FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Quinn, S Roberds, W AF Quinn, Stephen Roberds, William TI How Amsterdam got fiat money SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Bank of Amsterdam; Fiat money; Commodity money; Monetary policy; Credit policy ID FEDERAL-RESERVE; LIQUIDITY; REGIME; CRISIS AB A fiat money system was introduced in the seventeenth century by a prominent public bank of the time, the Bank of Amsterdam. Employing data from the bank's archives, we show that bank money became a more attractive transactions medium following a 1683 policy change, which unbundled the bank's account balances from a right to redeem these balances in coin. Balances not matched by a redemption right became fiat. This change also stabilized the value of bank money as a unit of account, freed the bank from defensive open market operations, and promoted seigniorage collection. Published by Elsevier B.V. C1 [Quinn, Stephen] Texas Christian Univ, Ft Worth, TX 76129 USA. [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM william.roberds@atl.frb.orge NR 40 TC 5 Z9 5 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2014 VL 66 BP 1 EP 12 DI 10.1016/j.jmoneco.2014.03.004 PG 12 WC Business, Finance; Economics SC Business & Economics GA AO0HE UT WOS:000340988900001 ER PT J AU Carvalho, C Nechio, F AF Carvalho, Carlos Nechio, Fernanda TI Do people understand monetary policy? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Survey data; Monetary policy; Communication; Taylor rule; Inflation expectations; Michigan Survey; Survey of Professional Forecasters ID EXPECTATIONS AB We combine questions from the Michigan Survey about future inflation, unemployment, and interest rates to investigate whether households are aware of the basic features of U.S. monetary policy. Our findings provide evidence that some households form their expectations in a way that is consistent with a Taylor (1993)-type rule. We also document a large degree of variation in the pattern of responses over the business cycle. In particular, the negative relationship between unemployment and interest rates that is apparent in the data only shows up in households' answers during periods of labor market weakness. (C) 2014 Elsevier B.V. All rights reserved. C1 [Carvalho, Carlos] Pontificia Univ Catolica Rio de Janeiro, Dept Econ, BR-22451900 Rio de Janeiro, Brazil. [Nechio, Fernanda] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Carvalho, C (reprint author), Pontificia Univ Catolica Rio de Janeiro, Dept Econ, Rua Marques de Sao Vicente 225,F210, BR-22451900 Rio de Janeiro, Brazil. EM cvianac@econ.puc-rio.br NR 29 TC 3 Z9 3 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2014 VL 66 BP 108 EP 123 DI 10.1016/j.jmoneco.2014.04.013 PG 16 WC Business, Finance; Economics SC Business & Economics GA AO0HE UT WOS:000340988900008 ER PT J AU Camera, G Chien, YL AF Camera, Gabriele Chien, Yili TI Understanding the Distributional Impact of Long-Run Inflation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE money; heterogeneity; wealth inequality; consumption inequality ID COMPETITIVE MARKET; WELFARE COST; EQUILIBRIUM; MONEY AB The impact of fully anticipated inflation is systematically studied in heterogeneous agent economies with an endogenous labor supply and portfolio choices. In stationary equilibrium, inflation nonlinearly alters the endogenous distributions of income, wealth, and consumption. Small departures from zero inflation have the strongest impact. Three features determine how inflation impacts distributions and welfare: financial structure, shock persistence, and labor supply elasticity. When agents can self-insure only with money, inflation reduces wealth inequality but may raise consumption inequality. Otherwise, inflation reduces consumption inequality but may raise wealth inequality. Given persistent shocks and an inelastic labor supply, inflation may raise average welfare. The results hold when the model is extended to account for capital formation. C1 [Camera, Gabriele] Chapman Univ, Econ Sci Inst, Orange, CA 92866 USA. [Chien, Yili] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Camera, G (reprint author), Chapman Univ, Econ Sci Inst, Orange, CA 92866 USA. EM camera@chapman.edu; yilichien@gmail.com RI Chien, Yili/I-5741-2016 OI Chien, Yili/0000-0002-6820-1197 NR 19 TC 0 Z9 0 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2014 VL 46 IS 6 BP 1137 EP 1170 DI 10.1111/jmcb.12136 PG 34 WC Business, Finance; Economics SC Business & Economics GA AO1SV UT WOS:000341095600003 ER PT J AU Firestone, S AF Firestone, Simon TI Race, Ethnicity, and Credit Card Marketing SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; depository institutions; economics of minorities; races; and immigrants; nonlabor discrimination ID DISCRIMINATION; SELECTION; RATES AB There is a vast literature on discrepancies in consumer credit related to race and ethnicity. I explore a pattern that was first identified in aggregate data by Han, Keys, and Li (2011) in their study of credit access: Blacks were approximately 27% less likely to receive offers from credit card lenders during the sample period, even after controlling for variables such as credit history, household income, and local economic conditions. Hispanics were 17% less likely to receive an offer, after including controls. The discrepancy is robust to lender-specific regressions and the inclusion of a large number of explanatory variables. My findings imply that marketing is an important area for analysis of discrimination in consumer credit. Due to the likely need for confidential information in further analysis, investigation by an appropriate regulatory agency such as the Consumer Financial Protection Bureau would be useful. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Firestone, S (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM Simon.b.firestone@frb.gov NR 17 TC 0 Z9 0 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2014 VL 46 IS 6 BP 1205 EP 1224 DI 10.1111/jmcb.12138 PG 20 WC Business, Finance; Economics SC Business & Economics GA AO1SV UT WOS:000341095600005 ER PT J AU Carlstrom, CT Fuerst, TS Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Paustian, Matthias TI Fiscal Multipliers under an Interest Rate Peg of Deterministic versus Stochastic Duration SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE fiscal multiplier; fixed interest rates; New Keynesian model; zero lower bound AB This paper revisits the size of the fiscal multiplier. The experiment is a fiscal expansion under the assumption of a pegged nominal rate of interest. We demonstrate that a quantitatively important issue is the articulation of the exit from the policy experiment. If the monetary-fiscal expansion is stochastic with a mean duration of T periods, the fiscal multiplier can be unboundedly large. However, if the monetary-fiscal expansion is for a fixed T periods, the multiplier is much smaller. Our explanation rests on a Jensen's inequality type argument: the deterministic multiplier is convex in duration, and the stochastic multiplier is a weighted average of the deterministic multipliers. The quantitative difference in the two multipliers also arises in a model with capital, and in the baseline nonlinear model. However, the differences between the two are less pronounced in the nonlinear models. The errors from a linear approximation are much larger for the stochastic exit model then for the deterministic exit model. C1 [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Fuerst, Timothy S.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Paustian, Matthias] Bank England, London, England. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@nd.edu; matthias.paustian@bankofengland.co.uk NR 9 TC 3 Z9 3 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2014 VL 46 IS 6 BP 1293 EP 1312 DI 10.1111/jmcb.12141 PG 20 WC Business, Finance; Economics SC Business & Economics GA AO1SV UT WOS:000341095600008 ER PT J AU Pinkovskiy, M Sala-i-Martin, X AF Pinkovskiy, Maxim Sala-i-Martin, Xavier TI Africa is on time SO JOURNAL OF ECONOMIC GROWTH LA English DT Article DE Economic growth; Poverty; Africa ID WORLD; GROWTH; POVERTY AB We present evidence that the recent African growth renaissance has reached Africa's poor. Using survey data on African income distributions and national accounts GDP, we estimate income distributions, poverty rates, and inequality indices for African countries for the period 1990-2011. We show that: (1) African poverty is falling rapidly; (2) the African countries for which good inequality data exists are set to reach the Millennium Development Goal (MDG) poverty target on time. The entire continent except for the Democratic Republic of Congo (DRC) will reach the MDG in 2014, one year in advance, and adding the DRC will delay the MDG until 2018; (3) the growth spurt that began in 1995, if anything, decreased African income inequality instead of increasing it; (4) African poverty reduction is remarkably general: it cannot be explained by a large country, or even by a single set of countries possessing some beneficial geographical or historical characteristic. All classes of countries, including those with disadvantageous geography and history, experience reductions in poverty. In particular, poverty fell for both landlocked as well as coastal countries; for mineral-rich as well as mineral-poor countries; for countries with favorable or with unfavorable agriculture; for countries regardless of colonial origin; and for countries with below- or above-median slave exports per capita during the African slave trade. C1 [Pinkovskiy, Maxim] Fed Reserve Bank New York, New York, NY 10045 USA. [Sala-i-Martin, Xavier] Columbia Univ, New York, NY 10027 USA. [Sala-i-Martin, Xavier] NBER, New York, NY USA. RP Sala-i-Martin, X (reprint author), Columbia Univ, New York, NY 10027 USA. EM xs23@columbia.edu NR 23 TC 11 Z9 11 U1 3 U2 28 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1381-4338 EI 1573-7020 J9 J ECON GROWTH JI J. Econ. Growth PD SEP PY 2014 VL 19 IS 3 BP 311 EP 338 DI 10.1007/s10887-014-9103-y PG 28 WC Economics SC Business & Economics GA AN3YG UT WOS:000340524200002 ER PT J AU Falato, A Kadyrzhanova, D Lel, U AF Falato, Antonio Kadyrzhanova, Dalida Lel, Ugur TI Distracted directors: Does board busyness hurt shareholder value? SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Busy directors; Multiple directorship; Firm valuation; Independent directors; Director and CEO death ID CORPORATE GOVERNANCE; FIRM PERFORMANCE; SUDDEN DEATHS; MANAGEMENT; REPUTATION; OWNERSHIP; FINANCE; WEALTH; COSTS AB We use the deaths of directors and chief executive officers as a natural experiment to generate exogenous variation in the time and resources available to independent directors at interlocked firms. The loss of such key co-employees is an attention shock because it increases the board committee workload only for some interlocked directors the 'treatment group'. There is a negative stock market reaction to attention shocks only for treated director-interlocked firms. Interlocking directors' busyness, the importance of their board roles, and their degree of independence magnify the treatment effect. Overall, directors' busyness is detrimental to board monitoring quality and shareholder value. (C) 2014 Elsevier B.V. All rights reserved. C1 [Falato, Antonio] Fed Reserve Board, Res & Stat Div, Washington, DC 20551 USA. [Kadyrzhanova, Dalida] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. [Lel, Ugur] Virginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA. RP Lel, U (reprint author), Virginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA. EM ulel@vt.edu NR 36 TC 8 Z9 8 U1 11 U2 53 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD SEP PY 2014 VL 113 IS 3 BP 404 EP 426 DI 10.1016/j.jfineco.2014.05.005 PG 23 WC Business, Finance; Economics SC Business & Economics GA AN1LM UT WOS:000340345100005 ER PT J AU Copeland, A AF Copeland, Adam TI Intertemporal substitution and new car purchases SO RAND JOURNAL OF ECONOMICS LA English DT Article ID US AUTOMOBILE-INDUSTRY; PRODUCT DIFFERENTIATION; CONSUMER INVENTORY; SECONDARY MARKETS; DURABLE-GOODS; PRICES; SALES; BEHAVIOR; VOLATILITY; PROMOTIONS AB This article presents a dynamic demand model for motor vehicles. This approach accounts for the change in the mix of consumers over the model year and measures consumers' substitution patterns across products and time. I find intertemporal substitution is significant; consumers are more likely to change the timing of their purchase in reaction to a price increase rather than buy another vehicle in the same period. Further, I find automakers' use of large cash-back rebates at the end of the model year, although boosting overall sales, induces large numbers of consumers to delay their purchases and so pay lower prices. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM adam.copeland@ny.frb.org NR 33 TC 0 Z9 0 U1 4 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0741-6261 EI 1756-2171 J9 RAND J ECON JI Rand J. Econ. PD FAL PY 2014 VL 45 IS 3 BP 624 EP 644 DI 10.1111/1756-2171.12065 PG 21 WC Economics SC Business & Economics GA AN0DK UT WOS:000340252500008 ER PT J AU Diez, FJ Spearot, AC AF Diez, Federico J. Spearot, Alan C. TI Core competencies, matching and the structure of foreign direct investment SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article DE F12; F23 ID INTERNATIONAL JOINT VENTURES; CROSS-BORDER MERGERS; M-AND-A; FIRM HETEROGENEITY; TRADE LIBERALIZATION; ACQUISITIONS; OWNERSHIP; MARKET; PRODUCTIVITY; INSTABILITY AB We develop a matching model of foreign direct investment to study how multinational firms choose between greenfield investment, acquisitions and joint ownership. Firms must invest in a continuum of tasks to bring a product to market. Each firm possesses a core competency in the task space, but the firms are otherwise identical. For acquisitions and joint ownership, a multinational enterprise (MNE) must match with a local partner that may provide complementary expertise within the task space. However, under joint ownership, investment in tasks is shared by multiple owners and, hence, is subject to a holdup problem that varies with contract intensity. In equilibrium, ex ante identical multinationals enter the local matching market, and, ex post, three different types of heterogeneous firms arise. Specifically, the worst matches are forgone and the MNEs invest greenfield; the middle matches operate under joint ownership; and the best matches integrate via full acquisition. We link the firm-level model to cross-country and industry predictions and find that a greater share of full acquisitions occur between more proximate markets, in hosts with greater revenue potential and within contract-intensive industries. Using data on partial and full acquisitions across industries and countries, we find robust support for these predictions. Resume Competences de base, arrimage, et structure de l'investissement direct a l'etranger. On developpe un modele d'arrimage de l'investissement direct a l'etranger pour etudier le comportement des plurinationales dans le choix de diverses formes d'activitesconstruction de nouvelles installations, acquisitions, ou propriete conjointe. Les firmes doivent investir dans un continuum de taches pour apporter un produit au marche. Chaque firme a une competence de base dans cet espace de taches, mais, pour ce qui est du reste, elles sont identiques. Dans le cas d'acquisitions et de propriete conjointe, les firmes plurinationales doivent s'arrimer avec un partenaire local qui puisse fournir l'expertise complementaire dans l'espace des taches. Cependant, dans le cas de propriete conjointe, l'investissement dans les taches est partage entre plusieurs proprietaires, et donc susceptible de se preter a un probleme de braquage qui varie selon les details du contrat. En equilibre, des plurinationales identiques ex ante entrent dans le marche de l'arrimage, et ex post, trois types differents de firmes heterogenes emergent. Specifiquement, les pires arrimages sont evites, et la plurinationale construit des installations nouvelles; des arrimages moyens engendrent la propriete conjointe; et les meilleurs arrimages menent a des acquisitions. En reliant le modele au niveau de la firme aux predictions entre pays et au niveau de l'industrie, on decouvre qu'une plus grande portion des pleines acquisitions sont realisees entre marches proches, dans les pays hotes qui promettent le plus grand potentiel de revenus, et a l'interieur d'industries oU les contrats sont les plus intensifs. l'aide de donnees sur les acquisitions partielles et completes, a travers les industries et les pays, il y a un support robuste pour ces predictions. C1 [Diez, Federico J.] Fed Reserve Bank Boston, Boston, MA USA. [Spearot, Alan C.] Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. RP Spearot, AC (reprint author), Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. EM acspearot@gmail.com NR 38 TC 0 Z9 0 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0008-4085 EI 1540-5982 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD AUG PY 2014 VL 47 IS 3 BP 813 EP 855 DI 10.1111/caje.12097 PG 43 WC Economics SC Business & Economics GA AW3IM UT WOS:000346179700005 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Article C1 [Veltri, Stephen C.] Northeastern Ohio Univ Coll Med & Pharm, Claude W Pettit Coll Law, Rootstown, OH 44272 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY 10045 USA. RP Veltri, SC (reprint author), Northeastern Ohio Univ Coll Med & Pharm, Claude W Pettit Coll Law, Rootstown, OH 44272 USA. NR 28 TC 2 Z9 2 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 EI 2164-1838 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2014 VL 69 IS 4 BP 1181 EP 1200 PG 20 WC Law SC Government & Law GA AR7XA UT WOS:000343789000008 ER PT J AU Lansing, KJ LeRoy, SF AF Lansing, Kevin J. LeRoy, Stephen F. TI Risk aversion, investor information and stock market volatility SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Asset pricing; Excess volatility; Variance bounds; Risk aversion; Imperfect information ID VARIANCE-BOUNDS TESTS; ASSET PRICES; EQUITY PREMIUM; VARIABILITY; BUBBLES; MODELS; PUZZLE AB This paper employs a standard asset pricing model to derive theoretical volatility measures in a setting that allows for varying degrees of investor information about the dividend process. We show that the volatility of the price-dividend ratio increases monotonically with investor information but the relationship between investor information and equity return volatility (or equity premium volatility) can be non-monotonic, depending on risk aversion and other parameter values. Under some plausible calibrations and information assumptions, we show that the model can match the standard deviations of equity market variables in long-run U.S. data. In the absence of concrete knowledge about investors' information, it becomes more difficult to conclude that observed volatility in the data is excessive. (C) 2014 Elsevier B.V. All rights reserved. C1 [Lansing, Kevin J.; LeRoy, Stephen F.] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94120 USA. [LeRoy, Stephen F.] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Res Dept, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org; sleroy@econ.ucsb.edu NR 29 TC 4 Z9 4 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD AUG PY 2014 VL 70 BP 88 EP 107 DI 10.1016/j.euroecorev.2014.03.009 PG 20 WC Economics SC Business & Economics GA AP7OJ UT WOS:000342266300006 ER PT J AU Mutreja, P Ravikumar, B Riezman, R Sposi, M AF Mutreja, Piyusha Ravikumar, B. Riezman, Raymond Sposi, Michael TI Price equalization, trade flows, and barriers to trade SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Capital goods trade; Price equalization; Barriers to trade ID INTERNATIONAL-TRADE; RELATIVE PRICES; RATES; MODEL AB In this paper we show that price equalization does not imply zero barriers to trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade. We demonstrate this first theoretically in a simple two-country model and then quantitatively for the case of capital goods trade in a multi-country model. To be quantitatively consistent with the observed capital goods trade flows across countries, our model implies that trade barriers must be large, yet our model delivers capital goods prices that are similar across countries. The absence of barriers to trade in capital goods delivers price equalization in capital goods but cannot reproduce the observed trade flows. (C) 2014 Elsevier B.V. All rights reserved. C1 [Mutreja, Piyusha] Syracuse Univ, Syracuse, NY 13244 USA. [Ravikumar, B.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Riezman, Raymond] Univ Iowa, Iowa City, IA 52242 USA. [Sposi, Michael] Fed Reserve Bank Dallas, Dallas, TX USA. RP Ravikumar, B (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM pmutreja@syr.edu; b.ravikumar@wustl.edu; raymond-riezman@uiowa.edu; michael.sposi@dal.frb.org RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 18 TC 2 Z9 2 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD AUG PY 2014 VL 70 BP 383 EP 398 DI 10.1016/j.euroecorev.2014.05.005 PG 16 WC Economics SC Business & Economics GA AP7OJ UT WOS:000342266300023 ER PT J AU Restrepo-Echavarria, P AF Restrepo-Echavarria, Paulina TI Macroeconomic volatility: The role of the informal economy SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Informal economy; Business cycles; Relative volatility; Mis-measurement; Calibration ID LABOR-MARKETS; FLUCTUATIONS; SIZE AB Many countries have a large informal economy that is poorly measured in the national accounts. I develop a two-sector small open economy business cycle model where one sector is formal and the other is informal, and explore the effect that the informal sector has on measured business cycles. I show that if the informal economy is poorly measured, the model can generate a volatility of measured consumption that is higher than that of output, as observed in many developing countries and some developed countries, even though actual consumption is not nearly as volatile. My results illustrate the importance of the informal sector and its mis-measurement in understanding measured cyclical fluctuations. (C) 2014 Elsevier B.V. All rights reserved. C1 [Restrepo-Echavarria, Paulina] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Restrepo-Echavarria, Paulina] Ohio State Univ, Columbus, OH 43210 USA. RP Restrepo-Echavarria, P (reprint author), Fed Reserve Bank St Louis, One Fed Reserve Bank Plaza,Broadway & Locust St, St Louis, MO 63166 USA. EM paulinares@me.com RI Restrepo-Echavarria, Paulina/I-5751-2016 OI Restrepo-Echavarria, Paulina/0000-0002-1481-051X NR 33 TC 2 Z9 2 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD AUG PY 2014 VL 70 BP 454 EP 469 DI 10.1016/j.euroecorev.2014.06.012 PG 16 WC Economics SC Business & Economics GA AP7OJ UT WOS:000342266300027 ER PT J AU Stone, DF Zafar, B AF Stone, Daniel F. Zafar, Basit TI Do we follow others when we should outside the lab? Evidence from the AP top 25 SO JOURNAL OF RISK AND UNCERTAINTY LA English DT Article DE Social learning; Conformity; Herding; Peers; Networks ID INFORMATIONAL CASCADES; BEHAVIOR; FIELD; CONFORMITY AB We use data from the Associated Press college American football poll to analyze two types of ex-post optimality of social learning in a non-lab setting. The poll is a weekly subjective ranking of the top 25 teams, voted on by over 60 sports journalists. Voters potentially can learn from their peers by observing the aggregate ranks before updating their individual ranks. Our results indicate that, while voters do learn from their peers to some extent, the informativeness of peer ranks appears to be under-valued. C1 [Stone, Daniel F.] Bowdoin Coll, Dept Econ, Brunswick, ME 04011 USA. [Zafar, Basit] Fed Reserve Bank New York, New York, NY 10045 USA. RP Stone, DF (reprint author), Bowdoin Coll, Dept Econ, 9700 Coll Stn, Brunswick, ME 04011 USA. EM dstone@bowdoin.edu; basit.zafar@ny.frb.org NR 31 TC 1 Z9 1 U1 0 U2 2 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5646 EI 1573-0476 J9 J RISK UNCERTAINTY JI J. Risk Uncertain. PD AUG PY 2014 VL 49 IS 1 BP 73 EP 102 DI 10.1007/s11166-014-9195-y PG 30 WC Business, Finance; Economics SC Business & Economics GA AQ0AH UT WOS:000342443100004 ER PT J AU Azzimonti, M de Francisco, E Quadrini, V AF Azzimonti, Marina de Francisco, Eva Quadrini, Vincenzo TI Financial Globalization, Inequality, and the Rising Public Debt SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GLOBAL IMBALANCES; OPTIMAL TAXATION; FISCAL DEFICITS; POLICY; GOVERNMENT; MODEL; ECONOMY; GROWTH; RUN AB During the last three decades government debt has increased in most developed countries. During the same period we have also observed a significant liberalization