which different criteria of estimation can be applied to estimate policy effects PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 198 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699902; Keywords: Econometric models ; Economic policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699902&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stehm, Jeff AD - Unlisted T1 - Clearance and settlement of mortgage-backed securities through the Participants Trust Company PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 214 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699917; Keywords: Mortgages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699917&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Consumer switching costs, market structure and prices: the theory and its application in the bank deposit market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 183 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699904; Keywords: Consumer behavior ; Bank deposits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699904&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gorton, Gary AU - Rosen, Richard AD - Unlisted AD - Unlisted T1 - Corporate control, portfolio choice, and the decline of banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 215 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699920; Keywords: Bank profits ; Banks and banking; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699920&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Almekinders, Geert J. AU - Eijffinger, Sylvester C. W. AD - Unlisted AD - Unlisted T1 - Daily Bundesbank and Federal Reserve intervention and the conditional variance tale in DM/$-returns PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 438 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700870; Keywords: Foreign exchange - Law and legislation ; Germany; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700870&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AD - Unlisted T1 - Determinants of savings and loan failure rates: estimates of a time-varying proportional hazard function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 207 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699898; Keywords: Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699898&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McAllister, Patrick H. AU - McManus, Douglas A. AD - Unlisted AD - Unlisted T1 - Diversification and risk in banking: evidence from ex post returns PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 201 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699888; Keywords: Bank loans ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699888&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Dividend-price ratios and expected inflation: is there more to the story than the proxy effect? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 196 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699889; Keywords: Dividends ; Inflation (Finance) ; Stocks; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699889&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warner, Andrew M. AD - Unlisted T1 - Does world investment demand determine U.S. exports? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 423 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700863; Keywords: Exports; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700863&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AD - Unlisted T1 - Effects of risk on the demand for oil inventories PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 206 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699897; Keywords: Inventories ; Petroleum industry and trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699897&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark AU - Mittelstaedt, H. Fred AU - Cristea, Carrie AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estimates of the effect of FAS 106 on corporate earnings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 184 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699905; Keywords: Accounting ; Insurance, Health; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699905&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Craig, R. Sean AU - Mann, Catherine L. AD - Unlisted AD - Unlisted T1 - Fiscal implications of the transition from planned to market economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 424 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700864; Keywords: European Economic Community ; Europe, Eastern; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700864&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McAllister, Patrick H. AD - Unlisted T1 - Floating ceilings on deposit interest rates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 186 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699907; Keywords: Bank deposits ; Interest; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699907&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lindner, Deborah J. AD - Unlisted T1 - Foreign exchange policy, monetary policy, and capital market liberalization in Korea PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 435 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700855; Keywords: Korea ; Monetary policy - Korea; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700855&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adams, Gwyn AU - Alexander, Lewis AU - Gagnon, Joseph AD - Unlisted AD - Unlisted AD - Unlisted T1 - German unification and the European monetary system: a quantitative analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 421 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700861; Keywords: European Monetary System (Organization) ; Germany; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700861&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Blomberg, Stephen Brock AD - Unlisted T1 - Growth, political instability, and the defense burden PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 436 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700859; Keywords: Defense contracts; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700859&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Hostile takeovers and expropriation of extramarginal wages: a test PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 197 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699903; Keywords: Mergers ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699903&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warner, Andrew M. AD - Unlisted T1 - Import demand and supply with relatively few theoretical or empirical puzzles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 433 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700853; Keywords: Imports ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700853&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - Labor hoarding when unemployment is a worker discipline device PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 195 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699916; Keywords: Labor supply ; Unemployment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699916&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - Life expectancy of international cartels: an empirical analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 439 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700858; Keywords: Cartels; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700858&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - John L. Goodman, Jr. AU - Passmore, S. Wayne AD - Unlisted AD - Unlisted T1 - Market power and the pricing of mortgage securitization PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 187 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699908; Keywords: Mortgages ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699908&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - Megamergers in banking and the use of cost efficiency as an antitrust defense PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 203 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699892; Keywords: Banks and banking - Costs ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699892&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - AU - Mihailov S. TI - Mission d' appui au BIEP [Bureau Interministeriel d' Etudes de Projets], 22 fevrier au 31 mars 1992. [Language: fre] T2 - Report mission to BIEP [Bureau Interministeriel d'Etudes de Projets], 22 February to 31 March 1992 [Language: eng] PY - 1992/01/01/ N1 - Database Contributor: AGRIS. Database Contributor ID: XF19930093929. Database Subset: AFRICAN STUDIES. Corporate Author: Board of Governors of the Federal Reserve System [USA]. Division of Research and Statistics. Language: French. Publication Type: Monograph / Series. Accession Number: XF19930093929. KW - capacitacion KW - programme de formation KW - commercialisation KW - marketing KW - mercadeo KW - technical aid KW - circuit de commercialisation KW - existencias reguladoras KW - tchad KW - buffer stocks KW - corrientes de mercadeo KW - cereals KW - marketing channels KW - training KW - asistencia tecnica KW - programas de capacitacion KW - cereales KW - training programmes KW - stock regulateur KW - chad KW - cereale KW - aide technique KW - formation UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=awn&AN=XF19930093929&site=ehost-live&scope=site DP - EBSCOhost DB - awn ER - TY - UNPB AU - Bomfim, Antulio N. AU - Diebold, Francis X. AD - Unlisted AD - Unlisted T1 - Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 205 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699895; Keywords: Monetary policy ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699895&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul AD - Unlisted T1 - On the ramifications of a securities transaction tax for the function and efficiency of capital markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 212 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699919; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699919&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Melick, William R. AD - Unlisted AD - Unlisted T1 - Purchasing power parity and uncovered interest rate parity: the United States 1974-1990 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 425 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700865; Keywords: Interest rates ; Purchasing power ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700865&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AU - Zervos, David AD - Unlisted AD - Unlisted T1 - Rational addiction with learning and regret PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 216 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699921; Keywords: Consumer behavior; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699921&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - Real exchange rates: measurement and implications for predicting U.S. external imbalances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 427 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700856; Keywords: Foreign exchange rates ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700856&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - Reexamining the relationship between stock returns and stock return volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 191 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699912; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699912&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted T1 - Stochastic behavior of the world economy under alternative policy regimes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 428 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700867; Keywords: Monetary policy ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700867&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bayoumi, Tamim AU - Gagnon, Joseph AD - Unlisted AD - Unlisted T1 - Taxation and inflation: a new explanation for current account imbalances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 420 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700860; Keywords: International finance ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700860&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois E. AU - Truman, Edwin M. AD - Unlisted AD - Unlisted T1 - The adequacy of the data on U.S. international financial transactions: a Federal Reserve perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 430 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700869; Keywords: International finance ; Statistics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700869&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - The autonomy of trade elasticities: choice and consequences PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 422 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700862; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700862&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feinman, Joshua N. AU - Porter, Richard D. AD - Unlisted AD - Unlisted T1 - The continuing weakness in the M2 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 209 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699918; Keywords: Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699918&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AU - Post, Mitchell A. AD - Unlisted AD - Unlisted T1 - The effect of a rating change on commercial paper outstandings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 185 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699906; Keywords: Commercial paper issues; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699906&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AU - Post, Mitchell A. AD - Unlisted AD - Unlisted T1 - The effect of SEC amendments to rule 2A-7 on the commercial paper market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 199 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699890; Keywords: Commercial paper issues; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699890&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AD - Unlisted T1 - The influence of risk-adjusted capital regulations on asset allocation by savings and loans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 213 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699893; Keywords: Bank capital ; Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699893&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Wilbur John, II AU - Gilles, Christian AU - Labadie, Pamela AD - Unlisted AD - Unlisted AD - Unlisted T1 - The liquidity premium in average interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 432 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700851; Keywords: Interest rates ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700851&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lindner, Deborah J. AD - Unlisted T1 - The political economy of the won: U.S. - Korean bilateral negotiations on exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 434 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700854; Keywords: Foreign exchange rates ; Korea; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700854&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kremers, Jeroen J. M. AU - Ericsson, Neil R. AU - Dolado, Juan J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The power of cointegration tests PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 431 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700857; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700857&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Orphanides, Athanasios AD - Unlisted T1 - The timing of stabilizations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 194 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699915; Keywords: Inflation (Finance) ; Fiscal policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699915&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudebusch, Glenn D. AD - Unlisted T1 - The uncertain unit root in real GNP PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 193 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699914; Keywords: Gross national product; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699914&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Reinhart, Vincent AD - Unlisted T1 - Theory and evidence on reform of the Treasury's auction procedures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 190 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699911; Keywords: Government securities; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699911&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - Trading volume and return reversals PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 192 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699913; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 N2 - This paper tests whether the magnitude of the serial correlation of monthly stock returns varies with trading volume. In both the 1915-1945 and 1946-1989 periods, it finds a statistically significant relationship between NYSE volume shocks and return reversals. The point estimates suggest that if month "t" has a one-standard-deviations shock to trading volume, an additional 40 to 50 percent of month t's stock return is eventually reversed. Additional results indicate that the volume shocks are not just a proxy for previously known predictors of aggregate stock returns such as the dividend/price ratio, the term structure, and the default premium. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699913&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Value of latent information: alternative event study methods PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 202 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699891; Keywords: Econometric models ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699891&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Melick, William R. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 437 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700852; Keywords: Power resources - Prices ; Persian Gulf War, 1991; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700852&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Faust, Jon AD - Unlisted T1 - Whom can we trust to run the Fed? Theoretical support for the founders' views PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 429 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700868; Keywords: Board of Governors of the Federal Reserve System (U.S.) ; Federal Reserve System - History; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700868&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AU - Turner, Christopher M. AD - Unlisted AD - Unlisted T1 - Yields and tax rates on corporate, municipal and industrial bonds: testing market integration and the Miller hypothesis with micro-data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 200 Y1 - 1992/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699901; Keywords: Bonds ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699901&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Davies, Sally M. T1 - Dynamic price competition, briefly sunk costs, and entry deterrence. JO - RAND Journal of Economics (RAND Journal of Economics) JF - RAND Journal of Economics (RAND Journal of Economics) Y1 - 1991///Winter91 VL - 22 IS - 4 M3 - Article SP - 519 EP - 530 PB - RAND Journal of Economics SN - 07416261 AB - This article examines how the threat of entry constrains pricing behavior in a natural monopoly with briefly sunk costs. In the model of dynamic price competition explored here, costs are too briefly sunk to confer any strategic advantage to incumbency. Despite the lack of advantage to incumbency, the threat of entry exerts little discipline on prices. In the presence of a slight cost asymmetry, monopoly for the lower-cost firm is the unique equilibrium, regardless of which firm is initially the incumbent. [ABSTRACT FROM AUTHOR] AB - Copyright of RAND Journal of Economics (RAND Journal of Economics) is the property of RAND Journal of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONOPOLIES KW - MONOPOLISTIC competition KW - PRICING KW - PRICE fixing KW - EQUILIBRIUM (Economics) KW - COMPETITION N1 - Accession Number: 5161416; Davies, Sally M. 1; Affiliations: 1: Monetary and Financial Studies Section, Board of Governors of the Federal Reserve System; Issue Info: Winter91, Vol. 22 Issue 4, p519; Thesaurus Term: MONOPOLIES; Thesaurus Term: MONOPOLISTIC competition; Thesaurus Term: PRICING; Thesaurus Term: PRICE fixing; Thesaurus Term: EQUILIBRIUM (Economics); Subject Term: COMPETITION; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5161416&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - King, Kathleen Kuester AU - O'Brien, James M. T1 - The limitations of market value accounting and a more realistic alternative. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/09// VL - 15 IS - 4/5 M3 - Article SP - 753 EP - 783 SN - 03784266 AB - The limitations of market value accounting and a more realistic alternative are discussed. Market value accounting (MVA) might boost market and regulatory discipline on financial institutions. However, there are problems with implementing MVA. Such problems are suggested by the theory of asymmetric information and the role intermediaries play in solving information and monitoring problems. An alternative approach that applies MVA principles is developed after analyzing the problems with MVA. This procedure may substantially boost the distribution of regulatory discipline. KW - ACCOUNTING KW - MARKET value KW - FINANCIAL institutions KW - FINANCE KW - BUSINESS N1 - Accession Number: 11478294; Berger, Allen N. 1; King, Kathleen Kuester 1; O'Brien, James M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep91, Vol. 15 Issue 4/5, p753; Thesaurus Term: ACCOUNTING; Thesaurus Term: MARKET value; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FINANCE; Thesaurus Term: BUSINESS; NAICS/Industry Codes: 541219 Other Accounting Services; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478294&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Berger, Allen N. T1 - Risk-based capital and deposit insurance reform. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/09// VL - 15 IS - 4/5 M3 - Article SP - 847 EP - 874 SN - 03784266 AB - The risk-based capital (RBC) standards are analyzed using data on banks in the United States from 1982 to 1989. The associations between bank performance and the RBC relative risk weights and compliance with the RBC standards are investigated. Such associations indicate that RBC comprises a significant improvement over the old capital standards. However, both standards incorporate useful independent information. Moreover, the data suggest that relative to the old standards, the new standards are more stringent on big banks and are more strict overall. Consequently, banks representing over one-fourth of all bank assets would have failed the new standards as of 1989. KW - CAPITAL KW - BANKING industry KW - STANDARDS KW - BANK assets KW - UNITED States N1 - Accession Number: 11478298; Avery, Robert B. 1,2; Berger, Allen N. 3; Affiliations: 1: Cornell University, USA; 2: Federal Reserve Bank of Cleveland, USA; 3: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep91, Vol. 15 Issue 4/5, p847; Thesaurus Term: CAPITAL; Thesaurus Term: BANKING industry; Thesaurus Term: STANDARDS; Thesaurus Term: BANK assets; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 28p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478298&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Davies, Sally M. AU - McManus, Douglas A. T1 - The effects of closure policies on bank risk-taking. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/09// VL - 15 IS - 4/5 M3 - Article SP - 917 EP - 938 SN - 03784266 AB - Bank closure policy for a risk-averse bank that enjoys flat-rate deposit insurance is modelled. Increasing the level of net worth at which banks are closed can boost or decrease induced risk aversion, as well as increase the probability that marginally healthy banks would be subject to extreme moral hazard. Such results indicate that more timely closure policies should be levied in conjunction with greater monitoring of bank portfolio risk and with restrictions on risk-taking for marginally healthy banks. Moreover, changes in closure policy can increase or decrease desired leverage and that this effect hinges on the degree of correlation among asset returns. KW - BANKING industry KW - BUSINESS failures KW - DEPOSIT insurance KW - RISK aversion KW - FINANCE N1 - Accession Number: 11478301; Davies, Sally M. 1; McManus, Douglas A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep91, Vol. 15 Issue 4/5, p917; Thesaurus Term: BANKING industry; Thesaurus Term: BUSINESS failures; Thesaurus Term: DEPOSIT insurance; Thesaurus Term: RISK aversion; Thesaurus Term: FINANCE; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 524128 Other Direct Insurance (except Life, Health, and Medical) Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; Number of Pages: 22p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478301&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - King, Kathleen Kuester AU - O'Brien, James M. T1 - Market-based, risk-adjusted examination schedules for depository institutions. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/09// VL - 15 IS - 4/5 M3 - Article SP - 955 EP - 974 SN - 03784266 AB - The market-based, risk-adjusted examination schedules for depository institutions are examined. It is suggested that risk-adjusted deposit insurance premiums or capital ratios be calculated by applying option pricing models to stock market data. On the other hand, the option methodology could be utilized to establish a risk-based examination schedule whereby riskier banks would be examined more frequently. Alternatives are considered to the assumptions regarding examination policies made in standard applications of the option model. KW - BANKING industry KW - DEPOSIT insurance KW - CAPITAL KW - FINANCE -- Mathematical models KW - INSURANCE -- Rates N1 - Accession Number: 11478303; King, Kathleen Kuester 1; O'Brien, James M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, USA; Issue Info: Sep91, Vol. 15 Issue 4/5, p955; Thesaurus Term: BANKING industry; Thesaurus Term: DEPOSIT insurance; Thesaurus Term: CAPITAL; Thesaurus Term: FINANCE -- Mathematical models; Thesaurus Term: INSURANCE -- Rates; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 524128 Other Direct Insurance (except Life, Health, and Medical) Carriers; NAICS/Industry Codes: 524129 Other direct insurance (except life, health and medical) carriers; NAICS/Industry Codes: 524299 All other insurance related activities; NAICS/Industry Codes: 524298 All Other Insurance Related Activities; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478303&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Asquith, Paul AU - Mullins Jr., David W. T1 - Convertible Debt: Corporate Call Policy and Voluntary Conversion. JO - Journal of Finance JF - Journal of Finance Y1 - 1991/09// VL - 46 IS - 4 M3 - Article SP - 1273 EP - 1289 PB - Wiley-Blackwell SN - 00221082 AB - This paper examines why, in contrast to the predictions of finance theory, firms do not call convertible debt when the conversion price exceeds the call price. The empirical results suggest that the principal reason is because some firms enjoy an advantage of paying less in after-tax interest than they would pay in dividends were the bond converted. This cash flow incentive is the inverse of an investor's incentive to convert voluntarily if the converted dividends are greater than the bond's coupon. Because of taxation, however, the decisions by investors and firms are not symmetric, and there exist bonds which the firm may not call and an investor will not convert. The results also find that voluntary conversion is significantly related to both the conversion price and the differential between the coupon and the dividends on the converted stock. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE debt KW - DEBT equity conversion KW - CONVERTIBLE bonds KW - CORPORATIONS -- Finance KW - OPTIONS (Finance) KW - STOCKS (Finance) KW - BUSINESS enterprises -- Finance KW - MONETARY incentives KW - INCENTIVES in industry KW - DIVIDENDS N1 - Accession Number: 4652937; Asquith, Paul 1; Mullins Jr., David W. 2; Affiliations: 1: MIT Sloan School of Management; 2: Board of Governors of the Federal Reserve System; Issue Info: Sep91, Vol. 46 Issue 4, p1273; Thesaurus Term: CORPORATE debt; Thesaurus Term: DEBT equity conversion; Thesaurus Term: CONVERTIBLE bonds; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: STOCKS (Finance); Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: MONETARY incentives; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: DIVIDENDS; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4652937&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Peek, Joe AU - Wilcox, James A. T1 - The Measurement and Determinants of Single-Family House Prices. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1991///Fall91 VL - 19 IS - 3 M3 - Article SP - 353 EP - 382 PB - Wiley-Blackwell SN - 10678433 AB - We assess the conceptual and empirical features of a number of house price series for the United States. We then calculate a measure of the net up-grading of the existing stock of houses that took place during the 1950-1969 period and adjust price indexes for this net increase in quality. Judgments about the trend, volatility, and determinants of house prices are shown to depend crucially on which price series i8 used. The Freddie Mac upgrade-adjusted house price measure rose 5.7% over the past four decades, falling 7.7% from 1950 through 1970 before rising 14.5% from 1970 through 1989. Real house prices declined in the early 1980s due to the increase in real after, tax interest rates and the decline in real materials costs. The recovery of house prices in the late 1960s is attributed to lower unemployment and real after-tax interest rates and particularly to demographic factors associated with the aging of baby boomers. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RENTAL housing KW - SECURITIES -- Prices KW - MONETARY policy KW - ECONOMIC indicators KW - SINGLE family housing KW - DWELLINGS N1 - Accession Number: 5860102; Peek, Joe 1,2; Wilcox, James A. 3,4; Affiliations: 1: Department of Economics, Boston College, Chestnut Hill, Massachusetts 02167.; 2: Research Department Federal Reserve Bank of Boston, Boston, Massachusetts 02106.; 3: Haas School of Business, 350 Barrows Hall, University of California, Berkeley, California 94720.; 4: Mail Stop 84, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; Issue Info: Fall91, Vol. 19 Issue 3, p353; Thesaurus Term: RENTAL housing; Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC indicators; Subject Term: SINGLE family housing; Subject Term: DWELLINGS; NAICS/Industry Codes: 541310 Architectural Services; NAICS/Industry Codes: 236110 Residential building construction; NAICS/Industry Codes: 238390 Other Building Finishing Contractors; NAICS/Industry Codes: 236115 New Single-Family Housing Construction (except For-Sale Builders); NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531111 Lessors of residential buildings and dwellings (except social housing projects); NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 30p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5860102&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Humphrey, David B. T1 - The dominance of inefficiencies over scale and product mix economies in banking. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1991/08// VL - 28 IS - 1 M3 - Article SP - 117 EP - 148 SN - 03043932 AB - This study measures and analyzes inefficiencies for all U.S. banks in 1984. Inefficiencies are measured relative to a 'thick frontier' cost function and are found to dominate measured scale and product mix economies. Most inefficiencies are operational in nature, involving the overuse of physical inputs, rather than financial, involving overpayment of interest. Also, technical inefficiencies (proportionate overuse of all inputs) dominate allocative inefficiencies (improper mix of inputs). These results suggest that competitive pressures in banking from deregulation will be focused primarily on banks that do not control costs, rather than on those of a particular size or product mix. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - PRODUCT mixes KW - PRODUCT management KW - PRODUCT lines KW - FINANCIAL institutions KW - FINANCE KW - MARKETING management KW - UNITED States N1 - Accession Number: 7036655; Berger, Allen N. 1; Humphrey, David B. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, USA; 2: Florida State University, Tallahassee, USA; Issue Info: Aug91, Vol. 28 Issue 1, p117; Thesaurus Term: BANKING industry; Thesaurus Term: PRODUCT mixes; Thesaurus Term: PRODUCT management; Thesaurus Term: PRODUCT lines; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FINANCE; Thesaurus Term: MARKETING management; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 541613 Marketing Consulting Services; Number of Pages: 32p; Illustrations: 5 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7036655&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wachter, Michael L. AU - Wascher, William L. T1 - LEVELING THE PEAKS AND TROUGHS OF THE DEMOGRAPHIC CYCLE: AN APPLICATION TO SCHOOL ENROLLMENT RATES: A REPLY. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1991/08// VL - 73 IS - 3 M3 - Article SP - 575 PB - MIT Press SN - 00346535 AB - This article presents a reply to an article related to demographic transition. It is on the specific nature of the school enrollment decision that results obtained by Evangelos M. Falaris and H. Elizabeth Peters on school completioh are most interesting. Their finding that school completion rates are influenced by the position of the relevant cohort to the peak cohort in the demographic cycle is important because it focuses attention on the role of educational attainment in mitigating the now well-known cohort size effects on relative earnings. That is, workers apparently distance themselves from the largest cohorts by altering the amount of education they obtain. Their results contrast sharply with the predictions of the diminishing substitutability hypothesis proposed by David C. Stapleton and Douglas J. Young, who argue that a cohort's size, rather than its position relative to the baby boom, should affect educational attainment. As a final point, authors would simply note that the testable hypotheses set up by Falaris and Peters represent an overly restrictive interpretation of authors' paper. Recognizing that school enrollment rates provide insufficient information to identify the exact nature of educational investments, we attempted to take a relatively agnostic view of that specific issue and focus instead on the implications of asymmetric demographic effects for school enrollment in general. KW - TIME series analysis KW - DEMOGRAPHY KW - REGRESSION analysis KW - FORECASTING KW - VITAL statistics KW - INVESTMENTS KW - SCHOOL enrollment KW - PETERS, H. Elizabeth N1 - Accession Number: 4647451; Wachter, Michael L. 1; Wascher, William L. 2; Affiliations: 1: University of Pennsylvania.; 2: Board of Governors of the Federal Reserve System.; Issue Info: Aug91, Vol. 73 Issue 3, p575; Thesaurus Term: TIME series analysis; Thesaurus Term: DEMOGRAPHY; Thesaurus Term: REGRESSION analysis; Thesaurus Term: FORECASTING; Thesaurus Term: VITAL statistics; Thesaurus Term: INVESTMENTS; Subject Term: SCHOOL enrollment; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; People: PETERS, H. Elizabeth; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4647451&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Collins, Sean T1 - Prediction Techniques for Box-Cox Regression Models. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1991/07// VL - 9 IS - 3 M3 - Article SP - 267 EP - 277 SN - 07350015 AB - This article reviews several techniques useful for forming point and interval predictions in regression models with Box-Cox transformed variables. The techniques reviewed—plug-in, mean squared error analysis, predictive likelihood, and stochastic simulation—take account of nonnormality and parameter uncertainty in varying degrees. A Monte Carlo study examining their small-sample accuracy indicates that uncertainty about the Box-Cox transformation parameter may be relatively unimportant. For certain parameters, deterministic point predictions are biased, and plug-in prediction intervals are also biased. Stochastic simulation, as usually carried out, leads to badly biased predictions. A modification of the usual approach renders stochastic simulation predictions largely unbiased. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONTE Carlo method KW - FORECASTING KW - REGRESSION analysis KW - MATHEMATICAL statistics KW - PREDICTION theory KW - VARIABLES (Mathematics) KW - Mean squared error KW - Prediction bias KW - Prediction interval KW - Predictive likelihood KW - Stochastic simulation KW - Transformation N1 - Accession Number: 5825960; Collins, Sean 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jul91, Vol. 9 Issue 3, p267; Thesaurus Term: MONTE Carlo method; Thesaurus Term: FORECASTING; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MATHEMATICAL statistics; Subject Term: PREDICTION theory; Subject Term: VARIABLES (Mathematics); Author-Supplied Keyword: Mean squared error; Author-Supplied Keyword: Prediction bias; Author-Supplied Keyword: Prediction interval; Author-Supplied Keyword: Predictive likelihood; Author-Supplied Keyword: Stochastic simulation; Author-Supplied Keyword: Transformation; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5825960&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sharpe, Steven A. T1 - Credit rationing, concessionary lending, and debit maturity. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/06// VL - 15 IS - 3 M3 - Article SP - 581 EP - 604 SN - 03784266 AB - A firm, raises capital for a two-period investment. While creditors observe the project status midstream, unobservable managerial perks may consume capital each period. When the firm is unfortunate early on, short-term financing results in either concessionary lending or costly liquidation. Rolling over short-term debt may be problematic because the high risk premium creditors demand when asset value is low relative to debt impares managerial motivation precisely when the incentive to defer perk consumption is weakest. Long-term financing may reduce total agency costs be enabling lenders to charge higher initial premia, in effect, shifting loan repayments to states in which incentive constraints are non-binding. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL KW - COMMERCIAL credit KW - COMMERCIAL loans KW - REPAYMENTS KW - CORPORATIONS -- Finance N1 - Accession Number: 11487669; Sharpe, Steven A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, N.W. Washington, USA; Issue Info: Jun91, Vol. 15 Issue 3, p581; Thesaurus Term: CAPITAL; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: COMMERCIAL loans; Thesaurus Term: REPAYMENTS; Thesaurus Term: CORPORATIONS -- Finance; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11487669&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Crabbe, Leland T1 - Event Risk: An Analysis of Losses to Bondholders and "Super Poison Put" Bond Covenants. JO - Journal of Finance JF - Journal of Finance Y1 - 1991/06// VL - 46 IS - 2 M3 - Article SP - 689 EP - 706 PB - Wiley-Blackwell SN - 00221082 AB - Ten percent of the investment-grade industrial bonds that were associated with major capital restructurings between 1983 and 1988 had already been downgraded to speculative grade as of August 1989. In response to these downgrades, and the corresponding wealth losses for bondholders, over 40 percent of recently issued investment-grade industrial bonds are protected from this type of "event risk" by virtue of specialized covenants. These event-risk convenants may have initially reduced interest costs for borrowers by roughly 20 to 30 basis points. However, the magnitude of the effect appears to have declined along with the general decline in corporate restructurings. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INDUSTRIAL development bonds KW - CORPORATE reorganizations KW - CORPORATE debt KW - CORPORATIONS -- Finance KW - BOND market KW - ESTIMATION theory KW - RISK assessment KW - MARKET value KW - BONDHOLDERS KW - REGRESSION analysis N1 - Accession Number: 4653333; Crabbe, Leland 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; Issue Info: Jun91, Vol. 46 Issue 2, p689; Thesaurus Term: INDUSTRIAL development bonds; Thesaurus Term: CORPORATE reorganizations; Thesaurus Term: CORPORATE debt; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: BOND market; Thesaurus Term: ESTIMATION theory; Thesaurus Term: RISK assessment; Thesaurus Term: MARKET value; Thesaurus Term: BONDHOLDERS; Thesaurus Term: REGRESSION analysis; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 18p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653333&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simon, David P. T1 - Secrecy, signalling and the accuracy of expectations during the borrowed reserves operating regime. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/04// VL - 15 IS - 2 M3 - Article SP - 329 EP - 341 SN - 03784266 AB - The predictability and observability of undisclosed monetary policy changes during the borrowed reserved operating regime are assessed by examining the forecasting accuracy of the term federal funds market around Federal Open Market Committee (FMOC) meetings in the United States. The results suggest that monetary policy changes are informally, but effectively, disclosed to market participants, through signals from the Open Market Desk. The findings also indicate that the legislation before Congress that would mandate immediate release of the FOMC policy directive would have little impact on the accuracy of financial market expectations over the sample. KW - MONETARY policy KW - ECONOMIC policy KW - FEDERAL funds market (U.S.) KW - ECONOMIC forecasting KW - UNITED States N1 - Accession Number: 11511739; Simon, David P. 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Apr91, Vol. 15 Issue 2, p329; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: ECONOMIC forecasting; Subject: UNITED States; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11511739&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David AU - Wascher, William L. T1 - Can We Improve Upon Preliminary Estimates of Payroll Employment Growth. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1991/04// VL - 9 IS - 2 M3 - Article SP - 197 EP - 205 SN - 07350015 AB - We explore the feasibility of improving upon the preliminary estimates of payroll employment growth from the U.S. Bureau of Labor Statistics by predicting subsequent revisions to these estimates, using the preliminary estimates themselves and other information available concurrently. Results of statistical tests suggest that the preliminary estimates can be improved upon; that is, they are not “efficient forecasts” of the revised estimates. The improvement of preliminary estimates as indicators of estimates of employment growth following annual benchmarks is particularly large; the unanticipated component of the revision based on the annual benchmarks is reduced by more than 22%. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PAYROLLS KW - EMPLOYMENT (Economic theory) KW - ESTIMATES KW - ECONOMIC indicators KW - UNITED States KW - Data revisions KW - Efficient forecasts KW - Measurement error KW - UNITED States. Bureau of Labor Statistics N1 - Accession Number: 5825185; Neumark, David 1; Wascher, William L. 2; Affiliations: 1: Department of Economics, University of Pennsylvania, Philadelphia, PA 19104.; 2: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Apr91, Vol. 9 Issue 2, p197; Thesaurus Term: PAYROLLS; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: ESTIMATES; Thesaurus Term: ECONOMIC indicators; Subject: UNITED States; Author-Supplied Keyword: Data revisions; Author-Supplied Keyword: Efficient forecasts; Author-Supplied Keyword: Measurement error ; Company/Entity: UNITED States. Bureau of Labor Statistics; NAICS/Industry Codes: 541215 Bookkeeping, payroll and related services; NAICS/Industry Codes: 541214 Payroll Services; NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5825185&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Berger, Allen N. T1 - Loan commitments and bank risk exposure. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1991/02// VL - 15 IS - 1 M3 - Article SP - 173 EP - 192 SN - 03784266 AB - Increases in off-balance sheet activities by financial institutions have generated a surge of interest in these activities. This research article analyzes the risks to banks associated with loan commitments, one of the largest off-balance sheet activities. Loan commitments increase a bank's risk by obligating it to issue future loans under terms it might otherwise refuse. However, a moral hazard and adverse selection problems may result in these contracts being rationed or sorted. Depending on the relative risks of the borrowers who do and do not receive commitments, commitment loans could be safer or riskier on average than other loans. KW - OFF balance sheet financing KW - RISK KW - BANKING industry KW - LOANS KW - FINANCE N1 - Accession Number: 11478700; Avery, Robert B. 1; Berger, Allen N. 2,3; Affiliations: 1: Cornell University, USA; 2: Board of Governors of the Federal Reserve System, USA; 3: Federal Reserve Bank of Cleveland, USA; Issue Info: Feb91, Vol. 15 Issue 1, p173; Thesaurus Term: OFF balance sheet financing; Thesaurus Term: RISK; Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; Thesaurus Term: FINANCE; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478700&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Irwin, Douglas A. T1 - TERMS OF TRADE AND ECONOMIC GROWTH IN NINETEENTH CENTURY BRITAIN. JO - Bulletin of Economic Research JF - Bulletin of Economic Research Y1 - 1991/01// VL - 43 IS - 1 M3 - Article SP - 93 PB - Wiley-Blackwell SN - 03073378 AB - International trade and economic growth have been considered intimately linked in nineteenth century Britain. Conventional estimates of Britain's gross national product, however, fail to account for changes in the terms of trade and may be misleading indicators of changes in real income. Revised figures that incorporate terms of trade changes are presented here. One finding is that conventional estimates of GNP overstate growth in real income early in the century when the terms of trade deteriorated. [ABSTRACT FROM AUTHOR] AB - Copyright of Bulletin of Economic Research is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development KW - INTERNATIONAL trade KW - GROSS national product KW - NATIONAL income KW - GREAT Britain -- Economic conditions -- 19th century KW - GREAT Britain N1 - Accession Number: 4521160; Irwin, Douglas A. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System Washington, DC 20551.; Issue Info: Jan1991, Vol. 43 Issue 1, p93; Thesaurus Term: ECONOMIC development; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: GROSS national product; Thesaurus Term: NATIONAL income; Subject Term: GREAT Britain -- Economic conditions -- 19th century; Subject: GREAT Britain; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 9p; Illustrations: 3 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4521160&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - A new test for mean reversion in stock prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 152 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699969; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699969&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AU - Morgan, Paul B. AD - Unlisted AD - Unlisted T1 - A primer on the Japanese banking system PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 419 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700896; Keywords: Banks and banking - Japan ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700896&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davies, Sally M. AD - Unlisted T1 - Accounting for prediction variance in event studies PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 173 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699990; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699990&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wei, Shang-Jin AD - Unlisted T1 - Anticipations of foreign exchange volatility and bid-ask spreads PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 409 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700886; Keywords: Foreign exchange rates ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700886&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Argentina's experience with parallel exchange markets: 1981-1990 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 407 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700884; Keywords: Argentina ; Foreign exchange - Law and legislation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700884&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Lee AD - Unlisted T1 - Callable corporate bonds: a vanishing breed PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 155 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699972; Keywords: Corporate bond; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699972&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Passmore, Wayne AD - Unlisted T1 - Can retail depositories fund mortgages profitably? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 175 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699992; Keywords: Mortgages ; Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699992&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berkovec, James A. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - Changes in the cost of equity capital for bank holding companies and the effects on raising capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 160 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699977; Keywords: Bank capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699977&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Cointegration, exogeneity, and policy analysis: an overview PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 415 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700892; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700892&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Granger, Clive W. J. AU - Deutsch, Melinda AD - Unlisted AD - Unlisted T1 - Comments on the evaluation of policy models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 413 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700890; Keywords: Econometric models ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700890&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AD - Unlisted T1 - Corporate medium-term notes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 162 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699979; Keywords: Corporations - Finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699979&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark W. AU - Sichel, Daniel E. AD - Unlisted AD - Unlisted T1 - Cyclical patterns in the variance of economic activity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 161 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699978; Keywords: Business cycles; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699978&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Debt and employment volatility over the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 172 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699989; Keywords: Debt ; Employment (Economic theory) ; Corporations - Finance ; Financial leverage; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699989&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Debt buybacks signal sovereign countries' creditworthiness: theory and tests PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 180 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699997; Keywords: Debt ; Developing countries ; Loans, Foreign; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699997&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fenn, George AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Debt maturity and the back-to-the-wall theory of corporate finance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 171 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699988; Keywords: Debt ; Corporations - Finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699988&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leahy, Michael P. AD - Unlisted T1 - Determining foreign exchange risk and bank capital requirements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 400 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700877; Keywords: Bank capital ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700877&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warner, Andrew M. AD - Unlisted T1 - Did the debt crisis cause the investment crisis? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 418 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700895; Keywords: Debt ; Developing countries ; Financial crises; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700895&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warner, Andrew M. AD - Unlisted T1 - Did the debt crisis or the oil price decline cause Mexico's investment collapse? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 416 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700893; Keywords: Financial crises - Mexico ; Mexico; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700893&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Carroll, Christopher D. AU - Fuhrer, Jeffrey C. AU - Wilcox, David W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Does consumer sentiment affect household spending? If so why? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 168 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699985; Keywords: Consumer behavior ; Consumption (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699985&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Efficient resolution of moral hazard via capital market: monitoring banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 178 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699995; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699995&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennedy, James E. AD - Unlisted T1 - Empirical relationships between the total industrial production index and its diffusion indexes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 163 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699980; Keywords: Forecasting ; Industrial production index; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699980&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Craig, R. Sean AD - Unlisted T1 - EMS interest rate differentials and fiscal policy: a model with an empirical application to Italy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 405 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700882; Keywords: European Monetary System (Organization) ; Italy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700882&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, J. Nellie AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Equity underwriting risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 146 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699964; Keywords: Bank underwriting ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699964&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Exchange rate rules in support of disinflation programs in developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 402 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700879; Keywords: Foreign exchange rates ; Developing countries ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700879&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Andrew K. AU - Svensson, Lars E. O. AD - Unlisted AD - Unlisted T1 - Expected and predicted realignments: the FF/DM exchange rate during the EMS PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 395 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700872; Keywords: European Monetary System (Organization) ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700872&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, Donald AD - Unlisted T1 - Explaining the volume of intraindustry trade: are increasing returns necessary? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 411 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700888; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700888&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helkie, William L. AU - Howard, David H. AD - Unlisted AD - Unlisted T1 - External adjustment in selected developing countries in the 1990s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 417 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700894; Keywords: Developing countries ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700894&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Factors contributing to rapid growth in national expenditures on health care PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 182 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699999; Keywords: Medical care, Cost of; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699999&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Rose, Andrew K. AD - Unlisted AD - Unlisted T1 - How pervasive is the product cycle? The empirical dynamics of American and Japanese trade flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 410 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700887; Keywords: International trade ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700887&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leeper, Eric M. AU - Gordon, David B. AD - Unlisted AD - Unlisted T1 - In search of the liquidity effect PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 403 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700880; Keywords: Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700880&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - Inferring market power from time-series data: the case of the banking firm PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 147 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699965; Keywords: Time-series analysis ; Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699965&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Montgomery, John D. AD - Unlisted T1 - Market segmentation and 1992: toward a theory of trade in financial services PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 394 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700871; Keywords: European Economic Community ; Banks and banking, International; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700871&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kuester, Kathleen A. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Market-based deposit insurance premiums: an evaluation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 150 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699968; Keywords: Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699968&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Maximizing the market value of a firm to choose dynamic policies for managerial hiring, compensation, firing and tenuring PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 179 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699996; Keywords: Executives ; Corporate profits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699996&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kashyap, Anil K. AU - Stein, Jeremy C. AU - Wilcox, David W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy and credit conditions: evidence from the composition of external finance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 154 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699971; Keywords: Monetary policy ; Credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699971&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AU - Wagner, Joachim AD - Unlisted AD - Unlisted T1 - More on the international similarity of interindustry wage differentials: evidence from the Federal Republic of Germany and the U.S PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 167 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699984; Keywords: Germany ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699984&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul AD - Unlisted T1 - Noise traders, excess volatility, and securities transaction tax PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 166 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699983; Keywords: Securities ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699983&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 412 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700889; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700889&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Campos, Julia AU - Tran, Hong-Anh AD - Unlisted AD - Unlisted AD - Unlisted T1 - PC-give and David Hendry's econometric methodology PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 406 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700883; Keywords: Econometric models ; Hendry, David F.; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700883&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Wilbur John, II AD - Unlisted T1 - Precautionary money balances with aggregate uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 399 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700876; Keywords: Money; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700876&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Collins, Sean AD - Unlisted T1 - Prediction techniques for Box-Cox regression models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 148 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699966; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699966&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Projections of health care expenditures as a share of GNP: actuarial and economic approaches PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 170 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699987; Keywords: Insurance, Health ; Gross national product; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699987&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fenn, George AU - Kupiec, Paul AD - Unlisted AD - Unlisted T1 - Prudential margin policy in a futures-style settlement system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 164 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699981; Keywords: Futures ; Margins (Security trading); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699981&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Pauls, B. Dianne AD - Unlisted AD - Unlisted T1 - Re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 408 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700885; Keywords: Foreign exchange rates ; International finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700885&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Securitization, risk, and the liquidity problem in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 181 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699998; Keywords: Liquidity (Economics) ; Asset-backed financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699998&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AU - Caballero, Ricardo J. AU - Lyons, Richard K. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Sourcing externalities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 153 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699970; Keywords: Productivity; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699970&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul AD - Unlisted T1 - Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 165 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699982; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699982&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gavin, Michael AD - Unlisted T1 - Terms of trade, the trade balance, and stability: the role of savings behavior PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 397 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700874; Keywords: International trade ; Balance of trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700874&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois E. AU - Stevens, Guy V. G. AD - Unlisted AD - Unlisted T1 - The adequacy of U.S. direct investment data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 401 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700878; Keywords: Investments, Foreign - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700878&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jack L. Goodman, Jr. AU - Hudson, Yana AU - Yermish, Scott AD - Unlisted AD - Unlisted AD - Unlisted T1 - The characteristics of home mortgage debt, 1970-89: trends and implications PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 149 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699967; Keywords: Mortgages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699967&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - The econometrics of elasticities or the elasticity of econometrics: an empirical analysis of the behavior of U.S. imports PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 396 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700873; Keywords: Econometrics ; Imports; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700873&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davies, Sally M. AU - McManus, Douglas A. AD - Unlisted AD - Unlisted T1 - The effects of closure policies on bank risk-taking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 158 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699975; Keywords: Bank failures ; Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699975&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - The functional relationship between prices and market concentration: the case of the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 169 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699986; Keywords: Prices ; Banking structure; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699986&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - White, A. Patricia AD - Unlisted T1 - The Globex trading system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 157 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699974; Keywords: Clearinghouses (Banking); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699974&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mittelstaedt, H. Fred AU - Warshawsky, Mark AD - Unlisted AD - Unlisted T1 - The impact of liabilities for retiree health benefits on share prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 156 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699973; Keywords: Cafeteria benefit plans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699973&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AD - Unlisted T1 - The profit-concentration relationship in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 176 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699993; Keywords: Bank mergers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699993&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois E. AD - Unlisted T1 - The statistical discrepancy in the U.S. international transactions accounts: sources and suggested remedies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 404 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700881; Keywords: Balance of payments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700881&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prowse, Stephen D. AD - Unlisted T1 - The structure of corporate ownership in Japan PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 174 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699991; Keywords: Corporations ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699991&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Labadie, Pamela AD - Unlisted T1 - The term structure of interest rates over the business cycle PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 159 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699976; Keywords: Business cycles ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699976&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kole, Linda S. AU - Leahy, Michael P. AD - Unlisted AD - Unlisted T1 - The usefulness of P* measures for Japan and Germany PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 414 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700891; Keywords: Prices ; Velocity of money ; Money supply ; Germany ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700891&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meade, Ellen E. AU - Thomas, Charles P. AD - Unlisted AD - Unlisted T1 - Using external sustainability to forecast the dollar PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 398 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700875; Keywords: Forecasting ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700875&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Acharya, Sankarshan AD - Unlisted T1 - Value of double leverage, bank holding companies and capital regulation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 177 Y1 - 1991/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699994; Keywords: Bank holding companies ; Bank capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699994&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Reinhart, Vincent T1 - Targeting Nominal Income in a Dynamic Model. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1990/11// VL - 22 IS - 4 M3 - Article SP - 427 EP - 443 PB - Ohio State University Press SN - 00222879 AB - The article focuses on the use of dynamic model to determine the monetary policy role in providing a constant growth in the money stock or nominal income. The article cites the work of John B. Taylor, who judges a nominal income rule by its effects on the dynamics of the economy, using a perfect-foresight planning model the combines the contributions of Guillermo A. Calvo and Kent P. Kimbrough. According to Kimbrough's work, money plays an important role in the economy because real balances help households economize on making transactions. While Calvo asserts that the monetary policymaker plays an essential role because prices are bound by contracts set at staggered and overlapping intervals. KW - MONETARY policy KW - MONEY supply KW - INCOME KW - REAL income KW - CALVO, Guillermo KW - KIMBROUGH, Kent P. N1 - Accession Number: 5164172; Reinhart, Vincent 1; Affiliations: 1: Economist, Division of Monetary Affairs, Board of Governors of the Federal Reserve System; Issue Info: Nov90, Vol. 22 Issue 4, p427; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEY supply; Thesaurus Term: INCOME; Thesaurus Term: REAL income; People: CALVO, Guillermo; People: KIMBROUGH, Kent P.; Number of Pages: 17p; Illustrations: 2 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5164172&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Prowse, Stephen D. T1 - Institutional investment patterns and corporate financial behavior in the United States and Japan. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1990/09// VL - 27 IS - 1 M3 - Article SP - 43 EP - 66 SN - 0304405X AB - This paper examines the agency problem between shareholders and debtholders of Japanese and U.S. firms. Whereas U.S. institutional investors are restricted from doing so, Japanese financial institutions take large equity positions in firms to which they lend, particularly in firms more susceptible to the agency problem. Debt ratios of U.S. firms are negatively related to the firm's potential to engage in risky, suboptimal investments, whereas Japanese debt ratios show no such relation. The evidence is consistent with the notion that the agency problem is mitigated to a greater degree in Japan than in the U.S. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INSTITUTIONAL investments KW - STOCKHOLDERS KW - FINANCIAL institutions KW - GLOBAL custody (Securities) KW - FINANCIAL services industry KW - DEBT financing (Corporations) KW - UNITED States KW - JAPAN N1 - Accession Number: 12243083; Prowse, Stephen D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; Issue Info: Sep90, Vol. 27 Issue 1, p43; Thesaurus Term: INSTITUTIONAL investments; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: GLOBAL custody (Securities); Thesaurus Term: FINANCIAL services industry; Thesaurus Term: DEBT financing (Corporations); Subject: UNITED States; Subject: JAPAN; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12243083&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simon, David P. T1 - Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes. JO - Journal of Finance JF - Journal of Finance Y1 - 1990/06// VL - 45 IS - 2 M3 - Article SP - 567 EP - 577 PB - Wiley-Blackwell SN - 00221082 AB - This paper shows that the spread between the 3-month Treasury bill and the federal funds rate has significant predictive power for the future change in the federal funds rate during the volatile nonborrowed reserves operating regime, but it has less and no predictive power during the borrowed reserves regime and the federal funds targeting regime, respectively. These findings suggest that Treasury bill rates forecast future federal funds rates most accurately when the Federal Reserve follows a well-defined rule that does not smooth the impact of shocks on the federal funds rate. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TREASURY bills KW - CREDIT control KW - MONETARY policy KW - GOVERNMENT securities KW - RESERVES (Accounting) KW - FEDERAL funds market (U.S.) KW - ECONOMIC forecasting KW - UNITED States KW - UNITED States. Dept. of the Treasury KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 4652193; Simon, David P. 1; Affiliations: 1: Economist, Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jun90, Vol. 45 Issue 2, p567; Thesaurus Term: TREASURY bills; Thesaurus Term: CREDIT control; Thesaurus Term: MONETARY policy; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: ECONOMIC forecasting; Subject: UNITED States ; Company/Entity: UNITED States. Dept. of the Treasury ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4652193&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rhoades, Stephen A. T1 - The Power of Collective Purse Strings. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 1990///Spring1990 VL - 5 IS - 1 M3 - Book Review SP - 183 EP - 184 SN - 0889938X AB - Reviews the book "The Power of Collective Purse Strings," by Davita Silfen Glasberg. KW - BANKING industry KW - NONFICTION KW - GLASBERG, Davita Silfen KW - POWER of Collective Purse Strings, The (Book) N1 - Accession Number: 17082627; Rhoades, Stephen A. 1; Affiliations: 1: Financial Structure Section, Board of Governors of the Federal Reserve System.; Issue Info: Spring1990, Vol. 5 Issue 1, p183; Thesaurus Term: BANKING industry; Subject Term: NONFICTION; Reviews & Products: POWER of Collective Purse Strings, The (Book); NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; People: GLASBERG, Davita Silfen; Number of Pages: 2p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17082627&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Elliehausen, Gregory E. AU - Lawrence, Edward C. T1 - DISCRIMINATION IN CONSUMER LENDING. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1990/02// VL - 72 IS - 1 M3 - Article SP - 156 EP - 160 PB - MIT Press SN - 00346535 AB - This paper tests for the existence of discrimination in consumer lending by finance companies in Texas before the passage of the Equal Credit Opportunity Act, The data used permit conclusions about discrimination in the market, not just in the behavior of a small number of creditors. The tests suggest that lenders did not discriminate against factors now protected by ECOA, These companies may have discriminated against single borrowers of both sexes and against widows but not married women or divorced borrowers. The results support the view that consumer credit markets as a whole were not characterized by widespread systematic discrimination. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCRIMINATION KW - LOANS KW - MARKETS KW - MARRIED women KW - WIDOWS N1 - Accession Number: 4645166; Elliehausen, Gregory E. 1; Lawrence, Edward C. 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Missouri-St. Louis; Issue Info: Feb90, Vol. 72 Issue 1, p156; Thesaurus Term: DISCRIMINATION; Thesaurus Term: LOANS; Thesaurus Term: MARKETS; Subject Term: MARRIED women; Subject Term: WIDOWS; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4645166&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Coleman, II, Wilbur John T1 - Solving the Stochastic Growth Model by Policy-Function Iteration. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1990/01// VL - 8 IS - 1 M3 - Article SP - 27 EP - 29 SN - 07350015 AB - This article describes a computer algorithm that solves the stochastic growth model by iterating on a fixed-point equation in the decision rule determining consumption as a function of the state variables. This algorithm does not discretize the state space, but rather it preserves the continuous domain of the capital stock and the productivity shock. The main advantage of this algorithm is that it is based on a Euler equation and thus it has a straightforward generalization to dynamic economies that cannot be solved by a central planner, such as a non-Pareto optimal competitive economy. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC development -- Mathematical models KW - CAPITAL contributions KW - STOCKHOLDERS equity KW - PREFERRED stocks KW - CAPITAL stock KW - CONSUMPTION (Economics) KW - Algorithm KW - Bilinear interpolation KW - Decision rule KW - Dynamic model KW - Quadrature N1 - Accession Number: 5823774; Coleman, II, Wilbur John 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jan1990, Vol. 8 Issue 1, p27; Thesaurus Term: ECONOMIC development -- Mathematical models; Thesaurus Term: CAPITAL contributions; Thesaurus Term: STOCKHOLDERS equity; Thesaurus Term: PREFERRED stocks; Thesaurus Term: CAPITAL stock; Thesaurus Term: CONSUMPTION (Economics); Author-Supplied Keyword: Algorithm; Author-Supplied Keyword: Bilinear interpolation; Author-Supplied Keyword: Decision rule; Author-Supplied Keyword: Dynamic model; Author-Supplied Keyword: Quadrature; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5823774&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gagnon, Joseph E. T1 - Solving the Stochastic Growth Model by Deterministic Extended Path. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1990/01// VL - 8 IS - 1 M3 - Article SP - 35 EP - 36 SN - 07350015 AB - This article describes the use of the deterministic version of the extended-path algorithm to solve the simple stochastic growth model. The article also discusses the two sources of approximation error inherent in this method. It is demonstrated that the error due to numerical iterations is small. No general conclusion can be reached on the error that arises from the algorithm's treatment of expectations. In at least two specific cases, however, this error appears to be small. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCHASTIC processes KW - ALGORITHMS KW - STOCHASTIC analysis KW - ECONOMIC development -- Mathematical models KW - FUNCTIONAL analysis KW - NUMERICAL analysis KW - Optimal growth KW - Rational expectations KW - Solution algorithm N1 - Accession Number: 5823926; Gagnon, Joseph E. 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jan1990, Vol. 8 Issue 1, p35; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: ALGORITHMS; Thesaurus Term: STOCHASTIC analysis; Thesaurus Term: ECONOMIC development -- Mathematical models; Thesaurus Term: FUNCTIONAL analysis; Subject Term: NUMERICAL analysis; Author-Supplied Keyword: Optimal growth; Author-Supplied Keyword: Rational expectations; Author-Supplied Keyword: Solution algorithm; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5823926&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Udell, Gregory F. T1 - COLLATERAL, LOAN QUALITY, AND BANK RISK. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1990/01// VL - 25 IS - 1 M3 - Article SP - 21 EP - 42 SN - 03043932 AB - Most commercial loans are made on a secured basis, yet little is known about the relationship between collateral and credit risk. Several theoretical studies find that when borrowers have private information about risk, the lowest-risk borrowers tend to pledge collateral. In contrast, conventional wisdom holds that when risk is observable, the highest-risk borrowers tend to pledge collateral. An additional issue is whether secured loans (as opposed to secured borrowers) tend to be safer or riskier than unsecured loans. Empirical evidence presented here strongly suggests that collateral is most often associated with riskier borrowers, riskier loans, and riskier banks. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COLLATERAL security KW - CREDIT risk KW - LOMBARD loans KW - BANK loans KW - LOANS KW - BANKING industry KW - FINANCIAL institutions KW - RISK KW - ECONOMICS N1 - Accession Number: 7027318; Berger, Allen N. 1; Udell, Gregory F. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: New York University, New York, NY 10006, USA; Issue Info: Jan90, Vol. 25 Issue 1, p21; Thesaurus Term: COLLATERAL security; Thesaurus Term: CREDIT risk; Thesaurus Term: LOMBARD loans; Thesaurus Term: BANK loans; Thesaurus Term: LOANS; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: RISK; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 22p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7027318&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Duffee, Gregory AU - Kupiec, Paul AU - White, Patricia AD - Unlisted AD - Unlisted AD - Unlisted T1 - A primer on program trading and stock price volatility: a survey of the issues and the evidence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 109 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700057; Keywords: Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700057&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - White, A. Pat AU - Kupiec, Paul AU - Duffee, Gregory AD - Unlisted AD - Unlisted AD - Unlisted T1 - A securities transactions tax: beyond the rhetoric, what can we really say? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 133 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700081; Keywords: Securities ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700081&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hess, Gregory D. AD - Unlisted T1 - A test of the theory of optimal taxation for the United States: 1870-1989 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 143 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700091; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700091&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul AU - Sharpe, Steven AD - Unlisted AD - Unlisted T1 - Animal spirits, margin requirements, and stock price volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 127 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700075; Keywords: Margins (Security trading) ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700075&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AU - Hess, Gregory D. AD - Unlisted AD - Unlisted T1 - Are higher levels of inflation less predictable? A state-dependent conditional heterokedasticity approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 141 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700089; Keywords: Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700089&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hess, Gregory D. AD - Unlisted T1 - Are tax rates too volatile? An application of volatility tests to United States tax rates: 1870-1989 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 142 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700090; Keywords: Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700090&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Porter, Richard D. AD - Unlisted T1 - Asset prices and the conduct of monetary policy : proceedings of the Monetary Affairs Workshop PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 125 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700073; Keywords: Inflation (Finance) ; Interest rates ; Monetary policy ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700073&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meade, Ellen E. AD - Unlisted T1 - Computers and the trade deficit: the case of the falling prices PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 378 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701038; Keywords: Computers ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701038&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brunner, Allan D. AD - Unlisted T1 - Conditional asymmetries in real GNP: a semi-nonparametric approach PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 140 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700088; Keywords: Gross national product; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700088&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Contractionary devaluation with black markets for foreign exchange PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 370 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701030; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701030&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whited, Toni M. AD - Unlisted T1 - Debt, liquidity constraints, and corporate investment: evidence from panel data PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 114 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700062; Keywords: Debt ; Corporations - Finance ; Liquidity (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700062&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennickell, Arthur B. AD - Unlisted T1 - Demographics and household savings PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 123 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700071; Keywords: Income ; Saving and investment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700071&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Juster, F. Thomas AU - Kuester, Kathleen A. AD - Unlisted AD - Unlisted T1 - Differences in the measurement of wealth, wealth inequality, and wealth composition obtained from alternative U.S. wealth surveys PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 116 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700064; Keywords: Wealth ; Income distribution; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700064&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davies, Sally M. AD - Unlisted T1 - Dynamic price competition, briefly sunk costs, and entry deterrence PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 103 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700051; Keywords: Prices ; Business enterprises; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700051&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chandrakantha, M. W. Leslie AU - Mehta, J. S. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Effects of using dependent and independent differences in tests of random walk models against regression models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 129 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700077; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700077&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chang, I-Lok AU - Hallahan, Charles AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Efficient computation of stochastic coefficients models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 132 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700080; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700080&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Melick, William R. AD - Unlisted T1 - Estimating pass-through: structure and stability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 387 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701047; Keywords: Interest rates ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701047&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Evaluating the predictive performance of trade-account models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 377 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701037; Keywords: Forecasting ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701037&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Crabbe, Leland AD - Unlisted T1 - Event risk: an analysis of losses to bondholders and 'super poison put' bond covenants PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 111 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700059; Keywords: Corporate bond ; Leveraged buyouts; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700059&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hoshi, Takeo AU - Kashyap, Anil K. AD - Unlisted AD - Unlisted T1 - Evidence on q and investment for Japanese firms PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 136 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700084; Keywords: Japan ; Corporations - Finance ; Stock - Prices - Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700084&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AD - Unlisted T1 - Federally sponsored R&D and productivity growth PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 121 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700069; Keywords: Productivity ; Research and development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700069&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Financial accounting for pensions: measures of funding status PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 145 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700093; Keywords: Accounting ; Pensions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700093&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 131 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700079; Keywords: Money market ; International finance ; Stock - Prices ; Corporate bond; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700079&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Ross AD - Unlisted T1 - Financial structure and economic development PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 381 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701041; Keywords: Economic development ; Financial institutions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701041&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - Foreign currency operations: an annotated bibliography PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 380 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701040; Keywords: Foreign exchange - Law and legislation ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701040&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irwin, Douglas A. AD - Unlisted T1 - Free trade at risk? An historical perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 391 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701051; Keywords: Free trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701051&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Futures margins and stock price volatility: is there any link? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 104 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700052; Keywords: Futures ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700052&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brayton, F. AU - Kan, W. AU - Tinsley, P. A. AU - von zur Muehlen, P. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Here's looking at you: modelling and policy use of auction price expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 126 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700074; Keywords: Prices ; Economic indicators; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700074&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Prowse, Stephen D. AD - Unlisted T1 - Institutional investment patterns and corporate financial behavior in the U.S. and Japan PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 108 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700056; Keywords: Japan ; Corporations - Finance ; Capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700056&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gertler, Mark AU - Hubbard, R. Glenn AU - Kashyap, Anil K. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Interest rate spreads, credit constraints and investment fluctuations: an empirical investigation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 137 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700085; Keywords: Interest rates ; Corporations - Finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700085&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hubbard, R. Glenn AU - Kashyap, Anil AD - Unlisted AD - Unlisted T1 - Internal net worth and the investment process: an application to U.S. agriculture PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 124 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700072; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700072&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Popper, Helen AD - Unlisted T1 - International capital mobility: direct evidence from long-term currency swaps PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 386 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701046; Keywords: Capital ; International economic relations ; Swaps (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701046&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Danker, Deborah AU - Hooper, Peter AD - Unlisted AD - Unlisted T1 - International financial markets and the U.S. external imbalance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 372 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701032; Keywords: Capital movements ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701032&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Tavlas, George S. AD - Unlisted AD - Unlisted T1 - Is it possible to find an econometric law that works well in explanation and prediction? The case of Australian money demand PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 128 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700076; Keywords: Econometrics ; Money supply ; Australia; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700076&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Key, Sydney J. AD - Unlisted T1 - Is national treatment still viable? U.S. policy in theory and practice PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 385 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701045; Keywords: International finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701045&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Flood, Robert P. AU - Rose, Andrew K. AU - Mathieson, Donald J. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Is the EMS the perfect fix? An empirical exploration of exchange rate target zones PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 388 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701048; Keywords: European Economic Community ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701048&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Is there a corporate debt crisis? Another look PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 110 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700058; Keywords: Corporations - Finance ; Debt; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700058&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - Measurement and efficiency issues in commercial banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 151 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700094; Keywords: Banks and banking ; Bank supervision; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700094&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irwin, Douglas A. AD - Unlisted T1 - Mercantilism as strategic trade policy: the Anglo-Dutch rivalry for the East India trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 392 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701052; Keywords: Exports ; International trade ; Economic history; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701052&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hendry, David F. AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Modeling the demand for narrow money in the United Kingdom and the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 383 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701043; Keywords: Money supply ; Great Britain; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701043&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - On the power of Dickey-Fuller tests against fractional alternatives PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 119 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700067; Keywords: Macroeconomics ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700067&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von zur Muehlen, Peter AD - Unlisted T1 - Optimal interest rate rules with information from money and auction markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 120 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700068; Keywords: Money market ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700068&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ingram, Beth AU - Leeper, Eric M. AD - Unlisted AD - Unlisted T1 - Post econometric policy evaluation: a critique PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 393 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701053; Keywords: Business cycles ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701053&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von zur Muehlen, Peter AD - Unlisted T1 - Predicting inflation with commodity prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 118 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700066; Keywords: Prices ; Forecasting ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700066&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Knetter, Michael M. AD - Unlisted AD - Unlisted T1 - Pricing to market in international trade: evidence from panel data on automobiles and total merchandise PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 389 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701049; Keywords: Automobile industry and trade ; Germany ; International trade ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701049&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kashyap, Anil K. AU - Wilcox, David W. AD - Unlisted AD - Unlisted T1 - Production and inventory control at the General Motors Corporation during the 1920s and 1930s PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 135 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700083; Keywords: General Motors Corporation ; Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700083&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Prospects for sustained improvement in U.S. external balance: structural change versus policy change PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 373 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701033; Keywords: Balance of trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701033&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bartelsman, Eric J. AD - Unlisted T1 - R&D spending and manufacturing productivity: an empirical analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 122 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700070; Keywords: Productivity ; Research and development; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700070&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Some evidence on the empirical significance of credit rationing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 105 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700053; Keywords: Credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700053&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Mehta, J. S. AU - von zur Muehlen, P. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Some problems with identification in parametric models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 144 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700092; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700092&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - von zur Muehlen, Peter AD - Unlisted T1 - Sticky inflation and interest rate rules with auction prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 117 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700065; Keywords: Prices ; Inflation (Finance) ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700065&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kashyap, Anil K. AD - Unlisted T1 - Sticky prices: new evidence from retail catalogs PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 112 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700060; Keywords: Retail trade ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700060&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Ross AD - Unlisted T1 - Stock markets, growth, and policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 374 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701034; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701034&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Switching costs, market concentration, and prices: the theory and its empirical implications in the bank deposit market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 138 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700086; Keywords: Bank deposits ; Bank competition; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700086&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - The dominance of inefficiencies over scale and product mix economies in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 107 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700055; Keywords: Economies of scale ; Banks and banking - Costs; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700055&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leeper, Eric M. AD - Unlisted T1 - The dynamics of interest rate and tax rules in a stochastic model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 375 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701035; Keywords: Interest rates ; Monetary policy ; Taxation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701035&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Alexander, Lewis S. AU - Gagnon, Joseph E. AD - Unlisted AD - Unlisted T1 - The global economic implications of German unification PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 379 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701039; Keywords: Germany; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701039&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duffee, Gregory R. AD - Unlisted T1 - The importance of market psychology in the determination of stock market volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 115 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700063; Keywords: Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700063&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hoshi, Takeo AU - Kashyap, Anil K. AU - Scharfstein, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - The role of banks in reducing financial distress in Japan PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 134 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700082; Keywords: Banks and banking, International ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700082&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Popper, Helen AD - Unlisted T1 - The term structure of interest rates in the onshore markets of the United States, Germany, and Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 382 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701042; Keywords: Interest rates ; Germany ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701042&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bradley, Michael G. AU - Lumpkin, Stephen A. AD - Unlisted AD - Unlisted T1 - The treasury yield curve as a cointegrated system PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 106 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700054; Keywords: Government securities ; Interest rates ; Treasury bills; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700054&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irwin, Douglas A. AD - Unlisted T1 - Three-factor general equilibrium models: a dual, geometric approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 384 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701044; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701044&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Towards the next generation of newly industrializing economies: the roles for macroeconomic policy and the manufacturing sector PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 376 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701036; Keywords: Manufactures ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701036&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rudebusch, Glenn D. AD - Unlisted T1 - Trends and random walks in macroeconomic time series: a re-examination PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 139 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700087; Keywords: Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700087&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bernanke, Ben S. AU - Campbell, John Y. AU - Whited, Toni M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - U.S. corporate leverage: developments in 1987 and 1988 PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 113 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700061; Keywords: Leveraged buyouts; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700061&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - BOOK T1 - In support of the arts in Utah: an Eccles family tradition. Y1 - 1990/// CY - Washington, D.C.; PB - Board of Directors of the Federal Reserve System N1 - Accession Number: SPHS-875194; Corporate Author: Utah Museum of Fine Arts.; Board of Governors of the Federal Reserve System (U.S.); Language: English; General Notes: Exhibition held October 2-November 30, 1990 at the Marriner S. Eccles Federal Reserve Board Building. Gift of Anita L. DeFrantz.; Description: [23] p. : ill. some col. ; 16 x 23 cm.; Database Subset: AF; Publication Type: Monograph or government document; Material Type: Monographic item; Update Code: 20031001 KW - *WINTER Olympics KW - *OLYMPICS KW - LETTING of contracts KW - PAINTING KW - EXHIBITIONS KW - NINETEEN ninety-eight, A.D. KW - SALT Lake City (Utah) KW - UTAH MUSEUM OF FINE ARTS KW - OLYMPIC GAMES, NAGANO 1998 KW - HOST CITY KW - CANDIDATURE KW - Utah Museum of Fine Arts KW - Winter Olympic Games (18th : 1998) -- Proposals -- Salt Lake City (Utah) KW - Paintings -- Exhibitions UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=s3h&AN=SPHS-875194&site=ehost-live&scope=site DP - EBSCOhost DB - s3h ER - TY - UNPB AU - McManus, Douglas A. AD - Unlisted T1 - Who invented local power analysis? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 130 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700078; Keywords: Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700078&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Andrew K. AD - Unlisted T1 - Why has trade grown faster than income? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 390 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701050; Keywords: Income ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701050&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Rose, Andrew K. AD - Unlisted AD - Unlisted T1 - Why hasn't trade grown faster than income? Inter-industry trade over the past century PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 371 Y1 - 1990/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701031; Keywords: Income ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701031&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Kupiec, Paul H. T1 - Initial Margin Requirements and Stock Returns Volatility: Another Look. JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 1989/12// VL - 3 IS - 2/3 M3 - Article SP - 287 EP - 301 SN - 09208550 AB - This article investigates the relationship between initial margin requirements and stock return volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an empirical relationship between margin requirements and the volatility of the S&P 500 index portfolio's excess returns. Evidence from short-sale data, and model sensitivity analysis are presented which support the hypothesis of no margin-volatility relationship. The results are consistent with the intertemporal CAPM model of Merton (1973) with an aggregate relative risk aversion measure of 4.1. In addition, we find evidence of long-term memory in conditional return distributions' volatility. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Services Research is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MARGINS (Security trading) KW - SECURITIES markets KW - VOLATILITY (Finance) KW - MARGIN requirements KW - RISK aversion KW - FUTURES market N1 - Accession Number: 17888437; Kupiec, Paul H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics, Capital Markets Section, Stop 92, Washington, D.C. 20551.; Issue Info: Dec1989, Vol. 3 Issue 2/3, p287; Thesaurus Term: MARGINS (Security trading); Thesaurus Term: SECURITIES markets; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: MARGIN requirements; Thesaurus Term: RISK aversion; Thesaurus Term: FUTURES market; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17888437&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rothberg, James P. AU - Nothaft, Frank E. AU - Gabriel, Stuart A. T1 - On the Determinants of Yield Spreads Between Mortgage Pass-Through and Treasury Securities. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1989/12// VL - 2 IS - 4 M3 - Article SP - 301 EP - 315 SN - 08955638 AB - Yield spreads between mortgage pass-through and U.S. Treasury securities may reflect differences in taxation, phenomena affecting relative supply and demand, and compensation for default, call, and marketability risks on mortgage instruments. Our research empirically models differences in yields between pass-throughs and comparable-maturity Treasuries. We find that interest-rate volatility and the term structure of rates, factors often cited in the mortgage pricing literature as affecting the mortgage call premium. arc the primary determinants of movements in these spreads. Moreover, these effects have grown in importance in recent years as exercise of the prepayment option has increased. We also find evidence that liquidity and credit concerns affect the pricing of pass-through securities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SECURITIES KW - TREASURY stock KW - PRICING KW - MICROECONOMICS KW - LIQUIDITY (Economics) KW - SECURITIES trading KW - UNITED States KW - mortgage pass-through KW - Treasury security KW - yield spreads N1 - Accession Number: 17320517; Rothberg, James P. 1; Nothaft, Frank E. 2; Gabriel, Stuart A. 3; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; 2: Department of Financial Research, Federal Home Loan Mortgage Corporation, Reston, Virginia.; 3: Division of Research and Statistics, Board of Governors of Federal Reserve System, Washington, D.C.; Issue Info: Dec1989, Vol. 2 Issue 4, p301; Thesaurus Term: SECURITIES; Thesaurus Term: TREASURY stock; Thesaurus Term: PRICING; Thesaurus Term: MICROECONOMICS; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: SECURITIES trading; Subject: UNITED States; Author-Supplied Keyword: mortgage pass-through; Author-Supplied Keyword: Treasury security; Author-Supplied Keyword: yield spreads; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17320517&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hooper, Peter AU - Larin, Kathryn A. T1 - INTERNATIONAL COMPARISONS OF LABOR COSTS IN MANUFACTURING. JO - Review of Income & Wealth JF - Review of Income & Wealth Y1 - 1989/12// VL - 35 IS - 4 M3 - Article SP - 335 EP - 355 PB - Wiley-Blackwell SN - 00346586 AB - This paper presents a comparative study of the levels of unit labor costs in the manufacturing sectors of several countries. We begin by surveying earlier estimates of relative productivity and unit labor cost levels and evaluating the various methodologies that have been used in previous studies. Empirical estimates of relative unit labor costs, based on output levels that are translated at purchasing power parity exchange rates, are then presented and compared to earlier estimates. The results show that the relative levels of unit labor costs in the United States and abroad have fluctuated significantly in recent years, due largely to movements in nominal exchange rates. In 1988, unit labor costs in the United States were below the average level of other industrialized countries, but were significantly above the level in a representative newly industrialized country, Korea. Insofar as unit labor costs serve as an indicator of international competitiveness, these results imply that the competitiveness of the U.S. manufacturing sector had improved significantly since 1985, at least with respect to other major industrialized countries. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Income & Wealth is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR costs KW - COST accounting KW - WAGES -- Manufacturing industries KW - INTERNATIONAL competition KW - FOREIGN exchange rates KW - PURCHASING power parity KW - MANUFACTURING industries KW - UNITED States N1 - Accession Number: 5758159; Hooper, Peter 1; Larin, Kathryn A. 1; Affiliations: 1: Staff Members, Board of Governors of the Federal Reserve System.; Issue Info: Dec89, Vol. 35 Issue 4, p335; Thesaurus Term: LABOR costs; Thesaurus Term: COST accounting; Thesaurus Term: WAGES -- Manufacturing industries; Thesaurus Term: INTERNATIONAL competition; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PURCHASING power parity; Thesaurus Term: MANUFACTURING industries; Subject: UNITED States; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5758159&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Turner, Christopher M. AU - Startz, Richard AU - Nelson, Charles R. T1 - A MARKOV MODEL OF HETEROSKEDASTICITY, RISK, AND LEARNING IN THE STOCK MARKET. JO - Journal of Financial Economics JF - Journal of Financial Economics Y1 - 1989/11// VL - 25 IS - 1 M3 - Article SP - 3 EP - 22 SN - 0304405X AB - We examine a variety of models in which the variance of a portfolio's excess return depends on a state variable generated by a first-order Markov process. A model in which the state is known to economic agents is estimated. It suggests that the mean excess return moves inversely with the level of risk. We then estimate a model in which agents are uncertain of the state. The estimates indicate that agents are consistently surprised by high-variance periods, so there is a negative correlation between movements in volatility and in excess returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MARKOV processes KW - RISK KW - STOCK exchanges KW - SECURITIES KW - ASSETS (Accounting) KW - MARKETS N1 - Accession Number: 12242516; Turner, Christopher M. 1; Startz, Richard 2; Nelson, Charles R. 3; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA.; 2: University of Washington, Seattle, WA 98195, USA.; 3: NBER and University of Washington, Seattle, WA 98195, USA.; Issue Info: Nov89, Vol. 25 Issue 1, p3; Thesaurus Term: MARKOV processes; Thesaurus Term: RISK; Thesaurus Term: STOCK exchanges; Thesaurus Term: SECURITIES; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: MARKETS; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12242516&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sichel, Daniel E. T1 - Are Business Cycles Asymmetric? A Correction. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1989/10// VL - 97 IS - 5 M3 - Article SP - 1255 PB - University of Chicago Press SN - 00223808 AB - This comment has identified a probable error in economist Salih N. Neftci's empirical work that reverses the significance of his evidence for the asymmetry of the unemployment rate; that is, the evidence that increases in the unemployment rate are steeper than decreases is weaker than that in Neftci's explanation. However, other researchers utilizing different test procedures have found evidence of this type of asymmetry in the quarterly unemployment rate. Neftci's test will identify this amount of asymmetry only 25 percent of the time. If noise is added so that there is a one in 20 chance of the noise reversing the direction of the movement in the unemployment rate, this test will identify the asymmetry only 13 percent of the time. Given the potential sensitivity to noise or measurement error, it is interesting to note that there is some evidence of asymmetry in annual data in which, presumably, more of the noise is averaged out. The annual data evidence and the power analysis suggest that Neftci's test applied to quarterly data may not identify asymmetry that is, in fact, present and has been identified by other researchers. KW - BUSINESS cycles KW - ECONOMIC activity KW - UNEMPLOYMENT KW - BUSINESS conditions KW - ECONOMISTS KW - EVIDENCE KW - UNITED States KW - NEFTCI, Salih N. N1 - Accession Number: 5055771; Sichel, Daniel E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Oct89, Vol. 97 Issue 5, p1255; Thesaurus Term: BUSINESS cycles; Thesaurus Term: ECONOMIC activity; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: BUSINESS conditions; Thesaurus Term: ECONOMISTS; Subject Term: EVIDENCE; Subject: UNITED States; People: NEFTCI, Salih N.; Number of Pages: 6p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5055771&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Howard, David H. T1 - Implications of the U.S. Current Account Deficit. JO - Journal of Economic Perspectives JF - Journal of Economic Perspectives Y1 - 1989///Fall89 VL - 3 IS - 4 M3 - Article SP - 153 EP - 165 PB - American Economic Association SN - 08953309 AB - This article discusses various issues related to the economic policy adopted by the U.S. government concerning the account deficit of the country in 1988. In 1988, the U.S. recorded a deficit of about $135 billion on the current account of its balance of payments with the rest of the world. This sum amounted to roughly 2.75 percent of its gross national product. The recent path of the U.S. current account deficit and the consequent accumulation of external debts have raised many interesting economic and policy questions. Based on current policies, mainstream assumptions about the U.S. and foreign growth rates, and limited further currency realignments, many observers expect that within a few years the U.S. current account deficit will resume widening. The consensus forecast seems to be that a U.S. current account balance in the neighborhood of zero is not even a remote possibility in the near or not-so-near future. The implications of a current account deficit depend in part on what caused the deficit in the first place and how the economy adjusts in response. KW - ECONOMIC policy KW - BALANCE of trade KW - EXTERNAL debts KW - GOVERNMENT policy KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 4432940; Howard, David H. 1; Affiliations: 1: Deputy Associate Director of the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, DC.; Issue Info: Fall89, Vol. 3 Issue 4, p153; Thesaurus Term: ECONOMIC policy; Thesaurus Term: BALANCE of trade; Thesaurus Term: EXTERNAL debts; Thesaurus Term: GOVERNMENT policy; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4432940&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simon, David P. T1 - Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 1989/09// VL - 24 IS - 3 M3 - Article SP - 357 EP - 365 PB - Cambridge University Press SN - 00221090 AB - This paper examines rational expectations in the Treasury bill market from 1961 to 1988 with a risk premium specified to be proportional to the volatility of excess returns using instrumental variables. From 1961 to 1972 and from 1972 to 1979, rational expectations cannot be rejected, and both the predictive power of the yield curve and the risk premium are highly significant. By contrast, with just a constant risk premium and with a risk premium proxied by moving averages of absolute interest rate changes, rational expectations are rejected for each subperiod, and the yield curve has significant predictive information only from 1972 to 1979. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TREASURY bills KW - GOVERNMENT securities KW - RATIONAL expectations (Economic theory) KW - RISK premiums KW - RATE of return KW - ESTIMATION theory KW - EXPECTED returns KW - VOLATILITY (Finance) KW - EFFICIENT market theory KW - ECONOMETRICS KW - INSTRUMENTAL variables (Statistics) KW - HETEROSCEDASTICITY N1 - Accession Number: 5722532; Simon, David P. 1; Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, D.C., 20551; Issue Info: Sep89, Vol. 24 Issue 3, p357; Thesaurus Term: TREASURY bills; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: RISK premiums; Thesaurus Term: RATE of return; Thesaurus Term: ESTIMATION theory; Thesaurus Term: EXPECTED returns; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: EFFICIENT market theory; Thesaurus Term: ECONOMETRICS; Subject Term: INSTRUMENTAL variables (Statistics); Subject Term: HETEROSCEDASTICITY; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5722532&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Diebold, Francis X. AU - Rudebusch, Glenn D. T1 - LONG MEMORY AND PERSISTENCE IN AGGREGATE OUTPUT. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1989/09// VL - 24 IS - 2 M3 - Article SP - 189 EP - 209 SN - 03043932 AB - We examine persistence in U.S. aggregate output by estimating fractionally integrated ARIMA models. These models provide better low frequency approximations to the Wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases. We find evidence of long memory, which induces persistence. though this long memory need not be associated with a unit root. Our point estimates indicate that macroeconomic shocks, while persistent, are distinctly less persistent than many earlier studies suggest: however, confidence intervals associated with the long-run response are quite wide. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BOX-Jenkins forecasting KW - ECONOMIC forecasting KW - TIME series analysis KW - FORECASTING KW - MACROECONOMICS KW - ECONOMICS KW - ECONOMIC models KW - ECONOMIC policy KW - UNITED States -- Economic conditions N1 - Accession Number: 7036623; Diebold, Francis X. 1; Rudebusch, Glenn D. 2; Affiliations: 1: University of Pennsylvania, Philadelphia, PA 19104, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep89, Vol. 24 Issue 2, p189; Thesaurus Term: BOX-Jenkins forecasting; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: TIME series analysis; Thesaurus Term: FORECASTING; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMICS; Thesaurus Term: ECONOMIC models; Thesaurus Term: ECONOMIC policy; Subject Term: UNITED States -- Economic conditions; Number of Pages: 21p; Illustrations: 5 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7036623&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Liang, J. Nellie T1 - PRICE REACTION FUNCTIONS AND CONJECTURAL VARIATIONS. JO - Review of Industrial Organization JF - Review of Industrial Organization Y1 - 1989///Fall1989 VL - 4 IS - 2 M3 - Article SP - 31 EP - 58 SN - 0889938X AB - Price conjectural variations are estimated to measure the degree of price competition in a product differentiated oligopoly. The empirical model is a simultaneous equation system of product demand and price reaction functions. Own and cross price demand elasticities are estimated in conjunction with the price conjectural variations and price reaction function elasticities. The conjectural variations are estimated for pairs of ready-to-eat breakfast cereal products using brand price and quantity data. The empirical results reject competitive brand pricing behavior in favor of independent or collusive pricing. Further, the hypothesis of a unique consistent conjecture is rejected. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Industrial Organization is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICES KW - DEMAND (Economic theory) KW - ELASTICITY (Economics) KW - ECONOMICS KW - PRICING KW - COMPETITION N1 - Accession Number: 17082132; Liang, J. Nellie 1; Affiliations: 1: Staff Economist, Financial Structure Section, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Fall1989, Vol. 4 Issue 2, p31; Thesaurus Term: PRICES; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: ECONOMICS; Thesaurus Term: PRICING; Subject Term: COMPETITION; Number of Pages: 28p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17082132&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hooper, Peter T1 - U.S. Net Foreign Saving Has Also Plunged. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1989/07//Jul/Aug89 VL - 32 IS - 4 M3 - Article SP - 33 PB - Taylor & Francis Ltd SN - 05775132 AB - The U.S. traditionally has enjoyed a positive net foreign saving rate. In the relatively brief period of the 1980s, however, that net asset position has been wiped out, and the country now has become a major net international debtor country. Movements in relative prices and relative incomes provide a fairly complete explanation for the widening of the U.S. external deficit during the 1980s. At a more fundamental level, however, the combination of U.S. fiscal expansion, foreign fiscal contraction, and U.S. monetary contraction can explain only about half of the decline in U.S. foreign saving during the 1980s. Monetary policy had little net effect on its own, though it did increase the contribution of exchange rate movements and reduce the importance of relative incomes to the widening of the external deficit. Fiscal policy, or the twin deficit relationship, is a significant part of the story, but evidently explains no more than half of the decline in net foreign saving. The remaining half must be explained by fundamentals other than macroeconomic policy that led to a decline in private domestic saving relative to investment. KW - SAVING & investment KW - EXTERNAL debts KW - FOREIGN exchange rates KW - BUDGET deficits KW - PUBLIC finance KW - FOREIGN investments KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 6149752; Hooper, Peter 1; Affiliations: 1: Assistant of Director of the Division of International Finance of the Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jul/Aug89, Vol. 32 Issue 4, p33; Thesaurus Term: SAVING & investment; Thesaurus Term: EXTERNAL debts; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: BUDGET deficits; Thesaurus Term: PUBLIC finance; Thesaurus Term: FOREIGN investments; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6149752&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Whitesell, William C. T1 - The Demand for Currency versus Debitable Accounts. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1989/05// VL - 21 IS - 2 M3 - Article SP - 246 EP - 251 PB - Ohio State University Press SN - 00222879 AB - The article presents the economic condition occuring when transaction costs differ between currency and checks, and how that difference relates to transaction size, and the interest and income elasticities of the demand for currency. In this study, the author considers how transaction costs differ by payment mechanism and how that relates to the value of the commodity purchase by taking into account the assets currency and interest-bearing accounts. In the study, a fixed cost per transaction is used which could be a result of bank charges per check drawn and the amount of time required to make bookkeeping entries. KW - TRANSACTION costs KW - BANK deposits KW - INCOME KW - RATE of return KW - CREDIT cards KW - INDUSTRIAL costs N1 - Accession Number: 5148767; Whitesell, William C. 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System; Issue Info: May89, Vol. 21 Issue 2, p246; Thesaurus Term: TRANSACTION costs; Thesaurus Term: BANK deposits; Thesaurus Term: INCOME; Thesaurus Term: RATE of return; Thesaurus Term: CREDIT cards; Thesaurus Term: INDUSTRIAL costs; NAICS/Industry Codes: 326199 All Other Plastics Product Manufacturing; NAICS/Industry Codes: 522210 Credit Card Issuing; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5148767&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Berger, Allen N. AU - Craine, Roger T1 - Why Random Walk Models of the Term Structure Are Hard to Reject. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1989/04// VL - 7 IS - 2 M3 - Article SP - 161 EP - 167 SN - 07350015 AB - Tests of random walk models of the term structure generally fail to reject the null hypothesis, whereas direct tests of the fair game-efficient markets (FGEM) hypothesis generally reject the null. Random walk tests can be interpreted as FGEM tests that add measurement errors to the forward-rate revisions used in direct tests. Our empirical application is consistent with the literature; direct tests strongly reject the null, but random walk tests do not, despite using the same data and numbers of observations. The random walk measurement error is shown to reduce local asymptotic test power, which may explain this empirical puzzle. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RANDOM walks (Mathematics) KW - EFFICIENT market theory KW - RATIONAL expectations (Economic theory) KW - ECONOMIC forecasting KW - HYPOTHESIS KW - ASYMPTOTIC distribution (Probability theory) KW - Efficient markets KW - Local asymptotic power KW - Rational expectations N1 - Accession Number: 5826557; Berger, Allen N. 1; Craine, Roger 2; Affiliations: 1: Monetary and Financial Studies Section, Board of Governors of the Federal Reserve System, Washington, DC 20551.; 2: Department of Economics, University of California, Berkeley, CA 94720.; Issue Info: Apr89, Vol. 7 Issue 2, p161; Thesaurus Term: RANDOM walks (Mathematics); Thesaurus Term: EFFICIENT market theory; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: ECONOMIC forecasting; Subject Term: HYPOTHESIS; Subject Term: ASYMPTOTIC distribution (Probability theory); Author-Supplied Keyword: Efficient markets; Author-Supplied Keyword: Local asymptotic power; Author-Supplied Keyword: Rational expectations; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5826557&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - A forward-looking multicountry model: MX3 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 359 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700917; Keywords: Japan ; Germany ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700917&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Fisher, Eric AD - Unlisted AD - Unlisted T1 - A long-run view of the european monetary system PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 339 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700897; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700897&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Edison, Hali J. AD - Unlisted AD - Unlisted T1 - A new interpretation of the coordination problem and its empirical significance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 340 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700898; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700898&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordon, David B. AU - Levine, Ross AD - Unlisted AD - Unlisted T1 - A note on 'transfers' PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 341 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700899; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700899&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooker, Sarah A. AU - Wilson, John F. AD - Unlisted AD - Unlisted T1 - A reconciliation of flow of funds and Commerce Department statistics on U.S. international transactions and foreign investment position PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 84 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699868; Keywords: Flow of funds ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699868&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - A substitute for the capital stock variable in investment functions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 368 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700926; Keywords: Saving and investment ; Capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700926&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - A survey of exchange-traded basket instruments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 62 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699846; Keywords: Securities ; Futures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699846&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - A theory of credit rationing and the maturity structure of debt PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 71 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699855; Keywords: Credit ; Debt; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699855&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Wilbur John, II AD - Unlisted T1 - An algorithm to solve dynamic models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 351 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700909; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700909&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hendry, David F. AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 355 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700913; Keywords: Friedman, Milton ; Schwartz, Anna Jacobson ; Great Britain ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700913&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard A. AU - Rose, Andrew K. AD - Unlisted AD - Unlisted T1 - An empirical assessment of non-linearities in models of exchange rate determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 367 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700925; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700925&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul AU - Sharpe, Steve AD - Unlisted AD - Unlisted T1 - Animal spirits, margin requirements, and stock price volatility PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 91 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699875; Keywords: Margins (Security trading) ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699875&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - Approaches to managing external equilibria: where we are, where we might be headed, and how we might get there PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 342 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700900; Keywords: Debt ; International economic relations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700900&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eisenbeis, Robert A. AU - Kwast, Myron L. AD - Unlisted AD - Unlisted T1 - Are real estate specializing depositories viable? The evidence from commercial banks PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 88 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699872; Keywords: Real property ; Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699872&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - Asymmetric information, bank lending, and implicit contracts: a stylized model of customer relationships PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 70 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699854; Keywords: Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699854&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kuester, Kathleen A. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Bank equity values, bank risk, and the implied market value of banks' assets, liabilities, and deposit insurance PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 98 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699882; Keywords: Bank stocks ; Risk ; Deposit insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699882&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kuester, Kathleen A. AU - O'Brien, James M. AD - Unlisted AD - Unlisted T1 - Bank equity values, bank risk, and the implied market values of banks' assets and liabilities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 67 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699851; Keywords: Risk ; Stock market ; Bank assets; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699851&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hoshi, Takeo AU - Kashyap, Anil AU - Scharfstein, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Bank monitoring and investment: evidence from the changing structure of Japanese corporate banking relations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 86 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699870; Keywords: Japan ; Corporations - Finance ; Banks and banking - Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699870&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AD - Unlisted T1 - Capital structure, bankruptcy costs, and firm-specific human capital PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 66 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699850; Keywords: Capital ; Bankruptcy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699850&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - von zur Muehlen, Peter AU - Mehta, J. S. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Co-integration: is it a property of the real world? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 96 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699880; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699880&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Lupo, Leonard A. AU - Sneed, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Coherent methods of estimating technical progress PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 77 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699861; Keywords: Production (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699861&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hoshi, Takeo AU - Kashyap, Anil AU - Scharfstein, David AD - Unlisted AD - Unlisted AD - Unlisted T1 - Corporate structure, liquidity, and investment: evidence from Japanese industrial groups PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 82 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699866; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699866&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Determinants of Japanese direct investment in U.S. manufacturing industries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 362 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700920; Keywords: Investments, Foreign - United States ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700920&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Elliehausen, Gregory E. AU - Lawrence, Edward C. AD - Unlisted AD - Unlisted T1 - Discrimination in consumer lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 60 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699844; Keywords: Consumer credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699844&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean AU - Froeb, Luke AD - Unlisted AD - Unlisted T1 - Do firms differ much? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 87 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699871; Keywords: Business enterprises ; Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699871&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bryant, Ralph C. AU - Helliwell, John AU - Hooper, Peter AD - Unlisted AD - Unlisted AD - Unlisted T1 - Domestic and cross-border consequences of U.S. macroeconomic policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 344 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700902; Keywords: Fiscal policy ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700902&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Amel, Dean F. AU - Liang, J. Nellie AD - Unlisted AD - Unlisted T1 - Dynamics of market concentration PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 74 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699858; Keywords: Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699858&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Hendry, David F. AD - Unlisted AD - Unlisted T1 - Encompassing and rational expectations: how sequential corroboration can imply refutation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 354 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700912; Keywords: Economics ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700912&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Wilbur John, II AD - Unlisted T1 - Equilibrium in a production economy with an income tax PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 366 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700924; Keywords: Income tax ; Capital; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700924&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AD - Unlisted T1 - European integration, exchange rate management, and monetary reform: a review of the major issues PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 364 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700922; Keywords: European Economic Community ; Foreign exchange rates ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700922&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Marquez, Jaime R. AD - Unlisted AD - Unlisted T1 - Exact and approximate multi-period mean-square forecast errors for dynamic econometric models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 348 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700906; Keywords: Forecasting ; Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700906&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Exchange rate variability and the level of international trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 369 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700927; Keywords: Foreign exchange rates ; International trade ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700927&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AD - Unlisted T1 - Exchange rates and U.S. external adjustment in the short run and the long run PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 346 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700904; Keywords: Foreign exchange rates ; Balance of payments ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700904&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Kahn, Robert B. AU - Levine, Ross AD - Unlisted AD - Unlisted AD - Unlisted T1 - External debt and developing country growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 352 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700910; Keywords: Developing countries ; Debt; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700910&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Key, Sydney J. AD - Unlisted T1 - Financial integration in the European Community PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 349 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700907; Keywords: Banks and banking, International ; European Economic Community; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700907&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AD - Unlisted T1 - Forecast combination and encompassing: reconciling two divergent literatures PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 80 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699864; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699864&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Tavlas, George S. AD - Unlisted AD - Unlisted T1 - Forecasting Australian monetary aggregates PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 55 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699839; Keywords: Forecasting ; Australia ; Monetary policy - Australia; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699839&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Forecasting output with the composite leading index: an ex ante analysis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 90 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699874; Keywords: Economic indicators ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699874&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - Foundations of the structure-conduct-performance paradigm PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 83 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699867; Keywords: Banking structure; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699867&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Futures margins and stock price volatility: is there any link? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 95 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699879; Keywords: Futures ; Stock - Prices ; Margins (Security trading); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699879&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McManus, Douglas A. AD - Unlisted T1 - How common is identification in parametric models? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 100 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699884; Keywords: Econometric models; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699884&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois E. AU - Helkie, William L. AD - Unlisted AD - Unlisted T1 - Implications for future U.S. net investment payments of growing U.S. net international indebtedness PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 358 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700916; Keywords: Balance of payments ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700916&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - Implications of the U.S. current account deficit PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 350 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700908; Keywords: Balance of trade ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700908&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Initial margin requirements and stock returns volatility: another look PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 53 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699837; Keywords: Margins (Security trading) ; Stock - Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699837&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - International economic policy: the role of exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 356 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700914; Keywords: International finance ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700914&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Is consumption too smooth? Long memory and the Deaton paradox PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 57 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699841; Keywords: Consumption (Economics) ; Income; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699841&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Berger, Allen N. AD - Unlisted AD - Unlisted T1 - Loan commitments and bank risk exposure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 65 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699849; Keywords: Risk ; Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699849&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AD - Unlisted T1 - Macroeconomic policies, competitiveness, and U.S. external adjustment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 347 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700905; Keywords: Macroeconomics ; Balance of payments ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700905&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Market structure and the nature of price rigidity: evidence from the market for consumer deposits PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 52 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699887; Keywords: Banking structure ; Prices ; Bank deposits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699887&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kupiec, Paul H. AD - Unlisted T1 - Microeconomic sources of beta risk instability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 69 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699853; Keywords: Stock - Prices ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699853&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeff AU - Moore, George AD - Unlisted AD - Unlisted T1 - Monetary policy rules and the indicator properties of asset prices PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 89 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699873; Keywords: Monetary policy ; Prices ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699873&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Nason, James M. AD - Unlisted AD - Unlisted T1 - Nonparametric exchange rate prediction? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 81 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699865; Keywords: Foreign exchange rates ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699865&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Chandrakantha, M. S. Leslie AU - Mehta, J. S. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - On the use of variance ratios in the analysis of nonstationary time series PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 89-97 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699881; Keywords: Random walks (Mathematics) ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699881&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leeper, Eric M. AD - Unlisted T1 - Policy rules, information and fiscal effects in a 'Ricardian' model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 360 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700918; Keywords: Monetary policy ; Fiscal policy ; Deficit financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700918&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Postretirement health benefit plans: costs and liabilities for private employers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 76 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699860; Keywords: Cafeteria benefit plans ; Insurance, Health; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699860&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Berger, Allen N. AD - Unlisted AD - Unlisted T1 - Price rigidity and market structure: theory and evidence from the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 59 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699843; Keywords: Prices ; Banking structure; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699843&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Krieger, Reva AD - Unlisted T1 - Real exchange rates, sectoral shifts, and aggregate unemployment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 92 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699876; Keywords: Foreign exchange rates ; Unemployment; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699876&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - Returns to bidders and targets in the acquisition process: evidence from the banking industry PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 64 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699848; Keywords: Bank stocks ; Bank mergers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699848&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AU - Gagnon, Joseph E. AD - Unlisted AD - Unlisted T1 - Savings rates and output variability in industrial countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 363 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700921; Keywords: Saving and investment ; Business cycles; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700921&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Krieger, Reva AD - Unlisted T1 - Sectoral and aggregate shocks to industrial output in Germany, Japan and Canada PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 75 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699859; Keywords: Business cycles ; Industries ; Germany ; Japan ; Canada; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699859&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helwege, Jean AD - Unlisted T1 - Sectoral shifts and interindustry wage differentials PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 102 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699886; Keywords: Wages ; Industries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699886&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Kuester, Kathleen A. AU - O'Brien, James M. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Some red flags concerning market value accounting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 85 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699869; Keywords: Banks and banking - Accounting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699869&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Liang, J. Nellie AU - Wolken, John D. AD - Unlisted AD - Unlisted T1 - Systematic risk, market structure and entry barriers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 68 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699852; Keywords: Risk ; Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699852&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rose, Andrew K. AU - Ostry, Jonathan D. AD - Unlisted AD - Unlisted T1 - Tariffs and the macroeconomy: evidence from the USA PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 365 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700923; Keywords: Tariff ; Balance of trade ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700923&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - The adequacy of funding of private defined benefit pension plans PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 58 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699842; Keywords: Pensions; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699842&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wolfson, Martin H. AD - Unlisted T1 - The causes of financial instability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 78 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699862; Keywords: Financial institutions ; Economic conditions - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699862&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kennedy, James E. AD - Unlisted T1 - The effect of Bayesian priors on the moving-average representation of vector autoregressions PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 79 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699863; Keywords: Vector autoregression ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699863&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - White, Alice P. AD - Unlisted T1 - The evolution of the thrift industry crisis PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 101 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699885; Keywords: Savings and loan associations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699885&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AD - Unlisted T1 - The impact of bank regulatory requirements on large corporate lending PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 63 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699847; Keywords: Bank supervision ; Corporations - Finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699847&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hannan, Timothy H. AU - McDowell, John M. AD - Unlisted AD - Unlisted T1 - The impact of technology adoption on market structure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 73 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699857; Keywords: Banking market ; Automated tellers; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699857&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kan, William AU - Krieger, Reva AU - Tinsley, P. A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The long and short of industrial strength pricing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 99 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699883; Keywords: Prices ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699883&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Cox, Brenda G. AU - Elliehausen, Gregory E. AU - Wolken, John D. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The national survey of small business finances: description and preliminary evaluation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 93 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699877; Keywords: Small business ; Statistics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699877&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Leahy, Michael P. AD - Unlisted T1 - The profitability of U.S. intervention PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 343 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700901; Keywords: Foreign exchange - Law and legislation; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700901&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gelfand, Matthew D. AU - Lindsey, David E. AD - Unlisted AD - Unlisted T1 - The simple microanalytics of payments system risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 61 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699845; Keywords: Payment systems ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699845&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeff AU - Moore, George AD - Unlisted AD - Unlisted T1 - The stability of Wicksell's monetary policy rule PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 94 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699878; Keywords: Monetary policy ; Inflation (Finance); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699878&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Dohner, Robert S. AU - Lowrey, Barbara R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The U.S. and U.K. activities of Japanese banks: 1980-1988 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 361 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700919; Keywords: Great Britain ; Japan ; Banks and banking, Foreign - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700919&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - The United States as a heavily indebted country PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 353 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700911; Keywords: Balance of trade ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700911&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haltmaier, Jane AD - Unlisted T1 - The use of survey data in forecasting business fixed investments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 56 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699840; Keywords: Forecasting ; Capital investments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699840&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pierce, David A. AU - Bauer, Laura L. AD - Unlisted AD - Unlisted T1 - Tolerance-width groupings for editing banking deposits data: an analysis of variance of variances PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 72 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699856; Keywords: Statistics ; Bank deposits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699856&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helkie, William L. AU - Hooper, Peter AD - Unlisted AD - Unlisted T1 - U.S. external adjustment: progress and prospects PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 345 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700903; Keywords: International trade ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700903&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - U.S. policy on the problems of international debt PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 357 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700915; Keywords: Debts, External ; Developing countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700915&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Spindt, Paul A. AU - Stolz, Richard W. AD - Unlisted AD - Unlisted T1 - Underpricing of seasoned issues: the case of U.S. Treasury bills PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 54 Y1 - 1989/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0699838; Keywords: Treasury bills ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0699838&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Spindt, Paul A. AU - Hoffmeister, J. Ronald T1 - The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 1988/12// VL - 23 IS - 4 M3 - Article SP - 401 EP - 416 PB - Cambridge University Press SN - 00221090 AB - The federal funds rate arguably is the most important interest rate in the U.S. capital market because it plays a central role in monetary policy and the term structure. This paper examines the micromechanics of the funds market. We show that in a continuous market with asynchronous trading, regulatory constraints and accounting conventions that focus agents' attention on discrete time instants have important implications for the dynamics of trading activity and realized market prices. We also exhibit a model of the market that explains observed regularities in the intertemporal behavior of the funds rate. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FEDERAL funds market (U.S.) KW - MICROECONOMICS KW - CAPITAL market KW - INTEREST rates KW - MONETARY policy KW - CAPITAL structure KW - MARKET prices KW - SECURITIES trading KW - ECONOMETRIC models KW - FEDERAL Reserve banks KW - FINANCE KW - FEDERAL Reserve monetary policy KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 5723700; Spindt, Paul A. 1; Hoffmeister, J. Ronald 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C. 20551; 2: College of Business, Arizona State University, Tempe, AZ 85287; Issue Info: Dec88, Vol. 23 Issue 4, p401; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: MICROECONOMICS; Thesaurus Term: CAPITAL market; Thesaurus Term: INTEREST rates; Thesaurus Term: MONETARY policy; Thesaurus Term: CAPITAL structure; Thesaurus Term: MARKET prices; Thesaurus Term: SECURITIES trading; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: FINANCE; Thesaurus Term: FEDERAL Reserve monetary policy; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5723700&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gabriel, Stuart A. AU - Nothaft, Frank E. T1 - Rental Housing Markets and the Natural Vacancy Rate. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1988///Winter88 VL - 16 IS - 4 M3 - Article SP - 419 EP - 429 PB - Wiley-Blackwell SN - 10678433 AB - This paper employs new census vacancy rate data to analyze the price-adjustment mechanism for rental housing. The study extends previous research on this topic, which provided conflicting evidence concerning the traditional theory of rental housing market adjustment (Bee Smith [10], [11]; DeLeeuw and Elf-nero [2]; Eubank and Sirmans [4]; and Rosen and Smith [8]). Cross-section and time-series data are pooled to estimate natural vacancy rates for sixteen United 8tares cities for the 1981-85 period. The analysis further explores the determinants of variation in natural vacancy rates across those metropolitan areas. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RENTAL housing KW - LEASE & rental services KW - HOUSING market KW - MONEY center banks KW - REAL estate business KW - HOUSEHOLD surveys N1 - Accession Number: 5860303; Gabriel, Stuart A. 1; Nothaft, Frank E. 2; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551.; 2: Department of Financial Research, Federal Home Loan Mortgage Corporation, Reston, Virginia 22090.; Issue Info: Winter88, Vol. 16 Issue 4, p419; Thesaurus Term: RENTAL housing; Thesaurus Term: LEASE & rental services; Thesaurus Term: HOUSING market; Thesaurus Term: MONEY center banks; Thesaurus Term: REAL estate business; Subject Term: HOUSEHOLD surveys; NAICS/Industry Codes: 522220 Sales Financing; NAICS/Industry Codes: 532310 General Rental Centers; NAICS/Industry Codes: 531212 Offices of real estate brokers; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 531111 Lessors of residential buildings and dwellings (except social housing projects); Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5860303&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Avery, Robert B. AU - Elliehausen, Gregory E. AU - Kennickell, Arthur B. T1 - MEASURING WEALTH WITH SURVEY DATA: AN EVALUATION OF THE 1983 SURVEY OF CONSUMER FINANCES. JO - Review of Income & Wealth JF - Review of Income & Wealth Y1 - 1988/12// VL - 34 IS - 4 M3 - Article SP - 339 EP - 369 PB - Wiley-Blackwell SN - 00346586 AB - Because wealth estimates from survey data have usually fallen substantially short of independent aggregate estimates, survey data have not been seen as adequate for assessing questions dependent on a good representation of the entire distribution of wealth, such as estimates of wealth concentration. The 1983 Survey of Consumer Finances (SCF), which contains a supplementary sample of very high income households drawn from a tax-file sample frame, is the first U.S. survey since the 1963 Survey of Financial Characteristics of Consumers that offers hope of accurately measuring the entire wealth distribution. In this paper, we discuss the design of the survey, the critical issue of proper weighting to merge the supplementary sample with an area probability sample, and the role of imputation. We show that the use of ordinary area probability samples alone leads to probable bias in the measurement of highly concentrated assets such as stocks and bonds. We compare the SCF data with aggregates derived from the flow-of-funds accounts of the Federal Reserve Board. While methodological issues cloud exact comparisons, it appears overall that the SCF estimates are at least as credible as other aggregate measurements. Finally, we use the data to assess the change in concentration of wealth from 1963 to 1983. We estimate that the concentration of wealth in terms of households did not change significantly over this period. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Income & Wealth is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - WEALTH KW - CONSUMER research KW - COST & standard of living KW - CONSUMER behavior KW - ECONOMIC status KW - CUSTOMER satisfaction KW - CONSUMERS KW - UNITED States N1 - Accession Number: 5762679; Avery, Robert B. 1; Elliehausen, Gregory E. 1; Kennickell, Arthur B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec88, Vol. 34 Issue 4, p339; Thesaurus Term: WEALTH; Thesaurus Term: CONSUMER research; Thesaurus Term: COST & standard of living; Thesaurus Term: CONSUMER behavior; Thesaurus Term: ECONOMIC status; Thesaurus Term: CUSTOMER satisfaction; Thesaurus Term: CONSUMERS; Subject: UNITED States; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5762679&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Braun, Steven N. T1 - Trends in American economic growth, 1929-1982 (Book Review). JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 1988/09// VL - 26 IS - 3 M3 - Book Review SP - 1195 PB - American Economic Association SN - 00220515 AB - Reviews the book "Trends in American Economic Growth, 1929-1982," by Edward F. Denison. KW - ECONOMIC development KW - NONFICTION KW - DENISON, Edward KW - DENISON, Edward F. KW - TRENDS in American Economic Growth 1929-1982 (Book) N1 - Accession Number: 5291617; Braun, Steven N. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep88, Vol. 26 Issue 3, p1195; Thesaurus Term: ECONOMIC development; Subject Term: NONFICTION; Reviews & Products: TRENDS in American Economic Growth 1929-1982 (Book); People: DENISON, Edward; People: DENISON, Edward F.; Number of Pages: 2p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5291617&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Simpson, Thomas D. T1 - Electronic funds transfers and payments (Book Review). JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 1988/09// VL - 26 IS - 3 M3 - Book Review SP - 1204 PB - American Economic Association SN - 00220515 AB - Reviews the book "Electronic Funds Transfers and Payments: The Public Policy Issues," edited by Elinor Harris Solomon. KW - ELECTRONIC funds transfers KW - NONFICTION KW - SOLOMON, Elinor KW - SOLOMON, Elinor Harris KW - ELECTRONIC Funds Transfers & Payments: The Public Policy Issues (Book) N1 - Accession Number: 5291642; Simpson, Thomas D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep88, Vol. 26 Issue 3, p1204; Thesaurus Term: ELECTRONIC funds transfers; Subject Term: NONFICTION; Reviews & Products: ELECTRONIC Funds Transfers & Payments: The Public Policy Issues (Book); NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; People: SOLOMON, Elinor; People: SOLOMON, Elinor Harris; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5291642&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Neumark, David T1 - Employers' Discriminatory Behavior and the Estimation of Wage Discrimination. JO - Journal of Human Resources JF - Journal of Human Resources Y1 - 1988///Summer88 VL - 23 IS - 3 M3 - Article SP - 279 EP - 295 PB - University of Wisconsin Press SN - 0022166X AB - ABSTRACT This paper considers the linkage of empirical estimates of wage discrimination between two groups, introduced by Oaxaca (1973), to a theoretical model of employers' discriminatory behavior. It is shown that, conditional on different assumptions about employers' discriminatory tastes, Oaxaca's estimators of wage discrimination can be derived. That the approach is more generally useful is demonstrated by deriving an alternative estimator of wage discrimination, based on the assumption that within each type of labor (e.g., unskilled, skilled) the utility function capturing employers' discriminatory tastes is homogeneous of degree zero with respect to labor inputs from each of the two groups. The estimators are compared empirically in an application to male-female wage differentials. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Human Resources is the property of University of Wisconsin Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCRIMINATION in employment KW - EMPLOYERS KW - EMPLOYEES KW - WAGE differentials KW - MINIMUM wage KW - PAY equity N1 - Accession Number: 5071089; Neumark, David 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Division of Research and Statistics.; Issue Info: Summer88, Vol. 23 Issue 3, p279; Thesaurus Term: DISCRIMINATION in employment; Thesaurus Term: EMPLOYERS; Thesaurus Term: EMPLOYEES; Thesaurus Term: WAGE differentials; Thesaurus Term: MINIMUM wage; Thesaurus Term: PAY equity; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5071089&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gabriel, Stuart A. AU - Levy, Daniel T1 - Expectations, information, and migration: the case of the West Bank and Gaza. JO - Applied Economics JF - Applied Economics Y1 - 1988/01// VL - 20 IS - 1 M3 - Article SP - 1 PB - Routledge SN - 00036846 AB - This study evaluates the determinants of Palestinian migration from the West Bank and Gaza. Data are employed for the post-1967 period of Israeli rule to specify and test competing models as well as the structure of expectations in the migration decision. Results of the analysis support a simple static expectation formulation, as is consistent with much of the short-term, low mobility cost migration between the West Bank and Jordan. Findings further point to the importance of various Israeli-Palestinian economic and political economic interactions in the determination of this controversial movement of population, including those associated with employment opportunity for Palestinian labour in Israel, elements of Israeli West Bank settlement policy and changes in local standard of living. Various policy implications of the research are indicated. [ABSTRACT FROM AUTHOR] AB - Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMIGRATION & immigration KW - LABOR KW - COST & standard of living KW - EMPLOYMENT (Economic theory) KW - PALESTINIANS -- Employment KW - WEST Bank KW - GAZA N1 - Accession Number: 4621813; Gabriel, Stuart A. 1; Levy, Daniel 2; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC.; 2: Department of Economics, University of Minnesota, USA.; Issue Info: Jan1988, Vol. 20 Issue 1, p1; Thesaurus Term: EMIGRATION & immigration; Thesaurus Term: LABOR; Thesaurus Term: COST & standard of living; Thesaurus Term: EMPLOYMENT (Economic theory); Subject Term: PALESTINIANS -- Employment; Subject Term: WEST Bank; Subject: GAZA; Number of Pages: 13p; Illustrations: 2 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4621813&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Diebold, Francis X. T1 - Serial Correlation and the Combination of Forecasts. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1988/01// VL - 6 IS - 1 M3 - Article SP - 105 EP - 111 SN - 07350015 AB - It is shown that regression-based methods of forecast combination lead to serially correlated combined prediction errors. The form of the serial correlation is characterized, and specification, estimation, and prediction are treated. A fully optimal combined predictor, which exploits the serial correlation, is developed and compared with existing regression-based methods in a numerical example, leading to decreases in mean squared prediction error. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORRELATION (Statistics) KW - ECONOMICS -- Statistical methods KW - STATISTICS KW - MATHEMATICAL statistics KW - REGRESSION analysis KW - ERRORS KW - Pooling KW - Prediction KW - Regression KW - Time-series model N1 - Accession Number: 5822644; Diebold, Francis X. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, DC 20551.; Issue Info: Jan1988, Vol. 6 Issue 1, p105; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: ECONOMICS -- Statistical methods; Thesaurus Term: STATISTICS; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: REGRESSION analysis; Subject Term: ERRORS; Author-Supplied Keyword: Pooling; Author-Supplied Keyword: Prediction; Author-Supplied Keyword: Regression; Author-Supplied Keyword: Time-series model; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5822644&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Fuhrer, Jeffrey C. AD - Unlisted T1 - 'Animal Spirits' in consumer expectations: filtering the information in consumer survey expectations PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 31 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700029; Keywords: Consumption (Economics) ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700029&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sharpe, Steven A. AD - Unlisted T1 - A theory of credit rationing and the maturity structure of debt PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 27 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700025; Keywords: Credit ; Business enterprises ; Debt; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700025&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois AD - Unlisted T1 - Adequacy of international transactions and position data for policy coordination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 337 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700945; Keywords: International trade ; Balance of payments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700945&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AD - Unlisted T1 - Adjustment costs and international trade dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 321 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700929; Keywords: International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700929&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Tinsley, P. A. AU - Tosini, Suzanne AD - Unlisted AD - Unlisted AD - Unlisted T1 - After-hours stock prices and post-crash hangovers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 50 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700048; Keywords: International finance ; Stock - Prices ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700048&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William C. AD - Unlisted T1 - Age heterogeneity and the Tobin effect with infinite horizons PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 4 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700002; Keywords: Money supply ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700002&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Warshawsky, Mark J. AD - Unlisted T1 - Aggregate debt and wealth: the significance of the bequest motive PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 10 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700008; Keywords: Debt ; Wealth; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700008&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AD - Unlisted T1 - An application of operational-subjective statistical methods to rational expectations: comment PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 6 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700004; Keywords: Rational expectations (Economic theory) ; Statistics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700004&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kuester, Kathleen A. AD - Unlisted T1 - Asymptotic consistency and normality of least absolute deviations applied to seemingly unrelated regression systems PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 16 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700014; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700014&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Borrowed reserves targeting and nominal income smoothing PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 43 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700041; Keywords: Monetary policy - United States ; Bank reserves; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700041&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Benveniste, Lawrence M. AU - Spindt, Paul A. AD - Unlisted AD - Unlisted T1 - Bringing new issues to market: a theory of underwriting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 39 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700037; Keywords: Stock market ; Securities ; Investment banking; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700037&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Udell, Gregory F. AD - Unlisted AD - Unlisted T1 - Collateral, loan quality, and bank risk PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 51 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700049; Keywords: Risk ; Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700049&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Combination monetary policies in a disaggregated economy with endogenous wage indexation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 14 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700012; Keywords: Monetary policy ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700012&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dudey, Marc AD - Unlisted T1 - Competition by choice PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 327 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700935; Keywords: Competition ; Consumer behavior ; Business enterprises; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700935&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Im, Jong AU - Lee, C. Jevons AD - Unlisted AD - Unlisted AD - Unlisted T1 - Conditional heteroskedasticity in the market PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 42 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700040; Keywords: Prices ; Stock market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700040&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Whitesell, William C. AD - Unlisted T1 - Deposit pricing, bank market structure, and welfare with cost-minimizing consumers PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 48 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700046; Keywords: Bank deposits ; Interest ; Banking market ; Bank reserves; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700046&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Murphy, Neil B. AD - Unlisted T1 - Determinants of household check writing: the impacts of the use of electronic banking services and alternative pricing of checking services PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 38 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700036; Keywords: Banks and banking - Service charges ; Electronic funds transfers ; Automated tellers ; Checks; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700036&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AD - Unlisted T1 - Devaluation, exchange controls, and black markets for foreign exchange in developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 334 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700942; Keywords: Foreign exchange - Law and legislation ; Developing countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700942&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Discount rate policy and alternative Federal Reserve operating procedures in a rational expectations setting PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 12 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700010; Keywords: Discount ; Rational expectations (Economic theory) ; Monetary policy - United States; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700010&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Neumark, David AU - Korenman, Sanders D. AD - Unlisted AD - Unlisted T1 - Does marriage really make men more productive? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 29 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700027; Keywords: Productivity ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700027&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davies, Sally M. AD - Unlisted T1 - Dynamic price competition and the theory of contestable markets PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 26 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700024; Keywords: Game theory ; Business enterprises ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700024&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Econometric modeling of consumers' expenditure in Venezuela PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 325 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700933; Keywords: Consumption (Economics) ; Venezuela; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700933&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - French, Mark AD - Unlisted T1 - Efficiency and equity of a gasoline tax increase PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 33 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700031; Keywords: Taxation ; Power resources; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700031&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Blackburn, McKinley AU - Neumark, David AD - Unlisted AD - Unlisted T1 - Efficiency wages, inter-industry wage differentials, and the returns to ability PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 32 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700030; Keywords: Wages ; Industries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700030&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeffrey C. AD - Unlisted T1 - Estimating time-varying parameters in a nonlinear multivariate model: inferring changes in expectation behavior over time PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 5 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700003; Keywords: Macroeconomics ; Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700003&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Ex ante turning point forecasting with the composite leading index PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 40 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700038; Keywords: Business cycles ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700038&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Floating rate loan contracts and monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 13 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700011; Keywords: Bank loans ; Monetary policy ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700011&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Woolley, Michael J. AD - Unlisted T1 - Imperfect information, adverse selection and interest rate sluggishness in the pricing of bank credit cards PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 37 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700035; Keywords: Credit cards ; Interest rates ; Consumer behavior; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700035&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - Income and price elasticities of foreign trade flows: econometric estimation and analysis of the U.S. trade deficit PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 324 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700932; Keywords: International trade ; Import quotas ; Exports; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700932&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AU - Lipsey, Robert E. AD - Unlisted AD - Unlisted T1 - Interactions between domestic and foreign investment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 329 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700937; Keywords: International business enterprises ; Capital ; Investments, Foreign; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700937&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Key, Sydney J. AU - Terrell, Henry S. AD - Unlisted AD - Unlisted T1 - International banking facilities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 333 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700941; Keywords: Banks and banking, International; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700941&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Larin, Kathryn A. AD - Unlisted AD - Unlisted T1 - International comparisons of labor costs in manufacturing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 330 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700938; Keywords: Productivity ; Manufactures ; Wages; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700938&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fuhrer, Jeffrey C. AU - Hooker, Mark A. AD - Unlisted AD - Unlisted T1 - Learning about monetary regime shifts in an overlapping wage contract model PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 25 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700023; Keywords: Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700023&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Berger, Allen N. AD - Unlisted AD - Unlisted T1 - Loan commitments and bank risk exposure PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 36 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700034; Keywords: Bank loans ; Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700034&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duca, John V. AU - VanHoose, David D. AD - Unlisted AD - Unlisted T1 - Loan commitments and optimal monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 44 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700042; Keywords: Monetary policy ; Bank loans ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700042&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Rudebusch, Glenn D. AD - Unlisted AD - Unlisted T1 - Long memory and persistence in aggregate output PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 7 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700005; Keywords: Business cycles ; Macroeconomics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700005&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Humphrey, David B. AD - Unlisted AD - Unlisted T1 - Market failure and resource use: economic incentives to use different payment instruments PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 34 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700032; Keywords: Checks ; Payment systems ; Check float; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700032&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Tavlas, George S. AD - Unlisted AD - Unlisted T1 - Modeling buffer stock money - an appraisal PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 15 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700013; Keywords: Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700013&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Coleman, Wilbur John, II AD - Unlisted T1 - Money, interest, and capital in a cash-in-advance economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 323 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700931; Keywords: Capital ; Monetary policy ; Money theory; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700931&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rosen, Richard J. AU - Lloyd-Davies, Peter AU - Kwast, Myron L. AU - Humphrey, David B. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - New banking powers: a portfolio analysis of bank investment in real estate PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 20 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700018; Keywords: Real property ; Bank investments; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700018&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gagnon, Joseph E. AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Nominal interest rate pegging under alternative expectations hypotheses PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 336 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700944; Keywords: Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700944&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - von zur Muehlen, Peter AD - Unlisted AD - Unlisted T1 - On a problem in identifying linear parametric models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 18 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700016; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700016&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - von zur Muehlen, Peter AD - Unlisted AD - Unlisted T1 - On a problem in identifying linear parametric models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 28 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700026; Keywords: Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700026&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AD - Unlisted T1 - On the solution of dynamic linear rational expectations models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 19 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700017; Keywords: Rational expectations (Economic theory) ; Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700017&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Optimal monetary policy and alternative wage indexation schemes in a model with interest-sensitive labor supply PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 21 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700019; Keywords: Wages ; Monetary policy ; Labor supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700019&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Donaldson, R. Glen AD - Unlisted T1 - Panic, liquidity and the lender of last resort: a strategic analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 332 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700940; Keywords: Banks and banking - History ; Depressions ; Lenders of last resort; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700940&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Sharpe, Steven A. AD - Unlisted AD - Unlisted T1 - Post-deregulation deposit rate pricing: the multivariate dynamics PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 8 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700006; Keywords: Interest rates ; Bank deposits; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700006&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - VanHoose, David D. AD - Unlisted T1 - Price smoothing, intermediate monetary targeting, and price level non-trend-stationarity PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 22 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700020; Keywords: Prices ; Monetary policy ; Money supply; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700020&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AD - Unlisted T1 - Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 41 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700039; Keywords: Time-series analysis ; Random walks (Mathematics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700039&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kamin, Steven B. AU - Spigelman, David F. AD - Unlisted AD - Unlisted T1 - Real interest rates during the disinflation process in developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 331 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700939; Keywords: Interest rates ; Developing countries ; Argentina; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700939&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rosen, Richard J. AD - Unlisted T1 - Research and development with asymmetric firm sizes PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 17 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700015; Keywords: Research ; Technology ; Business enterprises; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700015&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Avery, Robert B. AU - Berger, Allen N. AD - Unlisted AD - Unlisted T1 - Risk-based capital and off-balance sheet activities PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 35 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700033; Keywords: Risk ; Bank capital ; Letters of credit; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700033&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AD - Unlisted T1 - State space modeling of time series: a review essay PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 9 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700007; Keywords: Forecasting ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700007&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Granger, C. W. J. AU - Hallman, Jeff AD - Unlisted AD - Unlisted T1 - The algebra of I (1) PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 45 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700043; Keywords: Time-series analysis ; Random walks (Mathematics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700043&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gordon, David B. AU - Levine, Ross AD - Unlisted AD - Unlisted T1 - The capital flight 'problem.' PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 320 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700928; Keywords: Capital movements ; Developing countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700928&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dohner, Robert S. AU - Terrell, Henry S. AD - Unlisted AD - Unlisted T1 - The determinants of the growth of multinational banking organizations: 1972-86 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 326 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700934; Keywords: Bank assets ; Banks and banking, International; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700934&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AD - Unlisted T1 - The dynamics of uncertainty or the uncertainty of dynamics: stochastic J-curves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 335 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700943; Keywords: International trade ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700943&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Nason, James M. AD - Unlisted T1 - The equity premium and time-varying risk behavior PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 11 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700009; Keywords: Risk; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700009&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Ross AD - Unlisted T1 - The forward exchange rate bias: a new explanation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 338 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700946; Keywords: Foreign exchange futures; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700946&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Hannan, Timothy H. AD - Unlisted AD - Unlisted T1 - The price-concentration relationship in banking PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 23 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700021; Keywords: Prices ; Banking market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700021&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Harmon, Richard AD - Unlisted T1 - The simultaneous equations model with generalized autoregressive conditional heteroskedasticity: the SEM-GRACH model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 322 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700930; Keywords: Economics ; Vector autoregression; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700930&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Conway, Roger K. AU - LeBlanc, Michael R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The stochastic coefficients approach to econometric modeling, part 1: a critique of fixed coefficients models PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700000; Keywords: Econometric models ; Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700000&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Conway, Roger K. AU - Leblanc, Michael R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The stochastic coefficients approach to econometric modeling, part II: description and motivation PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 30 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700028; Keywords: Econometric models ; Economics ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700028&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Conway, Roger K. AU - LeBlanc, Michael R. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The stochastic coefficients approach to econometric modeling, part III: estimation, stability testing, and prediction PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 46 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700044; Keywords: Econometric models ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700044&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dudey, Marc AD - Unlisted T1 - The timing of consumer arrivals in Edgeworth's duopoly model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 328 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700936; Keywords: Consumer behavior ; Prices ; Competition; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700936&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Corrado, Carol AU - Haltmaier, Jane AD - Unlisted AD - Unlisted T1 - The use of high-frequency data in model-based forecasting at the Federal Reserve Board PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 24 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700022; Keywords: Forecasting ; Board of Governors of the Federal Reserve System (U.S.); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700022&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Diebold, Francis X. AU - Nerlove, Marc AD - Unlisted AD - Unlisted T1 - Unit roots in economic time series: a selective survey PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 49 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700047; Keywords: Time-series analysis ; Econometrics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700047&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Duca, John V. AU - VanHoose, David D. AD - Unlisted AD - Unlisted T1 - Wage indexation in a multisector economy PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 47 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700045; Keywords: Wages ; Indexation (Economics); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700045&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Kolluri, Bharat R. AU - Singamesetti, Rao N. AD - Unlisted AD - Unlisted AD - Unlisted T1 - What do regressions of interest rates on deficits imply? PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 3 Y1 - 1988/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700001; Keywords: Interest rates ; Debt ; Deficit financing; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700001&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - ROBERT HELLER AU - Robert Heller is a member of the Board of Governors of the Federal Reserve System. T1 - BUSINESS FORUM; STABILIZING THE CURRENCY: Peg the Dollar's Value to Commodities. JO - New York Times JF - New York Times J1 - New York Times PY - 1987/12/27/ Y1 - 1987/12/27/ M3 - Article SP - 3 SN - 03624331 N1 - Accession Number: 30909043; Source Information: 12/27/1987, p3; Number of Pages: 0p; ; Document Type: Article; ; Full Text Word Count: 1164; UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=n5h&AN=30909043&site=ehost-live&scope=site DP - EBSCOhost DB - n5h ER - TY - JOUR AU - Greenspan, Alan T1 - The Great Malaise. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1987///1987 Special 30th Anniversary Issue VL - 30 IS - 6 M3 - Article SP - 11 PB - Taylor & Francis Ltd SN - 05775132 AB - October 29, 1929 marked the beginning of the greatest economic upheaval in modern history. The contractions and financial panics that took place in the United States prior to the Great Depression were contemporaneously perceived as deep and prolonged, as indeed they were. All fell far short, however, of the devastation that took hold beginning with the collapse of stock prices fifty years ago. Today's conventional view is that the legislative response to that trauma--deposit insurance to avoid runs on banks, securities legislation to stem stock market speculation and sophisticated monetary tools to prevent credit panics, will prevent such a disaster from confronting the nation again. The danger currently confronting the nation, in my judgment, is not a deflation of the 1930s type; rather it is the consequence of excessively inflationary policies which are being rushed into place in response to a credit crisis which is perceived as a replay of the Great Depression. While there is no fully satisfactory explanation of the sequence of events which began a half century ago, there can be little doubt that the heavy speculation in the stock market, followed by its collapse, was a key, perhaps the key, factor undercutting investment incentives and business outlays in the period that followed. KW - ECONOMIC history KW - STOCK Market Crash, 1929 KW - DEPRESSIONS (Economics) -- 1929 KW - HOUSING market KW - INFLATION (Finance) KW - CAPITAL market KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 6148635; Greenspan, Alan 1; Affiliations: 1: Chairman of the Board of Governors of the Federal Reserve System.; Issue Info: 1987 Special 30th Anniversary Issue, Vol. 30 Issue 6, p11; Thesaurus Term: ECONOMIC history; Thesaurus Term: STOCK Market Crash, 1929; Thesaurus Term: DEPRESSIONS (Economics) -- 1929; Thesaurus Term: HOUSING market; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CAPITAL market; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6148635&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Montgomery, Edward AU - Wascher, William T1 - Race and Gender Wage Inequality in Services and Manufacturing. JO - Industrial Relations JF - Industrial Relations Y1 - 1987///Fall87 VL - 26 IS - 3 M3 - Article SP - 284 EP - 290 PB - Wiley-Blackwell SN - 00198676 AB - The article investigates the size and origin of race and gender wage differentials in services and manufacturing industries in the U.S. The article also examines the potential effect of the projected shifts in employment shares on the overall extent of race and gender wage inequality. Both nonwhites and females receive lower pay as compared with white or male workers. The size in wage differential is found to be greater in the manufacturing sector. In general, overall wage differentials will narrow if employment growth continues to be concentrated in the service industry. KW - WAGE differentials KW - WAGES -- Service industries KW - WAGES -- Manufacturing industries KW - EMPLOYMENT (Economic theory) KW - PAY equity KW - WOMEN employees KW - GENDER KW - RACE KW - UNITED States N1 - Accession Number: 4551581; Montgomery, Edward 1; Wascher, William 1; Affiliations: 1: Department of Economics, Michigan State University and Board of Governors of the Federal Reserve System; Issue Info: Fall87, Vol. 26 Issue 3, p284; Thesaurus Term: WAGE differentials; Thesaurus Term: WAGES -- Service industries; Thesaurus Term: WAGES -- Manufacturing industries; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: PAY equity; Thesaurus Term: WOMEN employees; Subject Term: GENDER; Subject Term: RACE; Subject: UNITED States; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4551581&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - EDISON, HALI J. T1 - Purchasing Power Parity in the Long Run: A Test of the Dollar/Pound Exchange Rate (1890-1978). JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1987/08// VL - 19 IS - 3 M3 - Article SP - 376 EP - 387 PB - Ohio State University Press SN - 00222879 AB - The article discusses the exchange rate between the U.S. dollar and the British pound between 1890-1978 as a way of examining whether or not purchasing power parity (PPP) can maintain its validity in the long run. The empirical research method used here uses an error-correction mechanism (ECM) and it also tests a number of restrictions. The research uncovers that one version of PPP is insufficient to uncover the link between the exchange rate between the dollar and the pound. Also, while symmetry and proportionality cannot be overlooked, the exclusiveness of the exchange rate indicates that there may be deviations in PPP. KW - PURCHASING power parity KW - FOREIGN exchange rates KW - PRICES KW - MONETARY policy KW - DOLLAR (United States currency) KW - POUND (British currency) N1 - Accession Number: 5156352; EDISON, HALI J. 1,2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System, Division of International Finance.; 2: economist, Board of Governors of the Federal Reserve System, Division of International Finance; Issue Info: Aug87, Vol. 19 Issue 3, p376; Thesaurus Term: PURCHASING power parity; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: PRICES; Thesaurus Term: MONETARY policy; Thesaurus Term: DOLLAR (United States currency); Thesaurus Term: POUND (British currency); Number of Pages: 12p; Illustrations: 1 Chart, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5156352&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kole, Linda S. T1 - Monetary conditions for economic recovery (Book Review). JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 1987/06// VL - 25 IS - 2 M3 - Book Review SP - 767 PB - American Economic Association SN - 00220515 AB - Reviews the book "Monetary Conditions for Economic Recovery," edited by Caspar Van Ewijk and J.J. Klant. KW - MONETARY policy KW - BUSINESS cycles KW - NONFICTION KW - VAN Ewijk, Caspar KW - KLANT, J. J. KW - MONETARY Conditions for Economic Recovery (Book) N1 - Accession Number: 5294092; Kole, Linda S. 1,2; Affiliations: 1: Board of Governors of the Federal Reserve System.; 2: University of Maryland.; Issue Info: Jun87, Vol. 25 Issue 2, p767; Thesaurus Term: MONETARY policy; Thesaurus Term: BUSINESS cycles; Subject Term: NONFICTION; Reviews & Products: MONETARY Conditions for Economic Recovery (Book); People: VAN Ewijk, Caspar; People: KLANT, J. J.; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5294092&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Warshawsky, Mark T1 - SENSITIVITY TO MARKET INCENTIVES: THE CASE OF POLICY LOANS. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1987/05// VL - 69 IS - 2 M3 - Article SP - 286 PB - MIT Press SN - 00346535 AB - Abstract--The standard neoclassical theory is rejected as an explanation for the observed reluctance of most holders of whole life insurance to borrow against the cash-value of their policies at favorable rates of interest. Even when the neoclassical theory is augmented with transactions costs and short awareness lags, several empirical tests using survey and time series data reject the standard theory in favor of an explanation invoking self-imposed rules against borrowing or the "debt ethic." This evidence lends support to the psychology-based theories of Thaler and Shefrin (1981). [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMICS KW - LOANS KW - INTEREST rates KW - LIFE insurance KW - TIME series analysis KW - SURVEYS N1 - Accession Number: 4646071; Warshawsky, Mark 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May87, Vol. 69 Issue 2, p286; Thesaurus Term: ECONOMICS; Thesaurus Term: LOANS; Thesaurus Term: INTEREST rates; Thesaurus Term: LIFE insurance; Thesaurus Term: TIME series analysis; Subject Term: SURVEYS; NAICS/Industry Codes: 524111 Direct individual life, health and medical insurance carriers; NAICS/Industry Codes: 524112 Direct group life, health and medical insurance carriers; NAICS/Industry Codes: 524113 Direct Life Insurance Carriers; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4646071&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Struckmeyer, Charles S. T1 - THE PUTTY-CLAY PERSPECTIVE ON THE CAPITAL--ENERGY COMPLEMENTARITY DEBATE. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1987/05// VL - 69 IS - 2 M3 - Article SP - 320 PB - MIT Press SN - 00346535 AB - Abstract--This paper argues that capital-energy complementarity is a short-run phenomenon reflecting the fixed ex post nature of factor employment in a putty-clay technology. When an empirical specification is employed that measures firms' ex ante choice of technique, capital and energy are found to be long-run substitutes. However, further analysis of the standard translog and putty-clay models with nonnested hypothesis tests reveals that neither specification is an adequate representation of technology. The results suggest that there is a dynamic adjustment process in the data that is not fully captured in either model. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - EMPLOYMENT (Economic theory) KW - CAPITAL KW - FACTORS of production KW - TECHNOLOGY KW - PRODUCTION (Economic theory) KW - LABOR supply KW - MECHANICAL efficiency KW - HYPOTHESIS N1 - Accession Number: 4646158; Struckmeyer, Charles S. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May87, Vol. 69 Issue 2, p320; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: CAPITAL; Thesaurus Term: FACTORS of production; Thesaurus Term: TECHNOLOGY; Thesaurus Term: PRODUCTION (Economic theory); Thesaurus Term: LABOR supply; Subject Term: MECHANICAL efficiency; Subject Term: HYPOTHESIS; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4646158&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Eaton, Jonathan T1 - Public Debt Guarantees and Private Capital Flight. JO - World Bank Economic Review JF - World Bank Economic Review Y1 - 1987/04// VL - 1 IS - 3 M3 - Article SP - 377 EP - 395 N1 - Accession Number: 55992648; Eaton, Jonathan 1; Affiliations: 1: The author is at the University of Virginia and the National Bureau of Economic Research and was a consultant to the Development Research Department of the World Bank while writing this article. He has benefited substantially from comments by seminar participants at Yale University, the Board of Governors of the Federal Reserve System, and the University of Kentucky.; Issue Info: Apr1987, Vol. 1 Issue 3, p377; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=55992648&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Edison, Hali J. AU - Vårdal, Erling T1 - OPTIMAL CURRENCY BASKET IN A WORLD OF GENERALIZED FLOATING An Application to the Nordie Countries. JO - International Journal of Forecasting JF - International Journal of Forecasting Y1 - 1987/03// VL - 3 IS - 1 M3 - Article SP - 81 EP - 96 SN - 01692070 AB - This paper derives optimal weights for a currency basket taking into consideration the objective of policymakers in the Nordic countries. The analysis is based on the work of Branson and Katseli and Lipschitz and Sundararajan. This paper derives both export share weights by using a simple multi-country model and basket weights by assuming that the objective of the policymakers is to minimize fluctuations in the production of exports. The results show that only under special circumstances are the two weights the same. The basket weights tend to be functions of export weights and other factors such as the covariances of relative prices and exchange rate. Using the formulas derived in the paper, various optimal basket calculations are made for Norway, Finland, and Sweden. [ABSTRACT FROM AUTHOR] AB - Copyright of International Journal of Forecasting is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - FOREIGN exchange KW - MONEY KW - EXPORTS KW - FORECASTING KW - ECONOMIC forecasting N1 - Accession Number: 12130294; Edison, Hali J. 1; Vårdal, Erling 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, USA; Issue Info: Mar1987, Vol. 3 Issue 1, p81; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange; Thesaurus Term: MONEY; Thesaurus Term: EXPORTS; Thesaurus Term: FORECASTING; Thesaurus Term: ECONOMIC forecasting; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 16p; Illustrations: 5 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12130294&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mills, Rodney H. T1 - EURO-COMMERCIAL PAPER BEGINS TO COMPETE. JO - Euromoney JF - Euromoney Y1 - 1987/02// M3 - Article SP - 23 EP - 24 SN - 00142433 AB - The article focuses on the cost competitiveness of Euro-commercial papers. Short-term Europaper--a term which includes Euronotes and Euro-commercial paper--has become cost competitive with U.S. commercial paper in the three month maturities. And most Europaper maturities are of three months. In the U.S. commercial paper market, maturities average less than 30 days are tailored to individual needs and appear to be cheaper than in Europe, if one looks only at rates of interest. But dealers' fees in the U.S. are as a rule 10 basis point, whereas Euro-commercial paper seldom carries an explicit fee. Almost as often as not, it appears to offer the better bargain. The relative rates in the two markets are constantly shifting and create frequent windows of opportunity. The U.S. commercial paper market does provide data on rates, but only for paper rated P-1 by Moody's or A-1 by Standard and Poor's. Even these are averages of representative rates from five dealers; the dealers do not disclose rates paid by individual borrowers. KW - COMMERCIAL paper issues KW - NEGOTIABLE instruments KW - COST KW - MATURITY (Finance) KW - INTEREST rates KW - PAYMENT KW - LOANS KW - EUROPE N1 - Accession Number: 14948242; Mills, Rodney H. 1; Affiliations: 1: Senior Economist, International Banking Section, Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: Feb1987, p23; Thesaurus Term: COMMERCIAL paper issues; Thesaurus Term: NEGOTIABLE instruments; Thesaurus Term: COST; Thesaurus Term: MATURITY (Finance); Thesaurus Term: INTEREST rates; Thesaurus Term: PAYMENT; Thesaurus Term: LOANS; Subject: EUROPE; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14948242&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stockton, David J. AU - Glassman, James E. T1 - AN EVALUATION OF THE FORECAST PERFORMANCE OF ALTERNATIVE MODELS OF INFLATION. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1987/02// VL - 69 IS - 1 M3 - Article SP - 108 EP - 117 PB - MIT Press SN - 00346535 AB - Abstract--The forecast performances of three groups of models of the inflation process are evaluated in this paper: rational expectations models with instantaneous market clearing, monetarist models, and expectations-augmented Phillips curves. The dynamic simulations performed for the intervals between 1977 and 1984 are somewhat discouraging for all three theories The variation in forecasting performance within model groups often exceeded the variation m performance across model groups. Nevertheless, the Phillips curve formulation rarely performed worse than the other two models and in the 1981 to 1984 period it performed substantially better than the alternative models of inflation [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - INFLATION (Finance) KW - STATISTICS KW - DEMAND functions (Economic theory) KW - PHILLIPS curve KW - ECONOMICS N1 - Accession Number: 4646766; Stockton, David J. 1; Glassman, James E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Feb87, Vol. 69 Issue 1, p108; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: INFLATION (Finance); Thesaurus Term: STATISTICS; Thesaurus Term: DEMAND functions (Economic theory); Thesaurus Term: PHILLIPS curve; Thesaurus Term: ECONOMICS; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4646766&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Diebold, Francis X. AU - Pauly, Peter T1 - Structural Change and the Combination of Forecasts. JO - Journal of Forecasting JF - Journal of Forecasting Y1 - 1987/01//Jan-Mar87 VL - 6 IS - 1 M3 - Article SP - 21 EP - 40 SN - 02776693 AB - Forecasters are generally concerned about the properties of model-based predictions in the presence of structural change. In this paper, it is argued that forecast errors can under those conditions be greatly reduced through systematic combination of forecasts. We propose various extensions of the standard regression-based theory of forecast combination. Rolling weighted least squares and time-varying parameter techniques are shown to be useful generalizations of the basic framework. Numerical examples, based on various types of structural change in the constituent forecasts, indicate that the potential reduction in forecast error variance through these methods is very significant. The adaptive nature of these updating procedures greatly enhances the effect of risk-spreading embodied in standard combination techniques. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Forecasting is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FORECASTING KW - ECONOMETRIC models KW - REGRESSION analysis KW - ECONOMETRICS KW - MATHEMATICAL statistics KW - ERRORS KW - Forecast combination KW - Structural change KW - Varying-parameter models N1 - Accession Number: 6143165; Diebold, Francis X. 1; Pauly, Peter 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington.; 2: University of Pennsylvania.; Issue Info: Jan-Mar87, Vol. 6 Issue 1, p21; Thesaurus Term: FORECASTING; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: REGRESSION analysis; Thesaurus Term: ECONOMETRICS; Thesaurus Term: MATHEMATICAL statistics; Subject Term: ERRORS; Author-Supplied Keyword: Forecast combination; Author-Supplied Keyword: Structural change; Author-Supplied Keyword: Varying-parameter models; Number of Pages: 20p; Illustrations: 1 Chart, 6 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6143165&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Spindt, Paul A. AU - Tarhan, Vefa T1 - THE FEDERAL RESERVE'S NEW OPERATING PROCEDURES. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1987/01// VL - 19 IS - 1 M3 - Article SP - 107 EP - 123 SN - 03043932 AB - Although money stock targeting has been the strategic focus of Federal Reserve policy since the mid-1970's, operating policy - the tactics whereby the longer-run strategy is implemented over short-term intervals - has been changed by the Federal Reserve at least twice over this period. A particularly dramatic change in operating policy was announced by the Federal Reserve in October 1979. This paper provides empirical evidence that settles questions about the nature of this change. and suggests that the new operating procedures may have contributed to the heightened interest rate volatility experienced over the 1979 to 1982 period. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY supply KW - FEDERAL Reserve monetary policy KW - MONETARY policy KW - FEDERAL Reserve banks KW - INTEREST rates KW - ECONOMIC policy KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 5031228; Spindt, Paul A. 1; Tarhan, Vefa 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; 2: Loyola University, Chicago, IL 60611, USA; Issue Info: Jan87, Vol. 19 Issue 1, p107; Thesaurus Term: MONEY supply; Thesaurus Term: FEDERAL Reserve monetary policy; Thesaurus Term: MONETARY policy; Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: INTEREST rates; Thesaurus Term: ECONOMIC policy; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 17p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5031228&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Fisher, Eric O'N. AD - Unlisted T1 - A model of exchange rate pass-through PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 302 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700950; Keywords: Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700950&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pauls, B. Dianne AU - Helkie, William L. AD - Unlisted AD - Unlisted T1 - A reassessment of measures of the dollar's effective exchange value PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 306 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700954; Keywords: Foreign exchange rates ; Dollar, American ; Exports; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700954&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Dohner, Robert S. AD - Unlisted AD - Unlisted T1 - A simple simulation model of international bank lending PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 307 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700955; Keywords: Banks and banking, International ; Bank loans; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700955&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Campos, Julia AU - Ericsson, Neil R. AU - Hendry, David F. AD - Unlisted AD - Unlisted AD - Unlisted T1 - An analogue model of phase-averaging procedures PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 303 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700951; Keywords: Business cycles ; Time-series analysis; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700951&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Alexander, Lewis S. AD - Unlisted T1 - Debt conversions: economic issues for heavily indebted developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 315 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700964; Keywords: Debt ; Developing countries ; Loans, Foreign; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700964&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquardt, Jeffrey C. AD - Unlisted T1 - Deposit insurance assessments on deposits at foreign branches of U.S. banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 299 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700947; Keywords: Deposit insurance ; Banks and banking, Foreign; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700947&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - Exchange rate regimes and macroeconomic stabilization in a developing country PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 314 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700962; Keywords: Foreign exchange rates ; Macroeconomics ; Developing countries; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700962&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime AU - Shack-Marquez, Janice AD - Unlisted AD - Unlisted T1 - Financial concentration and development: an empirical analysis of the Venezuelan case PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 300 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700948; Keywords: Economic development - Venezuela ; Venezuela; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700948&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pauls, B. Dianne AD - Unlisted T1 - Improving the forecast accuracy of provisional data: an application of the Kalman filter to retail sales estimates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 318 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700966; Keywords: Forecasting ; Retail trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700966&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fisher, Eric O'N AU - Wilson, Charles A. AD - Unlisted AD - Unlisted T1 - International duopoly with tariffs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 308 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700956; Keywords: Tariff ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700956&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Spigelman, David F. AD - Unlisted T1 - Macroeconomic instability of the less developed country economy when bank credit is rationed PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 305 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700953; Keywords: Developing countries ; Loans, Foreign; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700953&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helkie, William AU - Stekler, Lois AD - Unlisted AD - Unlisted T1 - Modeling investment income and other services in the U.S. international transactions accounts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 319 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700967; Keywords: Investments, Foreign ; Balance of payments ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700967&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - Monetary policy in Taiwan, China PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 313 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700961; Keywords: Monetary policy - China ; China ; Taiwan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700961&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 317 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700965; Keywords: Econometrics ; Statistics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700965&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Protection and retaliation: changing the rules of the game PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 309 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700957; Keywords: International trade ; Game theory; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700957&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Loopesko, Bonnie E. AU - Johnson, Robert A. AD - Unlisted AD - Unlisted T1 - Realignment of the yen-dollar exchange rate: aspects of the adjustment process in Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 311 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700959; Keywords: Foreign exchange rates ; Dollar, American ; Free trade ; Japan ; Yen, Japanese; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700959&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meade, Ellen E. AD - Unlisted T1 - The effect of multilateral trade clearinghouses on the demand for international reserves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 310 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700958; Keywords: Clearinghouses (Banking) ; International trade ; Payment systems; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700958&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted T1 - The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 301 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700949; Keywords: Foreign exchange rates ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700949&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Ross AD - Unlisted T1 - The pricing of forward exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 312 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700960; Keywords: Foreign exchange futures ; Prices ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700960&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Helkie, William L. AU - Hooper, Peter AD - Unlisted AD - Unlisted T1 - The U.S. external deficit in the 1980s: an empirical analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 304 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700952; Keywords: International finance ; International trade ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700952&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Mann, Catherine L. AD - Unlisted AD - Unlisted T1 - The U.S. external deficit: its causes and persistence PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 316 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700963; Keywords: Balance of payments ; International trade ; Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700963&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berger, Allen N. AU - Craine, Roger AD - Unlisted AD - Unlisted T1 - Why random walk models of the term structure are hard to reject PB - Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 1 Y1 - 1987/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700050; Keywords: Random walks (Mathematics) ; Interest rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700050&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Goodman Jr., John L. T1 - Reducing The Error In Monthly Housing Starts Estimates. JO - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association JF - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association Y1 - 1986///Winter86 VL - 14 IS - 4 M3 - Article SP - 557 EP - 566 PB - Wiley-Blackwell SN - 02700484 AB - This paper describes a method for developing estimates of total monthly housing starts that are more accurate than the published Census Bureau figures. The technique makes use of the facts that (1) estimated building permit issuance is subject to far less sampling error than is the starts estimate and (2) permit issuance and starts bear a strong contemporaneous correlation. The conclusion is that monthly housing starts and monthly building permit issuance should he assigned nearly equal weights in developing an improved estimate of total housing starts. [ABSTRACT FROM AUTHOR] AB - Copyright of AREUEA Journal: Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING starts KW - HOUSING KW - ECONOMIC indicators KW - BUILDING permits KW - CONSTRUCTION industry KW - DEMOGRAPHIC surveys KW - HOUSING development KW - SAMPLING (Statistics) KW - HOUSEHOLD surveys N1 - Accession Number: 5860120; Goodman Jr., John L. 1; Affiliations: 1: Mortgage and Consumer Finance Section, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Winter86, Vol. 14 Issue 4, p557; Thesaurus Term: HOUSING starts; Thesaurus Term: HOUSING; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: BUILDING permits; Thesaurus Term: CONSTRUCTION industry; Thesaurus Term: DEMOGRAPHIC surveys; Thesaurus Term: HOUSING development; Thesaurus Term: SAMPLING (Statistics); Subject Term: HOUSEHOLD surveys; NAICS/Industry Codes: 236110 Residential building construction; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5860120&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Shack-Marquez, Janice T1 - Effects of Repeated Interviewing on Estimation of Labor Force Status. JO - Journal of Economic & Social Measurement JF - Journal of Economic & Social Measurement Y1 - 1986/12// VL - 14 IS - 4 M3 - Article SP - 379 EP - 398 PB - IOS Press SN - 07479662 AB - This paper studies the effects of repeated interviewing (termed interview group bias) on the accuracy of aggregate unemployment rates computed from the Current Population Survey. Studies of rotation group bias at the aggregate level have shown that reports of labor force status vary systematically with the number of times a household has been sampled. This paper presents estimates of the systematic variation using microdata and shows that previous studies have underestimated its magnitude. It is shown that rotation group bias is a special case of interview group bias and that the magnitude of interview group bias is substantial enough that unemployment rates across groups interviewed only once can be more than 50% higher than for groups interviewed four times. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Economic & Social Measurement is the property of IOS Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERVIEWING KW - DEMOGRAPHIC surveys KW - UNEMPLOYMENT KW - LABOR supply KW - STATISTICS KW - LABOR market KW - EMPLOYMENT stabilization KW - MARKET surveys KW - ROTATION groups KW - SOCIAL sciences -- Methodology N1 - Accession Number: 6644425; Shack-Marquez, Janice 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Dec86, Vol. 14 Issue 4, p379; Thesaurus Term: INTERVIEWING; Thesaurus Term: DEMOGRAPHIC surveys; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: LABOR supply; Thesaurus Term: STATISTICS; Thesaurus Term: LABOR market; Thesaurus Term: EMPLOYMENT stabilization; Thesaurus Term: MARKET surveys; Subject Term: ROTATION groups; Subject Term: SOCIAL sciences -- Methodology; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6644425&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Frankel, Allen B. AU - Mann, Catherine L. AD - Unlisted AD - Unlisted T1 - A framework for analyzing the process of financial innovation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 283 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700998; Keywords: Capital market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700998&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Robert A. AD - Unlisted T1 - A method for solving systems of first order linear homogeneous differential equations when the elements of the forcing vector are modelled as step functions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 275 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700990; Keywords: Econometrics ; Economics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700990&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Feltenstein, Andrew AU - Lebow, David AU - Sibert, Anne AD - Unlisted AD - Unlisted AD - Unlisted T1 - An analysis of the welfare implications of alternative exchange rate regimes: an intertemporal model with an application PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 273 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700988; Keywords: Foreign exchange rates ; Australia; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700988&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Tryon, Ralph AD - Unlisted AD - Unlisted T1 - An empirical analysis of policy coordination in the United States, Japan and Europe PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 286 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701001; Keywords: Fiscal policy ; Monetary policy ; International economic relations ; Japan ; Germany; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701001&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Levine, Ross AD - Unlisted T1 - An international arbitrage pricing model with PPP deviations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 294 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701009; Keywords: Arbitrage ; Prices ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701009&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Robert A. AD - Unlisted T1 - Anticipated fiscal contraction: the economic consequences of the announcement of Gramm-Rudman-Hollings PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 291 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701006; Keywords: Deficit financing ; Fiscal policy ; Balanced Budget and Emergency Deficit Control Act of 1985; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701006&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dominguez, Kathryn M. AD - Unlisted T1 - Are foreign exchange forecasts rational? New evidence from survey data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 281 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700996; Keywords: Foreign exchange rates ; Rational expectations (Economic theory) ; Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700996&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AU - McNeilly, Caryl AD - Unlisted AD - Unlisted T1 - Can debtor countries service their debts? Income and price elasticities for exports of developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 277 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700992; Keywords: Debts, External ; Exports ; Developing countries ; International trade; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700992&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pauls, B. Dianne AD - Unlisted T1 - Comovements in aggregate and relative prices: some evidence on neutrality PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 285 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701000; Keywords: Prices ; Inflation (Finance) ; Monetary policy; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701000&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Davis, John AU - Minford, Patrick AD - Unlisted AD - Unlisted T1 - Germany and the European disease PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 296 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701011; Keywords: Germany ; Unemployment - Germany; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701011&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Robert A. AD - Unlisted T1 - Incomplete insurance, irreversible investment, and the microfoundations of financial intermediation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 289 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701004; Keywords: Saving and investment ; Consumer behavior ; Insurance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701004&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AD - Unlisted T1 - International comparisons of fiscal policy: the OECD and the IMF measures of fiscal impulse PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 274 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700989; Keywords: Fiscal policy ; Organisation for Economic Co-operation and Development ; International Monetary Fund; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700989&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - Is the ECU an optimal currency basket? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 282 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700997; Keywords: European currency unit ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700997&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gavin, Michael K. AD - Unlisted T1 - Labor market rigidities and unemployment: the case of severance costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 284 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700999; Keywords: Unemployment ; Labor market; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700999&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AD - Unlisted T1 - Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 276 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700991; Keywords: Econometrics ; Statistics; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700991&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AU - Froot, Kenneth A. AD - Unlisted AD - Unlisted T1 - Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 292 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701007; Keywords: Foreign exchange rates ; Japan ; Dollar, American ; Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701007&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Schinasi, Garry J. AD - Unlisted AD - Unlisted T1 - Should fixed coefficients be reestimated every period for extrapolation? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 287 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701002; Keywords: Forecasting; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701002&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AD - Unlisted T1 - Taxation of capital gains on foreign exchange transactions and the non-neutrality of changes in anticipated inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 280 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700995; Keywords: Taxation ; Foreign exchange; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700995&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lyons, Richard K. AD - Unlisted T1 - Tests of the foreign exchange risk premium using the expected second moments implied by option pricing PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 290 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701005; Keywords: Foreign exchange ; Prices; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701005&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H. AD - Unlisted T1 - The cost competitiveness of the Europaper market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 297 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701012; Keywords: Euro-dollar market ; Commercial paper issues; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701012&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - The international debt situation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 298 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701013; Keywords: International finance ; Debts, External; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701013&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Melitz, Jacques AD - Unlisted T1 - The prospect of a depreciating dollar and possible tension inside the EMS PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 279 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700994; Keywords: Dollar, American; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700994&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gavin, Michael K. AD - Unlisted T1 - The stock market and exchange rate dynamics PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 278 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700993; Keywords: Stock market ; Foreign exchange rates; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700993&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Marquez, Jaime R. AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The structure and properties of the FRB multicountry model.Part I: Model description and simulation results PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 293 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701008; Keywords: Econometric models ; International economic relations; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701008&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - van der Ven, Guido E. AU - Wilson, John F. AD - Unlisted AD - Unlisted T1 - The United States international asset and liability position: a comparison of flow of funds and Commerce department presentations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 295 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701010; Keywords: Flow of funds ; International finance; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701010&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Manuel H. AU - Loopesko, Bonnie E. AD - Unlisted AD - Unlisted T1 - The yen-dollar relationship: a recent historical perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 288 Y1 - 1986/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701003; Keywords: Foreign exchange rates ; International economic relations ; Japan; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701003&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Edison, Hali J. T1 - The rise and fall of sterling: testing alternative models of exchange rate determination. JO - Applied Economics JF - Applied Economics Y1 - 1985/12// VL - 17 IS - 6 M3 - Article SP - 1003 PB - Routledge SN - 00036846 AB - The purpose of this paper is threefold. Firstly, to model short run fluctuations and analyze the long run tendencies of the dollar-pound exchange rate over the current floating period.[1] Secondly, to point out a number of shortcomings of existing models which have been proposed to describe the behavior of exchange rates (particularly Frankel (1979, 1983)[2] but also Frenkel (1976), Bilson (1978), Dornbusch (1976)). Thirdly, to apply the econometric method of starting from a general model and testing for simplifications as advocated by Hendry and Mizon (1978) and Davidson et al. (1978). One salient feature of this econometric approach when modelling the exchange rate is that the hypothesis that the long-run tendency of the exchange rate is towards Purchasing Power Parity, henceforth PPP, can be tested. This test relates to the restrictions on the estimated coefficients and is described in detail in Section III. [ABSTRACT FROM AUTHOR] AB - Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange rates KW - ECONOMETRIC models KW - POUND (British currency) KW - ECONOMETRICS KW - PURCHASING power parity KW - PURCHASING power KW - FOREIGN exchange N1 - Accession Number: 4612476; Edison, Hali J. 1; Affiliations: 1: international Finance Division, Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Dec1985, Vol. 17 Issue 6, p1003; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: POUND (British currency); Thesaurus Term: ECONOMETRICS; Thesaurus Term: PURCHASING power parity; Thesaurus Term: PURCHASING power; Thesaurus Term: FOREIGN exchange; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 19p; Illustrations: 6 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4612476&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Axilrod, Stephen H. T1 - Comment on ON CONSEQUENCES AND CRITICISMS OF MONETARY TARGETING. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1985/11/02/Nov85 Part 2 VL - 17 IS - 4 M3 - Article SP - 598 EP - 602 PB - Ohio State University Press SN - 00222879 AB - The article presents the author's comments on the article "Consequences and Criticism of Monetary Targeting," by Bennett T. McCallum. Discussed are the issues in the area of monetary targeting and policy. The critic questions whether the monetary authority should target the money stock and whether, whatever the target, policy should be governed by a rule or by discretion. Information about rules that involve a noninflationary nominal gross national product (GNP) target pursued through automatic adjustment of growth in the monetary base is also provided. KW - RESEARCH KW - MONETARY policy KW - GROSS national product KW - VOLATILITY (Finance) KW - ANALYSIS of variance KW - CONSUMER behavior KW - EVALUATION N1 - Accession Number: 5164096; Axilrod, Stephen H. 1; Affiliations: 1: Staff director for monetary and financial policy, Board of Governors of the Federal Reserve System.; Issue Info: Nov85 Part 2, Vol. 17 Issue 4, p598; Thesaurus Term: RESEARCH; Thesaurus Term: MONETARY policy; Thesaurus Term: GROSS national product; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: ANALYSIS of variance; Thesaurus Term: CONSUMER behavior; Subject Term: EVALUATION; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5164096&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mills, Rodney T1 - THE NIFTY WAY TO BEAT EUROLOANS. JO - Euromoney JF - Euromoney Y1 - 1985/10// M3 - Article SP - 239 EP - 242 SN - 00142433 AB - Since early 1984, note issuance facilities (NIFs) have largely replaced syndicated credits as a means of access to international credit markets for borrowers in developed countries. Four factors are important: borrowers' awareness of their opportunities to raise funds more cheaply and with more flexibility than in the syndicated loan market; increasing demand for foreign securities from banks and non-bank investors in Japan; decline in the relative popularity with investors of bank deposits and certificates of deposit compared with alternative instruments; and the desire of banks themselves to slow the growth of balance sheets, improve capital/asset ratios, and boost income from fees derived from off-balance-sheet activities. KW - FINANCIAL instruments KW - SYNDICATED loans KW - CAPITAL market KW - CREDIT KW - LOANS KW - INTERNATIONAL finance KW - SECURITIES markets N1 - Accession Number: 14361939; Mills, Rodney 1; Affiliations: 1: senior economist, division of international finance, Board of Governors of the Federal Reserve System, Washington; Issue Info: Oct85, p239; Thesaurus Term: FINANCIAL instruments; Thesaurus Term: SYNDICATED loans; Thesaurus Term: CAPITAL market; Thesaurus Term: CREDIT; Thesaurus Term: LOANS; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: SECURITIES markets; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 3p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14361939&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Derrick, Frederick W. AU - Wolken, John D. T1 - The Effects of Price Aggregation Bias in Systems of Demand Equations. JO - Journal of Business & Economic Statistics JF - Journal of Business & Economic Statistics Y1 - 1985/10// VL - 3 IS - 4 M3 - Article SP - 325 EP - 331 SN - 07350015 AB - This article illustrates the importance of maintaining consistent levels of aggregation between prices and quantities when estimating consumer demand functions. The impact of violating this condition is quantified by using summary performance measures and estimates of demand elasticity biases. Results derived from an application of 1972-1973 Consumer Expenditure Survey data and supported with a quasi-Monte Carlo experiment consistently indicate that the point estimates of demand elasticities are significantly biased. Thus the study indicates the importance of developing and maintaining price indexes disaggregated to the same level as the expenditure data in consumer expenditure and budget surveys. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business & Economic Statistics is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEMAND functions (Economic theory) KW - ECONOMICS -- Mathematical models KW - ELASTICITY (Economics) KW - ECONOMIC surveys KW - MONTE Carlo method KW - Complete demand system KW - Cross section KW - Interregional-intertemporal price index KW - Quadratic expenditure system N1 - Accession Number: 5823759; Derrick, Frederick W. 1; Wolken, John D. 2; Affiliations: 1: Department of Economics and Decision Sciences, Loyola College, Baltimore, MD 21210; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551; Issue Info: Oct85, Vol. 3 Issue 4, p325; Thesaurus Term: DEMAND functions (Economic theory); Thesaurus Term: ECONOMICS -- Mathematical models; Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: ECONOMIC surveys; Thesaurus Term: MONTE Carlo method; Author-Supplied Keyword: Complete demand system; Author-Supplied Keyword: Cross section; Author-Supplied Keyword: Interregional-intertemporal price index; Author-Supplied Keyword: Quadratic expenditure system; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5823759&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - Whither American Banking Reform? JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1985/09//Sep/Oct85 VL - 28 IS - 4 M3 - Article SP - 43 PB - Taylor & Francis Ltd SN - 05775132 AB - American banking is in a state of flux. Strong forces within the industry are driving for expansion into both new geographic areas and new activities. Strong forces outside banking are trying with some success to break into fields, traditionally reserved for banks. Legislative restraints are weakening. In 1984, legislation was proposed that would greatly broaden the problem of banks while keeping developments in orderly channels. Although this legislation was not passed, a similar congressional initiative is likely to be reintroduced. The extraordinary fragmentation probably would long have succumbed to concentration if the expansion of banks were not limited by laws prohibiting branching across state lines and in many cases severely limiting, if not prohibiting. branching even within a state. Those who praise the market the most are likely to be its most assiduous grave-diggers. Unfortunately, society as a whole must pay the price for this misguided boosterism, at least until the formation of the political coalition needed to establish adjustment norms and turn the market into a good servant. KW - BANKING industry -- Government policy KW - BANKING law & legislation KW - DEREGULATION KW - LEGISLATION KW - FINANCE KW - EXPANSION (Business) KW - BANKING industry -- United States KW - UNITED States N1 - Accession Number: 6147168; Wallich, Henry C. 1; Affiliations: 1: Member of Board of Governors of the Federal Reserve System.; Issue Info: Sep/Oct85, Vol. 28 Issue 4, p43; Thesaurus Term: BANKING industry -- Government policy; Thesaurus Term: BANKING law & legislation; Thesaurus Term: DEREGULATION; Thesaurus Term: LEGISLATION; Thesaurus Term: FINANCE; Thesaurus Term: EXPANSION (Business); Thesaurus Term: BANKING industry -- United States; Subject: UNITED States; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6147168&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wascher, William L. T1 - The conditions for economic recovery (Book Review). JO - Journal of Economic Literature JF - Journal of Economic Literature Y1 - 1985/09// VL - 23 IS - 3 M3 - Book Review SP - 1210 PB - American Economic Association SN - 00220515 AB - Reviews the book "The Conditions for Economic Recovery: A Post-Keynesian Analysis," by John Cornwall. KW - ECONOMIC recovery KW - ECONOMICS KW - NONFICTION KW - CORNWALL, John KW - CONDITIONS for Economic Recovery, The (Book) N1 - Accession Number: 5296985; Wascher, William L. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Sep85, Vol. 23 Issue 3, p1210; Thesaurus Term: ECONOMIC recovery; Thesaurus Term: ECONOMICS; Subject Term: NONFICTION; Reviews & Products: CONDITIONS for Economic Recovery, The (Book); People: CORNWALL, John; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5296985&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Sibert, Anne C. T1 - Capital Accumulation and Foreign Investment Taxation. JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 1985/04// VL - 52 IS - 2 M3 - Article SP - 331 PB - Oxford University Press / USA SN - 00346527 AB - This paper presents a dynamic, choice-theoretic general equilibrium model of capital accumulation in an open economy. Equilibria with and without capital mobility are described and compared. It is shown that neither is necessarily Parrot optimal and that an equilibrium with free trade in capital does not Parrot-dominate an equilibrium with autarky. The effects of restricting capital flows by taxing foreign investment earnings are discussed. It is seen that there will be no agreement within a country as to what constitutes an optimal tax. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL movements KW - EQUILIBRIUM (Economics) KW - INTERNATIONAL trade KW - SAVING & investment KW - FOREIGN investments KW - CAPITAL KW - INVESTMENTS KW - ECONOMICS N1 - Accession Number: 4621697; Sibert, Anne C. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Apr85, Vol. 52 Issue 2, p331; Thesaurus Term: CAPITAL movements; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: SAVING & investment; Thesaurus Term: FOREIGN investments; Thesaurus Term: CAPITAL; Thesaurus Term: INVESTMENTS; Thesaurus Term: ECONOMICS; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4621697&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Goldberg, Michael A. AU - Vora, Ashok T1 - DIVIDEND YIELD, REGULATION, AND THE RETURN ON U.S. PUBLIC UTILITY STOCKS. JO - Journal of Business Finance & Accounting JF - Journal of Business Finance & Accounting Y1 - 1985///Spring85 VL - 12 IS - 1 M3 - Article SP - 47 EP - 64 PB - Wiley-Blackwell SN - 0306686X AB - The article discusses an application of capital market and portfolio theories to analyze the impact of dividend yield on the returns of both unregulated firms and U.S. public utilities. Public utilities in the U.S. are regulated by either federal or state commissions because of their effect on the public welfare. One of the functions of the regulatory authorities is to ensure that the owners of these utilities obtain a fair return on their investment. The equity securities of public utilities are generally considered to be characterized by a high dividend yield and low growth. These characteristics of the public utility stock may affect its return if some investors are not indifferent between dividends and capital gains. If the market evaluates dividends and growth differently, then a firm's cost of equity capital can be significantly influenced by that firm's dividend policy. The empirical results indicate that public utility equity securities are not valued in the same manner as unregulated securities of equivalent systematic risk and dividend yield. KW - CAPITAL market KW - DIVIDENDS KW - INVESTMENTS KW - FINANCE KW - CAPITAL gains KW - UNITED States N1 - Accession Number: 4559102; Goldberg, Michael A. 1; Vora, Ashok 2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System.; 2: Professor, Baruch College, City University of New York.; Issue Info: Spring85, Vol. 12 Issue 1, p47; Thesaurus Term: CAPITAL market; Thesaurus Term: DIVIDENDS; Thesaurus Term: INVESTMENTS; Thesaurus Term: FINANCE; Thesaurus Term: CAPITAL gains; Subject: UNITED States; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 18p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4559102&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Isard, Peter AU - Stekler, Lois T1 - U.S. International Capital Flows and the Dollar. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1985/01// IS - 1 M3 - Article SP - 219 PB - Brookings Institution Press SN - 00072303 AB - This article focuses on four topics, the recent composition of U.S. international capital flows; capital flows and alternative hypotheses about the dollar's appreciation; concerns about U.S. net international indebtedness; and the plausibility that the depreciation of the dollar will be gradual. Financial flows during the period of 1976-84, the U.S. current account moved into substantial deficit. In contrast to the 1977-78 experience, the widening of that deficit in 1983 and 1984 was associated with large net inflows of private rather than official capital, along with an extraordinary appreciation of the dollar. The shift in private capital flows was concentrated initially in bank-reported transactions, which swung from a large net outflow in 1982 to a sizable net inflow in 1983. This sharp shift was not surprising, since banks are positioned to intermediate between investors and borrowers in response to small changes in rates of return. Overtime, however, other channels for private capital inflows have also developed and expanded. The U.S. balance of payments accounts consolidate outflows and inflows between U.S. firms and their foreign affiliates. In particular, borrowing abroad by U.S. companies through Eurobonds issued by their Netherlands Antilles finance affiliates is recorded in the balance of payments data as a reduction in U.S. direct investment claims on foreigners, rather than as an increase in claims of foreigners on the U.S. KW - CAPITAL movements KW - BALANCE of trade KW - FOREIGN exchange KW - CAPITAL losses KW - CAPITAL market KW - BALANCE of payments KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 6914383; Isard, Peter 1; Stekler, Lois 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 1985, Issue 1, p219; Thesaurus Term: CAPITAL movements; Thesaurus Term: BALANCE of trade; Thesaurus Term: FOREIGN exchange; Thesaurus Term: CAPITAL losses; Thesaurus Term: CAPITAL market; Thesaurus Term: BALANCE of payments; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 18p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6914383&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Kling, Arnold S. AD - Unlisted T1 - Anticipatory capital flows and the behaviour of the dollar PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 261 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700977; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700977&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hendry, David F. AU - Ericsson, Neil R. AD - Unlisted AD - Unlisted T1 - Assertion without empirical basis : an econometric appraisal of monetary trends in ... the United Kingdom, by Milton Friedman and Anna J. Schwartz PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 270 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700985; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700985&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Schinasi, Garry J. AD - Unlisted T1 - Canadian financial markets : the Government's proposal for reform PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 269 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700984; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700984&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H. AD - Unlisted T1 - Comparing costs of note issuance facilities and Eurocredits PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 264 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700968; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700968&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ericsson, Neil R. AU - Hendry, David F. AD - Unlisted AD - Unlisted T1 - Conditional econometric modelling : an application to new house prices in the United Kingdom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 254 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700970; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700970&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - Currency substitution and the new divisia monetary aggregates : the U. S. case PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 257 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700973; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700973&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogoff, Kenneth S. AU - Sibert, Anne AD - Unlisted AD - Unlisted T1 - Elections and macroeconomic policy cycles Anne Sibert PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 271 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700986; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700986&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Branson, William H. AU - Fraga, Arminio AU - Johnson, Robert A. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Expected fiscal policy and the recession of 1982 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 272 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700987; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700987&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Darity, William A. AD - Unlisted T1 - Loan pushing : doctrine and theory PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 253 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700969; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700969&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shea, Gary S. AD - Unlisted T1 - Long memory models of interest rates, the term structure, and variance bounds tests PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 258 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700974; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700974&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Miller, M. H. AD - Unlisted T1 - Monetary stabilization policy in an open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 262 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700978; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700978&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - Money demand in open economies : a currency substitution model for Venezuela PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 265 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700980; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700980&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AU - Vardal, Erling AD - Unlisted AD - Unlisted T1 - Optimal currency basket in a world of generalized floating : an application to the nordic countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 266 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700981; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700981&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kling, Arnold S. AD - Unlisted T1 - Simulating exchange rate shocks in the MPS and MCM models : an evaluation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 260 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700976; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700976&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AD - Unlisted T1 - Some implications of the President's tax proposals for U.S. banks with claims on developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 263 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700979; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700979&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - The international transmission of oil price effects and OPEC's pricing policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 256 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700972; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700972&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - The U.K. sector of the Federal Reserve's multicountry model : the effects of monetary and fiscal policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 267 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700982; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700982&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mann, Catherine L. AD - Unlisted T1 - Trade policy for the multiple product declining industry PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 259 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700975; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700975&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Mills, Rodney H. AD - Unlisted AD - Unlisted T1 - U.S. banks' lending to developing countries : a longer-term view PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 255 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700971; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700971&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard AU - Rogoff, Kenneth S. AD - Unlisted AD - Unlisted T1 - Was it real? : the exchange rate-interest differential relation, 1973 - 1984 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 268 Y1 - 1985/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700983; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700983&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Goldberg, Michael A. T1 - THE SENSITIVITY OF THE PRIME RATE TO MONEY MARKET CONDITIONS. JO - Journal of Financial Research JF - Journal of Financial Research Y1 - 1984///Winter84 VL - 7 IS - 4 M3 - Article SP - 269 PB - Wiley-Blackwell SN - 02702592 AB - Commercial banking's institutional setting can make one bank's profits dependent upon the pricing strategies of its rivals. In this environment, widely disseminated prime rate quotes, loan contracts with "most-favored-customer" clauses, and rule-of-thumb pricing techniques can result in prime rate outcomes that jointly maximize banks' market values. In this paper the relationship between the prime and money market rates is examined over the last decade to determine if the prime rate behaves more like a competitive money market rate than an oligopolistic price. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Research is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRIME rate KW - MONEY market KW - BANKING industry KW - PROFIT KW - INTEREST rates KW - PRICING KW - COMPETITION N1 - Accession Number: 5377832; Goldberg, Michael A. 1; Affiliations: 1: Financial Studies Section, Board of Governors of the Federal Reserve System.; Issue Info: Winter84, Vol. 7 Issue 4, p269; Thesaurus Term: PRIME rate; Thesaurus Term: MONEY market; Thesaurus Term: BANKING industry; Thesaurus Term: PROFIT; Thesaurus Term: INTEREST rates; Thesaurus Term: PRICING; Subject Term: COMPETITION; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5377832&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rogoff, Kenneth T1 - ON THE EFFECTS OF STERILIZED INTERVENTION. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1984/09// VL - 14 IS - 2 M3 - Article SP - 133 EP - 150 SN - 03043932 AB - As the recent empirical studies surveyed here illustrate, it is very difficult to demonstrate that the exchange rate risk premium depends (through a portfolio balance channel) on the currency composition of outside assets. The existence of a 'portfolio balance effect' is a necessary condition for sterilized intervention to be a genuinely independent tool of monetary policy. This paper studies U.S./Canadian data, and attempts to improve on earlier studies by using higher frequency (weekly) data and by implementing an appropriate instrumental variables technique (2S2SLS). However, we still fail to detect evidence of a portfolio balance effect. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - RISK premiums KW - MONETARY policy KW - ECONOMIC policy KW - FOREIGN exchange rates KW - MONEY KW - MACROECONOMICS KW - GOVERNMENT securities KW - UNITED States KW - CANADA N1 - Accession Number: 5018569; Rogoff, Kenneth 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Sep84, Vol. 14 Issue 2, p133; Thesaurus Term: RATE of return; Thesaurus Term: RISK premiums; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONEY; Thesaurus Term: MACROECONOMICS; Thesaurus Term: GOVERNMENT securities; Subject: UNITED States; Subject: CANADA; Number of Pages: 18p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5018569&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rogoff, Ken T1 - Exchange-Rate Determination. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1984/08// VL - 17 IS - 1/2 M3 - Book Review SP - 187 EP - 188 SN - 00221996 AB - The article reviews the book "Exchange-Rate Determination," by Anne O. Krueger. KW - FOREIGN exchange rates KW - NONFICTION KW - KRUEGER, Anne O. KW - EXCHANGE-Rate Determination (Book) N1 - Accession Number: 18042240; Rogoff, Ken 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Aug84, Vol. 17 Issue 1/2, p187; Thesaurus Term: FOREIGN exchange rates; Subject Term: NONFICTION; Reviews & Products: EXCHANGE-Rate Determination (Book); People: KRUEGER, Anne O.; Number of Pages: 2p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18042240&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Green, Edward J. T1 - CONTINUUM AND FINITE-PLAYER NONCOOPERATIVE MODELS OF COMPETITION. JO - Econometrica JF - Econometrica Y1 - 1984/07// VL - 52 IS - 4 M3 - Article SP - 975 EP - 993 SN - 00129682 AB - The anonymous interaction of large numbers of economic agents is a kind of noncooperative situation which is markedly different from small-numbers strategic conflict. The nonatomic game has been introduced as a model for these many-agent situations. This paper contains a precise definition of what it means for a nonatomic game to be the limit of a sequence of finite-player games, and a theorem which states when the limit of equilibria of finite-player games will be an equilibrium of the nonatomic limit game. This is analogous to theorems prompted by Edgeworth's conjecture in core theory. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometrica is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GAME theory KW - ECONOMIC models KW - MATHEMATICAL models KW - ECONOMETRICS KW - MATHEMATICS KW - CONTINUUM (Mathematics) KW - METRIC spaces KW - NONCOOPERATIVE games (Mathematics) KW - COMPETITION N1 - Accession Number: 6834761; Green, Edward J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jul84, Vol. 52 Issue 4, p975; Thesaurus Term: GAME theory; Thesaurus Term: ECONOMIC models; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ECONOMETRICS; Thesaurus Term: MATHEMATICS; Subject Term: CONTINUUM (Mathematics); Subject Term: METRIC spaces; Subject Term: NONCOOPERATIVE games (Mathematics); Subject Term: COMPETITION; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6834761&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Anderson, Robert AU - Ando, Albert AU - Enzler, Jared T1 - Interaction Between Fiscal and Monetary Policy and the Real Rate of Interest. JO - American Economic Review JF - American Economic Review Y1 - 1984/05// VL - 74 IS - 2 M3 - Article SP - 55 PB - American Economic Association SN - 00028282 AB - One of the consequences of the economic policies pursued since 1981 is the prospect of a continued large federal deficit combined with a high level of the market rate of interest for at least several years to come in the U.S. This is a radical departure from the pattern that prevailed in the U.S. during the period after World War II. Except for cyclical and temporary variations, federal debt as a proportion of net national product declined steadily between 1945 and 1980, while the real rate of interest remained quite low. This fundamental shift in the economic policy since 1981 has important consequences for both the U.S. economy and the world economy as a whole. This article provides a quantitative analysis of these consequences. In order to examine such a complex problem, a specific model of the economy with numerical estimates of its parameters is needed. The authors have chosen to work with the one most familiar to us, namely, the econometric model of the U.S. The nature of this model requires to conduct the short-run dynamic and medium to long-run analysis together. KW - ECONOMIC policy KW - FISCAL policy KW - EXTERNAL debts KW - MONETARY policy KW - INTEREST rates KW - PUBLIC spending KW - UNITED States N1 - Accession Number: 4510970; Anderson, Robert 1; Ando, Albert 2; Enzler, Jared 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; 2: Department of Economics, University of Pennsylvania, Philadelphia, PA 19104.; Issue Info: May84, Vol. 74 Issue 2, p55; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FISCAL policy; Thesaurus Term: EXTERNAL debts; Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rates; Thesaurus Term: PUBLIC spending; Subject: UNITED States; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4510970&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wachter, Michael L. AU - Wascher, William L. T1 - LEVELING THE PEAKS AND TROUGHS IN THE DEMOGRAPHIC CYCLE: AN APPLICATION TO SCHOOL ENROLLMENT RATES. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1984/05// VL - 66 IS - 2 M3 - Article SP - 208 PB - MIT Press SN - 00346535 AB - Abstract--To maximize lifetime discounted earnings, individuals act so as to fill in the peaks and troughs of the demographic cycles exhibited by population and hence relative income. As a consequence, those born prior to the peak increase their school enrollment rates, while those trailing the peak decrease their school enrollment rates. Education thus provides a differential tracking mechanism. While individuals cannot choose the cohorts in which they are born, they are able to time their entry into the career labor market through education. This asymmetric demographic effect is tested in a time series equation. Our model helps to explain the "surprisingly" steep decline in school enrollment rates during the 1970s. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEMOGRAPHIC surveys KW - WAGES KW - INCOME KW - TIME series analysis KW - INCOME distribution KW - EDUCATION & economics KW - SCHOOL enrollment N1 - Accession Number: 4644649; Wachter, Michael L. 1; Wascher, William L. 2; Affiliations: 1: University of Pennsylvania.; 2: Board of Governors of the Federal Reserve System.; Issue Info: May84, Vol. 66 Issue 2, p208; Thesaurus Term: DEMOGRAPHIC surveys; Thesaurus Term: WAGES; Thesaurus Term: INCOME; Thesaurus Term: TIME series analysis; Thesaurus Term: INCOME distribution; Thesaurus Term: EDUCATION & economics; Subject Term: SCHOOL enrollment; NAICS/Industry Codes: 923110 Administration of Education Programs; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4644649&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Spindt, Paul A. T1 - MODELLING THE MONETARY MULTIPLIER AND THE CONTROLLABILITY OF THE DIVISIA MONETARY QUANTITY AGGREGATES. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1984/05// VL - 66 IS - 2 M3 - Article SP - 314 PB - MIT Press SN - 00346535 AB - Abstract--This paper assesses the ability of the Federal Reserve to control a Divisia monetary quantity aggregate using a monetary multiplier model. The predictability of the multiplier is assessed empirically by examining out-of-sample forecast errors from two forms of the multiplier forecasting model. The results suggest that the higher level Divisia aggregates are quite closely controllable. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ECONOMIC forecasting KW - MONEY KW - ECONOMIC models KW - MULTIPLIER (Economics) KW - ECONOMETRIC models KW - MONETARY policy KW - NATIONAL income KW - EMPIRICAL research N1 - Accession Number: 4644938; Spindt, Paul A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May84, Vol. 66 Issue 2, p314; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONEY; Thesaurus Term: ECONOMIC models; Thesaurus Term: MULTIPLIER (Economics); Thesaurus Term: ECONOMETRIC models; Thesaurus Term: MONETARY policy; Thesaurus Term: NATIONAL income; Thesaurus Term: EMPIRICAL research; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4644938&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kopecky, Kenneth J. T1 - Monetary Control under Reverse Lag and Contemporaneous Reserve Accounting: A Comparison. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1984/02// VL - 16 IS - 1 M3 - Article SP - 81 EP - 88 PB - Ohio State University Press SN - 00222879 AB - This article presents a comment on the article "Monetary Control under Reverse Lag and Contemporaneous Reserve Accounting." The author suggests that the accounting method endorsed in the paper for maintaining control over short-run money stock lacks an adequate methodology for deriving the necessary equilibrium properties. The author presents a model that is designed to assess the accounting method that is proposed and discusses the method's effectiveness in controlling the short-run of money stock. KW - MONETARY policy KW - BANKING industry -- Accounting KW - EQUILIBRIUM (Economics) KW - DEMAND for money KW - ECONOMETRIC models KW - INTEREST rates N1 - Accession Number: 5156199; Kopecky, Kenneth J. 1; Affiliations: 1: Senior Economist, Board of Governors of the Federal Reserve System; Issue Info: Feb84, Vol. 16 Issue 1, p81; Thesaurus Term: MONETARY policy; Thesaurus Term: BANKING industry -- Accounting; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: DEMAND for money; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: INTEREST rates; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5156199&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lindsey, David E. AU - Farr, Helen T. AU - Gillum, Gary P. AU - Kopecky, Kenneth J. AU - Porter, Richard D. T1 - SHORT–RUN MONETARY CONTROL. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1984/01// VL - 13 IS - 1 M3 - Article SP - 87 EP - 111 SN - 03043932 AB - This paper examines two issues — the prediction and short-run control of the money stock — associated with the experience following the Federal Reserve's adoption of a non-borrowed reserve-oriented operating procedure in October 1979. Regarding predictability, our analysis suggests that econometric models offer no improvement over the Board's judgmental forecasting procedure in terms of a lower multiplier forecast error. Regarding the question of whether alternative operating targets would have lowered monthly variability in the money stock, our findings suggest that neither a total reserve nor a monetary base operating target would have enhanced the precision of short-run monetary control relative to a non-borrowed reserve operating target. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY supply KW - RESERVES (Accounting) KW - ECONOMETRIC models KW - ECONOMIC forecasting KW - MONETARY policy KW - ECONOMIC policy KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 5023487; Lindsey, David E. 1; Farr, Helen T. 1; Gillum, Gary P. 1; Kopecky, Kenneth J. 1; Porter, Richard D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, USA, DC, USA; Issue Info: Jan84, Vol. 13 Issue 1, p87; Thesaurus Term: MONEY supply; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: ECONOMETRIC models; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 25p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5023487&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Darity, William A. AU - Fitzgerald, E. V. K. AD - Unlisted AD - Unlisted T1 - A Kalecki-Keynes model of world trade, finance, and economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 238 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701017; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701017&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogoff, Kenneth S. AD - Unlisted T1 - Can exchange rate predictability be achieved without monetary convergence? : evidence from the EMS PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 245 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701023; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701023&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AU - Pauly, Paul AD - Unlisted AD - Unlisted T1 - Cooperative policies among the North, the South, and OPEC : an optimal control approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 247 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701025; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701025&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - Currency substitution, duality, and exchange rate indeterminacy : an empirical analysis of the Venezuelan experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 242 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701021; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701021&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lapan, Harvey AD - Unlisted T1 - Exchange rate determination and real interest rate differentials under uncertainty PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 232 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701014; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701014&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AD - Unlisted T1 - Federal taxation and the domestic-foreign asset choice of a U.S. bank PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 243 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701022; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701022&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - Foreign exchange constraints and growth possibilities in LDCs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 251 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701028; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701028&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AD - Unlisted T1 - International repercussions of the U.S. budget deficit PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 246 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701024; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701024&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R AD - Unlisted T1 - Oil price effects in theory and practice PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 237 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701016; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701016&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AU - Pauly, Peter AD - Unlisted AD - Unlisted T1 - Oil prices, welfare tradeoffs, and international policy coordination : an optimizing approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 241 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701020; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701020&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - Postwar financial policies in Taiwan, China PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 252 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701029; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701029&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Tryon, Ralph W. AD - Unlisted AD - Unlisted T1 - The current account of the United States, Japan, and Germany : a cyclical analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 236 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701015; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701015&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Mills, Rodney H. AD - Unlisted AD - T1 - The determination of front-end fees on syndicated Eurocurrency credits PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 250 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701027; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701027&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Clark, Peter B. AD - Unlisted AD - Unlisted T1 - The effects of exchange rate variability on output and employment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 240 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701019; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701019&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, John F. AD - Unlisted T1 - The foreign sector in the U.S. flow of funds accounts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 239 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701018; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701018&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Sibert, Anne C. AD - Unlisted AD - Unlisted T1 - The macroeconomic implications of labor contracting with asymmetric information PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 248 Y1 - 1984/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0701026; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0701026&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Jones, David S. AU - Roley, V. Vance T1 - RATIONAL EXPECTATIONS AND THE EXPECTATIONS MODEL OF THE TERM STRUCTURE. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1983/09// VL - 12 IS - 3 M3 - Article SP - 453 EP - 465 SN - 03043932 AB - This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in two main directions. First, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to a form a non- overlapping data set. Second, a more complete set of possible determinants of time-varying premiums is tested. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - TREASURY bills KW - RATIONAL expectations (Economic theory) KW - GOVERNMENT securities KW - ECONOMIC forecasting KW - TIME & economic reactions KW - ECONOMETRIC models KW - SECURITIES KW - UNCERTAINTY N1 - Accession Number: 5031096; Jones, David S. 1; Roley, V. Vance 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, USA; 2: Federal Reserve Bank of Kansas City, USA; Issue Info: Sep83, Vol. 12 Issue 3, p453; Thesaurus Term: TREASURY bills; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: GOVERNMENT securities; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: TIME & economic reactions; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: SECURITIES; Subject Term: UNCERTAINTY; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 13p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5031096&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Tarhan, Vefa AU - Spindt, Paul A. T1 - BANK EARNING ASSET BEHAVIOR AND CAUSALITY BETWEEN RESERVES AND MONEY. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1983/08// VL - 12 IS - 2 M3 - Article SP - 331 EP - 341 SN - 03043932 AB - This paper empirically examines the impact of lagged reserve accounting on large individual bank behavior. Its specific objective is to assess the claim that the institution of LRA has led to a decoupling of the earning asset and reserve adjustment decisions of banks. To accomplish this objective, a system of equations which jointly describe the reserve adjustment and earning asset decisions of banks is estimated and tested for differences in the model between the periods before and after 1968. It is found that bank behavior does not differ fundamentally under LRA. Evidence that banks make their earning asset adjustments promptly and that expected future interest rates are important in their decisions is also presented. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK reserves KW - RESERVES (Accounting) KW - BANKING industry KW - FINANCIAL institutions KW - BANK assets KW - ASSETS (Accounting) KW - BANK profits KW - MONEY KW - RESERVE assets N1 - Accession Number: 5031089; Tarhan, Vefa 1; Spindt, Paul A. 2; Affiliations: 1: Loyola University, Chicago, IL 60611, USA; 2: Board of Governors of the Federal Reserve System, Washington, DC 20551, USA; Issue Info: Aug83, Vol. 12 Issue 2, p331; Thesaurus Term: BANK reserves; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: BANKING industry; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: BANK assets; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: BANK profits; Thesaurus Term: MONEY; Thesaurus Term: RESERVE assets; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 11p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5031089&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seiders, David F. T1 - Managing Mortgage Interest-Rate Risks in Forward, Futures, and Options Markets. JO - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association JF - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association Y1 - 1983///Summer83 VL - 11 IS - 2 M3 - Article SP - 237 EP - 263 PB - Wiley-Blackwell SN - 02700484 AB - This article reviews the Housing Commission's perspective and recommendations on management of interest-rate risks in housing finance, and considers the relative advantages of various techniques by which institutions on the supply side of mortgage markets can absorb or shift such risks. It is argued that exchange-based options can provide a more reliable way than cash forward contracting for originators or purchasers of mortgages to manage commitment-period risk, but that commitment fees charged household borrowers should not fully correspond to premiums for put options "traded" on the exchanges. It is argued that exchange-based futures can provide a more effective and economical way than asset-ability maturity matching in cash markets for thrift institutions to manage portfolio interest-rate risks; in particular, futures trading can permit these institution to meet the maturity preferences of liquidity-conscious creditors and risk-averse borrowers, to reduce the risk associated with unexpected shifts of the yield curve, and to maintain a higher degree of asset quality. The capacity of futures markets to handle large-scale hedging by mortgage market participants will depend upon heavy participation by highly leveraged speculators who are willing to take long positions without the receipt of substantial risk premiums from hedgers. [ABSTRACT FROM AUTHOR] AB - Copyright of AREUEA Journal: Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING -- Finance KW - INTEREST rates KW - OPTIONS (Finance) KW - FUTURES market KW - DERIVATIVE securities KW - HOUSING market N1 - Accession Number: 5860068; Seiders, David F. 1; Affiliations: 1: Senior Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; Issue Info: Summer83, Vol. 11 Issue 2, p237; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: INTEREST rates; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: FUTURES market; Thesaurus Term: DERIVATIVE securities; Thesaurus Term: HOUSING market; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 624229 Other Community Housing Services; Number of Pages: 27p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5860068&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seiders, David F. T1 - Mortgage Pass-Through Securities: Progress and Prospects. JO - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association JF - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association Y1 - 1983///Summer83 VL - 11 IS - 2 M3 - Article SP - 264 EP - 287 PB - Wiley-Blackwell SN - 02700484 AB - This paper discusses the Housing Commission's perspective and recommendations on mortgage pass-through securities markets, reviews federal policy toward such securities in the wake of the Housing Commission on Report, and considers prospects for mortgage securities in the housing finance system of the future. Concerning the outlook, it is concluded that massive "securitization" of housing finance may not be inevitable--contrary to the developing conventional wisdom on this topic--partly because the underlying need for secondary market transactions may not be as strong as commonly expected. Furthermore, the relative importance of pass-through securities as secondary market vehicles may erode if federally related programs are phased down in he with Housing Commission recommendations, even if policies currently being developed within the Administration to improve the functioning of fully private securities markets are implemented. [ABSTRACT FROM AUTHOR] AB - Copyright of AREUEA Journal: Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - HOUSING -- Finance KW - SECURITIES markets KW - MORTGAGE-backed securities KW - SECONDARY markets KW - SECURITIES trading KW - UNITED States N1 - Accession Number: 5860072; Seiders, David F. 1; Affiliations: 1: Senior Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; Issue Info: Summer83, Vol. 11 Issue 2, p264; Thesaurus Term: HOUSING -- Finance; Thesaurus Term: SECURITIES markets; Thesaurus Term: MORTGAGE-backed securities; Thesaurus Term: SECONDARY markets; Thesaurus Term: SECURITIES trading; Subject: UNITED States; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522294 Secondary Market Financing; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5860072&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Volcker, Paul A. T1 - HOW SERIOUS IS U.S. BANK EXPOSURE? JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1983/05//May/Jun83 VL - 26 IS - 2 M3 - Article SP - 11 PB - Taylor & Francis Ltd SN - 05775132 AB - This article discusses the effect of foreign debt of the Third World countries on the economic recovery of the United States. The U.S. has made striking progress against inflation, and efforts are actively underway to contain problems in the financial system. This makes it all the more important to consider and deal with the heavy indebtedness of some developing countries and the related exposure of the commercial banking system of the industrialized world. It is convenient to trace part of the present liquidity crises of some developing and Eastern European countries to the two massive oil price increases of 1973-74 and 1979-80. Since the first oil shock, the oil import bill of the non-OPEC developing countries has escalated sharply. However, the direct impact of high oil prices on import hills does not provide a full and general explanation of the present difficulties. The borrowing countries have all, understandably, wished to expand their industrial base rapidly to meet the needs of a growing population and increase national income and economic welfare. KW - EXTERNAL debts KW - BANKING industry -- United States KW - ECONOMIC recovery KW - LIQUIDITY (Economics) KW - PETROLEUM industry KW - UNITED States -- Economic conditions -- 1981-2001 KW - DEVELOPING countries KW - UNITED States N1 - Accession Number: 6150570; Volcker, Paul A. 1; Affiliations: 1: Chairman Board of Governors of the Federal Reserve System.; Issue Info: May/Jun83, Vol. 26 Issue 2, p11; Thesaurus Term: EXTERNAL debts; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: ECONOMIC recovery; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: PETROLEUM industry; Subject Term: UNITED States -- Economic conditions -- 1981-2001; Subject Term: DEVELOPING countries; Subject: UNITED States; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 454311 Heating oil dealers; NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 211113 Conventional oil and gas extraction; NAICS/Industry Codes: 213112 Support Activities for Oil and Gas Operations; NAICS/Industry Codes: 324191 Petroleum Lubricating Oil and Grease Manufacturing; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 324199 All Other Petroleum and Coal Products Manufacturing; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6150570&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - BOOK AU - Loopesko, B.E. AU - Board of Governors of the Federal Reserve System [U.S.] T1 - Relationships among exchange rates, intervention, and interest rates: an empirical investigation JO - Relationships among exchange rates, intervention, and interest rates: an empirical investigation JF - Relationships among exchange rates, intervention, and interest rates: an empirical investigation Y1 - 1983/// M3 - Book KW - FOREIGN exchange KW - INTEREST rates N1 - Accession Number: MRB-MCS0144898; Loopesko, B.E.; Board of Governors of the Federal Reserve System [U.S.]; Source Info: Washington, D.C.: Board of Governors of the Federal Reserve System, 1983; 20 p ; Note: Publisher Information: Board of Governors of the Federal Reserve System, Washington, DC.; Note: Bibliography: p. 19-20; Subject Term: FOREIGN exchange; Subject Term: INTEREST rates; Number of Pages: 20p; Document Type: Book UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=fxh&AN=MRB-MCS0144898&site=ehost-live&scope=site DP - EBSCOhost DB - fxh ER - TY - UNPB AU - Edison, Hali J. AU - Klovland, Jan Tore AD - Unlisted AD - Unlisted T1 - A quantitative reassessment of the purchasing power parity hypothesis : evidence from Norway and the United Kingdom PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 231 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700653; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700653&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AD - Unlisted T1 - A strategy to resolve Mexico's liquidity crisis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 228 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700650; Keywords: Financial crises - Mexico; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700650&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Symansky, Steven A. AU - Haas, Richard D. AD - Unlisted AD - Unlisted T1 - Alternative financial strategies : the results of some policy simulations with the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 235 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700656; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700656&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael AU - Helkie, William AU - Tryon, Ralph AU - Underwood, John AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - An analysis of external debt positions of eight developing countries through 1990 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 227 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700672; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700672&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AD - Unlisted T1 - An appraisal of the CHAPS payments mechanism PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 217 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700662; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700662&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Haas, Richard A. AU - Symansky, Steven A. AD - Unlisted AD - Unlisted T1 - Assessing dynamic properties of the MCM: a simulation approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 214 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700659; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700659&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sibert, Anne AD - Unlisted T1 - Capital accumulation and foreign investment taxation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 218 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700663; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700663&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - Country risk, international lending and exchange rate determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 221 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700666; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700666&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caprio, Gerard AU - Henderson, Dale W. AD - Unlisted AD - T1 - Deficit-savings ratios as indicators of interest-rate pressure : a collection of notes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 234 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700655; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700655&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caprio, Gerard AU - Howard, David H. AD - Unlisted AD - Unlisted T1 - Domestic saving, current accounts, and international capital mobility PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 244 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700657; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700657&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Obstfeld, Maurice AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - Exchange rate dynamics with sluggish prices under alternative price-adjustment rules PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 223 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700668; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700668&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AD - Unlisted T1 - Monetary policy games and the role of private information PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 249 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700658; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700658&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gray, Jo Anna AU - Hooper, Peter AD - Unlisted AD - Unlisted T1 - OPEC's surplus and real interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 215 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700660; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700660&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen AU - Marquardt, Jeffrey AD - Unlisted AD - Unlisted T1 - Payments systems: theory and policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 216 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700661; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700661&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogoff, Kenneth S. AD - Unlisted T1 - Productive and counterproductive cooperative monetary policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 233 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700654; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700654&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AU - Johnson, Karen H. AD - Unlisted AD - Unlisted T1 - Purchasing power parity and real after tax interest rate arbitrage PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 222 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700667; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700667&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobson, Laurence R. AD - Unlisted T1 - Speculation and hedging using options on future contracts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 220 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700665; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700665&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lawrence, Colin AD - Unlisted T1 - The impact of supply side policy rules on exchange rates, interest rates and the terms of trade: an exploration under alternative price rules PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 225 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700670; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700670&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Marquez, Jaime R. AD - Unlisted T1 - The international transmission of oil price effects PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 229 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700651; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700651&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Rogoff, Kenneth S. AD - Unlisted T1 - The optimal degree of commitment to an intermediate monetary target: inflation gains versus stabilization costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 230 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700652; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700652&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Edison, Hali J. AD - Unlisted T1 - The rise and fall of sterling: testing alternative models of exchange rate determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 224 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700669; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700669&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Gray, Jo Anna AD - Unlisted AD - Unlisted T1 - Two essays on monetary policy in an interdependent world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 219 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700664; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700664&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - What's wrong with empirical exchange rate models: some critical issues and new directions PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 226 Y1 - 1983/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700671; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700671&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Wallich, Henry C. T1 - "THE LIMITS TO GROWTH" REVISITED. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1982/09//Sep/Oct82 VL - 25 IS - 4 M3 - Article SP - 36 EP - 42 PB - Taylor & Francis Ltd SN - 05775132 AB - The article observes the efficacy of public policy and mechanisms in dealing with pressures generated by economic growth. This issue comes in two parts. The first is whether economic growth must come to an end or whether it can go on indefinitely. The second is whether, if growth must come to an end, it must do so through collapse instead of asymptotically, with a soft landing. Moreover, the question remains how far a supply shock produced by an oil cartel can be taken as a proper test of the functioning of the price mechanism. The first oil shock coincided with a food price shock. KW - ECONOMIC development KW - PETROLEUM industry KW - FOOD prices KW - ECONOMIC policy KW - SOCIAL policy KW - PETROLEUM products -- Sales & prices N1 - Accession Number: 6145402; Wallich, Henry C. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System; Issue Info: Sep/Oct82, Vol. 25 Issue 4, p36; Thesaurus Term: ECONOMIC development; Thesaurus Term: PETROLEUM industry; Thesaurus Term: FOOD prices; Thesaurus Term: ECONOMIC policy; Subject Term: SOCIAL policy; Subject Term: PETROLEUM products -- Sales & prices; NAICS/Industry Codes: 213112 Support Activities for Oil and Gas Operations; NAICS/Industry Codes: 211113 Conventional oil and gas extraction; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 324191 Petroleum Lubricating Oil and Grease Manufacturing; NAICS/Industry Codes: 324199 All Other Petroleum and Coal Products Manufacturing; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; NAICS/Industry Codes: 454311 Heating oil dealers; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6145402&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kwast, Myron L. AU - Rose, John T. T1 - PRICING, OPERATING EFFICIENCY, AND PROFITABILITY AMONG LARGE COMMERCIAL BANKS. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1982/06// VL - 6 IS - 2 M3 - Article SP - 233 EP - 254 SN - 03784266 AB - This study uses statistical cost accounting techniques to examine the relationship between bank profitability and two dimensions of operating performance — pricing and operating efficiency. The traditional statistical cost accounting model, which relates a firm's income to its asset and liability mix, is expanded to account for differences in market structure, regional demand and supply conditions, and macroeconomics factors. The study focuses on large (above $500 million in domestic deposits) banks, comparing a sample of relatively profitable banks against a matched group of much less profitable banks over the period 1970-1977. After allowing for regional supply and demand factors, the high and low-profit banks are estimated to earn equal market rates of return on individual assets and liabilities. There is virtually no evidence that differential prices are an important discriminator between the two bank groups. Some evidence is found that the high-earnings banks experience lower operating costs on some liabilities, but the opposite is true with respect to selected asset items. After taxes are taken into account, however, any such cost differentials virtually disappear. Overall, there is no compelling evidence that high-profit banks are characterized by greater operating efficiency than their low-earnings counterparts. This finding is consistent with the view that over time, and especially among relatively large banks, information flows and competitive pressures act to reduce operating efficiency differences that may appear in the short run. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CORPORATE profits KW - BANKING industry KW - INDUSTRIAL management KW - COST accounting KW - FINANCE N1 - Accession Number: 11490104; Kwast, Myron L. 1; Rose, John T. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC; Issue Info: 1982, Vol. 6 Issue 2, p233; Thesaurus Term: CORPORATE profits; Thesaurus Term: BANKING industry; Thesaurus Term: INDUSTRIAL management; Thesaurus Term: COST accounting; Thesaurus Term: FINANCE; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 22p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11490104&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rost, Ronald F. T1 - CAPACITY-NEUTRAL INVESTMENTS AND CAPACITY MEASUREMENT IN MANUFACTURING. JO - Journal of Industrial Economics JF - Journal of Industrial Economics Y1 - 1982/06// VL - 30 IS - 4 M3 - Article SP - 391 EP - 403 PB - Wiley-Blackwell SN - 00221821 AB - A problem with conventional output measures is that they do not capture such "outputs" as cleaner air, cleaner water, and a more accident-free work environment, which result from the installation of equipment that abates pollution or promotes health and safety on the job. Conventional input measures, on the other hand, do include inputs which perform such functions. In this study, we test different specifications of the relationship between manufacturing capacity and the manufacturing capital stock. Not surprisingly, the empirical results indicate that the drive to control pollution and provide a safer and healthier work environment has caused a decline in the elasticity of capacity with respect to total capital in manufacturing, because pollution abatement investment and occupational safety and health investment generally do not augment conventionally-defined productivity. Additionally, discover that some indexes of manufacturing capacity are constructed by means of methodologies which assume an unchanging historical relationship between capacity and capital, and thus are unable to detect the declining capital elasticity of capacity. KW - INDUSTRIAL capacity KW - POLLUTION KW - BUSINESS enterprises KW - COMMUTING KW - EMPLOYMENT (Economic theory) KW - MANAGEMENT styles KW - ERGONOMICS KW - CAPITAL N1 - Accession Number: 5709508; Rost, Ronald F. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C., U.S.A.; Issue Info: Jun82, Vol. 30 Issue 4, p391; Thesaurus Term: INDUSTRIAL capacity; Thesaurus Term: POLLUTION; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: COMMUTING; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: MANAGEMENT styles; Thesaurus Term: ERGONOMICS; Thesaurus Term: CAPITAL; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5709508&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FREEMAN, RICHARD T. T1 - Foreign-Exchange Management in U.S. Multinationals. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1982/02// VL - 14 IS - 1 M3 - Book Review SP - 165 EP - 167 PB - Ohio State University Press SN - 00222879 AB - The article reviews the book "Foreign-Exchange Management in U.S. Multinationals," by Rita M. Rodriguez. KW - FOREIGN exchange KW - NONFICTION KW - RODRIGUEZ, Rita M. KW - FOREIGN-Exchange Management in US Multinationals (Book) N1 - Accession Number: 17277722; FREEMAN, RICHARD T. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Feb82, Vol. 14 Issue 1, p165; Thesaurus Term: FOREIGN exchange; Subject Term: NONFICTION; Reviews & Products: FOREIGN-Exchange Management in US Multinationals (Book); NAICS/Industry Codes: 522293 International Trade Financing; People: RODRIGUEZ, Rita M.; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17277722&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lindsey, David E. T1 - Recent Monetary Developments and Controversies. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1982/01// IS - 1 M3 - Article SP - 245 PB - Brookings Institution Press SN - 00072303 AB - The article focuses on monetary developments and controversies. Economic developments during the past year were distinctly unkind to the nostrums of monetary economists. The phenomenal growth of negotiable orders of withdrawal and money market mutual fund shares and, more recently, the emergence of retail sweep accounts reopened questions about the stability of money demand and the value of monetary aggregates as intermediate targets. The stubborn persistence of high interest rates in the face of unwinding inflation and deepening recession puzzled many economists. Observing the continued volatility of both interest rates and money, some critics of the Federal Reserve's new operating procedures concluded that short-run monetary control was receiving too little attention while other critics concluded just the reverse. This article examines whether financial innovations have perceptibly altered the velocity of various monetary aggregates, with special emphasis on the experience over 1981 as a whole. Recent quarterly data on relations among money demand, short-term interest rates, real income, and prices have been discussed. KW - MONETARY policy KW - INFLATION (Finance) KW - MONEY market KW - NOW accounts KW - BANK accounts KW - MUTUAL funds N1 - Accession Number: 6913634; Lindsey, David E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: 1982, Issue 1, p245; Thesaurus Term: MONETARY policy; Thesaurus Term: INFLATION (Finance); Thesaurus Term: MONEY market; Thesaurus Term: NOW accounts; Thesaurus Term: BANK accounts; Thesaurus Term: MUTUAL funds; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 27p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6913634&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - BOOK AU - Board of Governors of the Federal Reserve System, Washington, DC AU - Environmental Protection Agency, Washington, DC AU - Federal Home Loan Bank Board, Washington, DC AU - Federal National Mortgage Association, Washington, DC AU - Federal Trade Commission, Washington, DC AU - Office of Management and Budget, Washington, DC AU - President's Commission on Housing, Washington, DC AU - U.S. Department of Housing and Urban Development, Washington, DC T1 - Financing the Housing Needs of the 1980s: A Preliminary Report on Housing Finance JO - Financing the Housing Needs of the 1980s: A Preliminary Report on Housing Finance JF - Financing the Housing Needs of the 1980s: A Preliminary Report on Housing Finance Y1 - 1982/// AB - This report highlights the importance of housing finance and focuses on ways to provide a more reliable supply of residential mortgage credit over the long term. The environment for home financing has changed dramatically since the statutory framework for the system was established in the 1930's, and it is now evident that the rules governing the operation of housing finance institutions are no longer in the best interests of the Nation. Rapid inflation, high and fluctuating interest rates, and increased market competition have seriously weakened the system. Developments in financial markets in recent years clearly indicate that broader operating powers are essential to the health of thrift institutions and that special tax incentives designed to keep the assets of these institutions concentrated in residential mortgage instruments should be modified. The President's Commission on Housing offers its recommendations with a single goal in mind: the creation of a system that will provide a stable and growing supply of housing credit, at reasonable cost, with minimal Federal involvement. The recommendations deal with three areas: operating powers of depository institutions, tax incentives for mortgage investment, and laws and regulations that adversely affect the supply and cost of mortgage credit. In addition to recommendations, this report discusses the history and performance of the housing finance system, the operating powers of housing finance institutions, tax incentives for mortgage investors, and laws and regulations that discourage diversified private institutions from investing in residential mortgages to raise the cost of credit for mortgage borrowers. The final chapter considers the patterns of housing finance that are likely to evolve in the 1980's and indicates how the recommendations in the report can influence the process of change in ways that will lead to a stronger system. Tables and footnotes are included (Copyright applies to all Abstracts.) KW - Mortgage markets KW - Effects of government policies KW - Financial institutions KW - Mortgage interest rates KW - Inflation KW - Housing financing KW - Tax incentives N1 - Accession Number: MRB-FSD0350160; Board of Governors of the Federal Reserve System, Washington, DC; Environmental Protection Agency, Washington, DC; Federal Home Loan Bank Board, Washington, DC; Federal National Mortgage Association, Washington, DC; Federal Trade Commission, Washington, DC; Office of Management and Budget, Washington, DC; President's Commission on Housing, Washington, DC; U.S. Department of Housing and Urban Development, Washington, DC; Source Info: 63 pp.; 1982 ; Note: Availability: HUD USER, P.O. Box 6091, Rockville, MD 20850. UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=flh&AN=MRB-FSD0350160&site=ehost-live&scope=site DP - EBSCOhost DB - flh ER - TY - UNPB AU - Flood, Robert P. AU - Garber, Peter M. AD - Unlisted AD - Unlisted T1 - A model of stochastic process switching PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 201 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700778; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700778&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Haas, Richard D. AU - Symansky, Steven A. AU - Stekler, Lois AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Alternative approaches to general equilibrium modeling of exchange rates and capital flows: the MCM experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 213 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700788; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700788&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - An accounting framework and some issues for modelling how exchange rates respond to the news PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 200 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700777; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700777&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gray, Jo Anna AD - Unlisted T1 - Dynamic instability in rational expectations models: an attempt to clarify PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 197 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700774; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700774&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Parkinson, Patrick M. AD - Unlisted T1 - Estimating the hedging effectiveness of Treasury bill futures: an alternative approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 196 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700773; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700773&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Glaessner, Thomas C. AD - Unlisted T1 - Formulation and estimation of a dynamic model of exchange rate determination: an application of general method of moments techniques PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 208 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700790; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700790&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AD - Unlisted T1 - How to borrow reasonably PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 203 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700780; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700780&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freeman, Richard AD - Unlisted T1 - J-curves and stability of the foreign-exchange market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 198 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700775; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700775&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freeman, Richard AD - Unlisted T1 - Structural lags and stability in international macromodels PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 199 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700776; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700776&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AU - Johnson, Karen H. AD - Unlisted AD - Unlisted T1 - The behavior of monetary aggregates in major industrialized countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 207 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700783; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700783&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howe, Howard AD - Unlisted T1 - The Canadian sector of the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 209 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700784; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700784&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Karen H. AD - Unlisted T1 - The demand for Swiss monetary assets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 210 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700785; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700785&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Glaessner, Thomas C. AD - Unlisted T1 - The modern theory of forward foreign exchange: some new consistent estimates under rational expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 206 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700789; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700789&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - The out-of-sample failure of empirical exchange rate models: sampling error or misspecification? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 204 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700781; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700781&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sibert, Anne C. AD - Unlisted T1 - The risk premium in the market for forward foreign exchange PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 211 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700786; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700786&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AD - Unlisted T1 - The role of intervention policy in open economy financial policy: a macroeconomic perspective PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 202 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700779; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700779&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caprio, Gerard AD - Unlisted T1 - The Swedish economy in the 1970's: the lessons of accommodative policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 205 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700782; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700782&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Underwood, John M. AD - Unlisted AD - Unlisted T1 - Wage contracting, exchange rate volatility, and exchange intervention policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 212 Y1 - 1982/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700787; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700787&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Barnett, William A. T1 - The New Monetary Aggregates. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1981/11// VL - 13 IS - 4 M3 - Article SP - 485 EP - 489 PB - Ohio State University Press SN - 00222879 AB - The author comments on the article "The New Monetary Aggregates: A Critical Appraisal," by Neil G. Berkman. He states that Berkman's criticisms are based largely on a mistaken understanding of aggregation theory. He suggests that the quantity of monetary services provided to the economy cannot be accurately indicated by simple sum aggregates. He states that Berkman's criticism concerning the technique the author used in estimating elasticities was surprising as the index the author used contained no parameters and had no elasticities. KW - MONETARY policy KW - RATE of return KW - ELASTICITY (Economics) KW - SET theory KW - CRITICISM KW - ABSTRACTS KW - UNITED States N1 - Accession Number: 5164028; Barnett, William A. 1; Affiliations: 1: Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Nov81, Vol. 13 Issue 4, p485; Thesaurus Term: MONETARY policy; Thesaurus Term: RATE of return; Thesaurus Term: ELASTICITY (Economics); Subject Term: SET theory; Subject Term: CRITICISM; Subject Term: ABSTRACTS; Subject: UNITED States; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5164028&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - LDC DEBT...to worry or not to worry. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1981/09//Sep/Oct81 VL - 24 IS - 4 M3 - Article SP - 28 PB - Taylor & Francis Ltd SN - 05775132 AB - This article focuses on the new techniques, such as insurance, co-financing, and brokering for the growth of lending to developing countries. The latest data made available by the Bank for International Settlements and others confirm that banks have behind them an extraordinarily successful season of lending to less developed countries (LDC), that is, if success is to be measured by the dollar volume of lending. The total debt of LDCs has risen, over the years 1971 through 1980, from $50-$65 billion to about $400 billion. In real terms, the increase, of course, is considerably lower. As a percent of gross National Product, the volume of debt rose on average during the years 1970-80. Debt service increased from $8 billion in 1971 to $75 billion in 1980 due in large part to increased interest payments. However, debt service as a ratio to total export earnings increased only from 16 percent in 1970 to 19 percent in 1979. These data seem reasonably representative of the general trends of events. According to the author, after looking at a variety of data from a variety of sources, the only firm conclusion that emerges is that averages and aggregates are not very meaningful. KW - DEBT KW - EXTERNAL debts KW - ACCOUNTS payable KW - NATIONAL income KW - BANKING industry KW - LOANS KW - BANK loans KW - DEBT retirement KW - ECONOMIC activity KW - DEVELOPING countries N1 - Accession Number: 6150196; Wallich, Henry C. 1; Affiliations: 1: Member of the Board of Governors of the Federal Reserve System.; Issue Info: Sep/Oct81, Vol. 24 Issue 4, p28; Thesaurus Term: DEBT; Thesaurus Term: EXTERNAL debts; Thesaurus Term: ACCOUNTS payable; Thesaurus Term: NATIONAL income; Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; Thesaurus Term: BANK loans; Thesaurus Term: DEBT retirement; Thesaurus Term: ECONOMIC activity; Subject Term: DEVELOPING countries; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6150196&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rose, John T. AU - Rutz, Roger D. T1 - Organizational Form and Risk in Bank-Affiliated Mortgage Companies. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1981/08// VL - 13 IS - 3 M3 - Article SP - 375 EP - 380 PB - Ohio State University Press SN - 00222879 AB - The article focuses on bank-affiliated mortgage companies in the United States. It examines if balance sheet risk of bank-affiliated mortgage companies differ between mortgage companies operating as a bank holding company (BHC) nonbank subsidiary and mortgage companies that operate as a bank subsidiary. It states that the BHC nonbank subsidiaries will usually have greater balance sheet risk according to a statistical analysis of the ratio of adjusted equity capital to risk assets than mortgage companies that operate as bank subsidiaries. KW - MORTGAGE banks KW - BANK holding companies KW - BANKING industry KW - SUBSIDIARY corporations KW - BANKING law & legislation KW - UNITED States N1 - Accession Number: 5164015; Rose, John T. 1; Rutz, Roger D. 1; Affiliations: 1: Economists, Board of Governors of the Federal Reserve System.; Issue Info: Aug81, Vol. 13 Issue 3, p375; Thesaurus Term: MORTGAGE banks; Thesaurus Term: BANK holding companies; Thesaurus Term: BANKING industry; Thesaurus Term: SUBSIDIARY corporations; Thesaurus Term: BANKING law & legislation; Subject: UNITED States; NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 551114 Corporate, Subsidiary, and Regional Managing Offices; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5164015&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brown, Kathleen Hope T1 - EFFECTS OF CHANGES IN THE DISCOUNT RATE ON THE FOREIGN EXCHANGE VALUE OF THE DOLLAR: 1973 TO 1978. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1981/08// VL - 96 IS - 3 M3 - Article SP - 551 EP - 558 SN - 00335533 AB - Analyzes the effects of changes in the Federal Reserve System's discount rate on the dollar's foreign exchange value from 1973 to 1978. KW - DISCOUNT KW - DOLLAR KW - FOREIGN exchange KW - FOREIGN exchange rates KW - FOREIGN exchange market KW - MONETARY policy KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 4967108; Brown, Kathleen Hope 1; Affiliations: 1 : Board of Governors of the Federal Reserve System; Source Info: Aug81, Vol. 96 Issue 3, p551; Historical Period: 1973 to 1978; Subject Term: DISCOUNT; Subject Term: DOLLAR; Subject Term: FOREIGN exchange; Subject Term: FOREIGN exchange rates; Subject Term: FOREIGN exchange market; Subject Term: MONETARY policy; Subject: UNITED States; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=4967108&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Rhoades, Stephen A. AU - Rutz, Roger D. T1 - A REEXAMINATION AND EXTENSION OF THE RELATIONSHIP BETWEEN CONCENTRATION AND FIRM RANK STABILITY. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1981/08// VL - 63 IS - 3 M3 - Article SP - 446 PB - MIT Press SN - 00346535 AB - This article presents a re-examination and extension of the relationship between concentration and firm rank stability. While many studies have investigated the relationship between the structure-performance elements from the general structure-conduct-performance analytical framework, the Heggestad-Rhoades study appears to be the first broad cross-section analysis of a relationship between the structure-conduct elements of this framework. However, findings of their study are based on a single experiment. The primary purpose of this article is to replicate their tests for another time period. In addition, this study conducts tests on a sample of smaller geographic banking areas not investigated earlier. The final section presents evidence of a bias in the mobility and turnover measures that would tend to lead to the results obtained in the earlier study. This study presents new results that correct for the bias. By focusing on the leading firms in a market, Arnold A. Heggestad and Stephen A. Rhoades have minimized the probability that any rank changes are the result of random disturbances. However, there may still be a bias in the mobility and turnover measures if the relative disparity of sizes among the leading firms is significantly related to the structure of the market. KW - BANKING industry -- United States KW - BUSINESS enterprises -- Ratings & rankings KW - LABOR mobility KW - TURNOVER (Business) KW - INDUSTRIAL concentration KW - INDUSTRIAL organization (Economic theory) KW - FINANCE KW - PERFORMANCE KW - SCIENTIFIC experimentation KW - UNITED States N1 - Accession Number: 4653874; Rhoades, Stephen A. 1; Rutz, Roger D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Aug81, Vol. 63 Issue 3, p446; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: BUSINESS enterprises -- Ratings & rankings; Thesaurus Term: LABOR mobility; Thesaurus Term: TURNOVER (Business); Thesaurus Term: INDUSTRIAL concentration; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: FINANCE; Subject Term: PERFORMANCE; Subject Term: SCIENTIFIC experimentation; Subject: UNITED States; Number of Pages: 6p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653874&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Braun, Steven T1 - THE INVENTORY STOCK-ADJUSTMENT MODEL RECONSIDERED. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1981/08// VL - 63 IS - 3 M3 - Article SP - 452 PB - MIT Press SN - 00346535 AB - This article focuses on the inventory stock-adjustment model. Although the partial adjustment model was presented without theoretical motivation, it can be derived as a production-decision rule from a multi-period quadratic cost problem. In this optimization there is no restriction that inventories must be positive, and when this restriction is imposed. Therefore, it is a mistake to use only positive inventories. David A. Beisley and Gerald Childs have asserted that there are significant differences in holding costs between unfilled orders and inventories and it is the firm's strategic decision to choose their relative sizes. Therefore, these authors say that it is inaccurate to consider unfilled orders as negative inventories in the decision rule. The author do not disagree with this position. In aggregate econometrics, however, some unfilled orders really are negative inventories and some inventories really are negative unfilled orders, and it is impossible to determine which is which. The major point is that unfilled orders must be considered somehow and including them symmetrically as net inventories is the simplest way. KW - INDUSTRIAL costs KW - INVENTORIES KW - ECONOMIC models KW - INVENTORY control KW - MATHEMATICAL models KW - PRODUCT management KW - STATISTICS KW - FACTORS of production N1 - Accession Number: 4653885; Braun, Steven 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Aug81, Vol. 63 Issue 3, p452; Thesaurus Term: INDUSTRIAL costs; Thesaurus Term: INVENTORIES; Thesaurus Term: ECONOMIC models; Thesaurus Term: INVENTORY control; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: PRODUCT management; Thesaurus Term: STATISTICS; Thesaurus Term: FACTORS of production; NAICS/Industry Codes: 541614 Process, Physical Distribution, and Logistics Consulting Services; NAICS/Industry Codes: 561990 All Other Support Services; Number of Pages: 3p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653885&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - Techniques of Monetary Policy. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 1981/07//Jul/Aug1981 VL - 37 IS - 4 M3 - Article SP - 41 PB - CFA Institute SN - 0015198X AB - In 1970, the Federal Reserve instituted a money supply target, setting the federal funds rate at a level that elicited the desired growth. In 1979, the Fed switched to a reserves-based procedure for achieving this target. The new procedure has given rise to some understandable misconceptions. "Tightness should be measured by interest rates." While, under the old procedure, the funds rate was the proper clue to what the Federal Reserve was doing, under the new procedure it is merely a byproduct. The proper test of the Fed's intent is whether the money supply strengthens more than very temporarily without the Fed acting to offset it by lessening reserve growth. "Reserves are an indicator of monetary policy." Reserves reflect, not only attempted changes in the monetary aggregates, but also shifts of funds between banks, between reserve categories and between reservable liabilities. "Nonborrowed reserves do not control the money supply." Because borrowed reserves support expansion just as well as nonborrowed reserves, the Fed looks primarily at total reserves. On the other hand, it is aware that an increase in the proportion of total reserves derived from borrowing has effects on interest rates other than the funds rate that are conducive to restraint. "The funds rate at the lime the Fed enters the market is a tip-off to where it wants the funds rate." This was undoubtedly true under the old procedure, since the Fed rarely entered unless the funds rate was moving in one direction or the other. Under the new procedure, however, the funds rate level at which the Fed enters is largely fortuitous." The Federal Reserve's role, when on a money supply target, is largely passive." The short-run target the FOMC sets monthly for overlapping three-month periods is subject to variation even if the long-term target (one year, possibly more) is not. Then, too, even if the monetary target were firmly adhered to under fluctuating economic conditions, interest rates would fluctuate widely. In that sense, a money supply target implies a highly activist monetary policy. [ABSTRACT FROM AUTHOR] AB - Copyright of Financial Analysts Journal is the property of CFA Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY supply KW - MONETARY theory KW - DEMAND for money KW - MONEY market KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 6655280; Wallich, Henry C. 1; Affiliations: 1: Member of the Board of Governors of the Federal Reserve System.; Issue Info: Jul/Aug1981, Vol. 37 Issue 4, p41; Thesaurus Term: MONEY supply; Thesaurus Term: MONETARY theory; Thesaurus Term: DEMAND for money; Thesaurus Term: MONEY market; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6655280&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Goldberg, Michael A. T1 - THE IMPACT OF REGULATORY AND MONETARY FACTORS ON BANK LOAN CHARGES. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 1981/06// VL - 16 IS - 2 M3 - Article SP - 227 EP - 246 PB - Cambridge University Press SN - 00221090 AB - The objective of this study is to determine the impact of money market conditions and a bank's regulatory environment on the interest rates banks charge on their loans. This is accomplished through the analysis of the effect of these impacts, in a multiperiod framework, on a bank's optimal investment and borrowing decisions and the minimum required rate of return on its asset portfolio. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK loans KW - RATE of return KW - BANKING industry KW - INTEREST rate ceilings KW - BANK investments KW - COMMERCIAL credit KW - COMMODITY exchanges KW - ECONOMIC indicators KW - MONETARY policy KW - MONEY market KW - INTEREST rates KW - ASSETS (Accounting) N1 - Accession Number: 5722346; Goldberg, Michael A. 1; Affiliations: 1: Financial Studies Section, Board of Governors of the Federal Reserve System; Issue Info: Jun81, Vol. 16 Issue 2, p227; Thesaurus Term: BANK loans; Thesaurus Term: RATE of return; Thesaurus Term: BANKING industry; Thesaurus Term: INTEREST rate ceilings; Thesaurus Term: BANK investments; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: COMMODITY exchanges; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: MONETARY policy; Thesaurus Term: MONEY market; Thesaurus Term: INTEREST rates; Thesaurus Term: ASSETS (Accounting); NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5722346&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Clark, Peter B. T1 - Trade and Payments Adjustment Under Flexible Exchange Rates. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1981/02// VL - 11 IS - 1 M3 - Book Review SP - 130 EP - 134 SN - 00221996 AB - The article reviews the book "Trade and Payments Adjustment Under Flexible Exchange Rates," edited by John P. Martin and Alasdair Smith. KW - FOREIGN exchange rates KW - NONFICTION KW - MARTIN, John P. KW - SMITH, Alasdair KW - TRADE & Payments Adjustment Under Flexible Exchange Rates (Book) N1 - Accession Number: 18010982; Clark, Peter B. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Feb81, Vol. 11 Issue 1, p130; Thesaurus Term: FOREIGN exchange rates; Subject Term: NONFICTION; Reviews & Products: TRADE & Payments Adjustment Under Flexible Exchange Rates (Book); People: MARTIN, John P.; People: SMITH, Alasdair; Number of Pages: 5p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=18010982&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Barnett, William A. T1 - EDITOR'S INTRODUCTION TO PART II. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 1981/01// VL - 15 IS - 1 M3 - Article SP - 3 EP - 9 SN - 03044076 AB - Presents an introduction to the January 1981 issue of the periodical "Journal of Econometrics." KW - ECONOMETRICS KW - MATHEMATICAL models N1 - Accession Number: 16905203; Barnett, William A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, DC.; Issue Info: Jan1981, Vol. 15 Issue 1, p3; Thesaurus Term: ECONOMETRICS; Thesaurus Term: MATHEMATICAL models; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16905203&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Cumby, Robert E. AU - Obstfeld, Maurice AD - Unlisted AD - Unlisted T1 - Capital mobility and the scope for sterilization: Mexico in the 1970s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 187 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700764; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700764&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - Empirical exchange rate models of the seventies: are any fit to survive? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 184 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700761; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700761&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AD - Unlisted T1 - Estimation of portfolio-balance functions that are mean-variance optimizing: the mark and the dollar PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 188 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700765; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700765&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AD - Unlisted T1 - Exchange intervention policy in a multiple country world PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 174 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700751; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700751&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Flood, Robert P. AU - Marion, Nancy Peregrim AD - Unlisted AD - Unlisted T1 - Exchange-rate regimes in transition: Italy 1974 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 193 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700770; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700770&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Flood, Robert P. AU - Garber, Peter M. AD - Unlisted AD - Unlisted T1 - Gold monetization and gold discipline PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 190 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700767; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700767&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - Inflation, indexation, and the oil-price shock: the British experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 185 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700762; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700762&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Shafer, Jeffrey R. AU - Truman, Edwin M. AD - Unlisted AD - Unlisted T1 - International portfolio disturbances and domestic monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 175 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700752; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700752&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - New foreign asset positions and stability in a world portfolio balance model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 178 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700755; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700755&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobson, Laurence AU - Thurman, Stephen AD - Unlisted AD - Unlisted T1 - Oil price indexing versus large price shocks: macroeconomic impacts PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 180 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700757; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700757&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Caprio, Jerry AU - Clark, Peter B. AD - Unlisted AD - Unlisted T1 - Oil price shocks in a portfolio-balance model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 181 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700758; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700758&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Jacobson, Laurence AU - Loftin, Alice AU - Thurman, Stephan AD - Unlisted AD - Unlisted AD - Unlisted T1 - Primary energy demand and its allocation among energy sector shares PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 189 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700766; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700766&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Waldo, Douglas G. AD - Unlisted AD - Unlisted T1 - Reserve requirements on Eurocurrency deposits: implications for the stabilization of real outputs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 183 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700760; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700760&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Allen B. AD - Unlisted T1 - Some consequences of U.S. taxation of foreign banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 179 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700756; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700756&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Obstfeld, Maurice AU - Rogoff, Kenneth AD - Unlisted AD - Unlisted T1 - Speculative hyperinflations in a maximizing models: can we rule them out? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 195 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700772; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700772&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - The British banking system's demand for cash reserves PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 176 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700753; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700753&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Karen H. AD - Unlisted T1 - The impact of an oil price increase on aggregate supply PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 182 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700759; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700759&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gray, Jo Anna AU - Shafer, Jeffrey R. AD - Unlisted AD - Unlisted T1 - The implications of a floating exchange rate regime: a survey of Federal Reserve Systems papers PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 173 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700750; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700750&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AD - Unlisted T1 - The implications of the internationalization of banking for the definition and measurement of U.S. credit and monetary aggregates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 177 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700754; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700754&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AU - Henderson, Dale W. AU - Rogoff, Kenneth S. AD - Unlisted AD - Unlisted AD - Unlisted T1 - The information content of the interest rate and optimal monetary policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 192 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700769; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700769&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - The role of the current account in exchange rate determination: a comment on Rodriquez PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 191 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700768; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700768&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lubitz, Raymond AD - Unlisted T1 - The vicious circle argument and its relevance for the Italian economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 186 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700763; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700763&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Obstfeld, Maurice AD - Unlisted T1 - Transitory terms-of-trade shocks and the current account: the case of constant time preference PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 194 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700771; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700771&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gray, Jo Anna AU - Salant, Stevens W. AD - Unlisted AD - Unlisted T1 - Transversality conditions in infinite horizon models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 172 Y1 - 1981/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700749; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700749&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Barnett, William A. T1 - EDITORS INTRODUCTION TO PART I. JO - Journal of Econometrics JF - Journal of Econometrics Y1 - 1980/09// VL - 14 IS - 1 M3 - Article SP - 3 EP - 8 SN - 03044076 AB - Presents an introduction to the articles and topics discussed in the September 1,1980 issue of the Journal of Econometrics. KW - ECONOMETRICS KW - JOURNAL of Econometrics (Periodical) N1 - Accession Number: 5009583; Barnett, William A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, DC; Issue Info: Sep80, Vol. 14 Issue 1, p3; Thesaurus Term: ECONOMETRICS; Reviews & Products: JOURNAL of Econometrics (Periodical); Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5009583&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - THE INTERFACE OF FISCAL AND MONETARY POLICY. JO - Policy Studies Journal JF - Policy Studies Journal Y1 - 1980/09// VL - 9 IS - 1 M3 - Article SP - 68 EP - 74 SN - 0190292X AB - This paper examines the interface between fiscal and monetary policy, in the context of a symposium on taxation and spending policy. Fiscal and monetary policy generally are regarded as two principal macro instruments available to policymakers in a market economy. It should be noted, to begin with, therefore, that the distinction is in important respects institutional rather than economic. Fiscal policy works through budget deficit or surplus, as well as the level of the budget. Monetary policy works through its effects on money supply, credit and interest rates. KW - FISCAL policy KW - MONETARY policy KW - PUBLIC spending KW - ECONOMIC policy KW - CREDIT KW - POLICY sciences N1 - Accession Number: 11816952; Wallich, Henry C. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: 1980, Vol. 9 Issue 1, p68; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: ECONOMIC policy; Thesaurus Term: CREDIT; Subject Term: POLICY sciences; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 7p; Document Type: Article L3 - 10.1111/1541-0072.ep11816952 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11816952&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hansen, W. L. AU - Newburger, H. B. AU - Schroeder, F. J. AU - Stapleton, D. C. AU - YoungDay, D. J. T1 - Forecasting the Market for New Ph.D. Economists. JO - American Economic Review JF - American Economic Review Y1 - 1980/03// VL - 70 IS - 1 M3 - Article SP - 49 PB - American Economic Association SN - 00028282 AB - The article presents a forecasting model of the labor market for new Ph.d. economists. The most significant characteristic of model is its explicit introduction of wages as short-run equilibrators of supply and demand in the Ph.d. market and as determinants of the long-run supply of persons entering and completing graduate study in economics. The predictions derived are contrasted with predictions from a fixed-coefficients model in which there is no wage response. In 1972 economist Allan Cartter projected that the supply of new Ph.d. available for teaching would grow steadily through the 1970's while demand for new teachers would remain roughly constant. Over the 1980-85 period he estimated an average annual surplus of 817 economics research Ph.D.s, equal to 54 percent of the average annual output of doctorates. Interestingly, this projected surplus is almost equivalent to the entire actual output of Ph.D.s in 1972. Based on his results Cartter suggested various possible adjustments, primarily supply responses, that might occur. KW - ECONOMICS -- Study & teaching KW - LABOR market KW - ECONOMISTS KW - FORECASTING KW - SUPPLY & demand KW - WAGES KW - ACADEMIC degrees N1 - Accession Number: 4502193; Hansen, W. L. 1; Newburger, H. B. 2; Schroeder, F. J. 3; Stapleton, D. C. 4; YoungDay, D. J. 5; Affiliations: 1: University of Wisconsin‐Madison; 2: Department of Housing and Urban Development.; 3: Board of Governors of the Federal Reserve System.; 4: University of British Columbia.; 5: Montana State University.; Issue Info: Mar1980, Vol. 70 Issue 1, p49; Thesaurus Term: ECONOMICS -- Study & teaching; Thesaurus Term: LABOR market; Thesaurus Term: ECONOMISTS; Thesaurus Term: FORECASTING; Thesaurus Term: SUPPLY & demand; Thesaurus Term: WAGES; Subject Term: ACADEMIC degrees; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4502193&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seiders, David F. T1 - Major Developments in Residential Mortgage and Housing Markets Since the Hunt Commission. JO - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association JF - AREUEA Journal: Journal of the American Real Estate & Urban Economics Association Y1 - 1980///Spring80 VL - 8 IS - 1 M3 - Article SP - 4 EP - 32 PB - Wiley-Blackwell SN - 02700484 AB - A number of important changes have been made to the mortgage finance system since the Hunt Commission filed its report, and the economic environment has been altered substantially. This paper examines shifts in the relative importance of public and private institutions in the residential mortgage markets during the past decade, within the context of Hunt Commission recommendations. Changes in the cyclical sensitivity of mortgage and housing activity, and the implications of rapid inflation for the growth of these markets, also are considered. [ABSTRACT FROM AUTHOR] AB - Copyright of AREUEA Journal: Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGES KW - HOUSING market KW - INFLATION (Finance) KW - LOANS KW - BUSINESS cycles KW - PUBLIC institutions KW - HOUSING AND SOCIAL SERVICES N1 - Accession Number: 5863044; Seiders, David F. 1; Affiliations: 1: Senior Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Spring80, Vol. 8 Issue 1, p4; Thesaurus Term: MORTGAGES; Thesaurus Term: HOUSING market; Thesaurus Term: INFLATION (Finance); Thesaurus Term: LOANS; Thesaurus Term: BUSINESS cycles; Subject Term: PUBLIC institutions; Author-Supplied Keyword: HOUSING AND SOCIAL SERVICES; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 29p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5863044&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Norman, Alfred L. AU - Jung, Woo S. T1 - Target Controllability. JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 1980/01/02/ VL - 47 IS - 2 M3 - Article SP - 451 PB - Oxford University Press / USA SN - 00346527 AB - A new approach for analyzing the target controllability of which does not require conversion to an equivalent state space representation. The analysis complements the author's work in linear quadratic control. The approach is applied to the state space conversion of Chow (1975) to obtain the identical criteria. The criterion are more efficient than the respective Cayley-Hamilton criterion. The relationship between the efficiency of the new approach and the efficiency of obtaining a minimal state space representation is indicated to be problem specific. The Cayley-Hamilton theorem states that every square matrix must satisfy its characteristics polynomial. KW - CONTROL theory (Mathematics) KW - ECONOMICS KW - SYSTEM analysis KW - APPROXIMATION theory KW - CAYLEY-Hamilton theorem KW - LINEAR systems KW - STATE-space methods KW - MATRICES KW - POLYNOMIALS N1 - Accession Number: 4619970; Norman, Alfred L. 1; Jung, Woo S. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, and University of Texas at Austin; 2: Vanderbilt University; Issue Info: Jan80, Vol. 47 Issue 2, p451; Thesaurus Term: CONTROL theory (Mathematics); Thesaurus Term: ECONOMICS; Thesaurus Term: SYSTEM analysis; Thesaurus Term: APPROXIMATION theory; Subject Term: CAYLEY-Hamilton theorem; Subject Term: LINEAR systems; Subject Term: STATE-space methods; Subject Term: MATRICES; Subject Term: POLYNOMIALS; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4619970&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - A New Strategy for the Federal Reserve. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1980/01//Jan/Feb80 VL - 22 IS - 6 M3 - Article SP - 49 PB - Taylor & Francis Ltd SN - 05775132 AB - On October 6, 1979, the Federal Open Market Committee adopted some new procedures for the conduct of open market operations in the U.S. This was one of three actions taken over that weekend. The other two, both by unanimous decision of the Federal Reserve Board, were these: first, to raise the discount rate from 11 to 12 percent; and second, to impose marginal reserve requirements of 8 percent on managed liabilities, including reserves on Federal funds and re-purchase agreements, on which there had previously been no reserve requirements. In the past, the Federal Reserve has pursued its money supply target using the Federal funds rate as a tool. That is to say, it established a funds rate designed to produce whatever growth rate of the monetary aggregates the Federal Reserve wanted. This analysis indicates that the optimum strategy depends on circumstances. Changing circumstances, as the Federal Reserve's recent action shows, can determine changes in strategy. What should not change are the objectives of monetary policy in their broadest sense, especially the need, at present, to reduce inflation. In the past, American policies have suffered from frequent switches among economic objectives. What is most needed now is steadiness in the pursuit of objectives, implemented by whatever strategy promises to be most effective. KW - FEDERAL funds market (U.S.) KW - FEDERAL Reserve banks KW - INTEREST rates KW - OPEN market operations KW - MONETARY policy KW - PUBLIC spending KW - UNITED States KW - UNITED States. Federal Open Market Committee KW - UNITED States. Federal Reserve Board N1 - Accession Number: 6115743; Wallich, Henry C. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System.; Issue Info: Jan/Feb80, Vol. 22 Issue 6, p49; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: FEDERAL Reserve banks; Thesaurus Term: INTEREST rates; Thesaurus Term: OPEN market operations; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Subject: UNITED States ; Company/Entity: UNITED States. Federal Open Market Committee ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6115743&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Brown, Kathleen H. AD - Unlisted T1 - A cross country study of the relationship between discount rate changes and exchange rate movements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 169 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700746; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700746&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard AD - Unlisted T1 - Dynamic factor demand schedules for labor and capital under rational expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 153 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700731; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700731&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Pugel, Thomas A. AD - Unlisted T1 - Endogenous technological change and international technology transfer in a Ricardian trade model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 167 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700744; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700744&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, John F. AU - Takacs, Wendy E. AD - Unlisted AD - Unlisted T1 - Expectations and the adjustment of trade flows under floating exchange-rates: leads, lags and the J-curve PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 160 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700737; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700737&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - Expected and unexpected changes in exchange rates: the roles of relative price levels, balance-of-payments factors, interest rates and risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 156 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700734; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700734&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - Factors determining exchange rates: the roles of relative price levels, balances of payments, interest rates and risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 171 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700748; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700748&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Morton, John AD - Unlisted AD - Unlisted T1 - Fluctuations in the dollar: a model of nominal and real exchange rate determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 168 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700745; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700745&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wallich, Henry C. AU - Dod, David P. AD - Unlisted AD - Unlisted T1 - Foreign assistance programs and policies of the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 166 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700743; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700743&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AU - Berner, Richard AU - Clark, Peter AU - Hernandez-Cata, Ernesto AU - Hooper, Peter AU - Howe, Howard AU - Kwack, Sung Y. AU - Tryon, Ralph AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Modeling bilateral exchange rates in a multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 163 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700740; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700740&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Ronald AD - Unlisted T1 - Private sector effects of government expenditures on nontraded goods versus direct employment of labor in a small open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 159 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700736; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700736&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard A. AU - Singleton, Kenneth J. AD - Unlisted AD - Unlisted T1 - Rational expectations, risk premia, and the market for spot and forward exchange PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 165 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700742; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700742&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AU - Waldo, Douglas G. AD - Unlisted AD - Unlisted T1 - Reserve requirements on Eurocurrency deposits: implications for Eurodeposit multipliers, control of a monetary aggregate, and avoidance of redenomination incentives PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 164 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700741; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700741&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Johnson, Ronald AD - Unlisted T1 - Restricting the scale of government in a small open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 162 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700739; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700739&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AD - Unlisted T1 - Stability in financial and labor markets: is there a tradeoff? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 161 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700738; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700738&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Waldo, Douglas G. AD - Unlisted T1 - Sticky nominal wages and the optimal employment rule PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 155 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700733; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700733&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kawai, Masahiro AD - Unlisted T1 - Three roles of the forward foreign exchange market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 170 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700747; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700747&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lowrey, Barbara R. AU - Smith, Ralph W., Jr. AD - Unlisted AD - Unlisted T1 - U.S. banks, exchange markets, and the dollar, Sept.-Nov. 1978 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 151 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700730; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700730&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H., Jr. AD - Unlisted T1 - U.S. banks: the slowdown in international lending PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 154 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700732; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700732&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AD - Unlisted T1 - Wealth effects in the new neoclassical models PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 158 Y1 - 1980/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700735; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700735&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Haas, Richard D. AU - Alexander, William E. T1 - A Model of Exchange Rates and Capital Flows. The Canadian Floating Rate Experience. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1979/11// VL - 11 IS - 4 M3 - Article SP - 467 EP - 482 PB - Ohio State University Press SN - 00222879 AB - The article focuses on the economic modeling surrounding floating exchange rates and capital market performance as seen in the Canadian economy between 1950-1980. A quarterly simulation model jointly determining short-term capital flows and the Canadian dollar's external value is presented towards the analysis of international financial market behaviors, particularly in predicting unrestricted capital movement performances in free-fluctuating economic regimes. Discussion evaluating the model's robustness is also provided. KW - FOREIGN exchange rates KW - CAPITAL movements KW - DOLLAR (Canadian currency) KW - SIMULATION methods & models KW - INTERNATIONAL finance KW - CANADA -- Economic conditions -- 1945- KW - CANADA N1 - Accession Number: 5155971; Haas, Richard D. 1; Alexander, William E. 2; Affiliations: 1: Economist, Division of International Finance, Board of Governors of the Federal Reserve System.; 2: Assistant chief Department of Monetary and Financial Analysis, Bank of Canada.; Issue Info: Nov79, Vol. 11 Issue 4, p467; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: CAPITAL movements; Thesaurus Term: DOLLAR (Canadian currency); Thesaurus Term: SIMULATION methods & models; Thesaurus Term: INTERNATIONAL finance; Subject Term: CANADA -- Economic conditions -- 1945-; Subject: CANADA; Number of Pages: 16p; Illustrations: 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5155971&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Savage, Donald T. T1 - Bank Home Office Protection Laws and Intercity Branching in Statewide Branch Banking States. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1979/11// VL - 11 IS - 4 M3 - Article SP - 500 EP - 505 PB - Ohio State University Press SN - 00222879 AB - The article focuses on federal regulation of branch banking and particularly highlighting research concerning the home office protection clauses in state legislation. The effect of home office protection (HOP) law on branch banking patterns are explored and an impact measurement tool is derived. A probit model is used to calculate the estimated probability of same-state home office overlap occurrences and the extent of reduction of inter-central city branching is empirically generated. Conclusions are offered supporting the efficiency of the branch banking prevention laws. KW - BANKING law & legislation KW - BRANCH banks KW - PRINCIPAL place of business KW - CORPORATIONS -- Headquarters KW - BANKING industry -- United States KW - STATE laws KW - UNITED States N1 - Accession Number: 5155977; Savage, Donald T. 1; Affiliations: 1: Economist, Financial Structure Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Nov79, Vol. 11 Issue 4, p500; Thesaurus Term: BANKING law & legislation; Thesaurus Term: BRANCH banks; Thesaurus Term: PRINCIPAL place of business; Thesaurus Term: CORPORATIONS -- Headquarters; Thesaurus Term: BANKING industry -- United States; Subject Term: STATE laws; Subject: UNITED States; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522112 Corporate and institutional banking industry; NAICS/Industry Codes: 551114 Corporate, Subsidiary, and Regional Managing Offices; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5155977&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gendreau, Brian C. T1 - Bankers' Balances, Demand Deposit Interest, and Agricultural Credit before the Banking Act of 1933. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1979/11// VL - 11 IS - 4 M3 - Article SP - 506 EP - 514 PB - Ohio State University Press SN - 00222879 AB - The article presents a review of discussion over interest charges on bankers' balances as outlined in the U.S. Banking Act of 1933. The history of the controversy surrounding the law is outlined, citing rural and urban credit management and fund flow control after the Civil War. Problems with maintaining balance between productive loan uses and stock market speculation finance are discussed. Modeling is provided exploring the actual functioning of interest restrictions on country bank fund sources and portfolio diversification policies. KW - BANKING law & legislation KW - BANK deposits -- Law & legislation KW - BANKING industry -- United States KW - INTEREST (Finance) -- Law & legislation KW - BANK assets KW - UNITED States N1 - Accession Number: 5155978; Gendreau, Brian C. 1; Affiliations: 1: Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Nov79, Vol. 11 Issue 4, p506; Thesaurus Term: BANKING law & legislation; Thesaurus Term: BANK deposits -- Law & legislation; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: INTEREST (Finance) -- Law & legislation; Thesaurus Term: BANK assets; Subject: UNITED States; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 9p; Illustrations: 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5155978&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - Why the Euromarket Needs Restraint. JO - Columbia Journal of World Business JF - Columbia Journal of World Business Y1 - 1979///Fall79 VL - 14 IS - 3 M3 - Article SP - 17 PB - Elsevier Science Publishing Company, Inc. SN - 00225428 AB - Anything in the financial field that grows at more than 20% per year bears watching, and the Eurocurrency market is no exception. Although it is not large as yet, at its present rate it tends to double in three to four years. A test of the assertion that the market merely intermediates can be made by consolidating the assets and liabilities of Euromarket and the U.S. banking system. This consolidated balance sheet of the two markets shows, of course, higher assets and liabilities than the domestic U.S. market taken by itself. Nevertheless, the reserves are unchanged because the reserves of the Euromarket, if there were any, would in all probability be liabilities of the U.S. banking system and would vanish in consolidation. In other words, there would be insufficient reserves to support the consolidated volume of deposits. Of course, there is no way of knowing whether the Federal Reserve would have accommodated this added demand for credit that, in the absence of the Euromarket, would have presented itself in the U.S. market. KW - EUROCURRENCY market KW - EUROMARKETS KW - INTERNATIONAL finance KW - BANKING industry -- United States KW - FOREIGN exchange KW - UNITED States N1 - Accession Number: 5544851; Wallich, Henry C. 1; Affiliations: 1: Member of the Board of Governors of the Federal Reserve System.; Issue Info: Fall79, Vol. 14 Issue 3, p17; Thesaurus Term: EUROCURRENCY market; Thesaurus Term: EUROMARKETS; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: FOREIGN exchange; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 8p; Illustrations: 1 Black and White Photograph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5544851&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - FARLEY, DENNIS E. AU - SIMPSON, THOMAS D. T1 - Graduated Reserve Requirements and Monetary Control. JO - Journal of Finance JF - Journal of Finance Y1 - 1979/09// VL - 34 IS - 4 M3 - Article SP - 999 EP - 1012 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on graduated reserve requirements for demand bank deposits, which was introduced by the United States Federal Reserve Board in 1972. The structure and level of reserve requirements appear to have created more variability in the reserve ratio and reduced the average required ratio on demand deposits. However, the variability in the reserve ratio could have been caused by the variance in deposit shares and not solely by the graduated reserve structure. The variability of reservable tranche shares is mentioned, as well as the reserve requirement measures of Paasche and Laspeyres. KW - BANK reserves KW - ANALYSIS of variance KW - RESERVE requirements KW - FINANCE -- Mathematical models KW - MONETARY theory KW - ECONOMICS -- Mathematical models KW - PREDICTION models KW - UNITED States KW - UNITED States. Federal Reserve Board KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 4656508; FARLEY, DENNIS E. 1; SIMPSON, THOMAS D. 1; Affiliations: 1: Banking Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Sep79, Vol. 34 Issue 4, p999; Thesaurus Term: BANK reserves; Thesaurus Term: ANALYSIS of variance; Thesaurus Term: RESERVE requirements; Thesaurus Term: FINANCE -- Mathematical models; Thesaurus Term: MONETARY theory; Thesaurus Term: ECONOMICS -- Mathematical models; Subject Term: PREDICTION models; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 14p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656508&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rose, John T. AU - Rose, Peter S. T1 - THE BURDEN OF FEDERAL RESERVE SYSTEM MEMBERSHIP. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1979/06// VL - 3 IS - 2/3/4 M3 - Article SP - 331 EP - 345 SN - 03784266 AB - Commercial bank membership in the Federal Reserve System (FRS) has declined sharply in the postwar period. FRS reserve requirements allegedly are more stringent than those imposed by the states, levying an opportunity cost upon member banks. This study reviews recent literature concerned with the membership burden. Evidence on comparative FRS and state reserve requirements and member-non-member cash asset holdings is presented. KW - BANKING industry KW - TRADE regulation KW - BANK reserves KW - BANK assets KW - UNITED States N1 - Accession Number: 11479618; Rose, John T. 1; Rose, Peter S. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC USA; 2: Texas A&M University, College Station, TX USA; Issue Info: 1979, Vol. 3 Issue 2/3/4, p331; Thesaurus Term: BANKING industry; Thesaurus Term: TRADE regulation; Thesaurus Term: BANK reserves; Thesaurus Term: BANK assets; Subject: UNITED States; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11479618&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Henderson, Dale W. T1 - Financial Policies in Open Economies. JO - American Economic Review JF - American Economic Review Y1 - 1979/05// VL - 69 IS - 2 M3 - Article SP - 232 EP - 239 PB - American Economic Association SN - 00028282 AB - The article analyzes financial policies in open economies. In analyzing the extent to which alternative financial stabilization policies can be expected to dampen the effects of shocks to macroeconomic equilibrium in a single open economy, it has often been assumed that the authorities must choose between fixing the exchange rate and allowing it to fluctuate freely. The outcomes of alternative financial policies in a single open economy can be illustrated by employing a discrete time model in which asset portfolios are balanced at the beginning of each period. The home authorities have both home and foreign securities as assets and the money supply as a liability. They can choose as policy instruments and set values for any two of the following four financial variables: money supply, foreign exchange reserves, interest rate, and exchange rate. The values of the other two financial variables are then determined by the model. The authorities conduct financial policy using two kinds of financial market operations: 1) monetary operations, exchanges of home securities for money with private agents; and 2) intervention operations, exchanges of home securities for foreign securities with private agents. KW - MONETARY policy KW - MACROECONOMICS KW - SECURITIES markets KW - FOREIGN exchange rates KW - SECURITIES trading KW - FOREIGN exchange KW - INTEREST rates N1 - Accession Number: 4497143; Henderson, Dale W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May79, Vol. 69 Issue 2, p232; Thesaurus Term: MONETARY policy; Thesaurus Term: MACROECONOMICS; Thesaurus Term: SECURITIES markets; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: SECURITIES trading; Thesaurus Term: FOREIGN exchange; Thesaurus Term: INTEREST rates; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4497143&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Porter, Richard D. AU - Simpson, Thomas D. AU - Mauskopf, Eileen T1 - Financial Innovation and the Monetary Aggregates. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1979/03// IS - 1 M3 - Article SP - 213 EP - 229 PB - Brookings Institution Press SN - 00072303 AB - This report examines the unusual weakness in the growth of the monetary aggregates in the U.S. during the last quarter of 1978 and the first quarter of 1979. The authors calculate that the automatic transfer services authorized in November 1978 and the growing importance of negotiable orders of withdrawal during the past few years both encouraged some shifting of funds out of demand deposits; but quantitatively, these innovations explain little of the recent weakness in the monetary aggregates. By contrast, the authors emphasize the importance of intensified cash management by the business sector. They identify this development of cash management by business both with a reduced cost and with an increased incentive resulting from higher interest rates. The authors conclude that uncertainty about the appropriate path for any monetary aggregate will continue, making it important that policymakers also include in their analysis information on other financial assets, interest rates, and direct indicators of current and future developments in the economy. For the current period, the authors expect any target path of nominal GNP to be consistent with somewhat slower growth in the conventional monetary aggregates than the historical relationships suggest. KW - BANK deposits KW - MONEY supply KW - MONEY KW - ASSETS (Accounting) KW - CASH management KW - INTEREST rates KW - UNITED States N1 - Accession Number: 7074118; Porter, Richard D. 1; Simpson, Thomas D. 1; Mauskopf, Eileen 1; Affiliations: 1: Staff, Board of Governors of the Federal Reserve System; Issue Info: 1979, Issue 1, p213; Thesaurus Term: BANK deposits; Thesaurus Term: MONEY supply; Thesaurus Term: MONEY; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: CASH management; Thesaurus Term: INTEREST rates; Subject: UNITED States; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7074118&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Humphrey, David Burras T1 - LARGE BANK INTRA-DEPOSIT MATURITY COMPOSITION. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1979/03// VL - 3 IS - 1 M3 - Article SP - 43 EP - 66 SN - 03784266 AB - The United States Federal Reserve in late 1974 for the first time differentiated certificates of deposit and small denomination time deposit reserve requirements by intra-deposit maturity structure in an attempt to lengthen liability maturities. Assessment of reserve requirement changes on maturity composition requires the specification of a fairly general model in which the determinants of depositor demand for and bank supply of certificates of deposit by differing maturity are simultaneously estimated. In an attempt to gauge the impact of these changes may have on certificates of deposit and small time deposit maturity compositions, a structural model of depositor demand and bank supply of these intradeposit financial instruments was specified and estimated. KW - CERTIFICATES of deposit KW - BANK deposits KW - RESERVE requirements KW - BANKING industry KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 11486776; Humphrey, David Burras 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington DC; Issue Info: 1979, Vol. 3 Issue 1, p43; Thesaurus Term: CERTIFICATES of deposit; Thesaurus Term: BANK deposits; Thesaurus Term: RESERVE requirements; Thesaurus Term: BANKING industry; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 24p; Illustrations: 3 Charts, 4 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11486776&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - McCormick, Frank AD - Unlisted T1 - A simple model of the welfare effects of central bank intervention in the foreign exchange market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 147 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700724; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700724&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AD - Unlisted T1 - A technique for extracting a measure of expected inflation from the interest rate term structure PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 148 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700725; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700725&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frankel, Jeffrey A. AD - Unlisted T1 - A test of the existence of the risk premium in the foreign exchange market vs. the hypothesis of perfect substitutability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 149 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700726; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700726&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howe, Howard AU - Hernandez-Cata, Ernesto AU - Stevens, Guy AU - Berner, Richard AU - Clark, Peter AU - Kwack, Sung Y. AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Assessing international interdependence with a multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 138 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700715; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700715&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - Balance-of-payments adjustment from a U.S. perspective: the lessons of the 1970s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 143 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700720; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700720&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - McCormick, Frank AD - Unlisted T1 - Covered-interest arbitrage: unexploited profits: comment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 132 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700709; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700709&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - Expected and unexpected changes in exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 145 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700722; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700722&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AD - Unlisted T1 - Financial policies in open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 133 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700710; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700710&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Kathleen H. AD - Unlisted T1 - Impact of changes in the discount rate on the dollar's foreign exchange value PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 144 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700721; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700721&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Lowrey, Barbara AD - Unlisted AD - Unlisted T1 - Impact of the dollar depreciation on the U.S. price level: an analytical survey of empirical estimates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 128 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700705; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700705&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hernandez-Cata, Ernesto AU - Howe, Howard AU - Kwack, Sung Y. AU - Stevens, Guy AU - Berner, Richard AU - Clark, Peter AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Monetary policy under alternative exchange-rate regimes: simulations with a multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 130 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700707; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700707&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freeman, Richard AD - Unlisted T1 - Optimal international borrowing with default PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 129 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700706; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700706&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Eichengreen, Barry J. AD - Unlisted T1 - Protection, real wage resistance and employment: an analysis of some proposals of the Cambridge Economic Policy Group PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 150 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700727; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700727&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Canzoneri, Matthew B. AD - Unlisted T1 - Rational destabilizing speculation and exchange intervention policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 157 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700729; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700729&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wallich, Henry C. AU - Gray, Jo Anna AD - Unlisted AD - Unlisted T1 - Stabilization policy and vicious and virtuous circles PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 152 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700728; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700728&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Tryon, Ralph AD - Unlisted T1 - Testing for rational expectations in foreign exchange markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 139 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700716; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700716&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Conners, Thomas A. AD - Unlisted T1 - The apparent effects of recent IMF stabilization programs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 135 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700712; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700712&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henderson, Dale W. AD - Unlisted T1 - The dynamic effects of exchange market intervention policy: two extreme views and a synthesis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 142 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700719; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700719&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hernandez-Cata, Ernesto AD - Unlisted T1 - The Japanese sector of the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 131 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700708; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700708&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - The portfolio-balance model of exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 141 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700718; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700718&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - David H. Howard. AD - Unlisted T1 - The real rate of interest on international financial markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 136 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700713; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700713&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - The U.S. sector of the multi-country model and its multipliers PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 146 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700723; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700723&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H. , Jr. AU - Short, Eugenie D. AD - Unlisted AD - Unlisted T1 - U.S. banks and the North American Euro-currency market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 134 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700711; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700711&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stekler, Lois AD - Unlisted T1 - U.S. direct investment receipts and payments: models and projections PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 140 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700717; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700717&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Sachs, Jeffrey AD - Unlisted T1 - Wage indexation, flexible exchange rates, and macro-economic policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 137 Y1 - 1979/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700714; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700714&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Graham, David R. AU - Humphrey, David Burras T1 - Bank Examination Data as Predictors Of Bank Net Loan Losses. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1978/11// VL - 10 IS - 4 M3 - Article SP - 491 EP - 504 PB - Ohio State University Press SN - 00222879 AB - The article focuses on the use of problem bank loan confidential data as an economic indicator for potential bank performance and assessment of loan risk. Questions are raised regarding the accuracy of modeling a bank's portfolio risk through the level of classified loans, which denote the presence of riskier investments than would be beneficial for banks not to disclose. Conclusions are offered suggesting the process is valid through a linear forecast model. Additional discussion is given explaining sources of forecast errors. KW - CONFIDENTIAL business information KW - BANK examination KW - BANK loans KW - BANK profits KW - ECONOMIC indicators KW - BUSINESS forecasting N1 - Accession Number: 5155898; Graham, David R. 1; Humphrey, David Burras 2; Affiliations: 1: Economist, Center for Naval Analyses.; 2: Economist, Financial Studies Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Nov78, Vol. 10 Issue 4, p491; Thesaurus Term: CONFIDENTIAL business information; Thesaurus Term: BANK examination; Thesaurus Term: BANK loans; Thesaurus Term: BANK profits; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: BUSINESS forecasting; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 14p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5155898&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Howard, David H. T1 - PERSONAL SAVING BEHAVIOR AND THE RATE OF INFLATION. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 1978/11// VL - 60 IS - 4 M3 - Article SP - 547 PB - MIT Press SN - 00346535 AB - The article focuses on personal saving behavior and the rate of inflation. Personal saving rates, that is the ratios of personal saving to personal disposable income, in many industrialized countries have risen dramatically in recent years. A number of attempts to explain the phenomenon of rising saving rates coinciding with price inflation have drawn upon the work of economist George Katona, who has stressed the feeling of uncertainty and pessimism about the future caused by inflation that, in turn, encourages saving. In this study a general model of aggregate household saving behavior has been formulated. Data on Canada, Germany, Japan, Great Britain, and the U.S. are used to estimate the personal saving function in each of the countries and the results are used to test various hypotheses about personal saving behavior. This article has two major objectives, which includes a test for a direct influence of inflation on personal saving after taking into account the influence of other relevant factors. KW - SAVING & investment KW - ECONOMIC policy KW - CIRCULAR velocity of money KW - FAMILY budgets KW - DISPOSABLE income KW - KATONA, George N1 - Accession Number: 4644888; Howard, David H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Nov78, Vol. 60 Issue 4, p547; Thesaurus Term: SAVING & investment; Thesaurus Term: ECONOMIC policy; Thesaurus Term: CIRCULAR velocity of money; Thesaurus Term: FAMILY budgets; Thesaurus Term: DISPOSABLE income; People: KATONA, George; Number of Pages: 8p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4644888&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Eisenbeis, Robert A. AU - McCall, Alan S. T1 - THE IMPACT OF LEGISLATION PROHIBITING DIRECTOR-INTERLOCKS AMONG DEPOSITORY FINANCIAL INSTITUTIONS. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1978/09// VL - 2 IS - 4 M3 - Article SP - 323 EP - 337 SN - 03784266 AB - Legislative and regulatory actions have been proposed in the 1970s in attempts to promote competition, legislative and regulatory actions at the federal and state levels. The prohibition of directorate interlocks among financial institutions were considered. The Superintendent of Banking for Pennsylvania sent a letter to all banks under his jurisdiction regarding the termination of interlocking relationships. In addition, the Federal Trade Commission has taken action to force the dissolution of directorate interlocks among a savings and loan association and two commercial banks. New Hampshire then provided an opportunity to study the impact of the imposition of an director interlocks. KW - FINANCIAL institutions -- Law & legislation KW - INTERLOCKING directorates KW - LOANS KW - COMPETITION KW - UNITED States N1 - Accession Number: 11493099; Eisenbeis, Robert A. 1; McCall, Alan S. 2; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC USA; 2: Federal Deposit Insurance Corporation, Washington, DC USA; Issue Info: 1978, Vol. 2 Issue 4, p323; Thesaurus Term: FINANCIAL institutions -- Law & legislation; Thesaurus Term: INTERLOCKING directorates; Thesaurus Term: LOANS; Subject Term: COMPETITION; Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 15p; Illustrations: 8 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11493099&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Girton, Lance AU - Roper, Don T1 - J. Laurence Laughlin and the Quantity Theory of Money. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1978/08// VL - 86 IS - 4 M3 - Article SP - 599 EP - 625 SN - 00223808 AB - In this paper, the issues raised in the turn-of-the-century American debate over the quantity theory of money are examined . . . [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - QUANTITY theory of money KW - ECONOMICS KW - MONEY KW - PRICES KW - UNITED States KW - Laughlin, J. Laurence KW - LAUGHLIN, J. Laughlin N1 - Accession Number: 5209319; Girton, Lance 1; Roper, Don 2; Affiliations: 1 : Board of Governors of the Federal Reserve System; 2 : University of Utah; Source Info: Aug78, Vol. 86 Issue 4, p599; Historical Period: 1890 to 1978; Subject Term: QUANTITY theory of money; Subject Term: ECONOMICS; Subject Term: MONEY; Subject Term: PRICES; Subject: UNITED States; Number of Pages: 27p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=5209319&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Salant, Stephen W. AU - Henderson, Dale W. T1 - Market Anticipations of Government Policies and the Price of Gold. JO - Journal of Political Economy JF - Journal of Political Economy Y1 - 1978/08// VL - 86 IS - 4 M3 - Article SP - 627 EP - 648 PB - University of Chicago Press SN - 00223808 AB - This paper is an analysis of the effects of anticipations of government sales policies on the real price of gold. Although the risk of a future government gold auction depresses the price, it also causes the price to rise in percentage terms faster than the real rate of interest and at an increasing rate. Even risk-neutral investors require this rate of return as inducement to hold gold in the face of the asymmetric risk of a price collapse. Announcements making a government auction more probable cause a sudden drop in the price. Government attempts to peg the price or to defend a price ceiling with sales from its stockpile must result eventually in a sudden attack by speculators. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Political Economy is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOLD KW - PRICES KW - RATE of return KW - PRICE regulation KW - ECONOMIC policy N1 - Accession Number: 5209346; Salant, Stephen W. 1; Henderson, Dale W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Aug78, Vol. 86 Issue 4, p627; Thesaurus Term: GOLD; Thesaurus Term: PRICES; Thesaurus Term: RATE of return; Thesaurus Term: PRICE regulation; Thesaurus Term: ECONOMIC policy; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 22p; Illustrations: 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5209346&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Eisenbeis, Robert A. T1 - PROBLEMS IN APPLYING DISCRIMINANT ANALYSIS IN CREDIT SCORING MODELS. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1978/06// VL - 2 IS - 3 M3 - Article SP - 205 EP - 219 SN - 03784266 AB - Since the mid-1960s financial institutions and other creditors with increasing frequency have applied credit scoring and related loan review procedures to appraise the creditworthiness of loan applicants. The passage of the Equal Credit Opportunity Act and promulgation of the Federal Reserve's Regulation B to implement this act place an important burden on institutions that are subject to the regulation and that employ screening models to ensure that their procedures are statistically and methodologically sound. This paper reviews the types of credit scoring models that have been described in various journals. It gives particular attention to the methodological approaches that have been employed and the statistical problems associated with those models using discriminant analysis techniques. The paper points out that the statistical scoring models discussed in the literature have focused primarily on the minimization of default rates, which is in fact only one dimension of the more general problem of granting credit. To the extent that for the lender profit maximization or cost minimization is, or should be, the objective of a scoring model, then most of the applied literature seems incomplete. The paper also shows that, even ignoring these shortcomings, the models used typically suffer from statistical deficiencies. And it finds that some of the problems of these models seem to be inherent in the discriminant analysis techniques employed or seem to be hard to remedy, given the state of the art concerning estimation and sampling procedures. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CREDIT scoring systems KW - FINANCIAL institutions KW - CREDIT KW - DEBT KW - LOANS N1 - Accession Number: 11490498; Eisenbeis, Robert A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC U,S.A.; Issue Info: 1978, Vol. 2 Issue 3, p205; Thesaurus Term: CREDIT scoring systems; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: CREDIT; Thesaurus Term: DEBT; Thesaurus Term: LOANS; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11490498&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - TUCKER, DONALD P. T1 - DISCUSSION. JO - Journal of Finance JF - Journal of Finance Y1 - 1978/06// VL - 33 IS - 3 M3 - Article SP - 962 EP - 964 PB - Wiley-Blackwell SN - 00221082 AB - The article comments on a paper published within the issue, "Taxation and the Incidence of Homeownership Across Income Groups," by Robert H. Litzenberger and Howard B. Sosin. The author feels that this paper is a generally sound framework for the analysis of homeownership incentives, but criticizes the its simplifying assumptions and the lackluster attention given to the impact of inflation. The author discusses the implication that a change in the paper's capital gains tax assumption strengthens the conclusions that are not adequately supported by the presented analysis. KW - HOME ownership KW - TAXATION KW - CAPITAL gains tax KW - DEPRECIATION KW - INFLATION (Finance) KW - CAPITAL gains KW - INCOME tax KW - HOUSING KW - INCOME distribution KW - HOMEOWNERS KW - UNITED States N1 - Accession Number: 4655418; TUCKER, DONALD P. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Jun78, Vol. 33 Issue 3, p962; Thesaurus Term: HOME ownership; Thesaurus Term: TAXATION; Thesaurus Term: CAPITAL gains tax; Thesaurus Term: DEPRECIATION; Thesaurus Term: INFLATION (Finance); Thesaurus Term: CAPITAL gains; Thesaurus Term: INCOME tax; Thesaurus Term: HOUSING; Thesaurus Term: INCOME distribution; Subject Term: HOMEOWNERS; Subject: UNITED States; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4655418&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BOCZAR, GREGORY E. T1 - COMPETITION BETWEEN BANKS AND FINANCE COMPANIES: A CROSS SECTION STUDY OF PERSONAL LOAN DEBTORS. JO - Journal of Finance JF - Journal of Finance Y1 - 1978/03// VL - 33 IS - 1 M3 - Article SP - 245 EP - 258 PB - Wiley-Blackwell SN - 00221082 AB - The article examines the role of market segmentation by risk in the competition between banks and finance companies for consumer credit customers. Risk is widely viewed as a key determinant in the provision of consumer credit, with low-risk customers patronizing banks and more risky consumers resorting to finance companies for their credit needs. However, the author employs multivariate probit analysis to show sufficient overlap exists among the consumer profiles of the two industries to challenge the notion that risk segmentation prevents competition between banks and finance firms. KW - BANKING industry KW - FINANCE companies KW - CONSUMER credit KW - MARKET segmentation KW - RISK KW - CONSUMER credit -- Law & legislation KW - CONSUMER finance companies KW - CONSUMER law KW - CREDIT KW - LOANS KW - COMPETITION KW - UNITED States N1 - Accession Number: 4662032; BOCZAR, GREGORY E. 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System.; Issue Info: Mar1978, Vol. 33 Issue 1, p245; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE companies; Thesaurus Term: CONSUMER credit; Thesaurus Term: MARKET segmentation; Thesaurus Term: RISK; Thesaurus Term: CONSUMER credit -- Law & legislation; Thesaurus Term: CONSUMER finance companies; Thesaurus Term: CONSUMER law; Thesaurus Term: CREDIT; Thesaurus Term: LOANS; Subject Term: COMPETITION; Subject: UNITED States; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 922190 Other Justice, Public Order, and Safety Activities; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 14p; Illustrations: 2 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4662032&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - EISENBEIS, ROBERT A. T1 - "A MULTIVARIATE ANALYSIS OF INDUSTRIAL BOND RATINGS" AND THE ROLE OF SUBORDINATION: A COMMENT. JO - Journal of Finance JF - Journal of Finance Y1 - 1978/03// VL - 33 IS - 1 M3 - Article SP - 325 EP - 335 PB - Wiley-Blackwell SN - 00221082 AB - The article further clarifies the use of discriminant analysis in previous "Journal of Finance" papers by Pinches and Mingo (P&M) on industrial bond ratings models. Three key issues are addressed. The author illustrates the role played by the subordination variable in P&M's classification of bond ratings. He also examines P&M's derivation of classification rules and error rates. Finally, he discusses the factor analysis P&M performed on their initial 35 variables, and the consequences of their having discarded certain of them. KW - BONDS (Finance) -- Ratings & rankings KW - MULTIVARIATE analysis KW - DISCRIMINANT analysis KW - CORRELATION (Statistics) KW - BONDS (Finance) KW - ERROR analysis (Mathematics) KW - MATHEMATICAL models KW - FACTOR analysis KW - VARIABLES (Mathematics) KW - CHI-squared test KW - ERROR rates KW - JOURNAL of Finance (Periodical) N1 - Accession Number: 4662150; EISENBEIS, ROBERT A. 1; Affiliations: 1: Associate Research Division Officer, of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Mar1978, Vol. 33 Issue 1, p325; Thesaurus Term: BONDS (Finance) -- Ratings & rankings; Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: DISCRIMINANT analysis; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: BONDS (Finance); Thesaurus Term: ERROR analysis (Mathematics); Thesaurus Term: MATHEMATICAL models; Subject Term: FACTOR analysis; Subject Term: VARIABLES (Mathematics); Subject Term: CHI-squared test; Subject Term: ERROR rates; Reviews & Products: JOURNAL of Finance (Periodical); Number of Pages: 11p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4662150&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - BOOK AU - Board of Governors of the Federal Reserve System, Washington, D.C T1 - Consumer Handbook to Credit Protection Laws JO - Consumer Handbook to Credit Protection Laws JF - Consumer Handbook to Credit Protection Laws Y1 - 1978/// M3 - Teaching Material AB - The five sections of this consumer handbook are The Cost of Credit, Applying for Credit, Credit Histories and Records, Correcting Credit Mistakes, and Complaining about Credit. Each section discusses relevant legislation: Truth in Lending, the Equal Credit Opportunity Act, and the Fair Credit Reporting Act. Topics discussed in section I include methods for comparing finance costs, and explanations of open end credit, open end leases, balloon payments, advertising costs, and costs of settlement on a house. Section II discusses discrimination pertaining to sex, age, and marital status. Borrower characteristics and circumstances under which an agency may not legally deny credit are listed. Section III covers establishing credit histories for married, divorced, or widowed women, and methods for maintaining credit histories. Section four explains action to take concerning defective goods and services, prompt credits and refunds, second mortgage cancellation, lost or stolen credit cards, unsolicited credit cards, and discounts for cash payments. Section five discusses procedures for complaining to federal agencies. A glossary and addresses of federal enforcement agencies and federal reserve banks are included. (KC) (Copyright applies to all Abstracts.) KW - Consumer economics KW - Consumer education KW - Consumer protection KW - Credit KW - Equal protection KW - Federal legislation KW - Females KW - Financial problems KW - Home economics education KW - Instructional materials KW - Marital status KW - Minority groups KW - Money management KW - Postsecondary education KW - Purchasing KW - Racial discrimination KW - Responsibility KW - Secondary education KW - Sex discrimination N1 - Accession Number: ERI-EFSD027485; Board of Governors of the Federal Reserve System, Washington, D.C; Source Info: Dec 1978; 26 Page(s); 1 Microfiche ; Note: Clearing House: Social Studies/Social Science Education; Note: Availability: Paper Copy: $8.16 Microfiche: $1.38 Plus Postage. To order, write to: EDRS, 7420 Fullerton Road, Suite 100, Springfield, Virginia, 22153-2852, USA; or call: 800-443-3742; 703-440-1400; FAX: 703-440-1408; Internet: edrs@inet.ed.gov.; Document Type: Teaching Material UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=flh&AN=ERI-EFSD027485&site=ehost-live&scope=site DP - EBSCOhost DB - flh ER - TY - UNPB AU - Dooley, Michael P. AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - A portfolio-balance rational-expectations model of the dollar-mark rate, May 1973-June 1977 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 123 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700824; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700824&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - Capital controls, political risk and interest disparities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 125 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700826; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700826&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Meese, Richard AD - Unlisted T1 - Distributed lag order determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 126 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700827; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700827&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kalter, Eliot R. J. AD - Unlisted T1 - The effect of exchange rate changes upon international price discrimination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 122 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700823; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700823&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Freeman, Dick AD - Unlisted T1 - The effects of foreign aid on optimal savings and debt PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 117 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700818; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700818&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lubitz, Raymond AD - Unlisted T1 - The Italian economic crises of the 1970's PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 120 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700821; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700821&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - van Duyne, Carl AD - Unlisted T1 - The macroeconomic effects of commodity market disruptions in open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 121 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700822; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700822&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AD - Unlisted T1 - The role of central banks in the development of securities markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 127 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700828; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700828&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hanson, James A. AD - Unlisted T1 - The short-run relation between growth and inflation in Latin America: a quasi rational or consistent expectations approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 118 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700819; Keywords: Rational expectations (Economic theory); Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700819&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AD - Unlisted T1 - The stability of income and price elasticities in U.S. trade, 1957-1977 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 119 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700820; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700820&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AU - Lowrey, Barbara AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - U.S. demand for imported and domestically-produced foods: an investigation of intertemporal and cross substitution PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 116 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700817; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700817&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Key, Sydney J. AD - Unlisted AD - Unlisted T1 - U.S. offices of foreign banks: the recent experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 124 Y1 - 1978/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700825; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700825&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Isard, Peter T1 - How Far Can We Push the "Law of One Price"? JO - American Economic Review JF - American Economic Review Y1 - 1977/12// VL - 67 IS - 5 M3 - Article SP - 942 EP - 948 PB - American Economic Association SN - 00028282 AB - This article argues that exchange rate changes substantially alter the relative dollar-equivalent prices of the most narrowly defined domestic and foreign manufactured goods for which prices can readily be matched. Relative price effects seem to persist for at least several years and cannot be shrugged off as transitory. In other words, for manufactured goods selected from the most disaggregated commodity lists for which U.S. and foreign prices can be matched, the products of different countries exhibit relative price behavior which marks them as differentiated products, rather than near-perfect substitutes. In a comparison of U.S., European, and Japanese prices of various well-defined steel items cost, insurance and freight for delivery in a common port. Ratios of German dollar prices to U.S. dollar prices and ratios of Japanese dollar prices to U.S. dollar prices are seen to be significantly and positively dependent on U.S. dollar prices of the mark and yen, respectively, for almost all commodity groups under consideration. A similar finding does not emerge in the Canadian case, perhaps because the exchange rate between the U.S. and Canadian dollars showed little variance and no abrupt changes during the sample period. The significance of exchange rate levels, however, suggests again that substantial changes in exchange rates, typically have substantial and persistent effects on the relative common currency prices of closely matched manufactures produced in different countries. KW - FOREIGN exchange rates KW - DOLLAR (United States currency) KW - PRICES KW - MANUFACTURES KW - DOLLAR N1 - Accession Number: 4506370; Isard, Peter 1; Affiliations: 1: Division of International Finance, Board of Governors of the Federal Reserve System; Issue Info: Dec77, Vol. 67 Issue 5, p942; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: DOLLAR (United States currency); Thesaurus Term: PRICES; Thesaurus Term: MANUFACTURES; Thesaurus Term: DOLLAR; NAICS/Industry Codes: 339990 All other miscellaneous manufacturing; NAICS/Industry Codes: 339999 All Other Miscellaneous Manufacturing; Number of Pages: 7p; Illustrations: 4 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4506370&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - O'BRIEN, JAMES M. T1 - ON THE INCIDENCE OF SELECTIVE CREDIT AND RELATED POLICIES IN A MULTI-ASSET FRAMEWORK. JO - Journal of Finance JF - Journal of Finance Y1 - 1977/12// VL - 32 IS - 5 M3 - Article SP - 1539 EP - 1556 PB - Wiley-Blackwell SN - 00221082 AB - Subsidies and taxes applied to selected assets are an important part of government's intervention into financial markets. Examples include the income tax exemption on interest from municipal bonds, the corporate profits tax (a tax on the return to corporate equity), and the myriad of other loan-subsidy programs designed to support residential mortgage and other types of financing. Closely related to these policies and often having the same objectives are the Federal (or Federally supported) credit agencies which purchase favored securities and finance their operations by issuing other securities. Moreover, there is currently a strong interest in expanding these various forms of selective credit policies. An alternative to such policies often suggested, at least for resource allocation purposes, is production oriented subsidies and taxes. This paper attempts to analyze the asset yield and price effects of these three policy approaches: asset subsidy (tax) schemes, government intermediaries, and production-oriented subsidies (taxes). These effects are important in determining the various policies' incidence (i.e., income distribution effects) which provides the focus for the paper. However, certain results which bear on resource allocation effects will also be brought out. The analysis employs a general equilibrium asset-market model of the Tobin-Brainard variety. The multi-asset framework is necessitated by the type of policy analysis and comparisons being made here. An additional motivation is the absence of this framework from most incidence studies of asset policies. To provide some perspective on the analysis and results, we first make a brief assessment of approaches used in current studies. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SUBSIDIES KW - ACCOUNTING KW - ASSETS (Accounting) KW - RESOURCE allocation KW - RESEARCH KW - PUBLIC spending KW - FINANCIAL institutions KW - DOMESTIC economic assistance KW - INCOME distribution KW - REAL income KW - DISPOSABLE income N1 - Accession Number: 4657683; O'BRIEN, JAMES M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec1977, Vol. 32 Issue 5, p1539; Thesaurus Term: SUBSIDIES; Thesaurus Term: ACCOUNTING; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: RESOURCE allocation; Thesaurus Term: RESEARCH; Thesaurus Term: PUBLIC spending; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: DOMESTIC economic assistance; Thesaurus Term: INCOME distribution; Thesaurus Term: REAL income; Thesaurus Term: DISPOSABLE income; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 18p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657683&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - MINGO, JOHN AU - WOLKOWITZ, BENJAMIN T1 - THE EFFECTS OF REGULATION ON BANK BALANCE SHEET DECISIONS. JO - Journal of Finance JF - Journal of Finance Y1 - 1977/12// VL - 32 IS - 5 M3 - Article SP - 1605 EP - 1616 PB - Wiley-Blackwell SN - 00221082 AB - In this paper we present a model with strong neoclassical microeconomic roots. Profit maximization is assumed to be management's goal with the primary external constraint being the regulator's soundness requirement. By solving the model and then determining how the balance sheet would be adjusted in response to a change in regulatory requirements, a first step in analyzing the interrelationship between profits and soundness and the influence of regulation on balance sheet decisions is provided. Section I contains a discussion of the underlying assumptions and the behavioral equations of a stylized model of the banking firm. In Section II the model is solved and the effects of changes in soundness requirements are discussed. Section III provides an analysis of how a bank's relative position in imperfect capital, loan and deposit markets influences its reaction to changes in soundness requirements. This section also provides an interpretation of what these results imply for regulatory behavior. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - FINANCE KW - PROFIT maximization KW - FINANCIAL statements KW - RENT (Economic theory) KW - CORPORATE profits KW - FINANCIAL risk KW - RATE of return KW - REGULATED industries KW - FINANCIAL institutions -- Management KW - ECONOMETRIC models N1 - Accession Number: 4657787; MINGO, JOHN 1; WOLKOWITZ, BENJAMIN 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Dec1977, Vol. 32 Issue 5, p1605; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE; Thesaurus Term: PROFIT maximization; Thesaurus Term: FINANCIAL statements; Thesaurus Term: RENT (Economic theory); Thesaurus Term: CORPORATE profits; Thesaurus Term: FINANCIAL risk; Thesaurus Term: RATE of return; Thesaurus Term: REGULATED industries; Thesaurus Term: FINANCIAL institutions -- Management; Thesaurus Term: ECONOMETRIC models; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657787&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - Perry, George AU - Ulmer, Melville J. AU - Wallich, Henry C. T1 - What Is to Be Done? JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1977/11//Nov/Dec77 VL - 20 IS - 5 M3 - Interview SP - 35 PB - Taylor & Francis Ltd SN - 05775132 AB - The article is an interview of the authors of the article on the economic conditions of the U.S. under the reign of U.S. President Jimmy Carter. All three of the authors have provided a critical analysis on the question of whether the Carter administration who wants to cut the unemployment rate to 435 percent, and the inflation rate to just over 4 percent to balance the budget and reduce the share of federal spending in the GNP all by 1981, will be bale to achieve the same. The authors on the other hand some how agree to the notion of the interviewer that most economists used to agree that full employment means roughly a 4 percent unemployment rate, or even a little less, which was attained in the early fifties and forties, but the Carter administration wants to take it to the 5 percent margin. The notion is that whether this margin is achievable or not. Other questions that the authors are asked relate to the increase in the unemployment rate in coordination with the aim to achieve full employment. KW - ECONOMIC policy KW - UNEMPLOYMENT KW - EMPLOYMENT (Economic theory) KW - ECONOMISTS KW - UNITED States -- Economic conditions -- 1971-1981 KW - AUTHORS -- Interviews KW - QUESTION (Logic) KW - UNITED States KW - WALLICH, Henry -- Interviews KW - PERRY, George -- Interviews KW - ULMER, Melville -- Interviews N1 - Accession Number: 6156604; Perry, George 1; Ulmer, Melville J. 2; Wallich, Henry C. 3; Affiliations: 1: Senior Fellow at the Brookings Institution.; 2: Professor of Economics, University of Maryland.; 3: Member of the Board of Governors of the Federal Reserve System.; Issue Info: Nov/Dec77, Vol. 20 Issue 5, p35; Thesaurus Term: ECONOMIC policy; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: ECONOMISTS; Subject Term: UNITED States -- Economic conditions -- 1971-1981; Subject Term: AUTHORS -- Interviews; Subject Term: QUESTION (Logic); Subject: UNITED States; NAICS/Industry Codes: 711510 Independent Artists, Writers, and Performers; NAICS/Industry Codes: 711513 Independent writers and authors; People: WALLICH, Henry -- Interviews; People: PERRY, George -- Interviews; People: ULMER, Melville -- Interviews; Number of Pages: 8p; Document Type: Interview UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6156604&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Girton, Lance AU - Roper, Don T1 - A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. JO - American Economic Review JF - American Economic Review Y1 - 1977/09// VL - 67 IS - 4 M3 - Article SP - 537 EP - 548 PB - American Economic Association SN - 00028282 AB - This article presents a monetary model of exchange market pressure applied to the postwar Canadian experience. The monetary approach to the balance of payments has received considerable attention. However, most of the empirical studies employ models of a small country with fixed exchange rates. Without relying on the small-country assumption, a model is derived to explain both exchange rate movements and official intervention. The dependent variable, which is called exchange market pressure, provides a measure of the volume of intervention necessary to achieve any desired exchange rate target. The model is applied to the postwar Canadian experience. If the balance of payments is divided into more than two accounts--for example, the current, capital, and money accounts--then each account can be explained with a direct or an indirect approach. Monetary independence can be measured by the degree to which alterations in the domestic source of the monetary base lead to changes in the demand for domestic base and thereby the total quantity outstanding. KW - FOREIGN exchange rates KW - MONETARY policy KW - BALANCE of payments deficit KW - BALANCE of payments KW - BALANCE of trade KW - CAPITAL movements KW - ECONOMETRIC models N1 - Accession Number: 4500639; Girton, Lance 1; Roper, Don 2; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System.; 2: Associate professor of economics, University of Utah.; Issue Info: Sep77, Vol. 67 Issue 4, p537; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: MONETARY policy; Thesaurus Term: BALANCE of payments deficit; Thesaurus Term: BALANCE of payments; Thesaurus Term: BALANCE of trade; Thesaurus Term: CAPITAL movements; Thesaurus Term: ECONOMETRIC models; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4500639&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Woglom, Geoffrey T1 - Two-Sector Aggregative Models and the Investment Demand Function. JO - American Economic Review JF - American Economic Review Y1 - 1977/09// VL - 67 IS - 4 M3 - Article SP - 723 EP - 727 PB - American Economic Association SN - 00028282 AB - This article discusses the two-sector aggregative models and the investment demand function. The study alters the H-S model created by economists Dale Henderson and Thomas Sargent to allow for an investment demand function based on costs of adjustment. In analyzing the comparative static results of this model one can determine whether the strange results of the H-S model are due to the assumption of a two-sector production technology or the assumption of a perfect market in existing capital goods. The profit-maximizing subsystem in the H-S model can be solved to yield the price level and the marginal product of capital as functions of the relative price of investment. A general equilibrium occurs when the consumption good, money and investment good markets are in equilibrium. The H-S results seem to imply that the analysis of the effectiveness of fiscal policy in the traditional IS-LM analysis is very sensitive to the assumption of a one-sector production technology. Besides assuming a two-sector production technology, the H-S model also assumes a perfect capital market, where the asset value of capital is always equal to reproduction cost. KW - ECONOMETRICS KW - ECONOMIC models KW - CONSUMPTION (Economics) KW - DEMAND (Economic theory) KW - CAPITAL market KW - MONEY market KW - HENDERSON, Dale KW - SARGENT, Thomas N1 - Accession Number: 4501179; Woglom, Geoffrey 1,2; Affiliations: 1: Boston College.; 2: Banking Section, Board of Governors of the Federal Reserve System.; Issue Info: Sep77, Vol. 67 Issue 4, p723; Thesaurus Term: ECONOMETRICS; Thesaurus Term: ECONOMIC models; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: CAPITAL market; Thesaurus Term: MONEY market; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; People: HENDERSON, Dale; People: SARGENT, Thomas; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4501179&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Adams, William James AU - Yellen, Janet L. T1 - WHAT MAKES ADVERTISING PROFITABLE? JO - Economic Journal JF - Economic Journal Y1 - 1977/09// VL - 87 IS - 347 M3 - Article SP - 427 EP - 449 PB - Wiley-Blackwell SN - 00130133 AB - Advertising is a costly activity designed to shift the demand curve facing a firm. One purpose of this paper is to demonstrate that advertising can influence the profit a monopolist earns in two way: it can augment the surplus in the monopolist's market; and it can change the extent to which such surplus as exists can be converted into profit. Advertising affects the profit of all firms with market power in the first way. It affects the profit of firms unable to discriminate in price in the second way as well. We establish this proposition and explore its behavioural implications in Sections II and III.[2] In particular, we show why advertising might be profitable to supply even if it increases no consumer's reservation price for the firm's product and why advertising might be targeted at certain consumers even if it is costless to supply. Section II analyses the case of a single brand monopolist while Section III extends the analysis to his multiple brand counterpart. That the provision of advertising affects a monopolist's ability to capture existing surplus in his market has important normative implications. We therefore investigate the welfare impact of advertising in Section IV. Heretofore, economists have focused on two normative consequences of advertising: changes in consumer tastes and changes in barriers to new competition.[3] In our model, however, advertising need not pervert tastes or dilute competition to be supplied in a socially detrimental manner. Specifically, we demonstrate that a non-discriminating monopolist might supply too much advertising to consumers, supply advertising to the wrong types of consumers, or supply too many brands of his product. The conclusions we draw from our analysis appear in Section V. not how much, to advertise to each group.[1] Should the monopolist advertise to type i consumers, he incurs a fixed cost of a[sup i]. Consumers do not pay directly for advertising received. Advertising costs must be recouped in th... [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Journal is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ADVERTISING KW - MARKETING KW - PROFIT KW - MARKETS KW - MONOPOLIES N1 - Accession Number: 4543236; Adams, William James 1; Yellen, Janet L. 2; Affiliations: 1: University of Michigan; 2: Board of Governors of the Federal Reserve System, Washington, D. C.; Issue Info: Sep77, Vol. 87 Issue 347, p427; Thesaurus Term: ADVERTISING; Thesaurus Term: MARKETING; Thesaurus Term: PROFIT; Thesaurus Term: MARKETS; Thesaurus Term: MONOPOLIES; NAICS/Industry Codes: 541890 Other Services Related to Advertising; NAICS/Industry Codes: 541850 Outdoor Advertising; NAICS/Industry Codes: 541613 Marketing Consulting Services; Number of Pages: 23p; Illustrations: 9 Diagrams, 3 Charts, 9 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4543236&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - McCormick, Frank T1 - A MULTIPERIOD THEORY OF FORWARD EXCHANGE. JO - Journal of International Economics JF - Journal of International Economics Y1 - 1977/08// VL - 7 IS - 3 M3 - Article SP - 269 EP - 282 SN - 00221996 AB - The purpose of this paper is to extend the theory of forward exchange developed by S.C. Tsiang and Egon Sohmen by adding to it an important relationship between the speculative demands for foreign exchange. With this extended theory of forward exchange it is relatively easy to clearly and carefully analyze complex problems involving the interaction of spot and forward markets in different time periods. To illustrate this point the theory is used to analyze the same problem that Tsiang attacked unsuccessfully-determining the deferred effect of government intervention in the forward exchange market. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of International Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FOREIGN exchange futures KW - CURRENCY swaps KW - FOREIGN exchange rates KW - FOREIGN exchange market KW - MONEY market KW - FOREIGN exchange KW - INTERNATIONAL trade KW - INTERNATIONAL finance KW - MARKET equilibrium KW - MARKETS N1 - Accession Number: 9240442; McCormick, Frank 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC 20551, U.S.A.; Issue Info: Aug77, Vol. 7 Issue 3, p269; Thesaurus Term: FOREIGN exchange futures; Thesaurus Term: CURRENCY swaps; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: MONEY market; Thesaurus Term: FOREIGN exchange; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: MARKET equilibrium; Thesaurus Term: MARKETS; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 14p; Illustrations: 11 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9240442&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Barnett, William A. T1 - RECURSIVE SUBAGGREGATION AND A GENERALIZED HYPOCYCLOIDAL DEMAND MODEL. JO - Econometrica JF - Econometrica Y1 - 1977/07// VL - 45 IS - 5 M3 - Article SP - 1117 EP - 1136 SN - 00129682 AB - We develop a demand model from a utility tree possessing interactions at all levels. The model is both highly flexible and globally integrable. We use an approach to recursive subaggregation permitting convenient estimation with an unlimited number of goods, and we apply the approach to the construction of a food price forecasting model. [ABSTRACT FROM AUTHOR] AB - Copyright of Econometrica is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UTILITY theory KW - DEMAND (Economic theory) KW - VALUE (Economics) KW - ELASTICITY (Economics) KW - ESTIMATION theory KW - MATHEMATICAL statistics KW - STOCHASTIC processes KW - ECONOMETRICS KW - ECONOMICS KW - MATHEMATICAL economics KW - LEAST squares N1 - Accession Number: 6859800; Barnett, William A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Jul77, Vol. 45 Issue 5, p1117; Thesaurus Term: UTILITY theory; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: VALUE (Economics); Thesaurus Term: ELASTICITY (Economics); Thesaurus Term: ESTIMATION theory; Thesaurus Term: MATHEMATICAL statistics; Thesaurus Term: STOCHASTIC processes; Thesaurus Term: ECONOMETRICS; Thesaurus Term: ECONOMICS; Thesaurus Term: MATHEMATICAL economics; Subject Term: LEAST squares; Number of Pages: 20p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6859800&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Mains, Norman E. T1 - Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios: Comment. JO - Journal of Business JF - Journal of Business Y1 - 1977/07// VL - 50 IS - 3 M3 - Article SP - 371 EP - 385 PB - University of Chicago Press SN - 00219398 AB - The article presents a discussion on risk, the pricing of capital assets, and the evaluation of investment portfolios. Economist Michael C. Jensen presented empirical results from which he concluded that mutual fund portfolios showed inferior performance over the 10 year period 1955-64 after the deduction of all operating expenses, management fees, and brokerage commissions generated in trading activity. Jensen argued further that, as a group, the mutual funds performance was neutral when all operating expenses and brokerage commissions were added back to the fund returns, therefore, the resources spent by the funds in attempting to forecast security prices did not yield higher portfolio returns than those which could have been earned by randomly generated portfolios. Finally, Jensen suggested that his evidence supported the strong form of the efficient market hypothesis, that is, the current prices of securities completely reflect the effects of all information concerning the securities, and efforts to acquire and analyze this information cannot produce consistently superior results. KW - CAPITAL assets pricing model KW - INVESTMENTS KW - RISK KW - SECURITIES -- Prices KW - MUTUAL funds KW - PORTFOLIO management (Investments) N1 - Accession Number: 4587415; Mains, Norman E. 1; Affiliations: 1: Economist, Capital Markets Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Jul77, Vol. 50 Issue 3, p371; Thesaurus Term: CAPITAL assets pricing model; Thesaurus Term: INVESTMENTS; Thesaurus Term: RISK; Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: MUTUAL funds; Thesaurus Term: PORTFOLIO management (Investments); NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=4587415&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - EISENBEIS, ROBERT A. T1 - PITFALLS IN THE APPLICATION OF DISCRIMINANT ANALYSIS IN BUSINESS, FINANCE, AND ECONOMICS. JO - Journal of Finance JF - Journal of Finance Y1 - 1977/06// VL - 32 IS - 3 M3 - Article SP - 875 EP - 900 PB - Wiley-Blackwell SN - 00221082 AB - This paper has discussed several of the more common problem areas appearing in the applied discriminant analysis literature. If one had to rank the problems according to severity of their affects on the usefulness of the analysis, it would seem that the problems related to classification are the most severe, with the issues surrounding the selection of the appropriate a priori probabilities being the most important followed in turn by the selection of the appropriate classification rules (linear vs. quadratic) and assessment of classification accuracy. In particular, the failure to relate the estimates of the a priori probabilities to the population priors by, for example, assuming equal priors, in fact limits the ability to make any meaningful inferences about the overall performance or accuracy of the classification scheme. Similarly, use of linear classification rules when the group dispersion matrices are equal nearly always results in an underassessment of the overall classification accuracy of the rules, moreover, there may be significant distortions in the individual group error rates. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCRIMINANT analysis KW - MULTIVARIATE analysis KW - CORPORATIONS -- Finance KW - CORRELATION (Statistics) KW - ANALYSIS of variance KW - SAMPLING (Statistics) KW - BUSINESS enterprises -- Finance KW - REGRESSION analysis KW - MATHEMATICAL models KW - FACTOR analysis N1 - Accession Number: 4662018; EISENBEIS, ROBERT A. 1; Affiliations: 1: Associate Research Division Officer, Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Jun77, Vol. 32 Issue 3, p875; Thesaurus Term: DISCRIMINANT analysis; Thesaurus Term: MULTIVARIATE analysis; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: ANALYSIS of variance; Thesaurus Term: SAMPLING (Statistics); Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: REGRESSION analysis; Thesaurus Term: MATHEMATICAL models; Subject Term: FACTOR analysis; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 541910 Marketing Research and Public Opinion Polling; Number of Pages: 26p; Illustrations: 7 Charts, 1 Graph; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4662018&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Craine, Roger AU - Havenner, Arthur T1 - A STOCHASTIC OPTIMAL CONTROL TECHNIQUE FOR MODELS WITH ESTIMATED COEFFICIENTS. JO - Econometrica JF - Econometrica Y1 - 1977/05// VL - 45 IS - 4 M3 - Article SP - 1013 EP - 1021 SN - 00129682 AB - The article focuses on stochastic optimal control technique for models with estimated coefficients. A method for obtaining the optimal control policy and associated welfare loss is provided by the technique. This is assuming that the classic estimation assumptions will not be reversed. The welfare cost function is quadratic. The constraint set on the other is a linear model of the economy with estimated coefficients. The approach used by Dhrymes and Schmidt was used to derived the expectation of the asymptotic distribution of the welfare function. KW - ECONOMETRIC models KW - MATHEMATICAL models KW - ECONOMETRICS KW - ECONOMIC models KW - ECONOMICS KW - PUBLIC welfare KW - DISTRIBUTION (Economic theory) KW - INCOME distribution KW - SOCIAL sciences N1 - Accession Number: 6864063; Craine, Roger 1; Havenner, Arthur 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: New York University; Issue Info: May77, Vol. 45 Issue 4, p1013; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: ECONOMETRICS; Thesaurus Term: ECONOMIC models; Thesaurus Term: ECONOMICS; Thesaurus Term: PUBLIC welfare; Thesaurus Term: DISTRIBUTION (Economic theory); Thesaurus Term: INCOME distribution; Subject Term: SOCIAL sciences; NAICS/Industry Codes: 525120 Health and Welfare Funds; NAICS/Industry Codes: 923130 Administration of Human Resource Programs (except Education, Public Health, and Veterans' Affairs Programs); NAICS/Industry Codes: 624190 Other Individual and Family Services; NAICS/Industry Codes: 624230 Emergency and Other Relief Services; NAICS/Industry Codes: 541720 Research and Development in the Social Sciences and Humanities; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6864063&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - SMITH, JAMES F. T1 - THE EQUAL CREDIT OPPORTUNITY ACT OF 1974: A COST/BENEFIT ANALYSIS. JO - Journal of Finance JF - Journal of Finance Y1 - 1977/05// VL - 32 IS - 2 M3 - Article SP - 609 EP - 622 PB - Wiley-Blackwell SN - 00221082 AB - The following discussion is intended to analyze the benefits and costs to society from the implementation of the Act. No criticism of the purpose of the Act is intended or implied. The analysis does not cover the changes to the Act embodied in the Equal Credit Opportunity Act Amendments of 1976 (Public Law 94-239), since the Board published final regulations implementing that Act on December 29, 1976, and they did not become effective until March 23, 1977 [5] and [17]. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CONSUMER credit -- Law & legislation KW - BANKING industry -- United States KW - FAIR lending KW - DISCRIMINATION in financial services KW - LEGISLATION compliance costs KW - SEX discrimination in consumer credit -- Law & legislation KW - MARITAL status -- Economic aspects KW - UNITED States N1 - Accession Number: 4657865; SMITH, JAMES F. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May77, Vol. 32 Issue 2, p609; Thesaurus Term: CONSUMER credit -- Law & legislation; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: FAIR lending; Thesaurus Term: DISCRIMINATION in financial services; Thesaurus Term: LEGISLATION compliance costs; Subject Term: SEX discrimination in consumer credit -- Law & legislation; Subject Term: MARITAL status -- Economic aspects; Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 14p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657865&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Salant, Stephen W. T1 - SEARCH THEORY AND DURATION DATA: A THEORY OF SORTS. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1977/02// VL - 91 IS - 1 M3 - Article SP - 39 EP - 57 PB - Oxford University Press / USA SN - 00335533 AB - This article explains what the U.S. Bureau of Labor Statistics (BLS) data do measure and how the duration data can be used to further understand the labor market. An examination of BLS data reveals that the odds of escape decline with time unemployed. The people with relatively high escape rates will tend to leave more quickly until eventually only the sluggish members of the original cohort remain. The expected escape rate of people with spells in progress is lower than the expected escape rate of all entrants. KW - WORKING class -- Statistics KW - LABOR market KW - LABOR supply KW - EMPLOYMENT (Economic theory) KW - EMPLOYMENT policy KW - UNEMPLOYED KW - LABOR demand KW - LABOR costs KW - FACTORS of production KW - UNITED States N1 - Accession Number: 4623800; Salant, Stephen W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Feb77, Vol. 91 Issue 1, p39; Thesaurus Term: WORKING class -- Statistics; Thesaurus Term: LABOR market; Thesaurus Term: LABOR supply; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: EMPLOYMENT policy; Thesaurus Term: UNEMPLOYED; Thesaurus Term: LABOR demand; Thesaurus Term: LABOR costs; Thesaurus Term: FACTORS of production; Subject: UNITED States; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 19p; Illustrations: 2 Diagrams, 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4623800&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lombra, Raymond E. AU - Torto, Raymond G. T1 - DISCOUNT RATE CHANGES AND ANNOUNCEMENT EFFECTS. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1977/02// VL - 91 IS - 1 M3 - Article SP - 171 EP - 176 PB - Oxford University Press / USA SN - 00335533 AB - This article discusses the role of the discount rate as a signal of the future course of monetary policy in the U.S. If discount rate changes altered expectations about economic conditions, this should affect expectations about future net cash flows accruing to business enterprises. If changes in the discount rate are exogenous, people would expect the coefficients on future changes in the discount rate not to be statistically different from zero. The monetary authorities have adjusted the short-term interest rate target in response to the unemployment rate. KW - MONETARY policy KW - DISCOUNT KW - CASH flow KW - CASH management KW - MONEY supply KW - DEMAND for money KW - LIQUIDITY (Economics) KW - ECONOMIC indicators KW - INTEREST rates KW - UNITED States N1 - Accession Number: 4624067; Lombra, Raymond E. 1; Torto, Raymond G. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, University of Massachusetts, Boston; Issue Info: Feb77, Vol. 91 Issue 1, p171; Thesaurus Term: MONETARY policy; Thesaurus Term: DISCOUNT; Thesaurus Term: CASH flow; Thesaurus Term: CASH management; Thesaurus Term: MONEY supply; Thesaurus Term: DEMAND for money; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: ECONOMIC indicators; Thesaurus Term: INTEREST rates; Subject: UNITED States; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 6p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4624067&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Berner, Richard AU - Clark, Peter AU - Hernandez-Cata, Ernesto AU - Howe, Howard AU - Kwack, Sung AU - Stevens, Guy AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - A multi-country model of the international influences on the U.S. economy: preliminary results PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 115 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700704; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700704&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AD - Unlisted T1 - Approaches for assessing the risk involved in lending to developed countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 112 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700701; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700701&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance AU - Henderson, Dale AD - Unlisted AD - Unlisted T1 - Critical determinants of the effectiveness of monetary policy in the open economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 107 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700696; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700696&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Brown, Scott B. AD - Unlisted T1 - Cyclical fluctuations in the share of corporate profits in national income PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 108 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700697; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700697&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, John F. AU - Takacs, Wendy E. AD - Unlisted AD - Unlisted T1 - Differential responses to price and exchange rate influences in the foreign trade of selected industrial countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 104 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700693; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700693&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AD - Unlisted T1 - Estimating consumer import demand equations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 105 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700694; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700694&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Daniel, Betty C. AD - Unlisted T1 - Inflation and unemployment in open economies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 114 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700703; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700703&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AD - Unlisted T1 - Interest rates and inflation in Argentina PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 109 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700698; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700698&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance AU - Roper, Don AD - Unlisted AD - Unlisted T1 - J. Laurence Laughlin and the quantity theory of money PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 103 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700692; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700692&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Swamy, P. A. V. B. AU - Berner, R. AD - Unlisted AD - Unlisted T1 - On testing the significance of a subset of coefficients in a set of seemingly unrelated regressions using mixed estimation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 106 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700695; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700695&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AD - Unlisted T1 - Staving off the backstop: dynamic limit-pricing with a kinked demand curve PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 110 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700699; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700699&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - The denationalization of money: a review PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 102 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700691; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700691&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kohlhagen, Steven W. AD - Unlisted T1 - The identification of destabilizing foreign exchange speculation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 100 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700689; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700689&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - The process of exchange-rate determination: a survey of important models and major issues PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 101 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700690; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700690&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AU - Key, Sydney J. AD - Unlisted AD - Unlisted T1 - The U.S. activities of foreign banks: an analytic survey PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 113 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700702; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700702&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hanson, James A. AD - Unlisted T1 - Transfers and the price level under fixed, free, and indexed exchange rate: a monetary approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 111 Y1 - 1977/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700700; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700700&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Salop, Joanne AU - Salop, Steven T1 - SELF-SELECTION AND TURNOVER IN THE LABOR MARKET. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1976/11// VL - 90 IS - 4 M3 - Article SP - 619 EP - 649 PB - Oxford University Press / USA SN - 00335533 AB - This article discusses the self-selection and turnover in the labor market. It encounters quality differences among commodities that are relevant to decision making. The question of credible information transfers has obvious relevance for the labor market. A self-selection device is a pricing scheme that causes the applicant to reveal truthful information about the market behavior. Productivity is correlated with intelligence, and intelligence is negatively related to the cost of education. KW - LABOR market KW - LABOR KW - COMMERCIAL products KW - DECISION making KW - MARKETS KW - EDUCATION N1 - Accession Number: 4966819; Salop, Joanne 1,2; Salop, Steven 1,2; Affiliations: 1: International Monetary Fund; 2: Board of Governors of the Federal Reserve System; Issue Info: Nov76, Vol. 90 Issue 4, p619; Thesaurus Term: LABOR market; Thesaurus Term: LABOR; Thesaurus Term: COMMERCIAL products; Thesaurus Term: DECISION making; Thesaurus Term: MARKETS; Subject Term: EDUCATION; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 611699 All Other Miscellaneous Schools and Instruction; NAICS/Industry Codes: 923110 Administration of Education Programs; NAICS/Industry Codes: 611710 Educational Support Services; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4966819&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BOCZAR, GREGORY E. T1 - PREDICTING De Novo EXPANSION IN BANK MERGER CASES: COMMENT. JO - Journal of Finance JF - Journal of Finance Y1 - 1976/09// VL - 31 IS - 4 M3 - Article SP - 1239 EP - 1242 PB - Wiley-Blackwell SN - 00221082 AB - In a recent article in this Journal, Gary Gilbert [1] attempted to provide an empirical basis for two notions used by the bank regulatory authorities and the Department of Justice in evaluating bank mergers. (The Federal Reserve Board and the Department of Justice employ these same notions in judging bank holding company formations and acquisitions [2].) The two notions are: (1) "future competition"--whether denial of a merger application is likely to stimulate competition in the relevant market by causing the applying bank to enter the market de novo in the future; and (2) "augmented competition"--whether approval of a merger application will result in increased market competition because the acquiring bank augments the competitive behavior of the acquired bank. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK mergers KW - GOVERNMENT policy KW - BANKING law & legislation KW - BANKING industry -- United States KW - BANKING industry KW - ECONOMIC expansion KW - REGULATORY reform KW - FINANCIAL services industry KW - COMPETITION KW - UNITED States N1 - Accession Number: 4655387; BOCZAR, GREGORY E. 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System.; Issue Info: Sep76, Vol. 31 Issue 4, p1239; Thesaurus Term: BANK mergers; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: BANKING law & legislation; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: BANKING industry; Thesaurus Term: ECONOMIC expansion; Thesaurus Term: REGULATORY reform; Thesaurus Term: FINANCIAL services industry; Subject Term: COMPETITION; Subject: UNITED States; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4655387&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rhoades, Stephen A. T1 - CHARACTERISTICS OF BANKING MARKETS ENTERED BY FOOTHOLD ACQUISITION. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1976/07// VL - 2 IS - 3 M3 - Article SP - 399 EP - 408 SN - 03043932 AB - As a result of various legislation on banking during the 1960s, the Federal Reserve Board is required to take into consideration the competitive effects of acquisitions proposed by bank holding companies. Since the Board is concerned not only with maintaining, but also stimulating, competition, one issue that frequently arises in bank acquisition cases is the probable effect of an acquisition on future competition. That is, the question arises as to whether a denial of the proposed acquisition might stimulate competition by causing the potential entrant (acquiring firm), who has already expressed an interest in the market, to enter through foothold acquisition or de novo. Such an outcome would stimulate competition by increasing the number of competitors in the market or by giving a strong organization a foothold from which it can expand. Thus, if it is likely that denial would lead to foothold or de novo entry it may be good public policy to deny the acquisition. If, on the other hand, denial would not cause future entry, then, barring other adverse effects, approval of the acquisition would probably be warranted. Unfortunately, there is very little empirical evidence that would provide objective criteria for guiding the Board with respect to the question of whether a more competitive form of entry would occur subsequent to a denial. This paper attempts to provide some evidence on this question by testing the hypothesis that the characteristics of markets entered by bank holding companies through foot- hold acquisition are different from other markets. The study is based on a sample of 85 markets for the period 1966-1972. The primary testing technique is multiple regression analysis. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK mergers KW - BANK holding companies KW - CONSOLIDATION & merger of corporations KW - REGRESSION analysis KW - BANKING industry KW - BANKING law & legislation KW - COMPETITION KW - HYPOTHESIS KW - UNITED States. Federal Reserve Board N1 - Accession Number: 5008102; Rhoades, Stephen A. 1; Affiliations: 1: Division of Research and Statistics Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Jul76, Vol. 2 Issue 3, p399; Thesaurus Term: BANK mergers; Thesaurus Term: BANK holding companies; Thesaurus Term: CONSOLIDATION & merger of corporations; Thesaurus Term: REGRESSION analysis; Thesaurus Term: BANKING industry; Thesaurus Term: BANKING law & legislation; Subject Term: COMPETITION; Subject Term: HYPOTHESIS ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5008102&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Humphrey, David Burras T1 - The Financial Structure of Bank Holding Companies. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1976/07// VL - 2 IS - 3 M3 - Book Review SP - 427 EP - 429 SN - 03043932 AB - The article reviews the book "The Financial Structure of Bank Holding Companies," by Donald P. Jacobs, H. Prescott Beighley and John H. Boyd. KW - BANK holding companies KW - NONFICTION KW - BOYD, John H. KW - JACOBS, Donald P. KW - BEIGHLEY, H. Prescott KW - FINANCIAL Structure of Bank Holding Companies, The (Book) N1 - Accession Number: 5008106; Humphrey, David Burras 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Jul76, Vol. 2 Issue 3, p427; Thesaurus Term: BANK holding companies; Subject Term: NONFICTION; Reviews & Products: FINANCIAL Structure of Bank Holding Companies, The (Book); NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 551113 Holding companies; People: BOYD, John H.; People: JACOBS, Donald P.; People: BEIGHLEY, H. Prescott; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5008106&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - LAUFENBERG, DANIEL E. T1 - RESERVE MEASURES AS OPERATING VARIABLES OF MONETARY POLICY: AN EMPIRICAL ANALYSIS. JO - Journal of Finance JF - Journal of Finance Y1 - 1976/06// VL - 31 IS - 3 M3 - Article SP - 853 EP - 864 PB - Wiley-Blackwell SN - 00221082 AB - The theory of money creation emphasizes the link between the stock of money and commercial bank reserves. It suggests that the monetary authority can best obtain its desired aggregate intermediate target by affecting the money creating potential of bank reserves, e.g., by changing the level of reserves while assuming that the reserve requirement ratio remains unchanged. The possibility of a reserve measure as the operating variable of monetary policy is empirically examined in this paper by attempting to determine the appropriate procedure to estimate the reserves-money relationship and to choose a reserve measure that performs best as the operating variable. Three procedures of estimating the reserves-money relationship are considered, with each representing a slightly different assumption about the relationship's stability and/or predictability. The three procedures, the naive multiplier procedure, the moving-average multiplier procedure, and the first-difference regression procedure, are discussed in Section II.C. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RESERVE requirements KW - BANK reserves KW - MONEY supply KW - MONETARY policy KW - DEPOSIT banking KW - MONETARY theory KW - QUANTITY theory of money KW - MONEY KW - BANK deposits KW - MULTIPLIER (Economics) KW - RESERVES (Accounting) KW - UNITED States N1 - Accession Number: 4656295; LAUFENBERG, DANIEL E. 1; Affiliations: 1: Econometric and Computer Applications Section, Board of Governors of the Federal Reserve System.; Issue Info: Jun76, Vol. 31 Issue 3, p853; Thesaurus Term: RESERVE requirements; Thesaurus Term: BANK reserves; Thesaurus Term: MONEY supply; Thesaurus Term: MONETARY policy; Thesaurus Term: DEPOSIT banking; Thesaurus Term: MONETARY theory; Thesaurus Term: QUANTITY theory of money; Thesaurus Term: MONEY; Thesaurus Term: BANK deposits; Thesaurus Term: MULTIPLIER (Economics); Thesaurus Term: RESERVES (Accounting); Subject: UNITED States; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 12p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656295&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Enzler, Jared AU - Johnson, Lewis AU - Paulus, John T1 - Some Problems of Money Demand. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1976/03// IS - 1 M3 - Article SP - 261 EP - 282 PB - Brookings Institution Press SN - 00072303 AB - This article explores several aspects of the problems of money demand in the U.S. The point of departure for the discussion is the money-demand equation contained in the MPS (MIT-Pennn-Social Science Research Council) econometric model. The MPS specification of the demand for money is representative of the most common type of money-demand function. Theoretical money-demand models are applicable to the individual or business firms and imply economies of scale in money demand. The MPS equation estimates desired money balances for the national economy. Another class of problems concerns a lack of agreement between the variables appearing in the empirical equations and the concepts assumed by the theory. In principle, all short-term interest rates should be represented. The authors believe that the weakness in demand deposits is likely to deepen; but they are not sure, and they certainly cannot predict the speed. In this light, new doubt arises about the advisability of setting policy targets in terms of M1. One factor in the choice of monetary policy instruments is the relative stability of the money-demand relation compared with the relation of real expenditures to interest rates. It is widely accepted that the more stable the former relationship is relative to the latter, the more likely is a policy target using monetary aggregates to outperform an interest-rate instrument in achieving target values for expenditures. The deeper uncertainty in predicting money demand suggests paying more attention than formerly to other aggregates and to interest rates in formulating monetary policies. KW - DEMAND for money KW - MONEY supply KW - LIQUIDITY (Economics) KW - MONEY KW - DEMAND (Economic theory) KW - UNITED States N1 - Accession Number: 7071488; Enzler, Jared 1; Johnson, Lewis 1; Paulus, John 1; Affiliations: 1: Staff, Board of Governors of the Federal Reserve System; Issue Info: 1976, Issue 1, p261; Thesaurus Term: DEMAND for money; Thesaurus Term: MONEY supply; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: MONEY; Thesaurus Term: DEMAND (Economic theory); Subject: UNITED States; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 22p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7071488&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Burns, Arthur F. T1 - The Real Issues of Inflation and Unemployment. JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1976/01//Jan/Feb76 VL - 18 IS - 6 M3 - Article SP - 6 PB - Taylor & Francis Ltd SN - 05775132 AB - This article discusses the issues of inflation and unemployment in the economy of U.S., which has recently begun to emerge from the deepest decline of business activity in the post Vietnam war period. The basic cause of the recession was the failure of the government to deal effectively with the inflation and soon became a dominant feature of the economic life. As wage and price increases quickened trouble spread across the economy, rapidly rising prices eroded the purchasing power of workers' incomes and savings. The self-corrective forces internal to the business cycle aided by fiscal and monetary policies was sought to cushion the effects of economic adversity and to provide some stimulus to economic recovery. On the fiscal side, public employment programs were expanded unemployment insurance was liberalized, and both personal and corporate income taxes were reduced. On the monetary side, easier credit conditions were fostered, resulting in lower interest rates and a rebuilding of liquidity across the economy. KW - INFLATION (Finance) KW - UNEMPLOYMENT KW - WAGES KW - MONETARY policy KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 6149871; Burns, Arthur F. 1; Affiliations: 1: Chairman of the Board of Governors of the Federal Reserve System.; Issue Info: Jan/Feb76, Vol. 18 Issue 6, p6; Thesaurus Term: INFLATION (Finance); Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: WAGES; Thesaurus Term: MONETARY policy; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6149871&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Girton, Lamce AU - Henderson, Dale W. T1 - FINANCIAL CAPITAL MOVEMENTS AND CENTRAL BANK BEHAVIOR IN A TWO-COUNTRY, SHORT-RUN PORTFOLIO BALANCE MODEL. JO - Journal of Monetary Economics JF - Journal of Monetary Economics Y1 - 1976/01// VL - 2 IS - 1 M3 - Article SP - 33 EP - 61 SN - 03043932 AB - This paper analyzes financial capital movements in a two-country, short-run, portfolio balance model which includes two securities that are imperfect substitutes. Following a disturbance, equilibrium is, in general, reattained, but the effects on interest rates, money supplies, and international reserve holdings depend on the monetary and reserve asset management policies of the two central banks. Special attention is focused on the case in which one central bank holds its international reserves in the form of 'key currency' securities, thereby sterilizing for the 'key currency' country. There are several applications of the central result that, for any disturbance, the less changes in international reserves are allowed to affect money supplies, the larger the change in reserves required to reestablish equilibrium. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Monetary Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL movements KW - ECONOMETRIC models KW - EQUILIBRIUM (Economics) KW - INTEREST rates KW - MONEY supply KW - RESERVES (Accounting) KW - ASSETS (Accounting) KW - CENTRAL banking industry KW - MONEY market N1 - Accession Number: 17254040; Girton, Lamce 1; Henderson, Dale W. 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, DC, USA; Issue Info: Jan76, Vol. 2 Issue 1, p33; Thesaurus Term: CAPITAL movements; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTEREST rates; Thesaurus Term: MONEY supply; Thesaurus Term: RESERVES (Accounting); Thesaurus Term: ASSETS (Accounting); Thesaurus Term: CENTRAL banking industry; Thesaurus Term: MONEY market; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 29p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17254040&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Girton, Lance AU - Roper, Don AD - Unlisted AD - Unlisted T1 - A monetary model of exchange market pressure applied to the Post-war Canadian experience PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 92 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700809; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700809&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Alternatives for modeling the world outside the United States PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 96 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700813; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700813&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Shafer, Jeffrey R. AD - Unlisted AD - Unlisted T1 - Analysis of short-run exchange behavior: March, 1993 to September, 1975 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 76 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700793; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700793&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clark, Peter AU - Kwack, Sung AD - Unlisted AD - Unlisted T1 - Asset markets and interest rate determination in the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 94 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700811; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700811&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Balance of payment equations and exchange rate determination PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 95 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700812; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700812&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Central bank operations in foreign and domestic assets under fixed and flexible exchange rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 83 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700800; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700800&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AD - Unlisted T1 - Forecasting U.S. export and import prices and volumes in a changing world economy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 99 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700816; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700816&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, John F. AD - Unlisted T1 - Have geometric lag hypotheses outlived their time? some evidence in a Monte Carlo framework PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 82 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700799; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700799&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AD - Unlisted T1 - Hirshleifer on speculation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 75 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700792; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700792&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - How far can we push the 'law of one price'? PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 84 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700801; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700801&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Thurman, Stephen S. AU - Kwack, Sung Y. AD - Unlisted AD - Unlisted T1 - Linking the MPS price sector to international price disturbances PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 85 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700802; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700802&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AU - Henderson, Dale W. AD - Unlisted AD - Unlisted T1 - Market anticipations, government policy, and the price of gold PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 81 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700798; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700798&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AU - Peter Clark. AU - Howe, Howard AU - Kwack, Sung AU - Stevens, Guy AD - Unlisted AD - AD - AD - AD - T1 - Modeling the international influences on the U.S. economy: a multi-country approach PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 93 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700810; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700810&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AD - Unlisted T1 - Note on interest parity, Eurocurrencies and capital controls PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 80 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700797; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700797&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AD - Unlisted T1 - Note on key currency intervention systems PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 79 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700796; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700796&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howard, David H. AD - Unlisted T1 - Personal saving behavior in five major industrialized countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 90 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700807; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700807&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Howe, Howard AD - Unlisted T1 - Price determination in the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 98 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700815; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700815&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Dooley, Michael P. AU - Shafer, Jeffrey R. AD - Unlisted AD - Unlisted T1 - Rules for intervention without fixed parities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 77 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700794; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700794&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lubitz, Raymond AD - Unlisted T1 - The current status of economic integration in the European Community PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 74 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700791; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700791&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Kohlhagen, Stephen W. AD - Unlisted AD - Unlisted T1 - The effect of exchange rate uncertainty on the prices and volume of international trade PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 91 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700808; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700808&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AD - Unlisted T1 - The goods market and the labor market of the multi-country model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 97 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700814; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700814&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Truman, Edwin M. AD - Unlisted T1 - The past, present, and future of the international monetary system: a review essay PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 89 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700806; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700806&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Isard, Peter AD - Unlisted AD - Unlisted T1 - The strength of U.S. machinery exports in 1975: an analysis of price competitiveness and special demand factors PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 78 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700795; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700795&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance AU - Roper, Don AD - Unlisted AD - Unlisted T1 - Theory and implications of currency substitution PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 86 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700803; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700803&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AD - Unlisted T1 - Total import and gross output demands in the context of a multisector general equilibrium model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 88 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700805; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700805&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Frenkel, Jacob A. AU - Levich, Richard M. AD - Unlisted AD - Unlisted T1 - Transaction costs and interest arbitrage: tranquil versus turbulent periods PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 87 Y1 - 1976/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700804; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700804&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Welsh, Gary M. T1 - The Case for Federal Regulation of Foreign Bank Operations in the United States. JO - Columbia Journal of World Business JF - Columbia Journal of World Business Y1 - 1975///Winter75 VL - 10 IS - 4 M3 - Article SP - 98 EP - 108 PB - Elsevier Science Publishing Company, Inc. SN - 00225428 AB - The article looks at the existing regulatory framework of foreign bank operations in the U.S. in 1975. Since federal law does not provide for the establishment of federally-licensed foreign bank branches or agencies in the U.S., a foreign bank must look to state law in order to determine whether it may directly enter a particular market through a branch or agency form of organization. Foreign banks have concentrated their direct banking activities in three states--New York, California and Illinois. As a result of their domestic deposit-taking powers, branches of foreign banks are usually subject to more comprehensive state banking regulation. Foreign banks have also chosen to do business in New York state through so-called investment company subsidiaries organized under Article XII of the New York Banking Law. The basic difference between U.S. regulation of foreign banks and domestic banks is the fact that the branch and agency operations of foreign banks in the U.S. are free from any form of federal banking examination, supervision or regulation. Some foreign banks have thus organized or invested in a U.S. broker/dealer because they and their customers have viewed such activities as a traditional part of their international banking and financing services. KW - FOREIGN banking industry KW - COMMERCIAL policy KW - SUBSIDIARY corporations KW - BRANCH banks KW - BANKING law & legislation KW - UNITED States N1 - Accession Number: 5541292; Welsh, Gary M. 1; Affiliations: 1: Assistant General Counsel, Legal Division of the Board of Governors of the Federal Reserve System; Issue Info: Winter75, Vol. 10 Issue 4, p98; Thesaurus Term: FOREIGN banking industry; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: SUBSIDIARY corporations; Thesaurus Term: BRANCH banks; Thesaurus Term: BANKING law & legislation; Subject: UNITED States; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522112 Corporate and institutional banking industry; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 551114 Corporate, Subsidiary, and Regional Managing Offices; Number of Pages: 11p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5541292&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wallich, Henry C. T1 - Is There a Capital Shortage? JO - Challenge (05775132) JF - Challenge (05775132) Y1 - 1975/09//Sep/Oct75 VL - 18 IS - 4 M3 - Article SP - 30 PB - Taylor & Francis Ltd SN - 05775132 AB - This article concentrates on the recession in the economy. As the economy moves out of recession, greater investment needs, a possible inadequacy of savings and federal deficits create the distinct possibility of a capital shortage. Concern about an impending capital shortage has become widespread. A variety of studies of investment requirements over the next five or ten years, as well as of the adequacy of private and public savings and financial arrangements for converting these savings into investment, have already been completed. The generality of this concern attests to the importance of the issue. In examining the requirements for new capital, it becomes immediately apparent that the answer differs from one country to another. The author addresses aspects like-- tests of capital adequacy, the demand for capital, the supply of savings, constraints in financial markets, studies of capital requirements and availability of savings, tax remedies, capital imports and exports debt, especially short-term debt, in order to strengthen the equity base and facilitate financing, it is suggested that the method of taxing corporations be shifted gradually. Without loss of revenue, in the direction of taxing income used to pay interest while reducing the present tax on the portions of income used to pay dividends and retained in the business. KW - SCARCITY KW - RECESSIONS KW - SAVING & investment KW - CAPITAL shortages KW - INVESTMENTS KW - SECURITIES markets KW - TAXATION N1 - Accession Number: 6149555; Wallich, Henry C. 1; Affiliations: 1: Member of the Board of Governors of the Federal Reserve System.; Issue Info: Sep/Oct75, Vol. 18 Issue 4, p30; Thesaurus Term: SCARCITY; Thesaurus Term: RECESSIONS; Thesaurus Term: SAVING & investment; Thesaurus Term: CAPITAL shortages; Thesaurus Term: INVESTMENTS; Thesaurus Term: SECURITIES markets; Thesaurus Term: TAXATION; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6149555&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Rhoades, Stephen A. T1 - The Effect of Bank-Holding-Company Acquisitions of Mortgage Bankers on Mortgage Lending Activity. JO - Journal of Business JF - Journal of Business Y1 - 1975/07// VL - 48 IS - 3 M3 - Article SP - 344 EP - 348 PB - University of Chicago Press SN - 00219398 AB - The mortgage banking industry consists of around 800 business enterprises operating in one or more local markets. The primary function of mortgage banking firms as financial intermediaries is to originate mortgage loans in the "primary" market and sell these loans, usually in packages, to large institutional investors' in what is called the "secondary" market. The mortgages originated by mortgage banking firms are held or "warehoused" (financed by bank credits) for only a short time before they are sold, and therefore the assets of these firms are small? The primary source of income is derived from servicing the mortgages that are sold to institutional investors but the fee charged for the origination of the loan is also an important source of income. In recent years, a small but increasing portion of the mortgage banking firm's income has been derived from other activities, including construction lending, consultations on real estate investment trusts, land development, and real estate sales. KW - BANK mergers KW - MORTGAGES KW - BANK holding companies KW - BANKING industry KW - BUSINESS enterprises KW - MORTGAGE banks KW - CAPITALISTS & financiers KW - FLOW of funds KW - CONSULTING firms KW - FINANCIAL institutions KW - FINANCIAL planners N1 - Accession Number: 4586837; Rhoades, Stephen A. 1; Affiliations: 1: Staff Economist, Financial Studies Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D. C.; Issue Info: Jul75, Vol. 48 Issue 3, p344; Thesaurus Term: BANK mergers; Thesaurus Term: MORTGAGES; Thesaurus Term: BANK holding companies; Thesaurus Term: BANKING industry; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: MORTGAGE banks; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: FLOW of funds; Thesaurus Term: CONSULTING firms; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: FINANCIAL planners; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 541618 Other Management Consulting Services; NAICS/Industry Codes: 541611 Administrative Management and General Management Consulting Services; NAICS/Industry Codes: 541613 Marketing Consulting Services; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=4586837&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - SLOVIN, MYRON B. AU - SUSHKA, MARIE ELIZABETH T1 - THE STRUCTURAL SHIFT IN THE DEMAND FOR MONEY. JO - Journal of Finance JF - Journal of Finance Y1 - 1975/06// VL - 30 IS - 3 M3 - Article SP - 721 EP - 731 PB - Wiley-Blackwell SN - 00221082 AB - This article explores the structure of the demand for money. Financial developments during the 1960's may have affected the ability of commercial banks to compete for savings deposits, such as government regulations restricting interest rates. The authors assert that these financial developments in the early 1960's induced a shift in the structure of the public's demand for money. A standard demand for money specification is considered and the structural shift in the pattern of substitution between money and near monies is investigated. The authors reestimate the money demand function in order to incorporate the effect of developments in the savings market. KW - DEMAND for money KW - DEMAND (Economic theory) KW - BANK deposits KW - LIQUID assets KW - BANKING industry KW - MONEY supply KW - SAVINGS banks KW - SAVINGS & loan associations KW - INTEREST rates KW - CONSUMPTION (Economics) KW - ECONOMIC aspects N1 - Accession Number: 4654688; SLOVIN, MYRON B. 1; SUSHKA, MARIE ELIZABETH 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System.; Issue Info: Jun75, Vol. 30 Issue 3, p721; Thesaurus Term: DEMAND for money; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: BANK deposits; Thesaurus Term: LIQUID assets; Thesaurus Term: BANKING industry; Thesaurus Term: MONEY supply; Thesaurus Term: SAVINGS banks; Thesaurus Term: SAVINGS & loan associations; Thesaurus Term: INTEREST rates; Thesaurus Term: CONSUMPTION (Economics); Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4654688&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BRIMMER, ANDREW F. AU - DAHL, FREDERICK R. T1 - GROWTH OF AMERICAN INTERNATIONAL BANKING: IMPLICATIONS FOR PUBLIC POLICY. JO - Journal of Finance JF - Journal of Finance Y1 - 1975/05// VL - 30 IS - 2 M3 - Article SP - 341 EP - 363 PB - Wiley-Blackwell SN - 00221082 AB - The expansion of their overseas activities by banks headquartered in the United States is one of the most important developments in international finance during the last decade. For a number of years, the motivations behind this growth were obscured by the restrictions on capital outflows imposed by the U.S. Government in the mid-1960's as part of a program to improve the nation's balance of payments. However, even before the capital restrictions were terminated in January 1974, it was becoming increasingly clear to some observers that a basic transformation had occurred in the character of U.S. banking. The origins of this transformation have been examined on several occasions in the past, and those who follow the subject closely now have a good understanding of the dimensions of the changes which have occurred. On the other hand, the impact of the regulatory framework on the way in which U.S. banks conduct their foreign business is not so fully appreciated. To a considerable extent, this reflects the sparsity of efforts by the regulatory authorities themselves to assess the effects of their actions on the institutions over which they have oversight. The objective of this paper is to broaden understanding of the interplay of U.S. commercial bank expansion abroad and the regulatory posture of the Federal Reserve Board--the Federal agency with authority over the banks' foreign activities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERNATIONAL banking industry KW - INTERNATIONAL finance KW - RESEARCH KW - BANKING industry -- United States KW - CAPITAL movements KW - BALANCE of payments KW - REGULATED industries KW - FINANCIAL institutions KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) KW - UNITED States. Federal Reserve Board N1 - Accession Number: 4661905; BRIMMER, ANDREW F. 1; DAHL, FREDERICK R. 2; Affiliations: 1: Harvard University Graduate School of Business Administration.; 2: Division of Banking Supervision and Regulation, Board of Governors of the Federal Reserve System.; Issue Info: May75, Vol. 30 Issue 2, p341; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: RESEARCH; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: CAPITAL movements; Thesaurus Term: BALANCE of payments; Thesaurus Term: REGULATED industries; Thesaurus Term: FINANCIAL institutions; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.) ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 23p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4661905&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Solomon, Robert T1 - The Allocation of 'Oil Deficits' JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1975/03// IS - 1 M3 - Article SP - 61 EP - 79 PB - Brookings Institution Press SN - 00072303 AB - This article investigates the allocation of oil deficits among member countries of the Organisation for Economic Co-operation and Development (OECD) during the 1970s. Although the terms of trade of petroleum-importing countries (PIC) have deteriorated, petroleum-exporting countries (PEC) can spend only a limited amount of their export receipts and must lend the remainder back to the PIC. As long as they do so, the net worth of the PIC will decline and that of the PEC will increase, meaning under some definitions a reduction in real income of the one and an increase in real income of the other. One reason for focusing on the OECD is to make the analysis manageable. Another is that less developed countries are in little danger of mutually frustrating and destructive policies because they are accustomed to current deficits. The problem that confronts OECD can be framed in terms of the allocation among these countries either of current deficits or of incremental debt. For any individual OECD country and for the group, the current deficit will equal the increase in debt over any time period. Emphasis on current deficits involves questions about absorption of resources and its pattern over time, and the allocation of resources within individual countries during and after the adjustment period. Focus on incremental debt raises questions of credit-worthiness, ability to borrow, and the availability of official financing to supplement private capital flows. KW - BALANCE of trade KW - PETROLEUM industry KW - REAL income KW - DEBT KW - OECD countries N1 - Accession Number: 7073388; Solomon, Robert 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 1975, Issue 1, p61; Thesaurus Term: BALANCE of trade; Thesaurus Term: PETROLEUM industry; Thesaurus Term: REAL income; Thesaurus Term: DEBT; Subject: OECD countries; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 454311 Heating oil dealers; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; NAICS/Industry Codes: 324199 All Other Petroleum and Coal Products Manufacturing; NAICS/Industry Codes: 324191 Petroleum Lubricating Oil and Grease Manufacturing; NAICS/Industry Codes: 213112 Support Activities for Oil and Gas Operations; NAICS/Industry Codes: 211113 Conventional oil and gas extraction; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7073388&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pierce, James L. T1 - Interest Rates and Their Prospect in the Recovery. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1975/03// IS - 1 M3 - Article SP - 89 EP - 110 PB - Brookings Institution Press SN - 00072303 AB - This article examines the prospective behavior of interest rates and money demand in the U.S. in 1974. The errors in the money-demand relationships give some idea of whether the decline in interest rates in 1974 was smaller than would have been expected on the basis of past relationships. The demand for money provides predictions of the money stock given short-term interest rates. An effort to explain the errors is always an exercise in ex post theorizing, which is often difficult to distinguish from pure rationalization. If the ex post arguments appear to be compelling, it is crucial to test the role of these factors not only in the current situation but also at other times when they appear to operate. The propensity to economize on money balances probably cannot be captured by the elasticity on real transactions. Once individuals and firms have economized on cash holdings, they will not unlearn all their lessons when interest rates and real transactions fall. Thus money demand may not be completely reversible. There is no reason to believe that deficits resulting from recession-induced declines in tax revenues will spur increases in interest rates. Tax cuts and expenditure increases do tend to raise aggregate demand and ultimately to raise interest rates. KW - INTEREST rates KW - DEMAND for money KW - BALANCE of trade KW - TAXATION KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 7073393; Pierce, James L. 1; Affiliations: 1: Staff, Board of Governors of the Federal Reserve System; Issue Info: 1975, Issue 1, p89; Thesaurus Term: INTEREST rates; Thesaurus Term: DEMAND for money; Thesaurus Term: BALANCE of trade; Thesaurus Term: TAXATION; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 22p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7073393&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - A data base improvement for analysis of U.S. imports and exports: price indices by end-use, 1958:1-1974:4 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 65 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700676; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700676&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mehta, J. S. AU - Narasimham, G. V. L. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Estimation of a dynamic demand function for gasoline with different schemes of parameter variation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 70 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700681; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700681&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bradshaw, Robert C. AD - Unlisted T1 - Foreign exchange operations of U.S. banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 69 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700680; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700680&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, S. W. AU - Kotlikoff, L. AD - Unlisted AD - Unlisted T1 - Gains from trade under uncertainty, once again PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 72 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700683; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700683&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Maroni, Yves AU - Howard, David H. AD - Unlisted AD - Unlisted T1 - Monetary correction and interest rates PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 68 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700679; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700679&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AD - Unlisted T1 - Nash-Cournot equilibrium for an exhaustible resource like oil PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 63 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700674; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700674&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AD - Unlisted T1 - No end to the 'age of zinc': the length of the optimal program when depletion affects extraction costs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 73 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700684; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700684&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - Output, inflation, and the balance of payments in a small, fixed-exchange rate economy: tests with data for Korea, 1960-1973 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 64 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700675; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700675&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Ruckdeschel, Fred B. AD - Unlisted T1 - Risk in foreign and domestic lending activities of U.S. banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 66 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700677; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700677&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AU - Clark, Peter AU - Howe, Howard AU - Kwack, Sung AU - Stevens, Guy AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - Simultaneous determination of the U.S. balance of payments and exchange rates: an exploratory report PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 59 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700687; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700687&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Junz, Helen B. AD - Unlisted T1 - Some observations on the world-wide intensification of inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 58 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700686; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700686&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Solomon, Robert AD - Unlisted T1 - The allocation of 'oil deficits' PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 62 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700673; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700673&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AU - Porter, Michael G. AD - Unlisted AD - Unlisted T1 - The analysis of exchange rate movements: neutrality results and the role of expectations PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 67 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700678; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700678&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - The Asian dollar market PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 71 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700682; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700682&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Wilson, John F. AD - Unlisted T1 - The lagged adjustment of U.S. trade to prices and income: a commentary PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 57 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700685; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700685&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, P. AU - Lowrey, B. AU - Swamy, P. A. V. B. AD - Unlisted AD - Unlisted AD - Unlisted T1 - Theory and estimation of the demand for imports of consumer goods PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 61 Y1 - 1975/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700688; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700688&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - RHOADES, S. A. AU - YEATS, A. J. T1 - GROWTH, CONSOLIDATION AND MERGERS IN BANKING . JO - Journal of Finance JF - Journal of Finance Y1 - 1974/12// VL - 29 IS - 5 M3 - Article SP - 1397 EP - 1405 PB - Wiley-Blackwell SN - 00221082 AB - This paper has attempted to 1) reevaluate the Alhadeffs' findings regarding the relative growth of large banks, 2) determine whether the banking system has been experiencing a consolidation movement, and 3) assess the impact of mergers on the growth process of different size commercial banks. The study is based on a sample of 600 commercial banks over the period 1960-1971. The results of a comparison of growth rates among different size classes of banks support the Alhadeffs' finding that large banks grew less than the system as a whole. The bank growth data were used to construct a dynamic measure of concentration which indicates that there has been a tendency toward deconsolidation in commercial banking since 1960. This tendency is also reflected in changes of a static measure of aggregate concentration. A comparison of gross and net (of merger) growth rates show that the vast majority of bank mergers are made by large banks. While this pattern of mergers would appear to support a consolidation movement, the vigorous internal growth of medium size banks evidently offset the influence of mergers and led to deconsolidation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANKING industry KW - BANK mergers KW - CONSOLIDATION & merger of corporations -- Law & legislation KW - CORPORATIONS -- Growth KW - FINANCIAL institutions KW - BANKING research KW - INDUSTRIAL concentration KW - GROWTH rate KW - REGULATED industries KW - BANKING law & legislation KW - FINANCIAL performance KW - BANK deposits N1 - Accession Number: 4654709; RHOADES, S. A. 1; YEATS, A. J. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Dec1974, Vol. 29 Issue 5, p1397; Thesaurus Term: BANKING industry; Thesaurus Term: BANK mergers; Thesaurus Term: CONSOLIDATION & merger of corporations -- Law & legislation; Thesaurus Term: CORPORATIONS -- Growth; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: BANKING research; Thesaurus Term: INDUSTRIAL concentration; Thesaurus Term: GROWTH rate; Thesaurus Term: REGULATED industries; Thesaurus Term: BANKING law & legislation; Thesaurus Term: FINANCIAL performance; Thesaurus Term: BANK deposits; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4654709&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - KWACK, SUNG Y. T1 - A NOTE ON THE BALANCE OF PAYMENTS EFFECTS OF THE U.S. CAPITAL CONTROLS PROGRAMS: SIMULATION ESTIMATES. JO - Journal of Finance JF - Journal of Finance Y1 - 1974/06// VL - 29 IS - 3 M3 - Article SP - 1001 EP - 1005 PB - Wiley-Blackwell SN - 00221082 AB - The theoretical analysis set forth in Section I shows that while the capital controls programs initially improve the balance of payments, this initial effect can be reversed after a time. The dynamic simulations over the period 1965:2- 1970:4 presented in Section II suggest the estimate of the control's effect in the initial year is an improvement of approximately $4.5 billion in the liquidity balance. Also, the effects are estimated to diminish gradually and continuously to an annual rate of some $2.8 billion after 5 years. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BALANCE of payments KW - CAPITAL movements KW - CAPITAL KW - GOVERNMENT policy KW - ECONOMICS KW - FOREIGN investments KW - LIQUIDITY (Economics) KW - BALANCE of payments deficit KW - INTERNATIONAL liquidity KW - RATE of return KW - BALANCE of trade KW - UNITED States N1 - Accession Number: 4655508; KWACK, SUNG Y. 1; Affiliations: 1: Economist, Board of Governors of the Federal Reserve System.; Issue Info: Jun74, Vol. 29 Issue 3, p1001; Thesaurus Term: BALANCE of payments; Thesaurus Term: CAPITAL movements; Thesaurus Term: CAPITAL; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: ECONOMICS; Thesaurus Term: FOREIGN investments; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: BALANCE of payments deficit; Thesaurus Term: INTERNATIONAL liquidity; Thesaurus Term: RATE of return; Thesaurus Term: BALANCE of trade; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4655508&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pierce, James L. AU - Enzler, Jared L. T1 - The Effects of External Inflationary Shocks. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1974/03// IS - 1 M3 - Article SP - 13 EP - 54 PB - Brookings Institution Press SN - 00072303 AB - This article analyzes the effects of external inflationary attacks on the economy and some of the problems they pose for the formulation of monetary policy. Lowering real income and wealth, increasing the nominal level of transactions and raising consumer prices are the three main avenues through which an external price rise may have an impact on the economy. The initial impact through any one of these avenues will depend on the nature of the initiating shock. Thus, for example, the depressing effect on consumption of a rise in oil prices will be greater for imported oil than for domestically produced oil since the higher revenues in the case of imported oil will not raise domestic incomes. Whatever the initial impact of a price shock, it will generate important secondary effects as spending, prices, and interest rates respond and induce still further changes in economic activity. In addition, the actual course of the economy will depend on the response of policy to the initial disturbance and its consequences. In order to analyze the full impact of shocks more precisely, a modified version of the MIT-Penn-SSRC quarterly econometric model was used to simulate the effect of the 1973-74 increases in oil prices on the economy. KW - INFLATION (Finance) KW - ECONOMICS KW - MONETARY policy KW - ECONOMIC policy KW - PRICE increases KW - ECONOMIC activity N1 - Accession Number: 7069325; Pierce, James L. 1; Enzler, Jared L. 1; Affiliations: 1: Staff, Board of Governors of the Federal Reserve System; Issue Info: 1974, Issue 1, p13; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMICS; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC policy; Thesaurus Term: PRICE increases; Thesaurus Term: ECONOMIC activity; Number of Pages: 42p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7069325&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - DaLtoN, Jiuas A. AU - RHOADES, STEPHEN A. T1 - GROWTH AND PRODUCT DIFFERENTIABILITY AS FACTORS INFLUENCING CHANGES IN CONCENTRATION. JO - Journal of Industrial Economics JF - Journal of Industrial Economics Y1 - 1974/03// VL - 22 IS - 3 M3 - Article SP - 235 PB - Wiley-Blackwell SN - 00221821 AB - Two important hypotheses regarding factors influencing changes in concentration have been investigated. One is that a high rate of market growth is a concentration reducing force because smaller firms and potential entrants are encouraged to expand during rapid growth periods since they can do so without encroaching on the market of existing firms. This hypothesis has been examined empirically but the results are conflicting. The second hypothesis is that concentration is more likely to increase or least likely to decrease in industries which produce differentiated goods. This study attempts to overcome some of the problems which have plagued earlier studies of the influence of growth and product differentiation on changes in concentration. The sample of industries used in this analysis was drawn from the 211 Census, four-digit manufacturing industries for which essentially comparable data were available over the period 1947-67. Eleven of these 211 industries were eliminated from the analysis because they consisted of manufacturing establishments which did not conform to the standard Census industries and were, therefore, assigned by the Census Bureau to industries described as "not elsewhere classified" or "miscellaneous." KW - INDUSTRIAL laws & legislation KW - PRODUCT differentiation KW - INDUSTRIAL concentration KW - MANUFACTURES KW - DEMOGRAPHIC surveys KW - REGRESSION analysis KW - BRAND differentiation KW - HOUSEHOLD surveys N1 - Accession Number: 5710462; DaLtoN, Jiuas A. 1; RHOADES, STEPHEN A. 2; Affiliations: 1: UNIVERSITY OF SOUTHERN ILLINOIS.; 2: BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM, WASHINGTON D.C.; Issue Info: Mar74, Vol. 22 Issue 3, p235; Thesaurus Term: INDUSTRIAL laws & legislation; Thesaurus Term: PRODUCT differentiation; Thesaurus Term: INDUSTRIAL concentration; Thesaurus Term: MANUFACTURES; Thesaurus Term: DEMOGRAPHIC surveys; Thesaurus Term: REGRESSION analysis; Thesaurus Term: BRAND differentiation; Subject Term: HOUSEHOLD surveys; NAICS/Industry Codes: 339990 All other miscellaneous manufacturing; NAICS/Industry Codes: 339999 All Other Miscellaneous Manufacturing; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5710462&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Dooley, Michael P. AD - Unlisted T1 - A model of arbitrage and short-term capital flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 40 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700632; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700632&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - Comment on 'The effects of exchange rate adjustment on international investment' by Dennis E. Logue and Thomas D. Willett PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 53 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700643; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700643&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H., Jr. AD - Unlisted T1 - Comparing U.S. company bond issue costs in the U.S. and Euro-bond markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 49 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700639; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700639&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Adler, Michael AU - Stevens, Guy V. G. AD - Unlisted AD - Unlisted T1 - Direct investment and trade: an analysis of the export displacement effect PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 41 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700648; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700648&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - Dock strike adjustment factors for major categories of U.S. imports and exports, 1958-1974 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 60 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700647; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700647&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Bryant, Ralph C. AD - Unlisted T1 - Empirical research on financial capital flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 50 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700640; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700640&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fieleke, Norman S. AD - Unlisted T1 - Exchange-rate flexibility and the efficiency of the foreign-exchange markets PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 44 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700634; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700634&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Berner, Richard AU - Clark, Peter AU - Enzler, Jared AU - Lowrey, Barbara AD - Unlisted AD - Unlisted AD - Unlisted AD - Unlisted T1 - International sources of domestic inflation PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 55 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700645; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700645&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lindert, Peter H. AU - Stevens, Guy V. G. AD - Unlisted AD - Unlisted T1 - On the balance of payments effects of direct investment and the efficacy of controls: comments on and extensions of an article by Peter H. Lindert PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 43 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700649; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700649&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - Price linkage in an interdependent world economy: price responses to exchange rate and activity changes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 56 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700646; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700646&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salant, Stephen W. AD - Unlisted T1 - Profitable speculation, price stability, and welfare PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 54 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700644; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700644&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - Simulations with a model of the U.S. balance of payments: the impact of the Smithsonian exchange rate agreement PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 48 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700638; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700638&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Junz, Helen B. AU - Lowrey, Barbara R. AD - Unlisted AD - Unlisted T1 - The effect of changes in economic activity on U.S. trade flows PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 42 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700633; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700633&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Clark, Peter B. AD - Unlisted T1 - The effects of recent exchange rate changes on the U.S. trade balance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 52 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700642; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700642&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Katz, Samuel I. AD - Unlisted T1 - The emerging exchange-rate system (early 1974) PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 46 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700636; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700636&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fieleke, Norman S. AD - Unlisted T1 - The energy content of U.S. exports and imports PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 51 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700641; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700641&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AD - Unlisted T1 - The price effects of exchange rate changes: models, empirical evidence, and notes on aggregation bias PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 45 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700635; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700635&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Hooper, Peter AU - Wilson, John F. AD - Unlisted AD - Unlisted T1 - Two multi-level models of U.S. merchandise trade, 1958.I-1971.IV, and post-sample analysis, 1972.I-1973.II: an evaluation of a workable forecasting system PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 47 Y1 - 1974/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700637; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700637&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - ABST AU - SLOVIN, MYRON BURTON T1 - DEPOSIT RATE SETTING AT FINANCIAL INTERMEDIARIES: THEORETICAL MODELS AND ECONOMETRIC ANALYSES WITH ADDITIONAL FOCUS ON SAVINGS AND LOAN ASSOCIATIONS. JO - Journal of Finance JF - Journal of Finance Y1 - 1973/12// VL - 28 IS - 5 M3 - Abstract SP - 1380 EP - 1381 PB - Wiley-Blackwell SN - 00221082 AB - The article discusses an explicit economic analysis of the deposit rate setting behavior of commercial banks, mutual savings banks, and savings and loan associations. The article develops several theories of rate setting behavior, with specific attention focused on intermediaries with little flexibility in portfolio behavior. The article uses theoretical work as its basis to examine deposit rate setting functions, which are estimated on section and time series data. It is explained that the cross section results apply to savings and loans associations, while the time series results include equations for commercial banks and mutual savings banks, as well as savings and loan associations. KW - INVESTMENT analysis KW - BANKING industry KW - SAVINGS banks KW - SAVINGS & loan associations KW - RATE setting KW - PORTFOLIO management (Investments) KW - PROFIT maximization KW - ECONOMETRICS KW - CORPORATE profits KW - MANAGEMENT KW - MARKET prices KW - MATHEMATICAL models KW - UTILITY functions N1 - Accession Number: 27830081; SLOVIN, MYRON BURTON 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec1973, Vol. 28 Issue 5, p1380; Thesaurus Term: INVESTMENT analysis; Thesaurus Term: BANKING industry; Thesaurus Term: SAVINGS banks; Thesaurus Term: SAVINGS & loan associations; Thesaurus Term: RATE setting; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: PROFIT maximization; Thesaurus Term: ECONOMETRICS; Thesaurus Term: CORPORATE profits; Thesaurus Term: MANAGEMENT; Thesaurus Term: MARKET prices; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: UTILITY functions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 2p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27830081&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Swamy, P. A. V. B. AU - Mehta, J. S. T1 - Bayesian Analysis of Error Components Regression Models. JO - Journal of the American Statistical Association JF - Journal of the American Statistical Association Y1 - 1973/09// VL - 68 IS - 343 M3 - Article SP - 648 SN - 01621459 AB - This article examines the use of a two-way, random-effects, model with correlated errors and additional explanatory variables in combining cross-section with time series data. This model has been analyzed from a Bayesian viewpoint. Methods are developed for computing posterior distributions of slope coefficients. The advantage of our approach over sampling theory approaches is briefly discussed. It has been shown how one can obtain reasonable inferences about slope coefficients which are the parameters of interest, in the presence of nonestimable nuisance parameters by judicious use of sample and prior information. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Statistical Association is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ERROR analysis (Mathematics) KW - CORRELATION (Statistics) KW - REGRESSION analysis KW - BAYESIAN analysis KW - MATHEMATICAL models KW - PARAMETER estimation KW - ESTIMATION theory KW - VARIABLES (Mathematics) KW - METHODOLOGY KW - MODELS & modelmaking N1 - Accession Number: 4607171; Swamy, P. A. V. B. 1; Mehta, J. S. 2; Affiliations: 1: Economist, Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; 2: Associate Professor, Department of Mathematics, Temple University, Philadelphia, Penn. 19122.; Issue Info: Sep73, Vol. 68 Issue 343, p648; Thesaurus Term: ERROR analysis (Mathematics); Thesaurus Term: CORRELATION (Statistics); Thesaurus Term: REGRESSION analysis; Thesaurus Term: BAYESIAN analysis; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: PARAMETER estimation; Thesaurus Term: ESTIMATION theory; Subject Term: VARIABLES (Mathematics); Subject Term: METHODOLOGY; Subject Term: MODELS & modelmaking; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4607171&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Henderson, Dale W. AU - Sargent, Thomas J. T1 - Monetary and Fiscal Policy in a Two-Sector Aggregative Model. JO - American Economic Review JF - American Economic Review Y1 - 1973/06// VL - 63 IS - 3 M3 - Article SP - 345 EP - 365 PB - American Economic Association SN - 00028282 AB - This article analyzes the short-term influences exerted by monetary and fiscal policies in a two-sector macroeconomic model. Increase in the money supply and the expected rate of inflation and decreases in the money wage and the marginal income and profits tax rates increase output, employment, and prices in our model. Those changes have their effects by introducing disturbances in the markets for stocks of physical and paper assets, thereby exerting pressure on prices, causing firms to adjust their levels of output and employment. On the other hand, increases in the level of government expenditures and decreases in tax collections may either increase or decrease output and employment depending upon the relative capital intensities of the two production sectors and some other conditions involving the interest elasticity of the demand for money. These fiscal policies affect output and employment only to the extent that consumption goods and capital goods are not perfect substitutes in production; if they are perfect substitutes, the rates of government expenditures and of tax collections play no role in the determination of output and employment at a point in time. These properties serve to highlight just how important are the characteristics of the market in existing physical capital. KW - ECONOMIC models KW - MACROECONOMICS KW - ECONOMIC policy KW - ECONOMICS KW - FISCAL policy KW - MONETARY policy N1 - Accession Number: 4507754; Henderson, Dale W. 1; Sargent, Thomas J. 2; Affiliations: 1: Member of the staff, Board of Governors of the Federal Reserve System; 2: Member, department of economics, University of Minnesota; Issue Info: Jun73, Vol. 63 Issue 3, p345; Thesaurus Term: ECONOMIC models; Thesaurus Term: MACROECONOMICS; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMICS; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 21p; Illustrations: 1 Chart, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4507754&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Junz, Helen B. AU - Rhomberg, Rudolf R. T1 - Price Competitiveness in Export Trade Among Industrial Countries. JO - American Economic Review JF - American Economic Review Y1 - 1973/05// VL - 63 IS - 2 M3 - Article SP - 412 EP - 418 SN - 00028282 AB - Examines the impact of relative price changes in industrialized countries on the trade flows between them from 1958 to 1969. KW - EXPORTS KW - INTERNATIONAL trade KW - PRICES KW - FOREIGN exchange rates KW - MARKET share KW - ELASTICITY (Economics) KW - DISTRIBUTED lags (Economics) KW - BUSINESS KW - DEVELOPED countries N1 - Accession Number: 4504972; Junz, Helen B. 1; Rhomberg, Rudolf R. 2; Affiliations: 1 : Board of Governors of the Federal Reserve System; 2 : International Monetary Fund; Source Info: May73, Vol. 63 Issue 2, p412; Historical Period: 1958 to 1969; Subject Term: EXPORTS; Subject Term: INTERNATIONAL trade; Subject Term: PRICES; Subject Term: FOREIGN exchange rates; Subject Term: MARKET share; Subject Term: ELASTICITY (Economics); Subject Term: DISTRIBUTED lags (Economics); Subject Term: BUSINESS; Subject: DEVELOPED countries; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=hia&AN=4504972&site=ehost-live&scope=site DP - EBSCOhost DB - hia ER - TY - JOUR AU - BRIMMER, ANDREW F. T1 - MULTI-NATIONAL BANKS AND THE MANAGEMENT OF MONETARY POLICY IN THE UNITED STATES. JO - Journal of Finance JF - Journal of Finance Y1 - 1973/05// VL - 28 IS - 2 M3 - Article SP - 439 EP - 454 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on U.S. monetary policy in the 1970s, particularly regarding the influence and control of multinational commercial banking. Shifts in the banking structure of the U.S. due to the influx of multinational influences are described. The responsibilities of the Federal Reserve System (Fed) to monitor the changes in commercial bank credit structures and potentially regulate them are asserted by the author. It is suggested that additional financial instruments are necessary for the Fed to ensure monetary and credit control. KW - MONETARY policy KW - INTERNATIONAL banking industry KW - BANKING industry -- United States KW - CAPITAL market KW - CREDIT control KW - EUROCURRENCY market KW - MONEY supply KW - MONETARY theory KW - BANK loans KW - CAPITAL movements KW - UNITED States -- Economic conditions -- 1971-1981 KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 4656927; BRIMMER, ANDREW F. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System.; Issue Info: May73, Vol. 28 Issue 2, p439; Thesaurus Term: MONETARY policy; Thesaurus Term: INTERNATIONAL banking industry; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: CAPITAL market; Thesaurus Term: CREDIT control; Thesaurus Term: EUROCURRENCY market; Thesaurus Term: MONEY supply; Thesaurus Term: MONETARY theory; Thesaurus Term: BANK loans; Thesaurus Term: CAPITAL movements; Subject Term: UNITED States -- Economic conditions -- 1971-1981; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656927&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Yeats, Alexander J. T1 - An Analysis of the Effect of Mergers On Banking Market Structures. JO - Journal of Money, Credit & Banking (Ohio State University Press) JF - Journal of Money, Credit & Banking (Ohio State University Press) Y1 - 1973/05// VL - 5 IS - 2 M3 - Article SP - 623 EP - 636 PB - Ohio State University Press SN - 00222879 AB - This article investigates the effect that mergers have upon banking market structures in the United States. The data analyzed for the study was limited to the states of California, New Jersey, and North Carolina because they met certain criteria. The period of 1961 through 1968 was used because it overlaps with bank structure studies done by the U.S. Federal Reserve Bank. The author uses a Markov transition model with a probability matrix to forecast changes in banking structure brought about by a merger. KW - BANK mergers KW - ORGANIZATIONAL structure KW - MARKOV processes KW - BANKING industry -- United States KW - PREDICTION models KW - UNITED States -- Economic conditions -- 1961-1971 KW - CALIFORNIA KW - NEW Jersey KW - NORTH Carolina KW - UNITED States N1 - Accession Number: 5163836; Yeats, Alexander J. 1; Affiliations: 1: Staff Economist, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: May73, Vol. 5 Issue 2, p623; Thesaurus Term: BANK mergers; Thesaurus Term: ORGANIZATIONAL structure; Thesaurus Term: MARKOV processes; Thesaurus Term: BANKING industry -- United States; Subject Term: PREDICTION models; Subject Term: UNITED States -- Economic conditions -- 1961-1971; Subject: CALIFORNIA; Subject: NEW Jersey; Subject: NORTH Carolina; Subject: UNITED States; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; Number of Pages: 14p; Illustrations: 1 Diagram, 6 Charts, 2 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5163836&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Goldberg, Lawrence G. T1 - THE EFFECT OF CONGLOMERATE MERGERS ON COMPETITION. JO - Journal of Law & Economics JF - Journal of Law & Economics Y1 - 1973/04// VL - 16 IS - 1 M3 - Article SP - 137 EP - 158 SN - 00222186 AB - Examines the allegation that conglomerate mergers are harmful to competition. The results of an analysis based on 44 mergers in 15 different industries provide no evidence in support of this allegation. "Conglomerate mergers should not be prohibited as a general policy based on supposed harmful competitive effects as has been proposed by the Neal Task Force. KW - CORPORATIONS KW - PROPERTY KW - CORPORATE governance KW - LAW KW - ECONOMICS KW - CONSOLIDATION & merger of corporations KW - COMPETITION N1 - Accession Number: 11478199; Goldberg, Lawrence G. 1; Affiliations: 1 : Board of Governors of the Federal Reserve System; Source Info: Apr73, Vol. 16 Issue 1, p137; Note: Based on secondary sources; 9 tables, 36 notes.; Historical Period: Prehistory to 1973; Subject Term: CORPORATIONS; Subject Term: PROPERTY; Subject Term: CORPORATE governance; Subject Term: LAW; Subject Term: ECONOMICS; Subject Term: CONSOLIDATION & merger of corporations; Subject Term: COMPETITION; Number of Pages: 22p; Illustrations: 9 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=11478199&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Poole, William T1 - Wage-Price Controls: Where Do We Go from Here? JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1973/03// IS - 1 M3 - Article SP - 285 EP - 299 PB - Brookings Institution Press SN - 00072303 AB - Presents a paper that focuses on the Phase II and Phase III programs and the effect of wage-price increases on the economy. Need for wage-price controls to end; Failure of wage-price controls; Comparison of the different Phases employed over the years to combat recessions; Shortages in various industries as a result of wage-price controls; Speculation on how wage-prices should be controlled in the future. KW - INCOMES policy (Economics) KW - ECONOMIC policy KW - ANTI-inflationary policies KW - INCOME distribution KW - PRICE regulation N1 - Accession Number: 12885273; Poole, William 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: 1973, Issue 1, p285; Thesaurus Term: INCOMES policy (Economics); Thesaurus Term: ECONOMIC policy; Thesaurus Term: ANTI-inflationary policies; Thesaurus Term: INCOME distribution; Thesaurus Term: PRICE regulation; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=12885273&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Craine, Roger T1 - On the Service Flow from Labour. JO - Review of Economic Studies JF - Review of Economic Studies Y1 - 1973/01// VL - 40 IS - 1 M3 - Article SP - 39 PB - Oxford University Press / USA SN - 00346527 AB - This paper suggests a simple generalization that helps bring empirical results into closer agreement with theoretical models for any type of production function. We separate manhours, the surrogate for labour in most empirical studies into two heterogeneous components, "men" and hours. Feldstein hypothesized that increases in average hours may increase labour productivity more than proportionally. His cross-section estimates of a three-factor Cobb-Douglas function (average hours, men, capital) for British manufacturing industries tended to confirm the hypothesis. This paper uses Feldstein's hypothesis as a base. We derive and estimate a model that posits the service flow from labour is a non-proportional function of men and hours. The model displays the conventional characteristics of decreasing returns to men and capital, but it has increasing returns for hours. Overtime costs limit the long run demand for hours per man. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economic Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LABOR demand KW - LABOR KW - PRODUCTION functions (Economic theory) KW - CAPITAL productivity KW - WORKING hours KW - LABOR economics KW - LABOR productivity KW - ECONOMETRIC models KW - LABOR time N1 - Accession Number: 4622484; Craine, Roger 1; Affiliations: 1: Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jan73, Vol. 40 Issue 1, p39; Thesaurus Term: LABOR demand; Thesaurus Term: LABOR; Thesaurus Term: PRODUCTION functions (Economic theory); Thesaurus Term: CAPITAL productivity; Thesaurus Term: WORKING hours; Thesaurus Term: LABOR economics; Thesaurus Term: LABOR productivity; Thesaurus Term: ECONOMETRIC models; Thesaurus Term: LABOR time; Number of Pages: 8p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4622484&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Katz, Samuel I. AD - Unlisted T1 - 'Imported inflation' and the balance of payments PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 32 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700624; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700624&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salop, Joanne AD - Unlisted T1 - A note on the monetary approach to the balance of payments PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 36 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700628; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700628&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lang, Alex AD - Unlisted T1 - A review of current U.S. position in petroleum PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 25 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700617; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700617&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance AU - Henderson, Dale AD - Unlisted AD - Unlisted T1 - A two country model of financial capital movements as stock adjustments with emphasis on the effects of central bank policy PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 24 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700616; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700616&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Junz, Helen B. AD - Unlisted T1 - Balance of payments aims and structures in the 1970s PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 38 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700630; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700630&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Salop, Joanne AD - Unlisted T1 - Devaluation and the balance of trade under flexible wages PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 27 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700619; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700619&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Severn, Alan K. AU - Laurence, Martin M. AD - Unlisted AD - Unlisted T1 - Direct investment, research intensity, and profitability PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 30 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700622; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700622&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Severn, Alan K. AD - Unlisted T1 - Investor evaluation of foreign and domestic risk PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 34 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700626; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700626&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lang, Alex S. AD - Unlisted T1 - New trends in the energy-petroleum of Europe and Japan PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 39 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700631; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700631&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Junz, Helen B. AU - Rhomberg, Rudolf R. AD - Unlisted AD - Unlisted T1 - Price competitiveness in export trade among industrial countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 22 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700614; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700614&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Isard, Peter AU - Truman, Edwin M. AD - Unlisted AD - Unlisted T1 - SDRs, interest and the aid link: further analysis PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 26 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700618; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700618&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H., Jr. AD - Unlisted T1 - Structural change in the Eurodollar market: evidence from a two-equation model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 33 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700625; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700625&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Resnick, Stephen A. AU - Truman, Edwin M. AD - Unlisted AD - Unlisted T1 - The distribution of West European trade under alternative tariff policies PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 28 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700620; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700620&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Kwack, Sung Y. AD - Unlisted T1 - The effects of foreign inflation on domestic prices and the relative price advantage of exchange rate changes PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 35 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700627; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700627&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lang, Alex S. AD - Unlisted T1 - The energy crisis and the less-developed countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 37 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700629; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700629&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Terrell, Henry S. AD - Unlisted T1 - The foreign term-lending activities of U.S. banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 23 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700615; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700615&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Stevens, Guy V. G. AD - Unlisted T1 - The multinational firm and the determinants of investment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 29 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700621; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700621&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - The rate of monetization in the less developed countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 31 Y1 - 1973/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700623; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700623&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Brimmer, Andrew F. T1 - REPLY. JO - Journal of Finance JF - Journal of Finance Y1 - 1972/12// VL - 27 IS - 5 M3 - Article SP - 1139 EP - 1140 PB - Wiley-Blackwell SN - 00221082 AB - The purpose of the paper was to provide an objective and systematic appraisal of the capacity of black-owned commercial banks to finance economic development in the black community. This appeared to be a vital task at the time since these institutions were being formed at an accelerated rate with that specific aim in mind. On the basis of the evidence analyzed (virtually all of which was newly generated information available only through Federal bank supervisory agencies), I concluded that black banks were not viable instruments of economic development. However, I also concluded that they could perform some minor services of benefit to their local areas, and they could serve as symbols of black achievement. As an alternative source of financing, I proposed a domestic version of the existing Edge Corporations. These are subsidiaries of U.S. commercial banks formed for the purpose of conducting foreign financial activities. Among the latter, they can have varying amounts of equity investments in non-financial enterprises abroad. It was this feature which I thought offered promise as a means of expanding the availability of risk-bearing funds in black communities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BLACK business enterprises KW - MINORITY business enterprises KW - ECONOMIC development KW - AFRICAN American banking industry KW - BANKING industry -- United States KW - DEVELOPMENT economics KW - ECONOMIC policy KW - BUSINESS enterprises KW - FINANCIAL management KW - STOCKS (Finance) KW - AFRICAN Americans KW - UNITED States N1 - Accession Number: 4656422; Brimmer, Andrew F. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec1972, Vol. 27 Issue 5, p1139; Thesaurus Term: BLACK business enterprises; Thesaurus Term: MINORITY business enterprises; Thesaurus Term: ECONOMIC development; Thesaurus Term: AFRICAN American banking industry; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: DEVELOPMENT economics; Thesaurus Term: ECONOMIC policy; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: FINANCIAL management; Thesaurus Term: STOCKS (Finance); Subject Term: AFRICAN Americans; Subject: UNITED States; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656422&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Irvine, Reed J. T1 - A New Approach to Foreign Aid. JO - Columbia Journal of World Business JF - Columbia Journal of World Business Y1 - 1972/09//Sep/Oct72 VL - 7 IS - 5 M3 - Article SP - 23 PB - Elsevier Science Publishing Company, Inc. SN - 00225428 AB - The existence of cycles in economic thinking is nowhere better illustrated than in the related fields of economic development and economic aid from the advanced to the less-developed countries. Twenty years ago, those considered most knowledgeable about what are now called the developing countries believed that it would be a long and arduous task to increase significantly theft material standards of living. Of course, in the late 1940s and the early 1950s capital was badly needed for the reconstruction of Europe, and this received the highest priority. The United States unquestionably had the resources to provide this investment and the machinery through which it could be administered. There were some doubts about the wisdom of pouring large amounts of capital into countries that were predominantly agricultural, with low levels of skill and high levels of illiteracy. It is a well-known fact that an investment can go sour. The supposition that investments will yield a certain income, on the average, is no assurance whatever that any particular investment or any set of investments will yield any income whatever. It is possible to put in a lot of investment and get nothing out at the other end, or investment can produce a high yield in financial terms and still be a disaster from an economic point of view. For example, an automobile manufacturing plant in a small country with high protection against auto imports may yield an excellent return from a financial view point. KW - FINANCE KW - INTERNATIONAL economic assistance KW - ECONOMIC development KW - DEVELOPMENT economics KW - ECONOMIC indicators KW - DEVELOPING countries -- Economic conditions KW - DEVELOPING countries KW - UNITED States N1 - Accession Number: 5541066; Irvine, Reed J. 1; Affiliations: 1: Adviser, Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: Sep/Oct72, Vol. 7 Issue 5, p23; Thesaurus Term: FINANCE; Thesaurus Term: INTERNATIONAL economic assistance; Thesaurus Term: ECONOMIC development; Thesaurus Term: DEVELOPMENT economics; Thesaurus Term: ECONOMIC indicators; Subject Term: DEVELOPING countries -- Economic conditions; Subject Term: DEVELOPING countries; Subject: UNITED States; NAICS/Industry Codes: 911420 International assistance; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 928120 International Affairs; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5541066&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - ABST AU - RUCKDRESCHEL, FREDERIC BRILL T1 - THE DETERMINANTS OF A DIRECT INVESTMENT OUTFLOW WITH EMPHASIS ON THE SUPPLY OF FUNDS. JO - Journal of Finance JF - Journal of Finance Y1 - 1972/09// VL - 27 IS - 4 M3 - Abstract SP - 954 EP - 955 PB - Wiley-Blackwell SN - 00221082 AB - The article presents an abstract by Frederic Brill Ruckdeschel for a dissertation entitled "The Determinants of a Direct Investment Outflow With Emphasis on the Supply of Funds." KW - FOREIGN investments N1 - Accession Number: 27971509; RUCKDRESCHEL, FREDERIC BRILL 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep72, Vol. 27 Issue 4, p954; Thesaurus Term: FOREIGN investments; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 2p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27971509&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Laub, P. Michael T1 - Some Aspects of the Aggregation Problem in the Dividend-Earnings Relationship. JO - Journal of the American Statistical Association JF - Journal of the American Statistical Association Y1 - 1972/09// VL - 67 IS - 339 M3 - Article SP - 552 SN - 01621459 AB - Four models of the relationship between dividends and earnings are estimated to study the effects of different types of aggregation. The data indicate that the adjustment process is 'probably' discrete. One of the models implies o discrete adjustment process, while the other three imply a continuous process. All of the models are estimated using two different but equally reasonable proxies for normal earnings. Temporal and cross-sectional aggregation, and changes in assumptions about the adjustment process, affect the estimated speeds of adjustment more than the target payout ratios. Temporal aggregation produces a bigger information loss than aggregation across firms. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Statistical Association is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DIVIDENDS KW - CONTINUOUS processing KW - FINANCIAL ratios KW - INCOME KW - AGGREGATION operators KW - HYPOTHESIS N1 - Accession Number: 4607788; Laub, P. Michael 1; Affiliations: 1: Economist, Capital Markets Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C. 20551.; Issue Info: Sep72, Vol. 67 Issue 339, p552; Thesaurus Term: DIVIDENDS; Thesaurus Term: CONTINUOUS processing; Thesaurus Term: FINANCIAL ratios; Thesaurus Term: INCOME; Subject Term: AGGREGATION operators; Subject Term: HYPOTHESIS; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4607788&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William AU - Lieberman, Charles T1 - Improving Monetary Control. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1972/06// IS - 2 M3 - Article SP - 293 EP - 335 PB - Brookings Institution Press SN - 00072303 AB - As the arguments favoring increased policy attention to the money stock have gained acceptance, the ability of the Federal Reserve to control the money stock has become a more prominent issue. The simple theoretical model presented earlier in this paper demonstrates that imprecise monetary control tends to aggravate the instability of both income and interest rates. In order to present a broad view of the control problem an effort has been made to analyze all of the major sources of control errors and construct as comprehensive a list of reforms as possible. While analysis has been concentrated on the technical aspects of the proposed reforms, it must be recognized that implementation of reform must await analysis of the entire range of economic effects of the reforms. Since extremely accurate control seems possible within the present institutional framework, the proposed reforms do not go outside it. For example, in designing reforms, we have ignored the fact that a system of 100 percent reserve requirements would eliminate disturbances arising from fractional reserve banking, and that freely flexible foreign exchange rates would protect the domestic money stock from foreign influences. The improvement of monetary control calls for separate reforms no one of which can, by itself, solve the control problem. And so, in the order of the discussion in the paper, here is the reform shopping list: (1) Eliminate reserve requirements against Treasury deposits in commercial banks. (2) Require all nonmember banks to adhere to the Federal Reserve reserve requirements specified for member banks. (3) If Mt is accepted without qualification as the definition of money for policy purposes, eliminate reserve requirements on time and savings deposits. (4) Abandon lagged reserve requirements in favor of contemporaneous reserve requirements. (5) Amend regulations and invest in additional data processing equipment to reduce Federal Reserve float to the greatest extent... [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MONEY supply KW - MONETARY policy KW - INCOME KW - INTEREST rates KW - FOREIGN exchange rates KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 7074079; Poole, William 1; Lieberman, Charles 2; Affiliations: 1: Board of Governors of the Federal Reserve System; 2: University of Pennsylvania; Issue Info: 1972, Issue 2, p293; Thesaurus Term: MONEY supply; Thesaurus Term: MONETARY policy; Thesaurus Term: INCOME; Thesaurus Term: INTEREST rates; Thesaurus Term: FOREIGN exchange rates ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 43p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7074079&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Brimmer, Andrew F. T1 - The Political Economy of Money: Evolution and Impact of Monetarism in the Federal Reserve System. JO - American Economic Review JF - American Economic Review Y1 - 1972/05// VL - 62 IS - 2 M3 - Article SP - 344 PB - American Economic Association SN - 00028282 AB - For almost a generation a vigorous debate has been underway over the conduct of monetary policy. The Federal Reserve has modified its conduct of monetary policy in response to monetarist criticism. However, it has stopped far short of adopting the money supply (or any other single target) as the exclusive guide for monetary management. Federal Reserve monetary policy has been focused on interest rates or money market conditions, rather than on the behavior of the money supply or other monetary aggregates. The Federal Open Market Committee has been described as pursuing a money market strategy in the conduct of open market operations. Basic to this strategy is the focus on a configuration of money market conditions as operating guides for the manager of the System Open Market Account. While fluctuations in monetary conditions have undoubtedly contributed to economic instability on some occasions in the past, non-financial factors (such as wars, variations in the rate of business investment and changes in consumer spending⁄savings behavior) have also been a principal source of fluctuations in output and employment. KW - MONEY KW - INSTITUTIONAL economics KW - MARKETING strategy KW - CONSUMER behavior KW - UNITED States KW - BOARD of Governors of the Federal Reserve System (U.S.) N1 - Accession Number: 4504277; Brimmer, Andrew F. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System.; Issue Info: May72, Vol. 62 Issue 2, p344; Thesaurus Term: MONEY; Thesaurus Term: INSTITUTIONAL economics; Thesaurus Term: MARKETING strategy; Thesaurus Term: CONSUMER behavior; Subject: UNITED States ; Company/Entity: BOARD of Governors of the Federal Reserve System (U.S.); NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4504277&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - POOLE, WILLIAM T1 - DISCUSSION. JO - Journal of Finance JF - Journal of Finance Y1 - 1972/05// VL - 27 IS - 2 M3 - Article SP - 298 EP - 302 PB - Wiley-Blackwell SN - 00221082 AB - Roll's argument is based on the theory of efficient markets. "Why," he asks, "should the price of a commodity not be bid up today if it is expected to be higher tomorrow?" The misleading aspect of this question is that it fails to distinguish between nominal and relative prices. This argument, however, only pushes the problem back a stage. Why don't the nominal prices of all storable commodities rise today to the levels expected tomorrow? This result is the one obtained in Roll's simple model. The answer is that the higher is the price level today, the lower is the level of real money balances today. Since real money balances provide a yield in production and consumption services, the holders of money balances will want to bid commodity prices up only to the point at which the cost of holding real balances--the real rate of interest plus the rate of increase of commodity prices--equals the marginal services yield on real balances. If the marginal services yield on real balances were for some reason to be zero, then the price level today would be bid up above tomorrow's expected price level so that the yield on money balances from deflation would equal the real rate of interest. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FISHER effect (Economics) KW - PRICES KW - INTEREST rates KW - INFLATION (Finance) KW - ECONOMETRICS KW - EFFICIENT market theory KW - EFFECT of inflation on interest rates KW - PRICE levels KW - MONETARY policy KW - DEMAND for money KW - POOLE, William, 1937- KW - ROLL, Richard N1 - Accession Number: 4660660; POOLE, WILLIAM 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May72, Vol. 27 Issue 2, p298; Thesaurus Term: FISHER effect (Economics); Thesaurus Term: PRICES; Thesaurus Term: INTEREST rates; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMETRICS; Thesaurus Term: EFFICIENT market theory; Thesaurus Term: EFFECT of inflation on interest rates; Thesaurus Term: PRICE levels; Thesaurus Term: MONETARY policy; Thesaurus Term: DEMAND for money; People: POOLE, William, 1937-; People: ROLL, Richard; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4660660&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Lang, Alex S. AD - Unlisted T1 - A crisis in critical commodities PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 17 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700608; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700608&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irvine, Reed J. AD - Unlisted T1 - A new approach to foreign aid PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 13 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700604; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700604&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roper, Don E. AD - Unlisted T1 - A note on the mix of policies and the theory of capital movements PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 10 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700602; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700602&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance W. AU - Michaely, Michael AD - Unlisted AD - Unlisted T1 - Book review--'The Responsive of demand policies to balance of payments: postwar patterns', by Michael Michaely (New York and London : National Bureau of Economic Research, 1971) PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 11 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700613; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700613&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Lang, Alex AD - Unlisted T1 - Economic reforms in South Vietnam PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 9 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700601; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700601&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roper, Don E. AD - Unlisted T1 - Forward exchange rates as estimates of exchange rate expectations: a comment PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 14 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700605; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700605&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Junz, Helen B. AD - Unlisted T1 - Notes on some aspects of the effects of the effects of the recent exchange rate changes on the U.S. trade balance PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 12 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700603; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700603&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Fisher, Robert Moore AU - Siegman, Charles J. AD - Unlisted AD - Unlisted T1 - Patterns of housing experience during periods of credit restraint in industrialized countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 7 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700598; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700598&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - Postwar trends in income and deposit velocity and LDCs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 21 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700612; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700612&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance W. AD - Unlisted T1 - SDR creation and the real-bills doctrine PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 18 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700609; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700609&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Gemmill, Robert F. AD - Unlisted T1 - Some policy aspects of foreign operations of international banks PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 6 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700597; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700597&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roper, Don E. AD - Unlisted T1 - The effects of the substitution of dollars for gold for the distribution of the adjustment burden and the control of the world money supply PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 15 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700606; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700606&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Severn, Alan K. AD - Unlisted T1 - The financing of the multi-national firm: comment and extension PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 20 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700611; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700611&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Irvine, Reed J. AD - Unlisted T1 - The future of private enterprise in the developing countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 19 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700610; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700610&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Girton, Lance W. AD - Unlisted T1 - The Mckinnon portfolio balance model PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 16 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700607; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700607&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Henry, George B. AD - Unlisted T1 - The so-called devaluation bias in a system of adjustable pegs PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 8 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700599; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700599&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Roper, Don E. AD - Unlisted T1 - The theory of the devaluation bias PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 8 Y1 - 1972/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700600; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700600&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - LOMBRA, RAYMOND T1 - FEDERAL RESERVE BEHAVIOR: IDENTIFICATION, RATIONALE, AND IMPLICATIONS. JO - Journal of Finance JF - Journal of Finance Y1 - 1971/12// VL - 26 IS - 5 M3 - Article SP - 1176 EP - 1177 PB - Wiley-Blackwell SN - 00221082 AB - An abstract of the dissertation entitled "Federal Reserve Behavior: Identification, Rationale, and Implications," by Raymond Lombra, is presented. KW - MONETARY policy KW - ACADEMIC dissertations -- Abstracts KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 17406045; LOMBRA, RAYMOND 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Dec1971, Vol. 26 Issue 5, p1176; Thesaurus Term: MONETARY policy; Subject Term: ACADEMIC dissertations -- Abstracts; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17406045&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William T1 - Alternative Paths to a Stable Full Employment Economy. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1971/09// IS - 3 M3 - Article SP - 579 EP - 606 PB - Brookings Institution Press SN - 00072303 AB - The article examines the feasibility and characteristics of alternative ways to maintain the stability of a full employment economy in the U.S. With the great public concern about engineering a vigorous recovery, the question of the optimum speed of the recovery has been largely ignored. If it is assumed that wage-price controls cannot completely suppress inflation, the introduction of controls does not fundamentally alter the problem, since a more rapid recovery will still produce more inflation than will a less rapid recovery. Uncertainties as to the effects of policy actions lead policy makers to avoid extreme adjustments in policy instruments in an attempt to minimize the possibility of large deviations of goal variables from desired levels. At an abstract level, however, the analysis of the tracking approach is a topic in control theory. The tracking approach specifies a relatively simple income path and then explores the general nature of the path of instrument variables required to achieve the income path. A mixture of the decision rule and tracking approaches is no doubt appropriate in practice, with the precise combination depending on the state of knowledge. Given the great degree of uncertainty about structure, a decision rule may work very well, whereas the tracking approach may produce serious errors if the assumed structure is not the correct one. KW - EMPLOYMENT (Economic theory) KW - PRICE regulation KW - INFLATION (Finance) KW - INCOMES policy (Economics) KW - INCOME N1 - Accession Number: 7073399; Poole, William 1; Affiliations: 1: Special Studies Section, Division of Research and Statistics Board of Governors of the Federal Reserve System; Issue Info: 1971, Issue 3, p579; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: PRICE regulation; Thesaurus Term: INFLATION (Finance); Thesaurus Term: INCOMES policy (Economics); Thesaurus Term: INCOME; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 28p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7073399&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - ABST AU - SEVERN, ALAN K. T1 - SHORT-RUN INVESTMENT AND FINANCIAL BEHAVIOR OF U.S. DIRECT INVESTORS IN MANUFACTURING. JO - Journal of Finance JF - Journal of Finance Y1 - 1971/09// VL - 26 IS - 4 M3 - Abstract SP - 1001 EP - 1002 PB - Wiley-Blackwell SN - 00221082 AB - The article presents an abstract by Alan K. Severn for a dissertation entitled "Short-Run Investment and Financial Behavior of U.S. Direct Investors in Manufacturing." KW - FOREIGN investments N1 - Accession Number: 4661439; SEVERN, ALAN K. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Sep71, Vol. 26 Issue 4, p1001; Thesaurus Term: FOREIGN investments; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 2p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4661439&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Enzler, Jared J. AU - Stekler, H. O. T1 - AN ANALYSIS OF THE 1968-69 ECONOMIC FORECASTS. JO - Journal of Business JF - Journal of Business Y1 - 1971/07// VL - 44 IS - 3 M3 - Article SP - 271 EP - 281 SN - 00219398 AB - An "attempt to identify the reasons why the [economic] forecasts for 1968-1969 were in error." Through simulation ("using the FRB version of the FRB-MIT econometric model which was available in mid-1969"), experiments were designed "to isolate three possible sources of errors arising from (1) the change in monetary policy which was unexpected, (2) the possible overestimation of the effectiveness of the [tax] surcharge, and (3) larger than expected increases in government expenditures." It was concluded "that the ex ante forecasts of GNP were affected by (1) the failure to predict the mid-1968 easing of monetary policy and (2) the misestimates of federal spending which exceeded the ceiling....economists who had made ex ante predictions that price increases would moderate by late 1968 or early 1969 were wrong for reasons which probably had little to do with their failure to predict the aforementioned changes in policy." 9 tables, 15 notes. KW - ECONOMIC forecasting KW - ECONOMIC forecasting -- History KW - INCOME tax -- United States KW - SURTAX -- History KW - FISCAL policy KW - PUBLIC spending -- History KW - ECONOMIC development KW - MONETARY policy -- History KW - POLITICAL planning KW - UNITED States -- Economic conditions -- 1961-1971 KW - ECONOMETRIC models KW - FINANCE -- United States KW - MODELS & modelmaking KW - UNITED States N1 - Accession Number: 4584248; Enzler, Jared J. 1; Stekler, H. O. 2; Affiliations: 1 : Economist, Division of Research and Statistics, Board of Governors of the Federal Reserve System; 2 : Professor of Economics, State University of New York, Stony Brook.; Source Info: Jul71, Vol. 44 Issue 3, p271; Historical Period: 1968 to 1969; Subject Term: ECONOMIC forecasting; Subject Term: ECONOMIC forecasting -- History; Subject Term: INCOME tax -- United States; Subject Term: SURTAX -- History; Subject Term: FISCAL policy; Subject Term: PUBLIC spending -- History; Subject Term: ECONOMIC development; Subject Term: MONETARY policy -- History; Subject Term: POLITICAL planning; Subject Term: UNITED States -- Economic conditions -- 1961-1971; Subject Term: ECONOMETRIC models; Subject Term: FINANCE -- United States; Subject Term: MODELS & modelmaking; Subject: UNITED States; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ahl&AN=4584248&site=ehost-live&scope=site DP - EBSCOhost DB - ahl ER - TY - JOUR AU - Branson, William H. AU - Junz, Helen B. T1 - Trends in U.S Trade and Comparative Advantage. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1971/06// IS - 2 M3 - Article SP - 285 EP - 338 PB - Brookings Institution Press SN - 00072303 AB - This article analyzes trends in U.S. international trade and comparative advantage as of June 1971. The authors first offer a bird's-eye view of U.S. trade in seven major end-use categories over the period 1925-70. In the years prior to World War II, the nation's net export position within each category was fairly stable. Capital goods and automobile, for example, reliably yielded export surpluses that displayed no major trend upward or downward, while trade deficits were typical for consumer goods other than automobiles. Immediately after the war, trade surpluses developed in nearly all major categories, including even such consumer goods as textiles and shoes. Worldwide industrial recovery and devaluations of other currencies altered that unusual situation. By the late 1950s, the U.S. moved into trade deficits for fuels and lubricants and for consumer goods, and away from its substantial export surplus for automobiles. On the other hand, the net export surplus for capital goods expanded dramatically and that for chemicals strengthened. This dynamism of changes within sectors continued during the sixties. In general, the export surpluses widened in areas of strength, and deficits grew larger in areas of weakness. The latter areas deteriorated even during the early sixties when the U.S. overall trade balance was improving; by the same token, surpluses on capital goods and chemicals grew substantially during the late sixties while the overall trade balance was deteriorating. KW - INTERNATIONAL trade KW - COMPARATIVE advantage (International trade) KW - EXPORTS KW - INDUSTRIAL equipment KW - AUTOMOBILES KW - BALANCE of trade KW - UNITED States N1 - Accession Number: 7075809; Branson, William H. 1; Junz, Helen B. 2; Affiliations: 1: Princeton University; 2: Board of Governors of the Federal Reserve System; Issue Info: 1971, Issue 2, p285; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: COMPARATIVE advantage (International trade); Thesaurus Term: EXPORTS; Thesaurus Term: INDUSTRIAL equipment; Thesaurus Term: AUTOMOBILES; Thesaurus Term: BALANCE of trade; Subject: UNITED States; NAICS/Industry Codes: 811121 Automotive Body, Paint, and Interior Repair and Maintenance; NAICS/Industry Codes: 811198 All Other Automotive Repair and Maintenance; NAICS/Industry Codes: 336110 Automobile and light-duty motor vehicle manufacturing; NAICS/Industry Codes: 336111 Automobile Manufacturing; NAICS/Industry Codes: 441110 New Car Dealers; NAICS/Industry Codes: 415110 New and used automobile and light-duty truck merchant wholesalers; NAICS/Industry Codes: 423110 Automobile and Other Motor Vehicle Merchant Wholesalers; NAICS/Industry Codes: 423830 Industrial Machinery and Equipment Merchant Wholesalers; NAICS/Industry Codes: 417230 Industrial machinery, equipment and supplies merchant wholesalers; NAICS/Industry Codes: 423840 Industrial Supplies Merchant Wholesalers; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 54p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7075809&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William T1 - Thoughts on the Wage-Price Freeze. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1971/06// IS - 2 M3 - Article SP - 429 EP - 443 PB - Brookings Institution Press SN - 00072303 AB - This article discusses the wage-price controls program of the government of U.S. President Richard W. Nixon in 1971. A major difficulty in discussing controls is the absence of a generally accepted vocabulary, which means that those on opposite sides of the issue are not always talking about the same concepts. The term comprehensive controls may be defined by reference to the wage and price controls of the Second World War. The term mild controls means a set of mandatory controls over major firms and unions, perhaps involving the 500 largest firms, which could take the form of detailed wage and price ceilings, or of a board with authority to roll back any wage or price changes found to be excessive. Controls incur three different types of costs. The first is the loss of individual freedom resulting from central control over individual wage and price decisions. The second is the misallocation of resources resulting from controls. And the third is the administrative cost. All these costs are inter-related. Now that the controls have been imposed, it is important that the nation learn what it can from the experiment. This process will be furthered if economists will state what they expect to occur. KW - INCOMES policy (Economics) KW - WAGES KW - PRICE regulation KW - COST KW - ECONOMISTS KW - UNITED States N1 - Accession Number: 7075827; Poole, William 1; Affiliations: 1: Special Studies Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System; Issue Info: 1971, Issue 2, p429; Thesaurus Term: INCOMES policy (Economics); Thesaurus Term: WAGES; Thesaurus Term: PRICE regulation; Thesaurus Term: COST; Thesaurus Term: ECONOMISTS; Subject: UNITED States; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7075827&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William T1 - The Case Against Floating Exchanges. JO - Journal of Finance JF - Journal of Finance Y1 - 1971/06// VL - 26 IS - 3 M3 - Book Review SP - 827 EP - 829 PB - Wiley-Blackwell SN - 00221082 AB - The article reviews the book "The Case Against Floating Exchanges," by Paul Einzig. KW - FOREIGN exchange rates KW - NONFICTION KW - EINZIG, Paul, 1897-1973 KW - CASE Against Floating Exchanges, The (Book) N1 - Accession Number: 4656659; Poole, William 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Jun71, Vol. 26 Issue 3, p827; Thesaurus Term: FOREIGN exchange rates; Subject Term: NONFICTION; Reviews & Products: CASE Against Floating Exchanges, The (Book); People: EINZIG, Paul, 1897-1973; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656659&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BRIMMER, ANDREW F. T1 - THE BLACK BANKS: AN ASSESSMENT OF PERFORMANCE AND PROSPECTS. JO - Journal of Finance JF - Journal of Finance Y1 - 1971/05// VL - 26 IS - 2 M3 - Article SP - 379 EP - 405 PB - Wiley-Blackwell SN - 00221082 AB - Given the tempo of this movement and the enormously important economic development role which the black banks are expected to undertake, it appears vital that an objective and systematic appraisal be made of the capacity of these institutions to perform this task. This paper is devoted to such an assessment. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - AFRICAN American banking industry KW - AFRICAN American business enterprises KW - ECONOMIC development KW - MINORITY-owned banks KW - BANKING industry -- United States KW - FINANCIAL risk KW - ECONOMIC forecasting KW - ECONOMIC activity KW - SUCCESS in business KW - STRATEGIC planning KW - AFRICAN Americans KW - UNITED States N1 - Accession Number: 4663720; BRIMMER, ANDREW F. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System.; Issue Info: May71, Vol. 26 Issue 2, p379; Thesaurus Term: AFRICAN American banking industry; Thesaurus Term: AFRICAN American business enterprises; Thesaurus Term: ECONOMIC development; Thesaurus Term: MINORITY-owned banks; Thesaurus Term: BANKING industry -- United States; Thesaurus Term: FINANCIAL risk; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: ECONOMIC activity; Thesaurus Term: SUCCESS in business; Thesaurus Term: STRATEGIC planning; Subject Term: AFRICAN Americans; Subject: UNITED States; Number of Pages: 27p; Illustrations: 10 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4663720&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - ABST AU - BURNHAM, JAMES BERNARD T1 - HOUSEHOLD DEMAND FOR FINANCIAL ASSETS, 1947-1967. JO - Journal of Finance JF - Journal of Finance Y1 - 1971/03// VL - 26 IS - 1 M3 - Abstract SP - 175 EP - 175 PB - Wiley-Blackwell SN - 00221082 AB - The article presents an abstract by James Bernard Burnham for a dissertation entitled "Household Demand for Financial Assets, 1947-1967." KW - SECURITIES N1 - Accession Number: 4656011; BURNHAM, JAMES BERNARD 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1971, Vol. 26 Issue 1, p175; Thesaurus Term: SECURITIES; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 1p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656011&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Katz, Samuel I. AD - Unlisted T1 - Devaluation-bias and the Bretton Woods System PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 2 Y1 - 1971/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700593; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700593&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Mills, Rodney H. AD - Unlisted T1 - Explaining changes in Eurodollar positions: a study of banks in four European countries PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 1 Y1 - 1971/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700592; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700592&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Katz, Samuel I. AD - Unlisted T1 - The case for the par-value system, 1971 PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 4 Y1 - 1971/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700595; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700595&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Emery, Robert F. AD - Unlisted T1 - The use of interest rate policies as a stimulus to economic growth PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 3 Y1 - 1971/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700594; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700594&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - UNPB AU - Morisse, Kathryn A. AD - Unlisted T1 - Trade data of OECD countries by end-use commodity categories PB - Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers: 5 Y1 - 1971/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 0700596; Publication Type: Working Paper; Update Code: 200404 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0700596&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - KATZ, SAMUEL I. T1 - The International Monetary Fund,1945-1965. JO - Journal of Finance JF - Journal of Finance Y1 - 1970/12// VL - 25 IS - 5 M3 - Book Review SP - 1216 EP - 1222 PB - Wiley-Blackwell SN - 00221082 AB - This article presents a review of the book "The International Monetary Fund, 1945-1965," by J. Keith Horsefield, Margaret G. De Vries and others. KW - INTERNATIONAL finance KW - NONFICTION KW - HORSEFIELD, J. Keith KW - DE Vries, Margaret KW - INTERNATIONAL Monetary Fund, The (Book) N1 - Accession Number: 4665008; KATZ, SAMUEL I. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Dec1970, Vol. 25 Issue 5, p1216; Thesaurus Term: INTERNATIONAL finance; Subject Term: NONFICTION; Reviews & Products: INTERNATIONAL Monetary Fund, The (Book); People: HORSEFIELD, J. Keith; People: DE Vries, Margaret; Number of Pages: 7p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4665008&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William T1 - Whither Money Demand? JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1970/09// IS - 3 M3 - Article SP - 485 EP - 501 PB - Brookings Institution Press SN - 00072303 AB - This paper began with the observation that the nature of the demand for money function is likely to be of great importance for monetary policy over the next few years. Considerable uncertainty surrounds the income and interest elasticities of demand, and in a period of falling interest rates, greatly amplifies uncertainty over the appropriate rate of monetary growth. On the basis of the admittedly crude evidence reported in the paper, it would appear that both income and interest elasticities may be a little below those assumed in the simulations reported in my earlier paper. This conclusion implies that the required rates of money growth will be some-what lower than the previous analysis indicated. But the tenuous nature of this conclusion should not be forgotten. One might argue, as I would not, that data prior to 1947, or even 1950, are of questionable relevance to the current situation; but there is essential no possibility of reliably estimating the income and interest elasticities on the basis of postwar data alone. The additional year of data that will be avail-able a year from now may provide far more information than one would ordinarily expect from only one more year of data, especially if short-term interest rates remain near or below current levels and long-term rates continue to decline. In this situation, special care in updating estimates of the demand for money function would seem to be fully warranted. [ABSTRACT FROM AUTHOR] AB - Copyright of Brookings Papers on Economic Activity is the property of Brookings Institution Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DEMAND for money KW - LIQUIDITY (Economics) KW - DEMAND (Economic theory) KW - MONETARY policy KW - INTEREST rates N1 - Accession Number: 7078853; Poole, William 1; Affiliations: 1: Special Studies Section, Division of Research and Statistics, Board of Governors of the Federal Reserve System; Issue Info: 1970, Issue 3, p485; Thesaurus Term: DEMAND for money; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: MONETARY policy; Thesaurus Term: INTEREST rates; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7078853&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Poole, William T1 - Gradualism: A Mid-Course View. JO - Brookings Papers on Economic Activity JF - Brookings Papers on Economic Activity Y1 - 1970/06// IS - 2 M3 - Article SP - 271 EP - 301 PB - Brookings Institution Press SN - 00072303 AB - This article examines gradualism limited to the aggregate output and price level goals of policy. The policy of gradualism represents a new advance in public understanding of economic stabilization policy. Unlike their approach to previous anti-inflation crusades in the postwar period, politicians and the informed public now clearly recognize that excessive zeal in fighting inflation will produce excessive unemployment. Goal-gradualism refers to policies designed, in the present context, to achieve a gradual reduction in inflation and thereby to avoid the high level of unemployment that a rapid reduction of inflation would require. Instrument-gradualism refers to policies involving gradual adjustment of the instruments of fiscal and monetary policy, that is, of government expenditures and tax rates, and of the money stock and other financial variables. It may be true that goal-gradualism requires instrument-gradualism. This view is reinforced by the diagnosis of the current inflation. The problem was not that economic policy failed to offset some serious of disturbances in the private economy, rather, fiscal policy became excessively expansionary because expenditures for the Vietnam war were not offset by tax increases or reductions in other expenditures and monetary policy, as measured by the rate of growth of the money stock, became excessively expansionary in an attempt to prevent interest rates from rising too sharply. KW - INFLATION (Finance) KW - ECONOMIC policy KW - FISCAL policy KW - PUBLIC spending KW - ECONOMIC stabilization N1 - Accession Number: 7073889; Poole, William 1; Affiliations: 1: Special Studies Section, Division of Research and Statistics Board of Governors of the Federal Reserve System; Issue Info: 1970, Issue 2, p271; Thesaurus Term: INFLATION (Finance); Thesaurus Term: ECONOMIC policy; Thesaurus Term: FISCAL policy; Thesaurus Term: PUBLIC spending; Thesaurus Term: ECONOMIC stabilization; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 31p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=7073889&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - POOLE, WILLIAM T1 - A Structural Model of the U.S. Balance of Payments. JO - Journal of Finance JF - Journal of Finance Y1 - 1970/06// VL - 25 IS - 3 M3 - Book Review SP - 731 EP - 732 PB - Wiley-Blackwell SN - 00221082 AB - The book has three basic chapters, "The Theoretical Framework of the Model," "Empirical Estimates of the Model," and "United States Balance-of-Payments Policies." There are also five short appendices. Two of these, one giving the data sources and a complete listing of the data, the other consisting of twenty-seven diagrams of the actual and predicted values of the model's endogenous variables, show the care that went into the estimation and into the presentation of the results. More writers should follow Prachowny's example in this regard. The other three appendices consist of a restatement of Mundell's argument on monetary-fiscal policy mixes, a table presenting changes in the model's endogenous variables under the monetary-fiscal policy mix examined in the chapter on balance-of-payments policies, and a simple portfolio model in which equilibrium is defined in terms of stocks rather than flows. The inclusion of this last appendix is somewhat strange since all of the book's empirical work on capital flows is based on a flow model rather than a stock model. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BALANCE of payments KW - NONFICTION KW - PRACHOWNY, Martin F. J. KW - STRUCTURAL Model of the US Balance of Payments, A (Book) N1 - Accession Number: 4666192; POOLE, WILLIAM 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Jun70, Vol. 25 Issue 3, p731; Thesaurus Term: BALANCE of payments; Subject Term: NONFICTION; Reviews & Products: STRUCTURAL Model of the US Balance of Payments, A (Book); People: PRACHOWNY, Martin F. J.; Number of Pages: 2p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4666192&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GRAMLICH, EDWARD M. T1 - Public Finance. JO - Journal of Finance JF - Journal of Finance Y1 - 1970/03// VL - 25 IS - 1 M3 - Book Review SP - 225 EP - 227 PB - Wiley-Blackwell SN - 00221082 AB - Professor Shoup's book fits the advertising in every way--it is a treatise in the sense of being a definitive source book on a vast number of issues in the field of public finance; it is modern in the sense of dealing with a host of heretofore-ignored current problems in public finance; it is unorthodox by virtue of being almost completely verbal in this day of mathematical and graphical exposition; and it uses as much space as the author considers desirable (which turns out to be quite a lot of space). The book is 652 pages long with footnote-sized print, every paragraph is jammed with substantive and often quite-intricate analysis, and there is virtually no repetition or duplication of analysis contained in other sources. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PUBLIC finance KW - NONFICTION KW - SHOUP, Carl S. KW - PUBLIC Finance (Book) N1 - Accession Number: 4656139; GRAMLICH, EDWARD M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1970, Vol. 25 Issue 1, p225; Thesaurus Term: PUBLIC finance; Subject Term: NONFICTION; Reviews & Products: PUBLIC Finance (Book); NAICS/Industry Codes: 921130 Public Finance Activities; People: SHOUP, Carl S.; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4656139&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Irvine, Reed J. AU - Maroni, Yves AU - Lee, Henry F. T1 - How to Borrow Successfully. JO - Columbia Journal of World Business JF - Columbia Journal of World Business Y1 - 1970/01//Jan/Feb70 VL - 5 IS - 1 M3 - Article SP - 42 EP - 48 PB - Elsevier Science Publishing Company, Inc. SN - 00225428 AB - In recent years there has been wide acceptance of the idea that capacity to service foreign debt could be measured by comparing the burden of debt service to foreign-exchange earnings on current account; in particular, that the former should not exceed 20% to 25% of the latter. This has led to the view that impoverished capital-importing countries should not contract to borrow the bulk of their capital requirements abroad on more or less normal commercial terms but, rather, should rely on foreign aid on easy terms. This approach to debt servicing has for some reason taken a very one-sided view of the balance-of-payments accounts. A country that has an expanding economy, supported by expanding current-account earnings, can normally expect to attract new capital from abroad in steady, if not increasing, quantities. The serious debt-servicing problem being faced by several of the less-developed countries does not arise simply because they have borrowed too much, but because they have not obtained an expansion of production and exports of goods and services sufficient to provide foreign exchange to pay for needed imports and invisible payments. KW - EXTERNAL debts KW - INTERNATIONAL trade KW - FOREIGN exchange KW - BALANCE of payments KW - DEBT service KW - DEVELOPING countries N1 - Accession Number: 5540471; Irvine, Reed J. 1; Maroni, Yves 2; Lee, Henry F. 3; Affiliations: 1: Chief of the Asia, Africa and Latin America Section of the Division of International Finance of the Board of Governors of the Federal Reserve System.; 2: Senior economist, Asia, Africa and Latin America Section of the Division of International Finance of the Board of Governors of the Federal Reserve System.; 3: Economist, Asia, Africa and Latin America Section of the Division of International Finance of the Board of Governors of the Federal Reserve System.; Issue Info: Jan/Feb70, Vol. 5 Issue 1, p42; Thesaurus Term: EXTERNAL debts; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BALANCE of payments; Thesaurus Term: DEBT service; Subject Term: DEVELOPING countries; NAICS/Industry Codes: 526916 Bond and income / dividend funds - foreign; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5540471&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - STOLL, HANS R. T1 - THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES . JO - Journal of Finance JF - Journal of Finance Y1 - 1969/12// VL - 24 IS - 5 M3 - Article SP - 801 EP - 824 PB - Wiley-Blackwell SN - 00221082 AB - The aim of this paper is to formulate and test empirically some hypotheses about the relationship between put and call prices (or premiums). No attempt will be made to formulate a theory of the determinants of the level of put and/or call prices. This more difficult problem has been investigated by others. It is clear, however, that, in a general way, the level of a put or call price will depend on the probability distribution of stock price changes expected during the option period. If the stock price has a chance of increasing greatly during the option period, calls will sell at a relatively high price. If the stock price has a chance of decreasing greatly, puts will sell at a high price.