of international financial markets. We propose a multicountry model with incomplete markets and show that governments may choose higher levels of debt when financial markets become internationally integrated. We also show that public debt increases with the volatility of uninsurable income (idiosyncratic risk). To the extent that the increase in income inequality observed in some industrialized countries has been associated with higher idiosyncratic risk, the paper suggests another potential mechanism for the rise in public debt. C1 [Azzimonti, Marina] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [de Francisco, Eva] Towson Univ, Dept Econ, Towson, MD USA. [Quadrini, Vincenzo] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA. RP Azzimonti, M (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM marina.azzimonti@gmail.com; EDefrancisco@towson.edu; quadrini@usc.edu NR 47 TC 10 Z9 10 U1 3 U2 30 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD AUG PY 2014 VL 104 IS 8 BP 2267 EP 2302 DI 10.1257/aer.104.8.2267 PG 36 WC Economics SC Business & Economics GA AO8FA UT WOS:000341587600001 ER PT J AU Anenberg, E Kung, E AF Anenberg, Elliot Kung, Edward TI Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures SO AMERICAN ECONOMIC REVIEW LA English DT Article ID HOUSING-MARKET; PROPERTY-VALUES; EXTERNALITIES; TIME AB Using new data on real estate listings, we provide new evidence that foreclosures have a causal effect on nearby house prices and disentangle the effect into two sources: competition and disamenities. We identify the causal effect by showing that sellers respond to new REO listings in the exact week of listing, not a week before and not a week after. We disentangle competition and disamenity effects by examining the spillover effect across various stages of the foreclosure process. We find that competition effects are important in all areas, but only find evidence for disamenity effects in high density, low price neighborhoods. C1 [Anenberg, Elliot] Fed Reserve Board Governors, Washington, DC 20551 USA. [Kung, Edward] Univ Calif Los Angeles, Los Angeles, CA 90095 USA. RP Anenberg, E (reprint author), Fed Reserve Board Governors, 20th & C St, Washington, DC 20551 USA. EM elliot.anenberg@frb.gov; ekung@econ.ucla.edu NR 27 TC 10 Z9 10 U1 2 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD AUG PY 2014 VL 104 IS 8 BP 2527 EP 2551 DI 10.1257/aer.104.8.2527 PG 25 WC Economics SC Business & Economics GA AO8FA UT WOS:000341587600010 ER PT J AU Hale, G Regev, T AF Hale, Galina Regev, Tali TI Gender ratios at top PhD programs in economics SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE Gender; Segregation; Economists; Gender bias; Affirmative action; Minority ID FACULTY; WOMEN; STUDENTS AB Analyzing university faculty and graduate students data for ten of the top U.S. economics departments between 1987 and 2007, we find persistent differences in the gender compositions of both faculty and graduate students across departments. There is a positive correlation between the share of female faculty and the share of women in the PhD class graduating six years later. Using instrumental variable analysis, we find robust evidence that this relation is causal. These results contribute to our understanding of the persistent under-representation of women in economics, as well as for the persistent segregation of women in the labor force. (C) 2014 Elsevier Ltd. All rights reserved. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Regev, Tali] Interdisciplinary Ctr IDC Herzliya, Herzliyya, Israel. RP Regev, T (reprint author), Interdisciplinary Ctr IDC Herzliya, Herzliyya, Israel. EM Galina.b.hale@sf.frb.org; Tregev@idc.ac.il NR 24 TC 5 Z9 5 U1 0 U2 4 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 EI 1873-7382 J9 ECON EDUC REV JI Econ. Educ. Rev. PD AUG PY 2014 VL 41 BP 55 EP 70 DI 10.1016/j.econedurev.2014.03.007 PG 16 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA AO0DB UT WOS:000340978200005 ER PT J AU Luo, YL Nie, J Young, ER AF Luo, Yulei Nie, Jun Young, Eric R. TI Model uncertainty and intertemporal tax smoothing SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Robustness; Model uncertainty; Taxation smoothing ID INFORMATION-PROCESSING CONSTRAINTS; ROBUST PERMANENT INCOME; OPTIMAL MONETARY-POLICY; UNITED-STATES; FISCAL-POLICY; OPTIMAL TAXATION; BUDGET SURPLUS; PUBLIC DEBT; CONSUMPTION; GOVERNMENT AB In this paper we examine how model uncertainty due to the preference for robustness (RB) affects optimal taxation and the evolution of debt in the Barro tax-smoothing model (1979). We first study how the government spending shocks are absorbed in the short run by varying taxes or through debt under RB. Furthermore, we show that introducing RB improves the model's predictions by generating (i) the observed relative volatility of the changes in tax rates to government spending, (ii) the observed comovement between government deficits and spending, and (iii) more consistent behavior of government budget deficits in the U.S. economy. Finally, we show that RB can also improve the model's predictions in the presence of multiple shocks. (C) 2014 Elsevier B.V. All rights reserved. C1 [Luo, Yulei] Univ Hong Kong, Fac Business & Econ, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China. [Nie, Jun] Fed Reserve Bank Kansas City, Res Dept, Kansas City, MO USA. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. RP Luo, YL (reprint author), Univ Hong Kong, Fac Business & Econ, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China. EM yulei.luo@gmail.com; jun.nie@kc.frb.org; ey2d@virginia.edu NR 45 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2014 VL 45 BP 289 EP 314 DI 10.1016/j.jedc.2014.06.004 PG 26 WC Economics SC Business & Economics GA AN6HC UT WOS:000340694600016 ER PT J AU Kaufman, GG AF Kaufman, George G. TI Too big to fail in banking: What does it mean? SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Too big to fail; Banks; Bankrupcy; Insolvent resolution; Bail-out; Collateral damage AB Interest in too big to fail (TBTF) resolutions of insolvent large complex financial firms has intensified in recent years. TBTF resolutions protect some in-the-money counterparties of a targeted insolvent firm from losses that they would suffer if the usual bankruptcy resolution regimes used in resolving other firms in the industry were applied. Although special TBTF resolution regimes may reduce the collateral spill-over costs of the failure, the combined direct and indirect costs from such "bailouts" may be large and often financed in part or in total by taxpayers. Thus, TBTF has become a major public policy issue that has not been resolved in part because of disagreements about definitions and thereby the estimates of the benefits and costs. This paper explores these differences and develops a framework for standardizing the definitions and evaluating the desirability of TBTF resolutions more accurately. (C) 2014 Elsevier B.V. All rights reserved. C1 [Kaufman, George G.] Loyola Univ, Chicago, IL 60611 USA. [Kaufman, George G.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Kaufman, GG (reprint author), Loyola Univ, Quinlan Sch Business, 1 East Pearson St, Chicago, IL 60611 USA. EM gkaufma@luc.edu NR 35 TC 14 Z9 14 U1 2 U2 15 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD AUG PY 2014 VL 13 BP 214 EP 223 DI 10.1016/j.jfs.2014.02.004 PG 10 WC Business, Finance; Economics SC Business & Economics GA AO0CF UT WOS:000340976000015 ER PT J AU Nam, D Wang, J AF Nam, Deokwoo Wang, Jian TI Are predictable improvements in TFP contractionary or expansionary: Implications from sectoral TFP? SO ECONOMICS LETTERS LA English DT Article DE Aggregate and sectoral TFP; News shocks to TFP; Business cycle fluctuations ID ECONOMIC-FLUCTUATIONS; NEWS AB We investigate the effects of predictable changes in TFP at the sectoral level. Our findings can reconcile the seemingly contradictory findings in the literature. Shocks to predictable changes in investment-sector TFP are also found important for US business cycle fluctuations. (C) 2014 Elsevier B.V. All rights reserved. C1 [Nam, Deokwoo] Hanyang Univ, Dept Econ & Finance, Seoul 133791, South Korea. [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Wang, J (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM deokwnam@hanyang.ac.kr; jian.wang@dal.frb.org NR 11 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD AUG PY 2014 VL 124 IS 2 BP 171 EP 175 DI 10.1016/j.econlet.2014.05.008 PG 5 WC Economics SC Business & Economics GA AN1CP UT WOS:000340320600003 ER PT J AU Dotsey, M Li, WL Yang, F AF Dotsey, Michael Li, Wenli Yang, Fang TI CONSUMPTION AND TIME USE OVER THE LIFE CYCLE SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID HOUSEHOLD PRODUCTION; BUSINESS-CYCLE; SUBSTITUTION; ALLOCATION; EXPENDITURE; HOMEWORK; MARKETS; LEISURE; MODELS; WEALTH AB We incorporate home production in a dynamic general equilibrium model of consumption and savings with illiquid housing and a collateralized borrowing constraint. The calibrated model explains life-cycle patterns of households' time use and consumption of different categories documented from the microdata. It predicts that the interaction of the labor efficiency profile and the home production technology explains households' time use. The resulting income profiles, the endogenous borrowing constraint, and home production account for the initial hump in consumption. The complementarity of home hours, home input, and housing in home production drives the consumption profiles later in the life cycle. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Louisiana State Univ, Baton Rouge, LA 70803 USA. RP Li, WL (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM wenli.li@phil.frb.org NR 41 TC 2 Z9 2 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2014 VL 55 IS 3 BP 665 EP 692 DI 10.1111/iere.12066 PG 28 WC Economics SC Business & Economics GA AN1XX UT WOS:000340378400003 ER PT J AU Berentsen, A Huber, S Marchesiani, A AF Berentsen, Aleksander Huber, Samuel Marchesiani, Alessandro TI DEGREASING THE WHEELS OF FINANCE SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID ASSET MARKETS; MONETARY-ECONOMICS; SOCIETAL BENEFITS; ILLIQUID BONDS; SUDDEN STOPS; LIQUIDITY; MONEY; SEARCH; PRICES; POLICY AB Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants. C1 Univ Basel, CH-4002 Basel, Switzerland. Fed Reserve Bank St Louis, St Louis, MO USA. Univ Minho, P-4719 Braga, Portugal. RP Berentsen, A (reprint author), Univ Basel, Fac Business & Econ, Peter Merian Weg 6, CH-4002 Basel, Switzerland. EM aleksander.berentsen@unibas.ch RI NIPE, Universidade Minho/F-9327-2010 NR 45 TC 6 Z9 6 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2014 VL 55 IS 3 BP 735 EP 763 DI 10.1111/iere.12069 PG 29 WC Economics SC Business & Economics GA AN1XX UT WOS:000340378400006 ER PT J AU Guerrieri, L Henderson, D Kim, J AF Guerrieri, Luca Henderson, Dale Kim, Jinill TI MODELING INVESTMENT-SECTOR EFFICIENCY SHOCKS: WHEN DOES DISAGGREGATION MATTER? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUSINESS-CYCLE; TECHNOLOGICAL-CHANGE; US ECONOMY AB The most straightforward way to analyze investment-sector productivity developments is to construct a two-sector model with a sector-specific productivity shock. An often used modeling shortcut accounts for such developments using a one-sector model with shocks to the efficiency of investment in a capital accumulation equation. This shortcut is theoretically justified when some stringent conditions are satisfied. Using a two-sector model, we consider the implications of relaxing several of the conditions that are at odds with the U.S. Input-Output Tables, including equal factor shares across sectors. The effects of productivity shocks to an investment-producing sector of our two-sector model differ from those of efficiency shocks to investment in a one-sector model. Notably, expansionary productivity shocks boost consumption in every period, whereas expansionary efficiency shocks cause consumption to fall substantially for many periods. C1 Fed Reserve Board, Washington, DC USA. Cardiff Univ, Cardiff CF10 3AX, S Glam, Wales. Korea Univ, Seoul, South Korea. RP Kim, J (reprint author), Korea Univ, Dept Econ, Seoul, South Korea. EM jinillkim@korea.ac.kr NR 30 TC 0 Z9 0 U1 3 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2014 VL 55 IS 3 BP 891 EP 917 DI 10.1111/iere.12075 PG 27 WC Economics SC Business & Economics GA AN1XX UT WOS:000340378400012 ER PT J AU Berge, TJ AF Berge, Travis J. TI FORECASTING DISCONNECTED EXCHANGE RATES SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID PREDICTIVE ABILITY; RATE MODELS; CLASSIFICATION; PREDICTABILITY; FUNDAMENTALS; REGRESSION; MOMENTUM; MARKETS; SAMPLE; FIT AB The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper addresses the potential disconnect by endogenously selecting forecast models from a broad set of fundamentals. The procedure shows that exchange rates are not disconnected from fundamentals, but fundamentals vary in their predictive content at different forecast horizons and for different currencies. Performing model selection out-of-sample is challenging. At short horizons, the method cannot outperform a random walk, although the performance is improved at long horizons. These findings are confirmed across currencies and forecast evaluation methods. Copyright (C) 2013 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Berge, TJ (reprint author), Fed Reserve Bank Kansas City, 1 Mem Ave, Kansas City, MO 64198 USA. EM travis.j.berge@kc.frb.org NR 44 TC 4 Z9 4 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD AUG PY 2014 VL 29 IS 5 BP 713 EP 735 DI 10.1002/jae.2350 PG 23 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AN2ER UT WOS:000340397400002 ER PT J AU Gospodinov, N Lkhagvasuren, D AF Gospodinov, Nikolay Lkhagvasuren, Damba TI A MOMENT-MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE-STATE MARKOV CHAINS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MODELS; CALIBRATION; SHOCKS AB This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and tends to outperform the existing methods for approximating multivariate processes over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle. Copyright (C) 2013 John Wiley & Sons, Ltd. C1 [Gospodinov, Nikolay] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Lkhagvasuren, Damba] Concordia Univ, Dept Econ, Montreal, PQ, Canada. [Lkhagvasuren, Damba] CIREQ, Montreal, PQ, Canada. RP Lkhagvasuren, D (reprint author), Dept Econ, H-1155,1455 Mainonneuve Blvd West, Montreal, PQ H3G 1M8, Canada. EM damba.lkhagvasuren@concordia.ca NR 20 TC 2 Z9 2 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD AUG PY 2014 VL 29 IS 5 BP 843 EP 859 DI 10.1002/jae.2354 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AN2ER UT WOS:000340397400008 ER PT J AU Chabot, B Moul, CC AF Chabot, Benjamin Moul, Charles C. TI Bank Panics, Government Guarantees, and the Long-Run Size of the Financial Sector: Evidence from Free-Banking America SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banking panics; government guarantees; leverage cycles; endogenous market structure; economic history ID UNITED-STATES; MARKET-STRUCTURE; ENTRY; COMPETITION; FAILURES; PERIOD; ERA AB Governments attempt to increase the confidence of financial market participants by making implicit or explicit guarantees of uncertain credibility. Confidence in these guarantees presumably alters the size of the financial sector, but observing the long-run consequences of failed guarantees is difficult. We look to America's free-banking era and compare the consequences of a broken guarantee during the Indiana-centered Panic of 1854 to the Panic of 1857 in which guarantees were honored. Our estimates of a model of endogenous market structure indicate substantial negative long-run consequences to financial depth when panics cast doubt upon a government's ability to honor its guarantees. C1 [Chabot, Benjamin] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Moul, Charles C.] Miami Univ, Dept Econ, Farmer Sch Business, Oxford, OH 45056 USA. RP Chabot, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM Ben.Chabot@chi.frb.org; moulcc@miamioh.edu NR 45 TC 0 Z9 0 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2014 VL 46 IS 5 BP 961 EP 997 DI 10.1111/jmcb.12131 PG 37 WC Business, Finance; Economics SC Business & Economics GA AM7KJ UT WOS:000340045600004 ER PT J AU Davis, D Korenok, O Prescott, ES AF Davis, Douglas Korenok, Oleg Prescott, Edward Simpson TI An Experimental Analysis of Contingent Capital with Market-Price Triggers SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE bank regulation; experiments; contingent capital ID INFORMATION AGGREGATION; ASSET MARKETS; BUBBLES; EXPECTATIONS; AUCTION AB We report an experiment that evaluates three market-based regimes for triggering the conversion of contingent capital bonds into equity: a "fixed-trigger" regime, where a price threshold triggers mandatory conversion; a "regulator" regime, where regulators make conversion decisions based on prices; and a "prediction market" regime, where regulators also observe a market that predicts conversion. Consistent with theory, we observe inefficiencies and conversion errors in the fixed-trigger and regulator regimes. The prediction market somewhat improves the regulator's performance, but inefficiencies and conversion errors persist. The regulator regime has conversion errors over the widest range of shocks. C1 [Davis, Douglas; Korenok, Oleg] Virginia Commonwealth Univ, Richmond, VA 23284 USA. [Prescott, Edward Simpson] Fed Reserve Bank Richmond, Res Dept, Baltimore, MD USA. RP Davis, D (reprint author), Virginia Commonwealth Univ, Richmond, VA 23284 USA. EM dddavis@vcu.edu; okorenok@vcu.edu; edward.prescott@rich.frb.org OI Korenok, Oleg/0000-0001-9239-0998 NR 40 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2014 VL 46 IS 5 BP 999 EP 1033 DI 10.1111/jmcb.12132 PG 35 WC Business, Finance; Economics SC Business & Economics GA AM7KJ UT WOS:000340045600005 ER PT J AU Kiley, MT AF Kiley, Michael T. TI The Response of Equity Prices to Movements in Long-Term Interest Rates Associated with Monetary Policy Statements: Before and After the Zero Lower Bound SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy; stock market ID GENERALIZED-METHOD; STRUCTURAL-CHANGE; MODELS; PURCHASES; MOMENTS; MARKET AB Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. I propose a strategy to identify the comovement between interest rate and equity price movements induced by monetary policy when an observable representing policy changes is not available. A decline in long-term interest rates induced by monetary policy statements has a larger positive effect on equity prices prior to 2009 than in the subsequent period. This change appears to reflect the impact of the zero lower bound on short-term interest rates. C1 [Kiley, Michael T.] Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. [Kiley, Michael T.] Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Kiley, MT (reprint author), Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. EM mkiley@frb.gov OI Kiley, Michael/0000-0003-0427-0131 NR 25 TC 6 Z9 6 U1 3 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2014 VL 46 IS 5 BP 1057 EP 1071 DI 10.1111/jmcb.12129 PG 15 WC Business, Finance; Economics SC Business & Economics GA AM7KJ UT WOS:000340045600007 ER PT J AU Prager, RA AF Prager, Robin A. TI Determinants of the Locations of Alternative Financial Service Providers SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE Alternative financial services; Check cashers; Pawnshops; Payday lending ID PAYDAY LENDERS; MARKET AB Many low-to-moderate income US households rely upon alternative financial service providers (AFSPs) for a variety of credit products and transaction services. The social welfare implications of this segment of the financial services industry are quite controversial. One aspect of the controversy involves the location decisions of AFSPs. This study examines the determinants of the locations of three types of AFSPs: payday lenders, pawnshops, and check-cashing outlets. Using county-level data for the entire country, I find that the number of AFSP outlets per capita is significantly related to demographic characteristics of the county population, measures of the population's creditworthiness, and the stringency of state laws and regulations that govern AFSPs. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Prager, RA (reprint author), Board Governors Fed Reserve Syst, 20th & C St NW, Washington, DC 20551 USA. EM Robin.Prager@frb.gov NR 24 TC 3 Z9 3 U1 1 U2 4 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X EI 1573-7160 J9 REV IND ORGAN JI Rev. Ind. Organ. PD AUG PY 2014 VL 45 IS 1 BP 21 EP 38 DI 10.1007/s11151-014-9421-4 PG 18 WC Economics; Management SC Business & Economics GA AM5LA UT WOS:000339898600002 ER PT J AU Arrow, KJ Priebsch, M AF Arrow, Kenneth J. Priebsch, Marcel TI Bliss, Catastrophe, and Rational Policy SO ENVIRONMENTAL & RESOURCE ECONOMICS LA English DT Article ID UNBOUNDED UTILITY-FUNCTIONS; RELATIVE RISK-AVERSION; CLIMATE-CHANGE; MAXIMIZATION; ATTITUDES AB Lotteries with infinite expected utility are inconsistent with the axioms of expected utility theory. To rule them out, either the set of permissible lotteries must be restricted (to exclude, at a minimum, "fat-tailed" distributions such as that underlying the St. Petersburg Paradox and power laws that are popular in models of climate change), or the utility function must be bounded. This note explores the second approach and proposes a number of tractable specifications leading to utility functions that are bounded both from above and below. This property is intimately related to that of increasing relative risk aversion as first hypothesized by Arrow (1965). C1 [Arrow, Kenneth J.] SIEPR, Stanford, CA 94305 USA. [Arrow, Kenneth J.] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. [Priebsch, Marcel] Fed Reserve Board, Washington, DC 20551 USA. RP Priebsch, M (reprint author), Fed Reserve Board, 20th St & C St NW, Washington, DC 20551 USA. EM arrow@stanford.edu; marcel.a.priebsch@frb.gov NR 35 TC 3 Z9 3 U1 6 U2 15 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0924-6460 EI 1573-1502 J9 ENVIRON RESOUR ECON JI Environ. Resour. Econ. PD AUG PY 2014 VL 58 IS 4 BP 491 EP 509 DI 10.1007/s10640-014-9788-6 PG 19 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA AL8VT UT WOS:000339418500001 ER PT J AU Cao, C Petrasek, L AF Cao, Charles Petrasek, Lubomir TI Liquidity risk in stock returns: An event-study perspective SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Financial crises; Liquidity risk; Asymmetric information; Institutional investors ID TIME MARKET LIQUIDITY; COMMONALITY; INVESTORS AB We examine in an event-study context what factors affect the relative performance of stocks during liquidity crises. We find that market risk, measured by the market beta, is not a good measure of expected abnormal stock returns on days with liquidity crises. Instead, abnormal stock returns during liquidity crises are strongly negatively related to liquidity risk, measured by the co-movement of stock returns with market liquidity. The degree of informational asymmetry and the ownership structure of the firm also help to explain abnormal stock returns on crisis days. Our findings have important implications for managing the liquidity risk of equity portfolios. (C) 2013 Elsevier B.V. All rights reserved. C1 [Cao, Charles] Penn State Univ, University Pk, PA 16802 USA. [Cao, Charles] Tsinghua Univ, Beijing 100083, Peoples R China. [Petrasek, Lubomir] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Petrasek, L (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM qxc2@psu.edu; Lubomir.Petrasek@frb.gov OI PETRASEK, LUBOMIR/0000-0001-8798-2745 NR 28 TC 3 Z9 3 U1 3 U2 21 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2014 VL 45 BP 72 EP 83 DI 10.1016/j.jbankfin.2013.09.020 PG 12 WC Business, Finance; Economics SC Business & Economics GA AL9IV UT WOS:000339455700007 ER PT J AU Ellis, L Haldane, A McAndrews, J Moshirian, F AF Ellis, Luci Haldane, Andy McAndrews, James Moshirian, Fariborz TI Liquidity shocks, governance, systemic risk and financial stability SO JOURNAL OF BANKING & FINANCE LA English DT Editorial Material C1 [Ellis, Luci] Reserve Bank Australia, Sydney, NSW, Australia. [Haldane, Andy] Bank England, London, England. [McAndrews, James] Fed Reserve Bank New York, New York, NY USA. [Moshirian, Fariborz] Univ New S Wales, Australian Sch Business, Inst Global Finance, Sydney, NSW, Australia. RP Ellis, L (reprint author), Reserve Bank Australia, Sydney, NSW, Australia. EM f.moshirian@unsw.edu.au NR 0 TC 1 Z9 1 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2014 VL 45 BP 171 EP 174 DI 10.1016/j.jbankfin.2014.05.018 PG 4 WC Business, Finance; Economics