The nature of the relationship between put and call prices has not been investigated in detail nor subjected to empirical tests. It is, for example, a popular misconception that call prices are higher than put prices simply because the demand for call options is greater. The purpose of this paper is to show that, in theory, an arbitrage mechanism exists which ought to keep put and call prices in line with each other irrespective of the demands of buyers of options. The efficacy of this theoretical arbitrage mechanism in maintaining put and call price parity will be examined empirically to see if institutional restrictions and other frictions prevent the equilibrium relationship from being reached. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - OPTIONS (Finance) KW - DERIVATIVE securities KW - RESEARCH KW - STOCK exchanges KW - FUTURES market KW - CAPITALISTS & financiers KW - SECURITIES -- Prices KW - DEMAND (Economic theory) KW - ARBITRAGE KW - COMMODITY exchanges KW - SECURITIES trading KW - PORTFOLIO management (Investments) KW - PRICE level changes N1 - Accession Number: 4657613; STOLL, HANS R. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec1969, Vol. 24 Issue 5, p801; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: DERIVATIVE securities; Thesaurus Term: RESEARCH; Thesaurus Term: STOCK exchanges; Thesaurus Term: FUTURES market; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: ARBITRAGE; Thesaurus Term: COMMODITY exchanges; Thesaurus Term: SECURITIES trading; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: PRICE level changes; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 24p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657613&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Norwood, Bernard T1 - THE KENNEDY ROUND: A TRY AT LINEAR TRADE NEGOTIATIONS. JO - Journal of Law & Economics JF - Journal of Law & Economics Y1 - 1969/10// VL - 12 IS - 2 M3 - Article SP - 297 EP - 319 SN - 00222186 AB - The General Agreement on Tariffs and Trade (GATT) Sixth Round of Trade Negotiations, also known as the Kennedy Round, was considered the most important trade and tariff negotiation ever held. Trade liberalization was accomplished using different methods, most notable of which is the linear or across the board reduction of duties. The linear technique, which called for the reduction of all tariffs of participating countries, was intended to achieve big and widely accepted tariff reductions through simple rules. The rules were accepted and applied to the liberalization of the GATT participants, including United States. However, some difficult problems concerning linear techniques were not resolved in the Kennedy Round. These problems should be addressed in any new effort at linear negotiations. KW - COMMERCIAL treaties KW - TARIFF KW - FOREIGN trade regulation KW - FREE trade KW - NEGOTIATION KW - COMMERCIAL products KW - IMPORTS N1 - Accession Number: 11476045; Norwood, Bernard 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Oct69, Vol. 12 Issue 2, p297; Thesaurus Term: COMMERCIAL treaties; Thesaurus Term: TARIFF; Thesaurus Term: FOREIGN trade regulation; Thesaurus Term: FREE trade; Thesaurus Term: NEGOTIATION; Thesaurus Term: COMMERCIAL products; Thesaurus Term: IMPORTS; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 911910 Other federal government public administration; Number of Pages: 23p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11476045&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Galper, Harvey T1 - ALTERNATIVE INTEREST RATES AND THE DEMAND FOR MONEY: COMMENT. JO - American Economic Review JF - American Economic Review Y1 - 1969/06// VL - 59 IS - 3 M3 - Article SP - 401 PB - American Economic Association SN - 00028282 AB - Recently, T. H. Lee examined the influence on the demand for money of the interest rate paid on savings and loan, S and L, shares. His regressions revealed a strong effect of the S and L rate on holdings of money. Furthermore, the S and L rate had a stronger influence than all other rates examined and, on an annual basis at least, complete adjustment of the actual to the desired money stock was found when the S and L rate was used. These findings imply strong substitution effects between holdings of money and savings and loan shares and call into question researcher M. Friedman's notion of the money stock which assumes that time deposits at commercial banks are the closest substitute to money proper. Lee's conclusions, however, are based on only fifteen annual observations and, in several instances, he mentions that the lack of quarterly data prevents the development of a more thorough analysis. By interpolating semiannual data from the Federal Home Loan Bank Board, the author have been able to develop a quarterly series on savings and loan rates for the period 1956-66. KW - INTEREST rates KW - DEMAND for money KW - MONEY KW - SUBSTITUTION (Economics) KW - BANKING industry KW - LOANS KW - ECONOMICS KW - UNITED States N1 - Accession Number: 4497733; Galper, Harvey 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Jun69, Vol. 59 Issue 3, p401; Thesaurus Term: INTEREST rates; Thesaurus Term: DEMAND for money; Thesaurus Term: MONEY; Thesaurus Term: SUBSTITUTION (Economics); Thesaurus Term: BANKING industry; Thesaurus Term: LOANS; Thesaurus Term: ECONOMICS; Subject: UNITED States; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 7p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4497733&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - SOLOMON, ROBERT T1 - DISCUSSION. JO - Journal of Finance JF - Journal of Finance Y1 - 1969/05// VL - 24 IS - 2 M3 - Article SP - 371 EP - 374 PB - Wiley-Blackwell SN - 00221082 AB - Professor Aliber looks at the United States as a financial intermediary for the rest of the world and examines three hypotheses regarding the nature of this intermediation process. He does this by looking at the difference in the slope of yield curves among countries. One of the three hypotheses is the familiar proposition that capital markets are better developed in the United States than elsewhere. The second, attributable to Despres, Kindleberger and Salant (DKS), is that liquidity preference is higher abroad than in the United States. The third hypothesis, which I take to be Professor Aliber's, introduces the notion that exchange risk helps to explain differences in yield curves among countries. The three alternative hypotheses have different implications for feedback from restriction on capital outflow--and this is the policy significance of the analysis. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INTERMEDIATION (Finance) KW - INTERNATIONAL finance KW - LIQUIDITY (Economics) KW - CAPITAL market KW - FOREIGN exchange KW - RISK KW - CAPITAL movements KW - MONEY market KW - BALANCE of payments KW - BALANCE of payments deficit KW - UNITED States KW - BLOUGH, Roy N1 - Accession Number: 4661065; SOLOMON, ROBERT 1; Affiliations: 1: Adviser to the Board and Director Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: May69, Vol. 24 Issue 2, p371; Thesaurus Term: INTERMEDIATION (Finance); Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: CAPITAL market; Thesaurus Term: FOREIGN exchange; Thesaurus Term: RISK; Thesaurus Term: CAPITAL movements; Thesaurus Term: MONEY market; Thesaurus Term: BALANCE of payments; Thesaurus Term: BALANCE of payments deficit; Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 523910 Miscellaneous Intermediation; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; People: BLOUGH, Roy; Number of Pages: 4p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4661065&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - HULETT, DAVID T. T1 - Financial Institutions/ Capital Markets and Institutions. JO - Journal of Finance JF - Journal of Finance Y1 - 1969/03// VL - 24 IS - 1 M3 - Book Review SP - 147 EP - 149 PB - Wiley-Blackwell SN - 00221082 AB - These books are taken from two different series in the general areas of finance and monetary economics. The Goldsmith volume is part of a six-book Random House Series in Money and Banking, edited by Harlan M. Smith; the Dougall work is one of eight in the Prentice-Hall Foundation of Finance Series, edited by Ezra Solomon. Comparing two such books is dangerous, since the series are aimed at different audiences, and the books should be viewed in the context of their companion volumes. These considerations are significant because omission or inclusion of a particular topic may be due to the content of other books in the series and the settling of jurisdictional disputes by the editors. However, the topics covered--even the chapter organization and titles--are strikingly similar and may lead a teacher to consider them as close substitutes. In fact, the two books appear to attempt the same task, that of explaining the essential features of financial capital markets and institutions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FINANCE KW - NONFICTION KW - GOLDSMITH, Raymond W. KW - DOUGALL, Herbert E. KW - FINANCIAL Institutions (Book) KW - CAPITAL Markets & Institutions (Book) N1 - Accession Number: 4657147; HULETT, DAVID T. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1969, Vol. 24 Issue 1, p147; Thesaurus Term: FINANCE; Subject Term: NONFICTION; Reviews & Products: FINANCIAL Institutions (Book); Reviews & Products: CAPITAL Markets & Institutions (Book); People: GOLDSMITH, Raymond W.; People: DOUGALL, Herbert E.; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657147&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stekler, H. O. T1 - AN EVALUATION OF QUARTERLY JUDGEMENTAL ECONOMIC FORECASTS. JO - Journal of Business JF - Journal of Business Y1 - 1968/07// VL - 41 IS - 3 M3 - Article SP - 329 EP - 339 PB - University of Chicago Press SN - 00219398 AB - Studies related to evaluation of macroeconomic forecasting generally indicated that the closer the period to which the data referred, the greater the accuracy of economic forecasts and estimates. Furthermore, these conclusions have indicated that forecasters have generally tended to underestimate changes when GNP was advancing and to overestimate declines. This article also evaluates several sets of economic forecasts which were generated by judgmental procedures, but it differs from earlier approach in several significant ways. First, it explicitly examines the accuracy of quarterly projections and will take account of the GNP data revisions which occurred between the time when the forecast was prepared and the date to which the forecast referred. Second, the relationship between the size of the forecast errors and the length of the lead with which the forecasts were made are examined. In this analysis, an explicit adjustment is made for missing observations. Finally, the cases of the errors in one of the sets of GNP projections are analyzed to determine whether the errors in specific components offset each other or were additive to misestimates in other components. KW - ECONOMIC forecasting KW - GROSS national product KW - QUANTITATIVE research KW - DATA analysis KW - MULTIVARIATE analysis KW - ERRORS N1 - Accession Number: 4584592; Stekler, H. O. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Jul68, Vol. 41 Issue 3, p329; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: GROSS national product; Thesaurus Term: QUANTITATIVE research; Thesaurus Term: DATA analysis; Thesaurus Term: MULTIVARIATE analysis; Subject Term: ERRORS; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=4584592&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - MAISEL, SHERMAN J. T1 - SOME RELATIONSHIPS BETWEEN ASSETS AND LIABILITIES OF THRIFT INSTITUTIONS. JO - Journal of Finance JF - Journal of Finance Y1 - 1968/05// VL - 23 IS - 2 M3 - Article SP - 367 EP - 378 PB - Wiley-Blackwell SN - 00221082 AB - The article presents a rationale for the adoption of aggressive portfolio management policies within U.S. thrift institutions in the late 1960s, particularly as corrective measures to cash flow shifts occurring in 1966. Extensive investment modeling is provided to outline the dynamics between asset and liability balances within a firm's portfolio, asserting the need for a strong and clear portfolio policy. Issues addressed in detail include uncertainty and income risks, market division and diversification, and cyclical interest patterns. KW - THRIFT institutions KW - INVESTMENT policy KW - PORTFOLIO management (Investments) KW - ASSETS (Accounting) KW - LIABILITIES (Accounting) KW - MONEY market KW - INTEREST rate risk KW - MARKET segmentation KW - INVESTMENTS -- Mathematical models KW - ECONOMETRICS KW - UNCERTAINTY KW - UNITED States -- Economic conditions -- 1961-1971 KW - UNITED States N1 - Accession Number: 4661511; MAISEL, SHERMAN J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May68, Vol. 23 Issue 2, p367; Thesaurus Term: THRIFT institutions; Thesaurus Term: INVESTMENT policy; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: ASSETS (Accounting); Thesaurus Term: LIABILITIES (Accounting); Thesaurus Term: MONEY market; Thesaurus Term: INTEREST rate risk; Thesaurus Term: MARKET segmentation; Thesaurus Term: INVESTMENTS -- Mathematical models; Thesaurus Term: ECONOMETRICS; Subject Term: UNCERTAINTY; Subject Term: UNITED States -- Economic conditions -- 1961-1971; Subject: UNITED States; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 12p; Illustrations: 2 Diagrams, 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4661511&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Lawrence, Robert J. T1 - ON THE ASCHHEIM-BAIN CONTROVERSY. JO - Economic Journal JF - Economic Journal Y1 - 1968/03// VL - 78 IS - 309 M3 - Article SP - 165 EP - 166 PB - Wiley-Blackwell SN - 00130133 AB - The source of Aschheim's error is his equation (10), Z[sub c] > Z[sub 8] > Z[sub 1], in which he asserts that a bank's required reserves are more liquid assets than its government securities. The error arises because he equates cash and required reserves. No one would dispute the statement that'' cash" and excess reserves are more liquid than securities, but the relevant issue is the liquidity of required reserves versus securities,[6] As Bain points out, not all of a bank's required reserves are available to meet a deposit drain of y: only ry of them are freed by the deposit drain, where r is the reserve requirement. However, the entire amount of a bank's securities can be sold if necessary to meet a deposit drain. [ABSTRACT FROM AUTHOR] AB - Copyright of Economic Journal is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BANK reserves KW - BANK assets KW - GOVERNMENT securities KW - RESERVE requirements KW - LIQUID assets N1 - Accession Number: 4544235; Lawrence, Robert J. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar68, Vol. 78 Issue 309, p165; Thesaurus Term: BANK reserves; Thesaurus Term: BANK assets; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: RESERVE requirements; Thesaurus Term: LIQUID assets; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4544235&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - MITCHELL, GEORGE W. T1 - INTEREST RATES VERSUS INTEREST CEILINGS IN THE ALLOCATION OF CREDIT FLOWS. JO - Journal of Finance JF - Journal of Finance Y1 - 1967/05// VL - 22 IS - 2 M3 - Article SP - 265 EP - 273 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on questions of the appropriateness of interest rate ceilings within conditions of certain monetary restraint. The author compares the feasibility of interest rates versus interest ceilings in the allocation of credit flows in the U.S. monetary policy of the 1960s. The nature of institutional monetary constraints on financial incentives and resultant conditions is reviewed, with particular interest into the historical market shifts which occurred between 1962-1965. It is concluded that while common theory goes against rate ceilings, they have proven beneficial in certain scenarios towards protecting financial institutions. KW - INTEREST rate ceilings KW - INTEREST rates KW - CREDIT control KW - INTERMEDIATION (Finance) KW - FINANCIAL services industry KW - ECONOMIC policy KW - DEBTOR & creditor KW - USURY laws KW - BANKING industry KW - MONETARY theory KW - MONETARY incentives KW - 1961-1971 KW - UNITED States -- Economic conditions -- 1961-1971 KW - UNITED States N1 - Accession Number: 4660265; MITCHELL, GEORGE W. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: May67, Vol. 22 Issue 2, p265; Thesaurus Term: INTEREST rate ceilings; Thesaurus Term: INTEREST rates; Thesaurus Term: CREDIT control; Thesaurus Term: INTERMEDIATION (Finance); Thesaurus Term: FINANCIAL services industry; Thesaurus Term: ECONOMIC policy; Thesaurus Term: DEBTOR & creditor; Thesaurus Term: USURY laws; Thesaurus Term: BANKING industry; Thesaurus Term: MONETARY theory; Thesaurus Term: MONETARY incentives; Subject Term: 1961-1971; Subject Term: UNITED States -- Economic conditions -- 1961-1971; Subject: UNITED States; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523910 Miscellaneous Intermediation; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; Number of Pages: 9p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4660265&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stekler, H. O. T1 - How Business Economics Forecast/ Applied Economic Forecasting (Book Review). JO - American Economic Review JF - American Economic Review Y1 - 1967/03// VL - 57 IS - 1 M3 - Book Review SP - 259 PB - American Economic Association SN - 00028282 AB - Reviews the books "How Business Economists Forecast," edited by William F. Butler and Robert A. Kavesh and "Applied Economic Forecasting," by Henri Theil with G.A.C. Beerens, C.G. De Leeuw and C.B. Tilanus. KW - NONFICTION KW - BUTLER, William KW - BUTLER, William F. KW - KAVESH, Robert A. KW - THEIL, Henri KW - BEERENS, G. A. C. KW - DE Leeuw, C. G. KW - TILANUS, C. B. KW - HOW Business Economists Forecast (Book) KW - APPLIED Economic Forecasting (Book) N1 - Accession Number: 4502922; Stekler, H. O. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1967, Vol. 57 Issue 1, p259; Subject Term: NONFICTION; Reviews & Products: HOW Business Economists Forecast (Book); Reviews & Products: APPLIED Economic Forecasting (Book); People: BUTLER, William; People: BUTLER, William F.; People: KAVESH, Robert A.; People: THEIL, Henri; People: BEERENS, G. A. C.; People: DE Leeuw, C. G.; People: TILANUS, C. B.; Number of Pages: 8p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4502922&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stekler, H.O. T1 - The Government Aerospace Industry Interaction. JO - California Management Review JF - California Management Review Y1 - 1967///Spring67 VL - 9 IS - 3 M3 - Article SP - 55 EP - 64 PB - California Management Review SN - 00081256 AB - The article discusses the relationship between the U.S. government and the firms in the aerospace industry during the period of 1961 through 1967. When U.S. Secretary of Defense Robert S. McNamara took office in 1961, he initiated changes in procurement procedures designed to save money, maintain or improve quality, and increase efficiency. He instituted the use of breakouts, the use of both fixed-price and incentive contracts, and procedures for evaluating contractors. The author suggests implementing processes that foster cooperation between manufacturers and the government as a way to further improve public-private aerospace industrial relations. KW - AEROSPACE industries KW - DEFENSE industries KW - GOVERNMENT policy KW - INDUSTRIAL relations KW - INDUSTRIAL efficiency KW - CONTRACT negotiations KW - FIXED price contracts KW - INDUSTRIAL procurement KW - PERFORMANCE contracts KW - UNITED States KW - UNITED States. Dept. of Defense -- Appropriations & expenditures KW - UNITED States. Dept. of Defense KW - MCNAMARA, Robert S., 1916-2009 N1 - Accession Number: 5046683; Stekler, H.O. 1; Affiliations: 1: Visiting Professor, Board of Governors of the Federal Reserve System.; Issue Info: Spring67, Vol. 9 Issue 3, p55; Thesaurus Term: AEROSPACE industries; Thesaurus Term: DEFENSE industries; Thesaurus Term: GOVERNMENT policy; Thesaurus Term: INDUSTRIAL relations; Thesaurus Term: INDUSTRIAL efficiency; Thesaurus Term: CONTRACT negotiations; Thesaurus Term: FIXED price contracts; Thesaurus Term: INDUSTRIAL procurement; Subject Term: PERFORMANCE contracts; Subject: UNITED States ; Company/Entity: UNITED States. Dept. of Defense -- Appropriations & expenditures ; Company/Entity: UNITED States. Dept. of Defense; People: MCNAMARA, Robert S., 1916-2009; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5046683&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Tella, Alfred T1 - Hidden Unemployment 1953-62--A Quantitative Analysis by Age and Sex: Comment. JO - American Economic Review JF - American Economic Review Y1 - 1966/12// VL - 56 IS - 5 M3 - Article SP - 1235 PB - American Economic Association SN - 00028282 AB - In a recent article in this journal Thomas Dernburg and Kenneth Strand presented a labor market model which was used to estimate hypothetical labor force participation ratios and unemployment rates by age and sex for the years 1954 and 1962 under assumed conditions of 4 per cent total unemployment in both years. Their estimates of the distribution of unemployment at 4 per cent total unemployment showed a heavier concentration among young and old males and all female groups in 1962 than in 1954, supporting one conclusion that "the economy has not yet been able to adjust to the sizable shifts in the structure of the labor force that have taken place over the decade." This is an important finding. The employment of all age-sex groups was shown to benefit in varying degrees from rising aggregate employment. Combining the results of the labor force and employment equations yielded the net unemployment outcome, which in the authors simulation clearly showed the growing disadvantage of marginal workers vis-a-vis primary workers. KW - LABOR market KW - HIDDEN unemployment KW - UNEMPLOYMENT KW - SEXUAL division of labor KW - LABOR supply KW - AGE & employment KW - EMPLOYEES N1 - Accession Number: 4495342; Tella, Alfred 1; Affiliations: 1: Economist at the Board of Governors of the Federal Reserve System.; Issue Info: Dec66, Vol. 56 Issue 5, p1235; Thesaurus Term: LABOR market; Thesaurus Term: HIDDEN unemployment; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: SEXUAL division of labor; Thesaurus Term: LABOR supply; Thesaurus Term: AGE & employment; Thesaurus Term: EMPLOYEES; NAICS/Industry Codes: 561320 Temporary Help Services; Number of Pages: 7p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4495342&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BRIMMER, ANDREW F. T1 - DIRECT INVESTMENT AND CORPORATE ADJUSTMENT TECHNIQUES UNDER THE VOLUNTARY U.S. BALANCE OF PAYMENTS PROGRAM. JO - Journal of Finance JF - Journal of Finance Y1 - 1966/05// VL - 21 IS - 2 M3 - Article SP - 266 EP - 282 PB - Wiley-Blackwell SN - 00221082 AB - This article focuses on the efforts of the leading U.S. corporations to improve the balance of payments in 1965 in the area of short-term financial assets in order to maintain stability in the foreign money markets. Companies responded to this request and held out about $1.2 billion of short-term foreign financial assets. While some companies reduced their holdings of funds, some companies increased these short-term financial assets. The U.S. Secretary of Commerce sent a letter urging companies to continue reducing their short-term financial assets. He also requested that the companies' foreign affiliates reduce their short-term assets. KW - BALANCE of payments KW - FINANCE KW - CORPORATIONS KW - FOREIGN exchange KW - BALANCE of trade KW - CAPITAL movements KW - TERMS of trade KW - SECURITIES markets KW - FOREIGN exchange market KW - COUNTERTRADE KW - ASSETS (Accounting) KW - UNITED States N1 - Accession Number: 4657483; BRIMMER, ANDREW F. 1; Affiliations: 1: Member, Board of Governors of the Federal Reserve System; Issue Info: May66, Vol. 21 Issue 2, p266; Thesaurus Term: BALANCE of payments; Thesaurus Term: FINANCE; Thesaurus Term: CORPORATIONS; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BALANCE of trade; Thesaurus Term: CAPITAL movements; Thesaurus Term: TERMS of trade; Thesaurus Term: SECURITIES markets; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: COUNTERTRADE; Thesaurus Term: ASSETS (Accounting); Subject: UNITED States; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 17p; Illustrations: 7 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4657483&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - OSBORNE, HARLOW D. T1 - DISCUSSION. JO - Journal of Finance JF - Journal of Finance Y1 - 1966/05// VL - 21 IS - 2 M3 - Article SP - 397 EP - 401 PB - Wiley-Blackwell SN - 00221082 AB - The article discusses the reports "The Major Developments in the Market for Consumer Credit Since the End of World War II" by Robert P. Shay, and "The Major Developments in the Financing of Residential Construction Since the End of World War II" by M. Carter McFarland. The author comments on Shay's report which describes how families move up the economic ladder to be in the position which enables them to borrow, and complements McFarland's for providing an analysis of the mortgage credit industry in the 1950s when supply of mortgage funds caught up with the demand for housing. KW - EQUILIBRIUM (Economics) KW - MARKET potential KW - SUPPLY & demand KW - DEMAND (Economic theory) KW - MORTGAGE loans KW - MORTGAGES KW - BANKING industry KW - HOUSING KW - CREDIT KW - FINANCE KW - UNITED States KW - MCFARLAND, M. Carter KW - SHAY, Robert P. N1 - Accession Number: 28038190; OSBORNE, HARLOW D. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May66, Vol. 21 Issue 2, p397; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: MARKET potential; Thesaurus Term: SUPPLY & demand; Thesaurus Term: DEMAND (Economic theory); Thesaurus Term: MORTGAGE loans; Thesaurus Term: MORTGAGES; Thesaurus Term: BANKING industry; Thesaurus Term: HOUSING; Thesaurus Term: CREDIT; Thesaurus Term: FINANCE; Subject: UNITED States; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; People: MCFARLAND, M. Carter; People: SHAY, Robert P.; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28038190&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - ABST AU - GRAMLICH, EDWARD M. T1 - THE FISCAL IMPACT OF THE FEDERAL BUDGET. JO - Journal of Finance JF - Journal of Finance Y1 - 1966/03// VL - 21 IS - 1 M3 - Abstract SP - 132 EP - 132 PB - Wiley-Blackwell SN - 00221082 AB - An abstract of the doctoral dissertation "The Fiscal Impact of the Federal Budget" by Edward M. Gramlich, is presented. KW - FEDERAL budgets KW - ACADEMIC dissertations N1 - Accession Number: 4661306; GRAMLICH, EDWARD M. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1966, Vol. 21 Issue 1, p132; Subject Term: FEDERAL budgets; Subject Term: ACADEMIC dissertations; Number of Pages: 1p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4661306&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Osborne, Dale K. T1 - REPLY. JO - Quarterly Journal of Economics JF - Quarterly Journal of Economics Y1 - 1965/08// VL - 79 IS - 3 M3 - Article SP - 504 EP - 504 PB - Oxford University Press / USA SN - 00335533 AB - The article replies to the comment made by Franklin M. Fisher, economist, on the goals of business enterprises. It is true that the assumption of an effective sales constraint leads to an inadequate analysis of Fisher's hypothesis. The author found the constrained profit maximization model and constrained sales maximization models hypotheses much more interesting in conjunction than in isolation and will take a black mark for not making this fact more explicit. If the firm confidently expects future profits to depend inversely on present prices, then whatever the form of this dependence and whether it is known or not maximization of long-run profits requires some sacrifice of short-run profits. KW - DEVELOPMENT economics KW - ECONOMIC indicators KW - PROFIT maximization KW - SALES management KW - SALES forecasting KW - CORPORATE profits KW - SALES KW - BUSINESS enterprises KW - ECONOMISTS N1 - Accession Number: 4967296; Osborne, Dale K. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Aug65, Vol. 79 Issue 3, p504; Thesaurus Term: DEVELOPMENT economics; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: PROFIT maximization; Thesaurus Term: SALES management; Thesaurus Term: SALES forecasting; Thesaurus Term: CORPORATE profits; Thesaurus Term: SALES; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: ECONOMISTS; Number of Pages: 1p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4967296&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GOLDSTEIN, HENRY N. T1 - THE IMPLICATIONS OF TRIANGULAR ARBITRAGE FOR FORWARD EXCHANGE POLICY. JO - Journal of Finance JF - Journal of Finance Y1 - 1964/09// VL - 19 IS - 3 M3 - Article SP - 544 EP - 551 PB - Wiley-Blackwell SN - 00221082 AB - The article presents a critique of a study by Herbert G. Grubel called "A Neglected Aspect of Forward Exchange Theory and Policy" in the September 1963 issue of the journal. In his article Grubel argued that when analyzing foreign exchange markets it does matter if the model considers a number of countries or only two and that this is particularly true if monetary authorities are involved. Grubel called this triangular arbitrage. It is noted that changes in the interbank money market and the Euro-dollar market have led to changes in how European banks manage their reserves and has led to the strengthening of that particular market. KW - ARBITRAGE KW - FOREIGN exchange market KW - BANK reserves KW - BALANCE of payments KW - EUROCURRENCY market KW - INTERBANK market KW - SWAPS (Finance) KW - DOLLAR (United States currency) KW - NATIONAL currencies KW - INTEREST rates KW - RESEARCH KW - MONEY market KW - GRUBEL, Herbert G. N1 - Accession Number: 6637577; GOLDSTEIN, HENRY N. 1; Affiliations: 1: Economist, Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: Sep64, Vol. 19 Issue 3, p544; Thesaurus Term: ARBITRAGE; Thesaurus Term: FOREIGN exchange market; Thesaurus Term: BANK reserves; Thesaurus Term: BALANCE of payments; Thesaurus Term: EUROCURRENCY market; Thesaurus Term: INTERBANK market; Thesaurus Term: SWAPS (Finance); Thesaurus Term: DOLLAR (United States currency); Thesaurus Term: NATIONAL currencies; Thesaurus Term: INTEREST rates; Thesaurus Term: RESEARCH; Thesaurus Term: MONEY market; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; People: GRUBEL, Herbert G.; Number of Pages: 8p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6637577&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - DINGLE, MONA E. T1 - The Economics of the Credit Union. JO - Journal of Finance JF - Journal of Finance Y1 - 1964/09// VL - 19 IS - 3 M3 - Book Review SP - 583 EP - 584 PB - Wiley-Blackwell SN - 00221082 AB - The article reviews the book "The Economics of the Credit Union," by John T. Croteau. KW - CREDIT unions KW - NONFICTION KW - CROTEAU, John T. KW - ECONOMICS of the Credit Union, The (Book) N1 - Accession Number: 6637655; DINGLE, MONA E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Sep64, Vol. 19 Issue 3, p583; Thesaurus Term: CREDIT unions; Subject Term: NONFICTION; Reviews & Products: ECONOMICS of the Credit Union, The (Book); NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522130 Credit Unions; People: CROTEAU, John T.; Number of Pages: 2p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6637655&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - ABST AU - WOOD, JOHN H. T1 - THE TERM STRUCTURE OF INTEREST RATES: A THEORETICAL AND EMPIRICAL STUDY. JO - Journal of Finance JF - Journal of Finance Y1 - 1963/09// VL - 18 IS - 3 M3 - Abstract SP - 568 EP - 569 PB - Wiley-Blackwell SN - 00221082 AB - The article discusses a study on the construction of a simultaneous equations hedging model for the term structure of interest rates. Research on the maturity of interest rates on default free securities is divided into institutional theories and expectations hypothesis. The institutional theory states that securities of different term to maturity are less than perfect substitutes due to hedging and liquidity considerations of capitalists and financiers. The expectation hypothesis claims that securities of different term are indeed perfect substitutes; investors maximize the value of expected receipts, and those same investors control a portion of total investable funds. KW - HEDGING (Finance) KW - INTEREST rates KW - SUPPLY & demand KW - YIELD curve (Finance) KW - MONETARY policy KW - LIQUIDITY (Economics) KW - CAPITALISTS & financiers KW - PORTFOLIO management (Investments) KW - SECURITIES KW - FINANCIAL ratios KW - SIMULTANEOUS equations KW - POLICY analysis N1 - Accession Number: 6637024; WOOD, JOHN H. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep63, Vol. 18 Issue 3, p568; Thesaurus Term: HEDGING (Finance); Thesaurus Term: INTEREST rates; Thesaurus Term: SUPPLY & demand; Thesaurus Term: YIELD curve (Finance); Thesaurus Term: MONETARY policy; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: SECURITIES; Thesaurus Term: FINANCIAL ratios; Subject Term: SIMULTANEOUS equations; Subject Term: POLICY analysis; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 2p; Document Type: Abstract UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6637024&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GOLDSTEIN, HENRY N. T1 - SHOULD THE TREASURY AUCTION LONG-TERM SECURITIES? JO - Journal of Finance JF - Journal of Finance Y1 - 1962/09// VL - 17 IS - 3 M3 - Article SP - 444 EP - 464 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on the economic policies surrounding the reduction of debt management costs within the U.S. Department of the Treasury. Despite not being of primary importance, the virtues of studying Treasury interest payment structures are outlined. An alternative debt-marketing technique is presented, asking whether the sealed-bid auctioning off of long-term securities could provide for a more efficient system. A history of the method as seen in U.S. economic policy is given and commonly raised objections are discussed. Conclusions are offered suggesting the system could be efficient in times of growth. KW - DEBT management KW - GOVERNMENT securities KW - INTEREST rates KW - COST control KW - ECONOMIC reform KW - SECURITIES markets KW - MONETARY policy KW - AUCTIONS KW - LONG-term debt KW - ECONOMIC policy KW - FINANCIAL management KW - 1933-1945 KW - UNITED States KW - UNITED States. Dept. of the Treasury N1 - Accession Number: 6631697; GOLDSTEIN, HENRY N. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep62, Vol. 17 Issue 3, p444; Thesaurus Term: DEBT management; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: INTEREST rates; Thesaurus Term: COST control; Thesaurus Term: ECONOMIC reform; Thesaurus Term: SECURITIES markets; Thesaurus Term: MONETARY policy; Thesaurus Term: AUCTIONS; Thesaurus Term: LONG-term debt; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FINANCIAL management; Subject Term: 1933-1945; Subject: UNITED States ; Company/Entity: UNITED States. Dept. of the Treasury; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 523920 Portfolio Management; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 21p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6631697&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - RPRT AU - Young, Ralph A. T1 - REPORT OF THE COMMISSION ON MONEY AND CREDIT: A COMMENTARY. JO - American Economic Review JF - American Economic Review Y1 - 1962/05// VL - 52 IS - 2 M3 - Report SP - 311 PB - American Economic Association SN - 00028282 AB - The article presents a comment on the report of the U.S. Commission on Money and Credit of 1962. The Commission is to be commended for addressing itself directly to the principal questions that economists and others have been asking in recent years about the role and efficacy of monetary policy. The Commission's stand on each of the central issues is surely the basic substance for discussion at a professional meeting such as this one. With respect to the goals of all governmental financial policies, the Commission concludes that simultaneous achievement of an adequate rate of economic growth, low levels of unemployment, and reasonable price stability are in the main compatible. Those who have never subscribed to the hypothesis that creeping inflation is a prerequisite to, or at least a necessary concomitant of, growth are naturally gratified by this conclusion. The author is dissatisfied with the Commission because the analytical support of the report is less extended than might be desired. KW - ECONOMIC policy KW - ECONOMISTS KW - ECONOMIC development KW - MONETARY policy KW - PUBLIC spending KW - UNITED States -- Economic conditions KW - UNITED States. Commission on Money & Credit KW - GOVERNMENT publications -- United States KW - UNITED States N1 - Accession Number: 8748700; Young, Ralph A. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May62, Vol. 52 Issue 2, p311; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMISTS; Thesaurus Term: ECONOMIC development; Thesaurus Term: MONETARY policy; Thesaurus Term: PUBLIC spending; Subject Term: UNITED States -- Economic conditions; Subject Term: UNITED States. Commission on Money & Credit; Subject Term: GOVERNMENT publications -- United States; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 9p; Document Type: Report UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8748700&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - GEMMILL, ROBERT F. T1 - INTEREST RATES AND FOREIGN DOLLAR BALANCES. JO - Journal of Finance JF - Journal of Finance Y1 - 1961/09// VL - 16 IS - 3 M3 - Article SP - 363 EP - 376 PB - Wiley-Blackwell SN - 00221082 AB - The article discusses how anti-recessionary policies involving low interest rates might put pressure on the foreign reserve position of the United States by bringing about a conversion of foreign-held dollar balances in gold. The article also examines the influence of monetary and fiscal measures on current account. The article's general conclusion is that those movements in foreign holdings between gold and dollar assets throughout the years, which could be attributed to interest-rate changes, account for only a small fraction of total foreign dollar holdings. KW - FOREIGN exchange KW - BALANCE of payments KW - INTEREST rates KW - GOLD markets KW - ASSETS (Accounting) KW - RESERVES (Accounting) KW - ECONOMIC policy KW - COMMODITY exchanges KW - ECONOMIC indicators KW - MONETARY policy KW - FISCAL policy KW - FEDERAL funds market (U.S.) KW - RECESSIONS KW - 1961-1971 KW - PREVENTION KW - UNITED States N1 - Accession Number: 6634824; GEMMILL, ROBERT F. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Sep61, Vol. 16 Issue 3, p363; Thesaurus Term: FOREIGN exchange; Thesaurus Term: BALANCE of payments; Thesaurus Term: INTEREST rates; Thesaurus Term: GOLD markets; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: RESERVES (Accounting); Thesaurus Term: ECONOMIC policy; Thesaurus Term: COMMODITY exchanges; Thesaurus Term: ECONOMIC indicators; Thesaurus Term: MONETARY policy; Thesaurus Term: FISCAL policy; Thesaurus Term: FEDERAL funds market (U.S.); Thesaurus Term: RECESSIONS; Subject Term: 1961-1971; Subject Term: PREVENTION; Subject: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 14p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6634824&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Furth, J. Herbert T1 - UNBALANCED INTERNATIONAL ACCOUNTS: DIAGNOSIS AND THERAPY. JO - American Economic Review JF - American Economic Review Y1 - 1961/05// VL - 51 IS - 2 M3 - Article SP - 430 PB - American Economic Association SN - 00028282 AB - The article considers various aspects of imbalance in international accounts of the U.S. during 1960s that relates to persistent unintended change in its net gold and liquid foreign exchange reserves. The article says that the imbalance in current accounts has many causes like domestic inflationary pressure and events abroad that induce foreigners to reduce their payments to or to increase their demand for payments from the country involved. Such events include not only general deflationary pressures abroad but also shifts in foreign demand or supply schedules that affect international transactions and the development of substantial disparities between domestic and foreign price levels. Such disparities are often, the aftermath of past domestic inflation or foreign deflation, they need not reflect current inflationary or deflationary pressures. Imbalance in capital accounts may be due to persistent disparities in yield levels, fears of unusual capital losses, or hopes of unusual capital gains. Persistent disparities in yield levels in turn may reflect divergent rates of economic growth, divergent institutional arrangements, or divergent economic or monetary policies. KW - BALANCE of payments KW - ECONOMIC policy KW - FOREIGN exchange KW - INTERNATIONAL trade KW - FOREIGN exchange accounting KW - CAPITAL productivity KW - INFLATION (Finance) & public expenditures KW - SUPPLY & demand KW - ECONOMIC development KW - UNITED States N1 - Accession Number: 8767011; Furth, J. Herbert 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May61, Vol. 51 Issue 2, p430; Thesaurus Term: BALANCE of payments; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FOREIGN exchange; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: FOREIGN exchange accounting; Thesaurus Term: CAPITAL productivity; Thesaurus Term: INFLATION (Finance) & public expenditures; Thesaurus Term: SUPPLY & demand; Thesaurus Term: ECONOMIC development; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8767011&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - FISHER, ROBERT MOORE T1 - OUTLOOK FOR MORTGAGE MARKETS. JO - Journal of Finance JF - Journal of Finance Y1 - 1960/05// VL - 15 IS - 2 M3 - Speech SP - 280 EP - 284 PB - Wiley-Blackwell SN - 00221082 AB - The speech "Outlook for Mortgage Markets" was presented by Robert Moore Fisher of the Board of Governors of the Federal Reserve System at the December 28, 1959 meeting of the American Finance Association, which was held in Washington, D.C. Fisher spoke about the outlook for mortgage markets, the growth in mortgage debt, and monetary policy. KW - FISHER, Robert Moore N1 - Accession Number: 6640217; FISHER, ROBERT MOORE 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May60, Vol. 15 Issue 2, p280; People: FISHER, Robert Moore; Number of Pages: 5p; Document Type: Speech UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6640217&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - Balderston, C. Canby T1 - THE QUALITY OF DECISION-MAKING. JO - Academy of Management Proceedings (00650668) JF - Academy of Management Proceedings (00650668) Y1 - 1959/12// M3 - Speech SP - 68 EP - 73 PB - Academy of Management SN - 00650668 AB - The article presents a speech by C. Canby Balderston, Vice Chairman of the Board of Governors of the Federal Reserve System of Washington, D.C., delivered at the 19th Annual Meeting of the Academy of Management, December 29, 1959, in which he focuses on the role of decision-making as a stabilizer of the economy. Significant economic goals are discussed, including sustained economic and employment growth, the protection of the purchasing power of the monetary unit, and the balance of international payments. KW - BALDERSTON, C. Canby N1 - Accession Number: 5068265; Balderston, C. Canby 1; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, D. C.; Issue Info: 1959, p68; People: BALDERSTON, C. Canby; Number of Pages: 6p; Document Type: Speech L3 - 10.5465/AMBPP.1959.5068265 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5068265&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - JONES, HOMER T1 - Patterns of Farm Financial Structure. JO - Journal of Finance JF - Journal of Finance Y1 - 1959/12// VL - 14 IS - 4 M3 - Book Review SP - 502 EP - 502 PB - Wiley-Blackwell SN - 00221082 AB - The article reviews the book "Patterns of Farm Financial Structure," by Donald C. Horton. KW - AGRICULTURE -- Finance KW - NONFICTION KW - HORTON, Donald C. KW - PATTERNS of Farm Financial Structure (Book) N1 - Accession Number: 6637123; JONES, HOMER 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec1959, Vol. 14 Issue 4, p502; Thesaurus Term: AGRICULTURE -- Finance; Subject Term: NONFICTION; Reviews & Products: PATTERNS of Farm Financial Structure (Book); People: HORTON, Donald C.; Number of Pages: 8/9p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6637123&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Smith, Paul T1 - Response of Consumer Loans to General Credit Conditions. JO - American Economic Review JF - American Economic Review Y1 - 1958/09/10/ VL - 48 IS - 4 M3 - Article SP - 649 EP - 655 PB - American Economic Association SN - 00028282 AB - The article presents a study to examine the lending practices of commercial banks under different degrees of credit stringency, indicated by deposit experience under similar conditions of demand in the United States. The study compares the responsiveness of consumer lending to other types of loans and investments. The increase of credit demands reinforced the competitive easing of instalment credit terms. In the automobile industry, the down payments were reduced while loan maturities were extended. KW - COMMERCIAL credit KW - BANK loans KW - COMMERCIAL finance companies KW - CREDIT KW - FINANCE KW - MONEY KW - INVESTMENTS KW - FINANCIAL institutions KW - UNITED States N1 - Accession Number: 8746861; Smith, Paul 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System; Issue Info: Sep58, Vol. 48 Issue 4, p649; Thesaurus Term: COMMERCIAL credit; Thesaurus Term: BANK loans; Thesaurus Term: COMMERCIAL finance companies; Thesaurus Term: CREDIT; Thesaurus Term: FINANCE; Thesaurus Term: MONEY; Thesaurus Term: INVESTMENTS; Thesaurus Term: FINANCIAL institutions; Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8746861&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Moss, Milton T1 - Quantity and Price Indexes in National Accounts (Book). JO - American Economic Review JF - American Economic Review Y1 - 1958/06// VL - 48 IS - 3 M3 - Book Review SP - 475 PB - American Economic Association SN - 00028282 AB - Reviews the book "Quantity and Price Indexes in National Accounts." by Richard Stone. KW - ACCOUNTS KW - ECONOMIC indicators KW - NONFICTION KW - STONE, Richard KW - QUANTITY & Price Indexes in National Accounts (Book) N1 - Accession Number: 8798472; Moss, Milton 1; Affiliations: 1: Board of Governors of the Federal Reserve System Washington, D. C.; Issue Info: Jun58, Vol. 48 Issue 3, p475; Thesaurus Term: ACCOUNTS; Thesaurus Term: ECONOMIC indicators; Subject Term: NONFICTION; Reviews & Products: QUANTITY & Price Indexes in National Accounts (Book); People: STONE, Richard; Number of Pages: 3p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8798472&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - ROBINSON, ROLAND I. T1 - FACTORS ACCOUNTING FOR THE SHARPLY INCREASED COST OF STATE AND LOCAL GOVERNMENT BORROWING. JO - Journal of Finance JF - Journal of Finance Y1 - 1957/05// VL - 12 IS - 2 M3 - Article SP - 126 EP - 135 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on the contributing factors of the sharp increase in the cost of state and local government borrowing. The purpose of this research is to focus on the factors specifically related to tax exemption and to discover whether or not they explain the very high increase in state and local government borrowing cost. Article topics include accounting factors for the post World War II increase in tax-exempt yields, dividing the subsidy of tax exemption between borrowers and investors, and maturity-yield differentials. KW - PRICE increases KW - LOCAL finance -- Law & legislation KW - TAX exemption KW - STATE governments KW - PUBLIC debts KW - FISCAL policy KW - MONETARY policy KW - UNEMPLOYMENT KW - BANK loans KW - BANK reserves KW - TAX & expenditure limitations KW - LOCAL government KW - MONETARY theory KW - SUBSIDIES KW - YIELD to maturity KW - POST-World War II period KW - UNITED States KW - UNITED States. Federal Reserve Board N1 - Accession Number: 6634579; ROBINSON, ROLAND I. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May57, Vol. 12 Issue 2, p126; Thesaurus Term: PRICE increases; Thesaurus Term: LOCAL finance -- Law & legislation; Thesaurus Term: TAX exemption; Thesaurus Term: STATE governments; Thesaurus Term: PUBLIC debts; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; Thesaurus Term: UNEMPLOYMENT; Thesaurus Term: BANK loans; Thesaurus Term: BANK reserves; Thesaurus Term: TAX & expenditure limitations; Thesaurus Term: LOCAL government; Thesaurus Term: MONETARY theory; Thesaurus Term: SUBSIDIES; Thesaurus Term: YIELD to maturity; Subject Term: POST-World War II period; Subject: UNITED States ; Company/Entity: UNITED States. Federal Reserve Board; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6634579&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - KLAMAN, SAUL B. T1 - MORTGAGE COMPANIES IN THE POSTWAR MORTGAGE MARKET. JO - Journal of Finance JF - Journal of Finance Y1 - 1957/05// VL - 12 IS - 2 M3 - Article SP - 148 EP - 158 PB - Wiley-Blackwell SN - 00221082 AB - The article focuses on mortgage bank operations in the post-World War II period mortgage market. Two sources account for most of this study's data: mortgage banks' annual financial statements from 1945 to 1955 filed and transcribed by the U.S. Federal Housing Administration (FHA) and a questionnaire of the quarterly financial structure and mortgage operations of selected banks from 1953 to 1955. Mortgage bank executives and other professionals were interviewed in order to gain a better understanding of the developing history and structure of mortgage banking, as well as the characteristics of operations in 1957. KW - EXECUTIVES KW - FINANCIAL statements KW - QUARTERLY reports KW - MORTGAGE banks KW - MORTGAGE loans KW - MORTGAGE loan servicing KW - SECONDARY mortgage market KW - QUESTIONNAIRES KW - MONETARY policy KW - POST-World War II period KW - INTERVIEWS KW - UNITED States KW - UNITED States. Federal Housing Administration KW - NATIONAL Bureau of Economic Research N1 - Accession Number: 6634582; KLAMAN, SAUL B. 1; Affiliations: 1: National Bureau of Economic Research and Board of Governors of the Federal Reserve System; Issue Info: May57, Vol. 12 Issue 2, p148; Thesaurus Term: EXECUTIVES; Thesaurus Term: FINANCIAL statements; Thesaurus Term: QUARTERLY reports; Thesaurus Term: MORTGAGE banks; Thesaurus Term: MORTGAGE loans; Thesaurus Term: MORTGAGE loan servicing; Thesaurus Term: SECONDARY mortgage market; Thesaurus Term: QUESTIONNAIRES; Thesaurus Term: MONETARY policy; Subject Term: POST-World War II period; Subject Term: INTERVIEWS; Subject: UNITED States ; Company/Entity: UNITED States. Federal Housing Administration ; Company/Entity: NATIONAL Bureau of Economic Research; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; NAICS/Industry Codes: 522292 Real Estate Credit; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6634582&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - JONES, HOMER T1 - A Study of Saving in the United States. JO - Journal of Finance JF - Journal of Finance Y1 - 1956/09// VL - 11 IS - 3 M3 - Book Review SP - 396 EP - 399 PB - Wiley-Blackwell SN - 00221082 AB - The article reviews the first two volumes of a three-volume study by Raymond W. Goldsmith entitled "A Study of Saving in the United States." Titles reviewed are Volume 1, " Introduction: Tables of Annual Estimates of Saving 1897 to 1949," and Volume 2, "Nature and Derivation of Annual Estimates of Saving 1897 to 1949." KW - SAVING & investment KW - NONFICTION KW - GOLDSMITH, Raymond W. KW - STUDY of Saving in the United States: Introduction: Tables of Annual Estimates of Saving 1897-1949, A (Book) KW - STUDY of Saving in the United States: Nature & Derivation of Annual Estimates of Saving 1897-1949, A (Book) N1 - Accession Number: 6629538; JONES, HOMER 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Sep56, Vol. 11 Issue 3, p396; Thesaurus Term: SAVING & investment; Subject Term: NONFICTION; Reviews & Products: STUDY of Saving in the United States: Introduction: Tables of Annual Estimates of Saving 1897-1949, A (Book); Reviews & Products: STUDY of Saving in the United States: Nature & Derivation of Annual Estimates of Saving 1897-1949, A (Book); People: GOLDSMITH, Raymond W.; Number of Pages: 4p; Document Type: Book Review UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6629538&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - WOOD, RAMSEY T1 - GOVERNMENT MORTGAGE CREDIT COMMITMENTS AND ECONOMIC STABILITY. JO - Journal of Finance JF - Journal of Finance Y1 - 1956/05// VL - 11 IS - 2 M3 - Article SP - 151 EP - 165 PB - Wiley-Blackwell SN - 00221082 AB - The article discusses the impact of mortgage insurance provided by the U.S. government. The author proceeds along four distinct avenues of inquiry. Have federal guarantees significantly alleviated stress on the financial system by protecting borrowers from the worst effects of an economic downturn? Have government programs lowered the costs of home ownership and its associated risks? Are speculation and excessive credit reduced by federal involvement? Are capital markets more robust due to the increased marketability of mortgages made possible by federal insurance? KW - MORTGAGES KW - CREDIT KW - CAPITAL market KW - HOME ownership KW - MORTGAGE loans KW - HOUSING KW - LOANS KW - INSURANCE KW - MARKETS KW - DEBTOR & creditor KW - UNITED States -- Economic conditions KW - UNITED States N1 - Accession Number: 6636494; WOOD, RAMSEY 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: May56, Vol. 11 Issue 2, p151; Thesaurus Term: MORTGAGES; Thesaurus Term: CREDIT; Thesaurus Term: CAPITAL market; Thesaurus Term: HOME ownership; Thesaurus Term: MORTGAGE loans; Thesaurus Term: HOUSING; Thesaurus Term: LOANS; Thesaurus Term: INSURANCE; Thesaurus Term: MARKETS; Thesaurus Term: DEBTOR & creditor; Subject Term: UNITED States -- Economic conditions; Subject: UNITED States; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 624229 Other Community Housing Services; NAICS/Industry Codes: 524298 All Other Insurance Related Activities; NAICS/Industry Codes: 524292 Third Party Administration of Insurance and Pension Funds; NAICS/Industry Codes: 525190 Other Insurance Funds; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6636494&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Colin D. Campbell AU - Campbell, Rosemary G. T1 - SOVIET PRICE REDUCTIONS FOR CONSUMER GOODS, 1948-1954. JO - American Economic Review JF - American Economic Review Y1 - 1955/09// VL - 45 IS - 4 M3 - Article SP - 609 PB - American Economic Association SN - 00028282 AB - Soviet Union has consistently resorted to price reductions as a policy to improve the living standards of the workers. The Soviet government lowered the prices of a large number of consumer goods each spring from 1948 to 1954. For the first time since 1948, price reductions were not announced in March or April 1955. This may represent a change in price policy, however, it could also be due to the fact that the 1951-55 goal for price reductions was reached during the first four years of the fifth five-year plan. In the USSR, the decline in prices during the past 1948-54 is strikingly different from the trend of prices prior to the second world war. This article disseminates interesting information about the price reductions collected from some Russian literature in an attempt to explain the price reductions, and to throw some light on the nature of the Soviet pricing system for consumer goods. It concludes that price reductions are probably superior to increases in money wages as a method of expanding consumption in a planned economy. KW - PRICES KW - CONSUMER goods KW - PRICE cutting KW - CENTRAL economic planning KW - PRICING KW - WAGES KW - CONSUMPTION (Economics) KW - SOVIET Union N1 - Accession Number: 8755871; Colin D. Campbell 1; Campbell, Rosemary G. 2; Affiliations: 1: Division of research and statistics of the Board of Governors of the Federal Reserve System.; 2: Instructor in economics at Iowa State College.; Issue Info: Sep55, Vol. 45 Issue 4, p609; Thesaurus Term: PRICES; Thesaurus Term: CONSUMER goods; Thesaurus Term: PRICE cutting; Thesaurus Term: CENTRAL economic planning; Thesaurus Term: PRICING; Thesaurus Term: WAGES; Thesaurus Term: CONSUMPTION (Economics); Subject: SOVIET Union; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; Number of Pages: 17p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8755871&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - DINGLE, MONA E. T1 - TOWARD A MORE MEANINGFUL STATISTICAL CONCEPT OF THE MONEY SUPPLY. JO - Journal of Finance JF - Journal of Finance Y1 - 1955/03// VL - 10 IS - 1 M3 - Article SP - 62 EP - 66 PB - Wiley-Blackwell SN - 00221082 AB - The article presents commentary on the report "Toward a More Meaningful Statistical Concept of the Money Supply," by Leland J. Pritchard, originally published in the March 1954 issue. Pritchard's suggestions of monetary reform are reviewed, outlining the separation of money supplies into three divisions, isolating commercial time and savings deposits from demand deposits or government securities. Criticism is offered regarding the significance of the distinctions and their ability to function as a store of purchasing power or liquid assets. KW - MONEY supply KW - BANK deposits KW - MONETARY theory KW - BANKING industry KW - FINANCE -- Research KW - RESEARCH KW - LIQUID assets KW - PURCHASING power KW - DEMAND for money KW - MONETARY policy KW - GOVERNMENT securities KW - EVALUATION KW - PRITCHARD, Leland J. N1 - Accession Number: 6629734; DINGLE, MONA E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar1955, Vol. 10 Issue 1, p62; Thesaurus Term: MONEY supply; Thesaurus Term: BANK deposits; Thesaurus Term: MONETARY theory; Thesaurus Term: BANKING industry; Thesaurus Term: FINANCE -- Research; Thesaurus Term: RESEARCH; Thesaurus Term: LIQUID assets; Thesaurus Term: PURCHASING power; Thesaurus Term: DEMAND for money; Thesaurus Term: MONETARY policy; Thesaurus Term: GOVERNMENT securities; Subject Term: EVALUATION; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522110 Commercial Banking; People: PRITCHARD, Leland J.; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6629734&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - DINGLE, MONA E. T1 - A Rejoinder. JO - Journal of Finance JF - Journal of Finance Y1 - 1955/03// VL - 10 IS - 1 M3 - Letter SP - 69 EP - 69 PB - Wiley-Blackwell SN - 00221082 AB - A letter to the editor is presented continuing debate on the assertions of Leland J. Pritchard asserted within his article "Toward a More Meaningful Statistical Concept of the Money Supply," published in the March 1954 issue and its following correspondences. KW - MONEY supply KW - LETTERS to the editor N1 - Accession Number: 28110966; DINGLE, MONA E. 1; Affiliations: 1: Board of Governors of the Federal Reserve System; Issue Info: Mar1955, Vol. 10 Issue 1, p69; Thesaurus Term: MONEY supply; Subject Term: LETTERS to the editor; Number of Pages: 1p; Document Type: Letter UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28110966&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ames, Edward T1 - SOVIET BLOC CURRENCY CONVERSIONS. JO - American Economic Review JF - American Economic Review Y1 - 1954/06// VL - 44 IS - 3 M3 - Article SP - 339 PB - American Economic Association SN - 00028282 AB - Currency conversions have a definite, if limited, role in making possible the internal stabilization of a Soviet-type economy. They are not necessary conditions for stabilization, Hungary and East Germany have not had any conversion ascribable to purely Soviet. The principal limitations upon the importance of conversions in the Soviet bloc are: (1) they do not necessarily involve any change in the allocation of productive resources; and (2) they do not involve changes in prices, other than purely administrative readjustments. The role of the conversion is to eliminate excess consumer demand by raising retail prices relative to wages and by eliminating liquid savings; to place pressure on enterprises to increase efficiency by raising wages in relation to wholesale prices; and by making appropriate changes in the exchange rates to place pressure upon the Treasury to increase revenues to expenditures. In this way, the conversion may correct a divergence between the allocation of resources planned by the authorities, and the actual allocation of incomes. This divergence may be directly ascribed to credit expansion, which means inventory growth under Soviet-bloc conditions, although indirectly it is also a consequence of excessive rigidity of prices. KW - CURRENCY convertibility KW - MONEY KW - ECONOMIC stabilization KW - FOREIGN exchange KW - WAGES KW - FOREIGN exchange rates KW - RESOURCE allocation KW - COMMUNIST countries KW - REVENUE N1 - Accession Number: 8746485; Ames, Edward 1; Affiliations: 1: Division of International Finance of the Board of Governors of the Federal Reserve System.; Issue Info: Jun54, Vol. 44 Issue 3, p339; Thesaurus Term: CURRENCY convertibility; Thesaurus Term: MONEY; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: FOREIGN exchange; Thesaurus Term: WAGES; Thesaurus Term: FOREIGN exchange rates; Thesaurus Term: RESOURCE allocation; Subject Term: COMMUNIST countries; Subject Term: REVENUE; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8746485&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Miller, Donald C. T1 - CORPORATE TAXATION AND METHODS OF CORPORATE FINANCING. JO - American Economic Review JF - American Economic Review Y1 - 1952/12// VL - 42 IS - 5 M3 - Article SP - 839 PB - American Economic Association SN - 00028282 AB - In this article, the author explores the relation between corporate taxation and methods of corporate financing. The author says that among many economic effects of present federal corporate tax laws are those upon decisions as to the extent of capital expansion and the form that its financing will take in the U.S. The most practical possibility of making an actual tax profit is in those cases where capital additions result in a reduction of both the corporate income tax and the excess profits tax. This is possible where borrowed funds qualify as invested capital additions, and this also a plains the advantage of debt over equity financing. The net cost of borrowing is affected by interest expense allowances found in both the excess profits and corporate income tax laws. The entire interest cost of borrowing may be used to reduce corporate normal tax net income. Actual tax profits from borrowing are possible, however, only when a part of borrowing enters into the excess profits credit which serves to reduce the excess profits tax base. KW - CORPORATE taxes KW - BUSINESS enterprises -- Finance KW - TAX base KW - CAPITAL KW - LOCAL taxation KW - INTEREST costs KW - TAX planning KW - CORPORATIONS -- Finance KW - EXCESS profits tax N1 - Accession Number: 8713064; Miller, Donald C. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Dec52, Vol. 42 Issue 5, p839; Thesaurus Term: CORPORATE taxes; Thesaurus Term: BUSINESS enterprises -- Finance; Thesaurus Term: TAX base; Thesaurus Term: CAPITAL; Thesaurus Term: LOCAL taxation; Thesaurus Term: INTEREST costs; Thesaurus Term: TAX planning; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: EXCESS profits tax; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8713064&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Dembitz, Lewis N. T1 - Colin Clark on International Investment. JO - American Economic Review JF - American Economic Review Y1 - 1950/12// VL - 40 IS - 5 M3 - Article SP - 890 PB - American Economic Association SN - 00028282 AB - In the article, the author critically appreciates an article entitled "The World Will Save Money in the 1950's," by Colin Clark, published in the July 1950 issue of the journal "Fortune." The greater part of the article is devoted to an interesting and useful analysis of prospective savings and international capital flows during the next decade. At the end of the article, however, Clark puts forth a suggested solution of the problem which, according to the author, is quite confusing. The main part of the article discusses the factors that cause a country to need capital, the need to provide for an increasing labor force and to bring about increases in the productivity of both the existing and the added labor force. By producing a projection of surpluses and deficits which, at least in form, covers the whole world, Clark has provided a useful and interesting framework from which public thinking can proceed on the problem of how the surplus savings of some areas can be made available to finance the needs of others. It seems that Clark rather exaggerates the benefits of using central banks, rather than intergovernmental transfers, as the channel for bringing about desirable capital flows. KW - SAVING & investment KW - FOREIGN investments KW - CAPITAL movements KW - LABOR policy KW - BANKING industry KW - CRITICISM KW - CLARK, Colin N1 - Accession Number: 8711969; Dembitz, Lewis N. 1; Affiliations: 1: Assistant director of the Division of International Finance, Board of Governors of the Federal Reserve System.; Issue Info: Dec50, Vol. 40 Issue 5, p890; Thesaurus Term: SAVING & investment; Thesaurus Term: FOREIGN investments; Thesaurus Term: CAPITAL movements; Thesaurus Term: LABOR policy; Thesaurus Term: BANKING industry; Subject Term: CRITICISM; NAICS/Industry Codes: 522110 Commercial Banking; NAICS/Industry Codes: 522190 Other Depository Credit Intermediation; NAICS/Industry Codes: 522120 Savings Institutions; NAICS/Industry Codes: 522111 Personal and commercial banking industry; NAICS/Industry Codes: 522293 International Trade Financing; People: CLARK, Colin; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8711969&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - YOUNGDAHL, RICHARD C. T1 - CAPITALISM AND ECONOMIC STABILITY: DIRECT VERSUS MONETARY AND FISCAL CONTROLS DISCUSSION. JO - Journal of Finance JF - Journal of Finance Y1 - 1950/03// VL - 5 IS - 1 M3 - Article SP - 67 EP - 69 PB - Wiley-Blackwell SN - 00221082 AB - The article comments on papers presented by Robert C. Turner, Paul W. McCracken, and Everett C. Hagen to a joint meeting to the American Finance Association and the American Economic Association on December 28, 1949 in New York City. The author believes Turner has given a careful account of when direct controls can be effectively used in an economy. Similarly, he agrees with Hagen's views on the effectiveness of direct controls for economic stabilization under certain circumstances. In his view McCracken provided a sound overview of fiscal and monetary policy in the U.S. KW - ECONOMIC policy KW - FISCAL policy KW - MONETARY policy KW - ECONOMIC stabilization KW - EQUILIBRIUM (Economics) KW - INTEREST rates KW - 1945-1960 KW - UNITED States -- Economic conditions -- 1945- KW - UNITED States KW - TURNER, Robert C. KW - MCCRACKEN, Paul W. KW - HAGEN, Everett N1 - Accession Number: 28130438; YOUNGDAHL, RICHARD C. 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: Mar1950, Vol. 5 Issue 1, p67; Thesaurus Term: ECONOMIC policy; Thesaurus Term: FISCAL policy; Thesaurus Term: MONETARY policy; Thesaurus Term: ECONOMIC stabilization; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: INTEREST rates; Subject Term: 1945-1960; Subject Term: UNITED States -- Economic conditions -- 1945-; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; People: TURNER, Robert C.; People: MCCRACKEN, Paul W.; People: HAGEN, Everett; Number of Pages: 3p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=28130438&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Furth, J. Herbert T1 - SHORT-RUN ESCAPE CLAUSES OF THE HAVANA CHARTER. JO - American Economic Review JF - American Economic Review Y1 - 1949/05// VL - 39 IS - 3 M3 - Article SP - 252 EP - 260 PB - American Economic Association SN - 00028282 AB - The article discusses the short-run escape clauses of the International Trade Organization charter. The Charter lays down the general rules that no member shall prohibit or restrict foreign trade with other members except by means of tariff duties or similar charges, and that no prohibition or restriction shall be applied in relation to any member unless it is similarly applied in relation to all other countries. It is not the power of economic sanctions that will keep the members of the Organization from abusing the escape clauses. Quite apart from all Charter provisions, a country applying measures of commercial policy harmful to other nations has to be prepared for retaliation; it decides to apply them only if it believes that the beneficial results will outweigh the detrimental. Similar calculations may well enable a country to violate the Charter provisions with relative impunity. The limits of the escape clauses will be observed only if the public, including the economic theorists and practitioners, realize that the principles of the Charter are the best foundation of world prosperity and world peace. KW - INTERNATIONAL trade KW - COMMERCIAL policy KW - IMPORT quotas KW - NONTARIFF trade barriers KW - FOREIGN trade regulation KW - TRADE adjustment assistance KW - CUSTOMS unions N1 - Accession Number: 8731914; Furth, J. Herbert 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May49, Vol. 39 Issue 3, p252; Thesaurus Term: INTERNATIONAL trade; Thesaurus Term: COMMERCIAL policy; Thesaurus Term: IMPORT quotas; Thesaurus Term: NONTARIFF trade barriers; Thesaurus Term: FOREIGN trade regulation; Thesaurus Term: TRADE adjustment assistance; Thesaurus Term: CUSTOMS unions; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 522293 International Trade Financing; Number of Pages: 9p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8731914&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Thomas, Woodlief T1 - PLANNING AND FORECASTING IN THE TRANSITION PERIOD. JO - American Economic Review JF - American Economic Review Y1 - 1947/05// VL - 37 IS - 2 M3 - Article SP - 51 PB - American Economic Association SN - 00028282 AB - Formal discussion of the economic outlook by economists at meetings of professional associations is a long-established practice. In the 1920s a luncheon session devoted to this subject was a regular feature of the program of the American Statistical Association, which at that time dealt to a large extent with economic realities, such as when to buy stocks, while the American Economic Association meetings were more concerned with the hypotheses of neoclassical theories. There seems now to have been a change, the statisticians are emphasizing hypothetical mathematical formulae and the economists are greatly concerned with the immediately current problem of the public debt. Since the 1920s, when these forecasting luncheons were the most popular of all meetings, particularly if held within the proximity of Wall Street, there have been great changes in the objectives and procedures of economic analysis. At that time the aim was to predict the course of events that was presumably the result of freely operating competitive forces in the markets with little influence from public controls. Since then there has been more widespread acceptance of the view that economic forces and events can be planned and controlled toward certain objectives. KW - CENTRAL economic planning KW - ECONOMIC forecasting KW - PUBLIC debts KW - ECONOMIC policy KW - ECONOMISTS KW - UNITED States -- Economic conditions -- 1945- KW - UNITED States KW - AMERICAN Statistical Association KW - AMERICAN Economic Association N1 - Accession Number: 8721725; Thomas, Woodlief 1; Affiliations: 1: Board of Governors of the Federal Reserve System.; Issue Info: May47, Vol. 37 Issue 2, p51; Thesaurus Term: CENTRAL economic planning; Thesaurus Term: ECONOMIC forecasting; Thesaurus Term: PUBLIC debts; Thesaurus Term: ECONOMIC policy; Thesaurus Term: ECONOMISTS; Subject Term: UNITED States -- Economic conditions -- 1945-; Subject: UNITED States ; Company/Entity: AMERICAN Statistical Association DUNS Number: 070110986 ; Company/Entity: AMERICAN Economic Association DUNS Number: 053432811; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 7p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8721725&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Metzler, Lloyd A. T1 - BUSINESS CYCLES AND THE MODERN THEORY OF EMPLOYMENTS. JO - American Economic Review JF - American Economic Review Y1 - 1946/06// VL - 36 IS - 3 M3 - Article SP - 278 EP - 291 PB - American Economic Association SN - 00028282 AB - The modern theory of employment and income, which explains the level of total output in terms of investment and consumption, is generally regarded as a static theory. It is widely believed that the propensity to consume and the level of investment provide a broad explanation of the level of total economic activity achieved by an economy in equilibrium, but do not account for fluctuations in such activity. In the study of cumulative processes of expansion and contraction-prosperity and depression, most economists feel that the popular discussion of savings and investment must be supplemented by other methods of investigation. The changes in the theory of inventory cycles are typical examples of recent changes in business cycle theory in general. They illustrate the far-reaching influence, which the theory of employment has exerted upon dynamic economics. As a result of these developments, the Wicksellian concept of an unstable cumulative process, which was formerly the basis of many business cycle theories, has in large part been replaced by the concept of oscillation about a normal equilibrium level of income and employment. KW - EMPLOYMENT (Economic theory) KW - BUSINESS cycles KW - INCOME KW - CONSUMPTION (Economics) KW - INVESTMENTS KW - ECONOMIC activity KW - PROPENSITY to consume N1 - Accession Number: 9186310; Metzler, Lloyd A. 1; Affiliations: 1: The author is an economist with the Board of Governors of the Federal Reserve System, Washington, D.C.; Issue Info: Jun46, Vol. 36 Issue 3, p278; Thesaurus Term: EMPLOYMENT (Economic theory); Thesaurus Term: BUSINESS cycles; Thesaurus Term: INCOME; Thesaurus Term: CONSUMPTION (Economics); Thesaurus Term: INVESTMENTS; Thesaurus Term: ECONOMIC activity; Thesaurus Term: PROPENSITY to consume; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 14p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9186310&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - GEN AU - Robinson, Roland I. T1 - Money Supply and Liquid Asset Formation. JO - American Economic Review JF - American Economic Review Y1 - 1946/03// VL - 36 IS - 1 M3 - Letter SP - 127 EP - 133 PB - American Economic Association SN - 00028282 AB - Presents a letter to the editor about liquid asset formation and money supply. KW - MONEY supply KW - LETTERS to the editor N1 - Accession Number: 8712154; Robinson, Roland I. 1; Affiliations: 1: The Board of Governors of the Federal Reserve System; Issue Info: Mar1946, Vol. 36 Issue 1, p127; Thesaurus Term: MONEY supply; Subject Term: LETTERS to the editor; Number of Pages: 7p; Document Type: Letter UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=8712154&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - MUSGRAVE, RICHARD A. T1 - Alternative Budget Policies for Full Employment. JO - American Economic Review JF - American Economic Review Y1 - 1945/06// VL - 35 IS - 3 M3 - Article SP - 387 EP - 400 PB - American Economic Association SN - 00028282 N1 - Accession Number: 94870319; MUSGRAVE, RICHARD A. 1; Affiliations: 1: Division of Research and Statistics, Board of Governors of the Federal Reserve System; Issue Info: Jun45, Vol. 35 Issue 3, p387; Number of Pages: 14p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94870319&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - DOMAR, EVSEY D. T1 - The Burden of the Debt: A Rejoinder. JO - American Economic Review JF - American Economic Review Y1 - 1945/06// VL - 35 IS - 3 M3 - Article SP - 414 EP - 418 PB - American Economic Association SN - 00028282 N1 - Accession Number: 94870316; DOMAR, EVSEY D. 1; Affiliations: 1: Economist , Board of Governors of the Federal Reserve System; Issue Info: Jun45, Vol. 35 Issue 3, p414; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94870316&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR T1 - Why has safety improved at rail-highway grade crossings? AU - Mok, S. C. AU - Savage, I. JO - Risk Analysis JF - Risk Analysis Y1 - 2005/// VL - 25 IS - 4 SP - 867 EP - 881 CY - Boston; USA PB - Blackwell Publishing SN - 0272-4332 AD - Mok, S. C.: Board of Governors of the Federal Reserve System, Washington, Dist. of Columbia, USA. N1 - Accession Number: 20053206932. Publication Type: Journal Article. Language: English. Number of References: 17 ref. Subject Subsets: Public Health N2 - The number of collisions and fatalities at rail-highway intersections in the United States has declined significantly over the past 30 years, despite considerable increases in the volume of rail and highway traffic. This article disaggregates the improvement into its constituent causes. Negative binomial regressions are conducted on a pooled data set for 49 states from 1975 to 2001. The analysis concludes that about two-fifths of the decrease is due to factors such as reduced drunk driving and improved emergency medical response that have improved safety on all parts of the highway network. The installation of gates and/or flashing lights accounts for about a fifth of the reduction. The development in the 1970s and early 1980s of the Operation Lifesaver public education campaign, and the installation of additional lights on locomotives in the mid 1990s, each led to about a seventh of the reduction. Finally, about a tenth is due to closure of crossings resulting from line abandonments or consolidation of little-used crossings. KW - accident prevention KW - accidents KW - campaigns KW - education programmes KW - railways KW - risk reduction KW - safety KW - safety devices KW - USA KW - man KW - Homo KW - Hominidae KW - Primates KW - mammals KW - vertebrates KW - Chordata KW - animals KW - eukaryotes KW - APEC countries KW - Developed Countries KW - North America KW - America KW - OECD Countries KW - educational programs KW - railroads KW - United States of America KW - Education and Training (CC100) KW - Health Services (UU350) KW - Non-communicable Human Diseases and Injuries (VV600) UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=lhh&AN=20053206932&site=ehost-live&scope=site UR - http://www.blackwell-synergy.com/servlet/useragent?func=showIssues&code=risk UR - email: ipsavage@northwestern.edu DP - EBSCOhost DB - lhh ER -