SC Business & Economics GA AL9IV UT WOS:000339455700013 ER PT J AU Ergen, I AF Ergen, Ibrahim TI Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach SO APPLIED ECONOMICS LA English DT Article DE extreme value theory; diversification benefits; emerging markets; tail dependence ID STATISTICS; INFERENCE; BEHAVIOR; PRICES; RISK AB This article examines tail dependence, the benefits of diversification and the relation between the two for emerging stock markets. We find most emerging equity markets are independent in limiting joint extremes. However, the dependence in finite levels of extremes is still much stronger than the dependence implied by multivariate normality. Therefore, simple correlation analysis can lead to gross underestimation of the chances of joint crashes in multiple markets. Assuming risk-averse investors guarding against extreme losses, diversification benefits are measured for each two-country optimal portfolio by the reduction in quantile risk measures such as value-at-risk and expected shortfall relative to an undiversified portfolio. It is shown that tail dependence measures developed from multivariate extreme value theory are negatively related to diversification benefits and more importantly can explain diversification benefits better than the correlation coefficient at the most extreme quantiles. C1 Fed Reserve Bank Richmond, Policy Anal Unit, Baltimore, MD 21201 USA. RP Ergen, I (reprint author), Fed Reserve Bank Richmond, Policy Anal Unit, Baltimore, MD 21201 USA. EM ibrahim.ergen@rich.frb.org NR 20 TC 3 Z9 3 U1 1 U2 11 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0003-6846 EI 1466-4283 J9 APPL ECON JI Appl. Econ. PD JUL 3 PY 2014 VL 46 IS 19 BP 2215 EP 2227 DI 10.1080/00036846.2014.899678 PG 13 WC Economics SC Business & Economics GA AE4KZ UT WOS:000333952600002 ER PT J AU Stierholz, K AF Stierholz, Katrina TI Federal Reserve History [website]: A Gateway for the Federal Reserve's Centennial. SO GOVERNMENT INFORMATION QUARTERLY LA English DT Book Review C1 [Stierholz, Katrina] Fed Reserve Bank St Louis, Lib Informat Serv, St Louis, MO 63106 USA. [Stierholz, Katrina] Fed Reserve Bank St Louis, Res Informat Serv, St Louis, MO 63106 USA. RP Stierholz, K (reprint author), Fed Reserve Bank St Louis, Lib Informat Serv, 1421 Dr Martin Luther King Dr, St Louis, MO 63106 USA. EM Katrina.l.Stierholz@stls.frb.org RI Stierholz, Katrina/F-9108-2016 OI Stierholz, Katrina/0000-0002-7273-9379 NR 1 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER INC PI SAN DIEGO PA 525 B STREET, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0740-624X EI 1872-9517 J9 GOV INFORM Q JI Gov. Inf. Q. PD JUL PY 2014 VL 31 IS 3 BP 500 EP 501 DI 10.1016/j.giq.2014.06.001 PG 2 WC Information Science & Library Science SC Information Science & Library Science GA AP4HF UT WOS:000342037100018 ER PT J AU Chari, VV Phelan, C AF Chari, V. V. Phelan, Christopher TI On the social usefulness of fractional reserve banking SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Friedman rule; Bank runs; Cash in advance models; Pecuniary externalities ID MONEY AB In this paper we argue that if monetary policy has insufficient deflation, private agents have incentives to set up alternative payment systems like fractionally backed bank deposits, which pay interest on the means of payment. In a competitive environment with free entry, these alternative systems are inherently fragile in the sense that they are subject to socially costly bank runs. These social costs are not internalized by private individuals and banks and may exceed their social benefits. We argue that as communication technologies improve, the social benefits of fractional reserve banking decrease, but the private benefits may still exceed the private costs so that such systems continue to be used. In such situations, 100% reserve requirements are optimal. (C) 2014 Elsevier B.V. All rights reserved. C1 [Phelan, Christopher] Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Phelan, C (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 11 TC 1 Z9 1 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2014 VL 65 BP 1 EP 13 DI 10.1016/j.jmoneco.2014.04.008 PG 13 WC Business, Finance; Economics SC Business & Economics GA AN1GW UT WOS:000340331700001 ER PT J AU Nosal, E AF Nosal, Ed TI Comment on: "On the social usefulness of fractional reserve banking" by VV Chari and Christopher Phelan SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org NR 8 TC 0 Z9 0 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2014 VL 65 BP 14 EP 16 DI 10.1016/j.jmoneco.2014.04.007 PG 3 WC Business, Finance; Economics SC Business & Economics GA AN1GW UT WOS:000340331700002 ER PT J AU Lucca, D Seru, A Trebbi, F AF Lucca, David Seru, Amit Trebbi, Francesco TI The revolving door and worker flows in banking regulation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Banking regulation; Revolving door; Inter-industry worker flows ID FCC AB This paper traces career transitions of federal and state U.S. banking regulators from a large sample of publicly available curricula vitae, and provides basic facts on worker flows between the regulatory and private sector resulting from the revolving door. We find strong countercyclical net worker flows into regulatory jobs, driven largely by higher gross outflows into the private sector during booms. These worker flows are also driven by state-specific banking conditions as measured by local banks' profitability, asset quality and failure rates. The regulatory sector seems to experience a retention challenge over time, with shorter regulatory spells for workers, and especially those with higher education. Evidence from cross-state enforcement actions of regulators shows gross inflows into regulation and gross outflows from regulation are both higher during periods of intense enforcement, though gross outflows are significantly smaller in magnitude. These results appear inconsistent with a "quid-pro-quo" explanation of the revolving door, but consistent with a "regulatory schooling" hypothesis. (C) 2014 Elsevier B.V. All rights reserved. C1 [Lucca, David] Fed Reserve Bank New York, New York, NY USA. [Seru, Amit] Univ Chicago, Chicago, IL 60637 USA. [Seru, Amit] NBER, Cambridge, MA 02138 USA. [Trebbi, Francesco] Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. [Trebbi, Francesco] CIFAR, Toronto, ON, Canada. RP Seru, A (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 22 TC 0 Z9 0 U1 4 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2014 VL 65 BP 17 EP 32 DI 10.1016/j.jmoneco.2014.05.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA AN1GW UT WOS:000340331700003 ER PT J AU Turner, MA Haughwout, A van der Klaauw, W AF Turner, Matthew A. Haughwout, Andrew van der Klaauw, Wilbert TI LAND USE REGULATION AND WELFARE SO ECONOMETRICA LA English DT Article DE Land regulation; zoning; urban economics; regulation ID HOUSING PRICES; MATTER; CALIFORNIA; SCHOOLS; CITIES; SPRAWL; SPACE AB We evaluate the effect of land use regulation on the value of land and on welfare. Our estimates are based on a decomposition of the effects of regulation into three components: an own-lot effect, which reflects the cost of regulatory constraints to the owner of a parcel; an external effect, which reflects the value of regulatory constraints on one's neighbors; a supply effect, which reflects the effect of regulated scarcity of developable land. Using this decomposition, we arrive at a novel strategy for estimating a plausibly causal effect of land use regulation on land value and welfare. This strategy exploits cross-border changes in development, prices, and regulation in regions near municipal borders. Our estimates suggest large negative effects of regulation on the value of land and welfare in these regions. C1 [Turner, Matthew A.] Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. [Haughwout, Andrew; van der Klaauw, Wilbert] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Turner, MA (reprint author), Univ Toronto, Dept Econ, 150 St George St, Toronto, ON M5S 3G7, Canada. EM mturner@chass.utoronto.ca; Andrew.Haughwout@ny.frb.org; Wilbert.VanDerKlaauw@ny.frb.org FU SSHRC; Paris School of Economics; Property and Environment Research Center; Enaudi Institute for Economics and Finance FX We are grateful to Kailin Clarke and Sarah Stein for excellent research assistance. We thank three anonymous referees and the Editor, Jessica Burley, Carmen Carrion-Flores, Chris Cunningham, Gilles Duranton, Vernon Henderson, Rob McMillan, Christian Redfern, and many conference and seminar participants for helpful comments. The views expressed are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of New York. Turner gratefully acknowledges the support of SSHRC, and the support and hospitality of the Paris School of Economics, the Property and Environment Research Center, and the Enaudi Institute for Economics and Finance. NR 36 TC 10 Z9 10 U1 1 U2 28 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD JUL PY 2014 VL 82 IS 4 BP 1341 EP 1403 DI 10.3982/ECTA9823 PG 63 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AM6HO UT WOS:000339965100005 ER PT J AU Barrow, L Richburg-Hayes, L Rouse, CE Brock, T AF Barrow, Lisa Richburg-Hayes, Lashawn Rouse, Cecilia Elena Brock, Thomas TI Paying for Performance: The Education Impacts of a Community College Scholarship Program for Low-Income Adults SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID ACHIEVEMENT EVIDENCE; RANDOMIZED-TRIAL; SCHOOL; INCENTIVES; ATTENDANCE; AID AB We evaluate the effect of performance-based incentive programs on educational outcomes for community college students from a random assignment experiment at three campuses. Incentive payments over 2 semesters were tied to meeting two conditions-enrolling at least half-time and maintaining a C or better grade point average. Eligibility increased the likelihood of enrolling in the second semester after random assignment and total number of credits earned. Over 2 years, program group students completed nearly 40% more credits. We find little evidence that program eligibility changed types of courses taken but some evidence of increased academic performance and effort. C1 [Barrow, Lisa] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rouse, Cecilia Elena] Princeton Univ, Princeton, NJ 08544 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM lbarrow@frbchi.org NR 30 TC 5 Z9 5 U1 1 U2 5 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X EI 1537-5307 J9 J LABOR ECON JI J. Labor Econ. PD JUL PY 2014 VL 32 IS 3 BP 563 EP 599 DI 10.1086/675229 PG 37 WC Economics; Industrial Relations & Labor SC Business & Economics GA AM8OL UT WOS:000340135100006 ER PT J AU Albanesi, S Olivetti, C AF Albanesi, Stefania Olivetti, Claudia TI Maternal health and the baby boom SO QUANTITATIVE ECONOMICS LA English DT Article DE Maternal mortality; fertility choice; baby boom; human capital ID WORLD-WAR-II; UNITED-STATES; EDUCATIONAL-ATTAINMENT; ECONOMIC-GROWTH; WOMENS SUFFRAGE; MORTALITY; COLLEGE; MIDCENTURY; FERTILITY; DECLINE AB Fertility in the United States rose from a low of 2.27 children for women born in 1908 to a peak of 3.21 children for women born in 1932. It dropped to a new low of 1.74 children for women born in 1949, before stabilizing for subsequent cohorts. We propose a novel explanation for this boom-bust pattern, linking it to the huge improvements in maternal health that started in the mid-1930s. Our hypothesis is that the improvements in maternal health contributed to the mid-twentieth century baby boom and generated a rise in women's human capital, ultimately leading to a decline in desired fertility for subsequent cohorts. To examine this link empirically, we exploit the large cross-state variation in the magnitude of the decline in pregnancy-related mortality and the differential exposure by cohort. We find that the decline in maternal mortality is associated with a rise in fertility for women born between 1921 and 1940, with a rise in college and high school graduation rates for women born in 1933-1950 relative to previous cohorts, and with a decline in fertility for women born in 1941-1950 relative to those born in 1921-1940. The analysis provides new insights on the determinants of fertility in the United States and other countries that experienced similar improvements in maternal health. C1 [Albanesi, Stefania] Fed Reserve Bank New York, New York, NY 10045 USA. [Albanesi, Stefania] CEPR, Washington, DC USA. [Olivetti, Claudia] Boston Univ, Boston, MA 02215 USA. [Olivetti, Claudia] NBER, Cambridge, MA 02138 USA. RP Albanesi, S (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM stefania.albanesi@gmail.com; olivetti@bu.edu NR 58 TC 10 Z9 10 U1 2 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2014 VL 5 IS 2 BP 225 EP 269 DI 10.3982/QE315 PG 45 WC Economics SC Business & Economics GA AM6HI UT WOS:000339964400002 ER PT J AU Gourio, F Roys, N AF Gourio, Francois Roys, Nicolas TI Size-dependent regulations, firm size distribution, and reallocation SO QUANTITATIVE ECONOMICS LA English DT Article DE Firm size distribution; regulation; threshold effect; reallocation AB In France, firms that have 50 employees or more face substantially more regulation than firms that have less than 50. As a result, the size distribution of firms is visibly distorted: there are many firms with exactly 49 employees. We model the regulation as the combination of a sunk cost that must be paid the first time the firm reaches 50 employees and a payroll tax that is paid each period thereafter when the firm operates with more than 50 employees. We estimate the model using indirect inference by fitting the discontinuity of the size distribution. The key finding is that the regulation is equivalent to a combination of a sunk cost approximately equal to about 1 year of an average employee salary and a small payroll tax of 0.04%. Our structural model fits well the discontinuity in the size distribution. Removing the regulation improves labor allocation across firms, leading in steady state to an increase in output per worker slightly less than 0.3%, holding the number of firms fixed. However, if firm entry is elastic, the steady-state gains are an order of magnitude smaller. C1 [Gourio, Francois] Boston Univ, Fed Reserve Bank Chicago, Boston, MA 02215 USA. [Gourio, Francois] NBER, Cambridge, MA 02138 USA. [Roys, Nicolas] Univ Wisconsin Madison, Madison, WI USA. RP Gourio, F (reprint author), Boston Univ, Fed Reserve Bank Chicago, Boston, MA 02215 USA. EM francois.gourio@chi.frb.org; nroys@ssc.wisc.edu RI Roys, Nicolas/K-6863-2016 OI Roys, Nicolas/0000-0001-5404-7240 NR 23 TC 4 Z9 4 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2014 VL 5 IS 2 BP 377 EP 416 DI 10.3982/QE338 PG 40 WC Economics SC Business & Economics GA AM6HI UT WOS:000339964400006 ER PT J AU Gourio, F Rudanko, L AF Gourio, Francois Rudanko, Leena TI Customer Capital SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Product market search; Customer base; Firm dynamics; Investment ID CASH FLOW; MONOPOLISTIC COMPETITION; STOCK-MARKET; INVESTMENT; FIRM; EQUILIBRIUM; POLICY; MODEL; FRICTIONS; RETURNS AB Firms spend substantial resources on marketing and selling. Interpreting this as evidence of frictions in product markets, which require firms to spend resources on customer acquisition, this article develops a search theoretic model of firm dynamics in frictional product markets. Introducing search frictions generates long-term customer relationships, rendering the customer base a state variable for firms, which is sluggish to adjust. This affects: the level and volatility of firm investment, profits, value, sales and markups, the timing of firm responses to shocks, and the relationship between investment and Tobin's q. We document support for these predictions in firm-level data from Compustat, using cross-industry variation in selling expenses to quantify differences in the degree of friction across markets. C1 [Gourio, Francois; Rudanko, Leena] Boston Univ, Boston, MA 02215 USA. [Gourio, Francois] Fed Reserve Bank Chicago, Chicago, IL USA. [Gourio, Francois; Rudanko, Leena] NBER, Cambridge, MA 02138 USA. [Rudanko, Leena] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Gourio, F (reprint author), Boston Univ, Boston, MA 02215 USA. NR 71 TC 12 Z9 12 U1 0 U2 8 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2014 VL 81 IS 3 BP 1102 EP 1136 DI 10.1093/restud/rdu007 PG 35 WC Economics SC Business & Economics GA AM7LE UT WOS:000340047800007 ER PT J AU Cattaneo, MD Crump, RK AF Cattaneo, Matias D. Crump, Richard K. TI HAC Corrections for Strongly Autocorrelated Time Series Comment SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material ID PREDICTABILITY; TESTS C1 [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Cattaneo, MD (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM cattaneo@umich.edu; richard.crump@ny.frb.org NR 16 TC 0 Z9 0 U1 2 U2 3 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL PY 2014 VL 32 IS 3 BP 324 EP 329 DI 10.1080/07350015.2014.928220 PG 6 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA AM2VB UT WOS:000339707800003 ER PT J AU Craig, B von Peter, G AF Craig, Ben von Peter, Goetz TI Interbank tiering and money center banks SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Interbank markets; Intermediation; Networks; Tiering; Core; Market structure AB This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure for fitting the model to real-world networks. Using Bundesbank data on bilateral interbank exposures among 2000 banks from 1999 to 2012, we find strong evidence of tiering in the German banking system. This extent of tiering is unlikely to arise in standard random networks. Indeed, we show that bank specialization and balance sheet variables predict how banks position themselves in the interbank market. This link provides a promising avenue for understanding the formation of financial networks. (C) 2014 Published by Elsevier Inc. C1 [Craig, Ben] Deutsch Bundesbank, D-60431 Frankfurt, Germany. [Craig, Ben] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Craig, Ben] European Business Sch, Oestrich Winkel, Germany. [von Peter, Goetz] Bank Int Settlements, CH-4002 Basel, Switzerland. RP Craig, B (reprint author), Deutsch Bundesbank, Wilhelm Epstein Str, D-60431 Frankfurt, Germany. EM Ben.Craig@bundesbank.de; Goetz.von.Peter@bis.org NR 55 TC 47 Z9 48 U1 0 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2014 VL 23 IS 3 BP 322 EP 347 DI 10.1016/j.jfi.2014.02.003 PG 26 WC Business, Finance SC Business & Economics GA AM2SR UT WOS:000339701600003 ER PT J AU Amiti, M Itskhoki, O Konings, J AF Amiti, Mary Itskhoki, Oleg Konings, Jozef TI Importers, Exporters, and Exchange Rate Disconnect SO AMERICAN ECONOMIC REVIEW LA English DT Article ID PRICING-TO-MARKET; RATE PASS-THROUGH; STRUCTURAL APPROACH; TRADE; PRODUCTIVITY; PRICES; INPUTS; ADJUSTMENT; SEARCH; SHARE AB Large exporters are simultaneously large importers. We show that this pattern is key to understanding low aggregate exchange rate pass-through as well as the variation in pass-through across exporters. We develop a theoretical framework with variable markups and imported inputs, which predicts that firms with high import shares and high market shares have low exchange rate pass-through. We test and quantify the theoretical mechanism using Belgian firm-product-level data on imports and exports. Small nonimporting firms have nearly complete pass-through, while large import-intensive exporters have pass-through around 50 percent, with the marginal cost and markup channels contributing roughly equally. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Itskhoki, Oleg] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Konings, Jozef] Univ Leuven, Dept Econ, B-3000 Louvain, Belgium. [Konings, Jozef] Univ Ljubljana, Natl Bank Belgium, Ljubljana 61000, Slovenia. [Konings, Jozef] Univ Ljubljana, Dept Econ, Ljubljana 61000, Slovenia. RP Amiti, M (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM mary.amiti@ny.frb.org; itskhoki@princeton.edu; joep.konings@kuleu-ven.be NR 53 TC 32 Z9 32 U1 4 U2 31 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JUL PY 2014 VL 104 IS 7 BP 1942 EP 1978 DI 10.1257/aer.104.7.1942 PG 37 WC Economics SC Business & Economics GA AL1ZQ UT WOS:000338925900003 ER PT J AU Heathcote, J Storesletten, K Violante, GL AF Heathcote, Jonathan Storesletten, Kjetil Violante, Giovanni L. TI Consumption and Labor Supply with Partial Insurance: An Analytical Framework SO AMERICAN ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; LIFE-CYCLE; RISK-AVERSION; INEQUALITY; EARNINGS; INCOME; ECONOMIES; MODELS; ACCUMULATION; UNCERTAINTY AB We develop a model with partial insurance against idiosyncratic wage shocks to quantify risk sharing. Closed-form solutions are obtained for equilibrium allocations and for moments of the joint distribution of consumption, hours, and wages. We prove identification and demonstrate how labor supply data are informative about risk sharing. The model, estimated with US data over the period 1967-2006, implies that (i) 39 percent of permanent wage shocks pass through to consumption; (ii) the share of wage risk insured increased until the early 1980s; and (iii) preference heterogeneity is important in accounting for observed dispersion in consumption and hours. C1 [Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Storesletten, Kjetil] Univ Oslo, N-0317 Oslo, Norway. [Violante, Giovanni L.] NYU, New York, NY 10012 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM heathcote@minneapolisfed.org; kjstore@econ.uio.no; glv2@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 55 TC 10 Z9 10 U1 1 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JUL PY 2014 VL 104 IS 7 BP 2075 EP 2126 DI 10.1257/aer.104.7.2075 PG 52 WC Economics SC Business & Economics GA AL1ZQ UT WOS:000338925900007 ER PT J AU Armenter, R Koren, M AF Armenter, Roc Koren, Miklos TI A Balls-and-Bins Model of Trade SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTERNATIONAL-TRADE; GRAVITY EQUATION; FIRMS; INDUSTRIES; PARTNERS; QUALITY; US AB Many of the facts about the extensive margin of trade-which firms export, and how many products are sent to how many destinations-are consistent with a surprisingly large class of trade models because of the sparse nature of trade data. We propose a statistical model to account for sparsity, formalizing the assignment of trade shipments to country, product, and firm categories as balls falling into bins. The balls-and-bins model quantitatively reproduces the pattern of zero product-and firm-level trade flows across export destinations, and the frequency of multiproduct, multidestination exporters. In contrast, balls-and-bins overpredicts the fraction of exporting firms. C1 [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Koren, Miklos] Cent European Univ, H-1051 Budapest, Hungary. [Koren, Miklos] MTA KRTK, Budapest, Hungary. [Koren, Miklos] CEPR, Washington, DC USA. RP Armenter, R (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM roc.armenter@phil.frb.org; korenm@ceu.hu NR 24 TC 16 Z9 16 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JUL PY 2014 VL 104 IS 7 BP 2127 EP 2151 DI 10.1257/aer.104.7.2127 PG 25 WC Economics SC Business & Economics GA AL1ZQ UT WOS:000338925900008 ER PT J AU Cole, S Paulson, A Shastry, GK AF Cole, Shawn Paulson, Anna Shastry, Gauri Kartini TI Smart Money? The Effect of Education on Financial Outcomes SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID MARKET PARTICIPATION; STOCK-MARKET; HOUSE PRICES; BEHAVIOR; AVERAGE; MODELS; WEALTH; MATTER; INCOME; TWINS AB Household financial decisions are important for household welfare, economic growth, and financial stability. Yet our understanding of the determinants of financial decision making is limited. Exploiting exogenous variation in state compulsory schooling laws in both standard and two-sample instrumental variable strategies, we show that education increases financial market participation, measured by investment income and equities ownership, while dramatically reducing the probability that an individual declares bankruptcy, experiences a foreclosure, or is delinquent on a loan. Further results and a simple calibration suggest that the result is driven by changes in savings or investment behavior, rather than simply increased labor earnings. C1 [Cole, Shawn] Harvard Univ, Sch Business, NBER, Cambridge, MA 02138 USA. [Paulson, Anna] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Shastry, Gauri Kartini] Wellesley Coll, Wellesley, MA 02481 USA. RP Shastry, GK (reprint author), Wellesley Coll, Dept Econ, 106 Cent St, Wellesley, MA 02481 USA. EM gshastry@wellesley.edu NR 54 TC 9 Z9 9 U1 6 U2 19 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUL PY 2014 VL 27 IS 7 BP 2022 EP 2051 DI 10.1093/rfs/hhu012 PG 30 WC Business, Finance; Economics SC Business & Economics GA AL0PD UT WOS:000338827900003 ER PT J AU Gospodinov, N Kan, R Robotti, C AF Gospodinov, Nikolay Kan, Raymond Robotti, Cesare TI Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID DISCOUNT FACTOR MODELS; CROSS-SECTIONAL TEST; FALSE DISCOVERIES; STOCK RETURNS; TESTS; PREMIA; PERFORMANCE; RATES AB This paper shows that in misspecified models with risk factors that are uncorrelated with the test asset returns, the conventional inference methods tend to erroneously conclude, with high probability, that these factors are priced. Our proposed model selection procedure, which is robust to identification failure and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. Applying our methodology to several popular asset-pricing models suggests that only the market and book-to-market factors appear to be priced, while the statistical evidence on the pricing ability of many macroeconomic factors is rather weak. C1 [Gospodinov, Nikolay] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Kan, Raymond] Univ Toronto, Toronto, ON M5S 1A1, Canada. [Robotti, Cesare] Univ London Imperial Coll Sci Technol & Med, London SW7 2AZ, England. RP Robotti, C (reprint author), Univ London Imperial Coll Sci Technol & Med, Imperial Coll Business Sch, Tanaka Bldg,South Kensington Campus, London SW7 2AZ, England. EM c.robotti@imperial.ac.uk NR 37 TC 6 Z9 6 U1 1 U2 10 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUL PY 2014 VL 27 IS 7 BP 2139 EP 2170 DI 10.1093/rfs/hht135 PG 32 WC Business, Finance; Economics SC Business & Economics GA AL0PD UT WOS:000338827900006 ER PT J AU Kopecky, KA Koreshkova, T AF Kopecky, Karen A. Koreshkova, Tatyana TI The Impact of Medical and Nursing Home Expenses on Savings SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID LIFE-CYCLE; WEALTH INEQUALITY; INSURANCE; RISK; CONSUMPTION; ANNUITIES; MOTIVES; MODELS; MARKET AB We consider a life-cycle model with idiosyncratic risk in earnings, out-of-pocket medical and nursing home expenses, and survival. Partial insurance is available through welfare, Medicaid, and social security. Calibrating the model to the United States we show that savings for old-age, out-of-pocket expenses account for 13.5 percent of aggregate wealth, half of which is due to nursing home expenses; cross-sectional out-of-pocket nursing home risk accounts for 3 percent of aggregate wealth and substantially slows down wealth decumulation at older ages; and all newborns would benefit if social insurance for nursing home stays was made more generous. (JEL D91, E21, E62, H51, I13, I18, I38, J14)\ C1 [Kopecky, Karen A.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Koreshkova, Tatyana] Concordia Univ, CIREQ, Montreal, PQ H3G 1M8, Canada. [Koreshkova, Tatyana] Concordia Univ, Dept Econ, Montreal, PQ H3G 1M8, Canada. RP Kopecky, KA (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM karen.kopecky@atl.frb.org; tatyana.koreshkova@concordia.ca NR 41 TC 12 Z9 12 U1 1 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2014 VL 6 IS 3 BP 29 EP 72 PG 44 WC Economics SC Business & Economics GA AK9TJ UT WOS:000338769700002 ER PT J AU di Giovanni, J Levchenko, AA Zhang, J AF di Giovanni, Julian Levchenko, Andrei A. Zhang, Jing TI The Global Welfare Impact of China: Trade Integration and Technological Change SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID GRAVITY; GOODS AB This paper evaluates the global welfare impact of China's trade integration and technological change in a multi-country quantitative Ricardian-Heckscher-Ohlin model. We simulate two alternative growth scenarios: a "balanced" one in which China's productivity grows at the same rate in each sector, and an "unbalanced" one in which China's comparative disadvantage sectors catch up disproportionately faster to the world productivity frontier. Contrary to a well-known conjecture (Samuelson 2004), the large majority of countries experience significantly larger welfare gains when China's productivity growth is biased toward its comparative disadvantage sectors. This finding is driven by the inherently multilateral nature of world trade. (JEL F14, F43, 019, 033, 047, P24, P33) C1 [di Giovanni, Julian] Univ Pompeu Fabra, Dept Econ & Business, Barcelona 08005, Spain. [di Giovanni, Julian] Barcelona GSE, CREI, Barcelona, Catalonia, Spain. [Levchenko, Andrei A.] Univ Michigan, Ann Arbor, MI 48109 USA. [Levchenko, Andrei A.] NBER, Cambridge, MA 02138 USA. [Zhang, Jing] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP di Giovanni, J (reprint author), Univ Pompeu Fabra, Dept Econ & Business, Roma Trias Fargas 25-27, Barcelona 08005, Spain. EM julian.digiovanni@upf.edu; alev@umich.edu; jing.zhang@chi.frb.org RI di Giovanni, Julian/D-1154-2014; OI di Giovanni, Julian/0000-0002-6864-6401; Levchenko, Andrei A/0000-0001-9087-7911 NR 33 TC 7 Z9 7 U1 3 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2014 VL 6 IS 3 BP 153 EP 183 DI 10.1257/mac.6.3.153 PG 31 WC Economics SC Business & Economics GA AK9TJ UT WOS:000338769700006 ER PT J AU Clark, TE Doh, T AF Clark, Todd E. Doh, Taeyoung TI Evaluating alternative models of trend inflation SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Forecasting; Prediction; Model evaluation ID VECTOR AUTOREGRESSIONS; PREDICTIVE ABILITY; DENSITY FORECASTS; MONETARY-POLICY; TERM STRUCTURE; TIME-SERIES; EXPECTATIONS; PERSISTENCE; TESTS; GAP AB With the concept of trend inflation now being widely understood to be important to the accuracy of longer-term inflation forecasts, this paper assesses alternative models of trend inflation. Reflecting the models which are common in reduced-form inflation modeling and forecasting, we specify a range of models of inflation that incorporate different trend specifications. We compare the models on the basis of their accuracies in out-of-sample forecasting, both point and density. Our results show that it is difficult to say that any one model of trend inflation is the best. Several different trend specifications seem to be about equally accurate, and the relative accuracy is somewhat prone to instabilities over time. (C) 2014 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [Doh, Taeyoung] Fed Reserve Bank, Econ Res Dept, Kansas City, MO 64198 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org; taeyoung.doh@kc.frb.org NR 56 TC 7 Z9 7 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 426 EP 448 DI 10.1016/j.ijforecast.2013.11.005 PG 23 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800003 ER PT J AU Vigfusson, RJ AF Vigfusson, Robert J. TI Forecasting business cycles: Green shoots and red leaves SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material C1 Fed Reserve Board, Washington, DC 20551 USA. RP Vigfusson, RJ (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM robert.j.vigfusson@frb.gov NR 8 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 536 EP 538 DI 10.1016/j.ijforecast.2014.03.006 PG 3 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800011 ER PT J AU Pritsker, M AF Pritsker, Matthew TI Stress-testing US bank holding companies: A dynamic panel quantile regression approach: A comment SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material C1 Fed Reserve Bank Boston, Risk & Policy Anal Unit, Boston, MA 02210 USA. RP Pritsker, M (reprint author), Fed Reserve Bank Boston, Risk & Policy Anal Unit, Boston, MA 02210 USA. EM matthew.pritsker@bos.frb.org NR 7 TC 0 Z9 0 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 714 EP 716 DI 10.1016/j.ijforecast.2013.11.004 PG 3 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800030 ER PT J AU Jorda, O AF Jorda, Oscar TI Assessing the historical role of credit: Business cycles, financial crises and the legacy of Charles S. Peirce SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Correct classification frontier; Area under the curve; Financial crisis; Kolmogorov-Smirnov statistic ID MONETARY-POLICY; BOOMS; CURVE AB This paper provides a historical overview of financial crises and their origins. The objective is to discuss a few of the modern statistical methods that can be used to evaluate predictors of these rare events. The problem involves the prediction of binary events, and therefore fits modern statistical learning, signal processing theory, and classification methods. The discussion also emphasizes the need for statistics and computational techniques to be supplemented with economics. The success of a forecast in this environment hinges on the economic consequences of the actions taken as a result of the forecast, rather than on typical statistical metrics of prediction accuracy. Published by Elsevier B.V. on behalf of International Institute of Forecasters. C1 [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar] Univ Calif Davis, Davis, CA USA. RP Jorda, O (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM oscar.jorda@sf.frb.org NR 29 TC 1 Z9 1 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 729 EP 740 DI 10.1016/j.ijforecast.2014.02.003 PG 12 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800032 ER PT J AU Hale, G AF Hale, Galina TI Comment on "Forecasting systemic impacts in financial networks" SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM Galina.B.Hale@sf.frb.org NR 2 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 795 EP 796 DI 10.1016/j.ijforecast.2013.09.001 PG 2 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800036 ER PT J AU Fushing, H Jorda, O Beisner, B McCowan, B AF Fushing, Hsieh Jorda, Oscar Beisner, Brianne McCowan, Brenda TI Computing systemic risk using multiple behavioral and keystone networks: The emergence of a crisis in primate societies and banks SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Decoupling; Global collection of local (GCL) information; Network theory; Joint network modeling; Social collapse ID COMPLEX-SYSTEMS AB What do the behavior of monkeys in captivity and the financial system have in common? The nodes in such social systems relate to each other through multiple and keystone networks, not just one network. Each network in the system has its own topology, and the interactions among the system's networks change over time. In such systems, the lead into a crisis appears to be characterized by a decoupling of the networks from the keystone network. This decoupling can also be seen in the crumbling of the keystone's power structure toward a more horizontal hierarchy. This paper develops nonparametric methods for describing the joint model of the latent architecture of interconnected networks in order to describe this process of decoupling, and hence provide an early warning system of an impending crisis. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Fushing, Hsieh] Univ Calif Davis, Dept Stat, Davis, CA 95616 USA. [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Beisner, Brianne; McCowan, Brenda] Univ Calif Davis, Sch Vet Med, Calif Natl Primate Res Ctr, Dept Populat Hlth & Reprod,Int Inst Hlth Anim Net, Davis, CA 95616 USA. RP Fushing, H (reprint author), Univ Calif Davis, Dept Stat, Davis, CA 95616 USA. EM fhsieh@ucdavis.edu FU NICHD NIH HHS [R01 HD068335]; NIH HHS [R24 OD011136] NR 31 TC 6 Z9 6 U1 6 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 797 EP 806 DI 10.1016/j.ijforecast.2013.11.001 PG 10 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800037 PM 26056422 ER PT J AU Groen, JJ AF Groen, Jan J. J. TI Discussion on forecasting commodity price indexes using macroeconomic and financial predictors SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material ID MARKET C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Groen, JJ (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM jan.groen@ny.frb.org NR 9 TC 0 Z9 0 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2014 VL 30 IS 3 BP 844 EP 846 DI 10.1016/j.ijforecast.2013.09.002 PG 3 WC Economics; Management SC Business & Economics GA AL0HU UT WOS:000338808800040 ER PT J AU Baler, SL Bergstrand, JH Feng, M AF Baler, Scott L. Bergstrand, Jeffrey H. Feng, Michael TI Economic integration agreements and the margins of international trade SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Free trade agreements; International trade; Extensive margins; Intensive margins ID GRAVITY; VARIETY; GAINS; LIBERALIZATION; HETEROGENEITY; PRODUCTIVITY; MEMBERS; MODELS; FLOWS AB One of the main policy sources of trade-cost changes is the formation of an economic integration agreement (ElA), which potentially affects an importing country's welfare. This paper: (i) provides the first evidence using gravity equations of both intensive and extensive (goods) margins being affected by ElAs employing a panel data set with a large number of country pairs, product categories, and ElAs from 1962 to 2000; (ii) provides the first evidence of the differential (partial) effects of various "types" of ElAs on these intensive and extensive margins of trade; and (iii) finds a novel differential "timing" of the two margins' (partial) effects with intensive-margin effects occurring sooner than extensive-margin effects, consistent with recent theoretical predictions. The results are robust to correcting for potential sample-selection, firm-heterogeneity, and reverse causality biases. (C) 2014 Elsevier B.V. All rights reserved. C1 [Baler, Scott L.; Feng, Michael] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. [Baler, Scott L.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Bergstrand, Jeffrey H.] Univ Notre Dame, Kellogg Inst Int Studies, Dept Finance, Notre Dame, IN 46556 USA. [Bergstrand, Jeffrey H.] Univ Notre Dame, Kellogg Inst Int Studies, Dept Econ, Notre Dame, IN 46556 USA. [Bergstrand, Jeffrey H.] CESifo, Munich, Germany. RP Bergstrand, JH (reprint author), Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA. EM sbaier@clemson.edu; bergstrand.1@nd.edu; fdayu@clemson.edu NR 45 TC 4 Z9 4 U1 6 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2014 VL 93 IS 2 BP 339 EP 350 DI 10.1016/j.jinteco.2014.03.005 PG 12 WC Economics SC Business & Economics GA AL0GI UT WOS:000338805000008 ER PT J AU Plante, M AF Plante, Michael TI How should monetary policy respond to changes in the relative price of oil? Considering supply and demand shocks SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Oil prices; Optimal monetary policy; Inflation; Interest rates ID ECONOMIC-ACTIVITY; ENERGY; COMPETITION; INCREASES; MODELS AB This paper examines optimal monetary policy in a New Keynesian model where supply and demand shocks affect the price of oil. Optimal policy fully stabilizes core inflation when wages are flexible. The nominal rate rises (falls) in response to the demand (supply) shock. With sticky wages core inflation falls (rises) in response to the demand (supply) shock. Impulse response functions from a VAR estimated with post-1986 U.S. data show minimal movement in core inflation in response to both shocks. The federal funds rate rises (falls) in response to the demand (supply) shock, consistent with the predictions from the theoretical model for policy that stabilizes core inflation. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Plante, M (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM michael.plante@dal.frb.org NR 14 TC 1 Z9 1 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUL PY 2014 VL 44 BP 1 EP 19 DI 10.1016/j.jedc.2014.04.002 PG 19 WC Economics SC Business & Economics GA AK7NG UT WOS:000338614400001 ER PT J AU Wang, PF Wen, Y Xu, ZW AF Wang, Pengfei Wen, Yi Xu, Zhiwei TI What inventories tell us about aggregate fluctuations-A tractable approach to (S,s) policies SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE (S,s) inventories policy; State-dependent decisions; Heterogeneous-agent models; Perturbation methods ID GENERAL EQUILIBRIUM; BUSINESS-CYCLE; DYNAMICS; OUTPUT; MONEY AB We estimate a DSGE model with (Ss) inventory policies. We find that (i) taking inventories into account can significantly improve the empirical fit of DSGE models in matching the standard business-cycle moments (in addition to explaining inventory fluctuations); (ii) (S,s) inventory policies can significantly amplify aggregate output fluctuations, in contrast to the findings of the recent general-equilibrium inventory literature; and (iii) aggregate demand shocks become more important than technology shocks in explaining the business cycle once inventories are incorporated into the model. An independent contribution of our paper is that we develop a solution method for analytically solving (S,s) inventory policies in general equilibrium models with heterogeneous firms and a large aggregate state space, and we illustrate how standard log-linearization methods can be used to solve various versions of our inventory model, generate impulse response functions, and estimate the model's deep structural parameters. (C) 2014 Elsevier B.V. All rights reserved. C1 [Wang, Pengfei] Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China. [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. [Xu, Zhiwei] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China. RP Wang, PF (reprint author), Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. EM pfwang@ust.hk RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 NR 18 TC 0 Z9 0 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUL PY 2014 VL 44 BP 196 EP 217 DI 10.1016/j.jedc.2014.05.003 PG 22 WC Economics SC Business & Economics GA AK7NG UT WOS:000338614400010 ER PT J AU Neely, CJ Rapach, DE Tu, J Zhou, GF AF Neely, Christopher J. Rapach, David E. Tu, Jun Zhou, Guofu TI Forecasting the Equity Risk Premium: The Role of Technical Indicators SO MANAGEMENT SCIENCE LA English DT Article DE equity risk premium predictability; macroeconomic variables; moving averages; momentum; volume; sentiment; out-of-sample forecasts; asset allocation; business cycle ID STOCK RETURNS; PREDICTIVE ACCURACY; TRADING STRATEGIES; INVESTOR SENTIMENT; CROSS-SECTION; MARKET; TESTS; PERFORMANCE; MODELS; SAMPLE AB Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that of macroeconomic variables. Technical indicators display statistically and economically significant in-sample and out-of-sample predictive power, matching or exceeding that of macroeconomic variables. Furthermore, technical indicators and macroeconomic variables provide complementary information over the business cycle: technical indicators better detect the typical decline in the equity risk premium near business-cycle peaks, whereas macroeconomic variables more readily pick up the typical rise in the equity risk premium near cyclical troughs. Consistent with this behavior, we show that combining information from both technical indicators and macroeconomic variables significantly improves equity risk premium forecasts versus using either type of information alone. Overall, the substantial countercyclical fluctuations in the equity risk premium appear well captured by the combined information in technical indicators and macroeconomic variables. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Rapach, David E.] St Louis Univ, John Cook Sch Business, Dept Econ, St Louis, MO 63108 USA. [Tu, Jun] Singapore Management Univ, Lee Kong Chian Sch Business, Dept Finance, Singapore 178899, Singapore. [Zhou, Guofu] Washington Univ, Olin Business Sch, St Louis, MO 63130 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM neely@stls.frb.org; rapachde@slu.edu; tujun@smu.edu.sg; zhou@wustl.edu RI TU, Jun/D-2189-2010; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 FU Simon Center for Regional Forecasting at Saint Louis University; Singapore Management University [C207/MSS10B001] FX For helpful comments, the authors thank seminar participants at Beijing University, the Cheung Kong Graduate School of Business, 2011 China International Conference in Finance, 2012 European Finance Association Meeting, Federal Reserve Bank of St. Louis, Forecasting Financial Markets 2010 Conference, Fudan University, Saint Louis University, Shanghai Advanced Institute of Finance, Singapore Management University 2010 Summer Finance Camp, Southwest University of Business and Finance, Temple University, Third Annual Conference of The Society for Financial Econometrics, University of New South Wales, and 2010 Midwest Econometrics Group Meetings, as well as Hank Bessembinder, Michael Brennan, William Brock, Henry Cao, Long Chen, Todd Clark, John Cochrane, Robert Engle, Tom Engsted (2012 European Finance Association discussant), Miguel Ferreira, Mark Grinblatt, Bruce Grundy, Massimo Guidolin, Harrison Hong, Jennifer Huang, Raymond Kan (2011 China International Conference in Finance discussant), Michael McCracken, Adrian Pagan, Jesper Rangvid, Pedro Santa-Clara, Jack Strauss, and George Tauchen. The authors are especially grateful for the insightful comments of two referees, an associate editor, and the department editor (Wei Jiang). The usual disclaimer applies. The authors also thank Kenneth French, Amit Goyal, and Jeffrey Wurgler for kindly providing data on their webpages, and Brett Fawley for research assistance. David E. Rapach acknowledges support from the Simon Center for Regional Forecasting at Saint Louis University. Jun Tu acknowledges support from the Singapore Management University [Internal Research Grant C207/MSS10B001]. The views expressed in this paper are those of the authors and do not reflect those of the Federal Reserve Bank of St. Louis or the Federal Reserve System. NR 55 TC 32 Z9 32 U1 12 U2 52 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD JUL PY 2014 VL 60 IS 7 BP 1772 EP 1791 DI 10.1287/mnsc.2013.1838 PG 20 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA AK9AJ UT WOS:000338719600009 ER PT J AU Boo, FL Canon, ME AF Boo, Florencia Lopez Canon, Maria Eugenia TI Reversal of gender gaps in child development: Evidence from young children in India SO ECONOMICS LETTERS LA English DT Article DE Cognitive skills; India; Gender; Caste inequality; Children; Oaxaca ID INTRAHOUSEHOLD ALLOCATION; BIAS AB This paper provides unique evidence of a reversal of gender gaps in cognitive development in early childhood. We find steep caste and gender gradients and few substantive changes once children enter school. The gender gap, however, reverses its sign for the upper caste, with girls performing better than boys at age 5 but thereafter following the general pattern in India of boys performing better. (C) 2014 Elsevier B.V. All rights reserved. C1 [Boo, Florencia Lopez] Interamer Dev Bank, Washington, DC 20577 USA. [Canon, Maria Eugenia] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Boo, FL (reprint author), Interamer Dev Bank, 1300 New York Ave,NW Room E0605, Washington, DC 20577 USA. EM florencial@iadb.org NR 16 TC 1 Z9 1 U1 2 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD JUL PY 2014 VL 124 IS 1 BP 55 EP 59 DI 10.1016/j.econlet.2014.04.021 PG 5 WC Economics SC Business & Economics GA AK7HS UT WOS:000338599900013 ER PT J AU Berger, AN Goulding, W Rice, T AF Berger, Allen N. Goulding, William Rice, Tara TI Do small businesses still prefer community banks? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Banks; Relationships; Small business; Government policy ID SMALL-FIRM FINANCE; LENDING RELATIONSHIPS; CREDIT AVAILABILITY; EMPIRICAL-EVIDENCE; COMPETITION; INFORMATION; ACCESS; CRISIS; RISK; SMES AB We formulate and test hypotheses about the role of bank type - small versus large, single-market versus multimarket, and local versus nonlocal banks - in banking relationships. The conventional paradigm suggests that "community banks" - small, single-market, local institutions - are better able to form strong relationships with informationally opaque small businesses, while "megabanks" - large, multimarket, nonlocal institutions - tend to serve more transparent firms. Using the 2003 Survey of Small Business Finance (SSBF), we conduct two sets of tests. First, we test for the type of bank serving as the "main" relationship bank for small businesses with different firm and owner characteristics. Second, we test for the strength of these main relationships by examining the probability of an exclusive relationship and main bank relationship length as functions of main bank type and financial fragility, as well as firm and owner characteristics. The results are often not consistent with the conventional paradigm, perhaps because of changes in lending technologies and deregulation of the banking industry. (C) 2014 Elsevier B.V. All rights reserved. C1 [Berger, Allen N.] Univ S Carolina, Columbia, SC 29208 USA. [Berger, Allen N.] Wharton Financial Inst Ctr, Philadelphia, PA USA. [Berger, Allen N.] European Banking Ctr, Tilburg, Netherlands. [Goulding, William] MIT, Alfred P Sloan Sch Management, Cambridge, MA 02139 USA. [Rice, Tara] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Berger, AN (reprint author), Univ S Carolina, Columbia, SC 29208 USA. EM aberger@moore.sc.edu; bill.goulding@sloan.mit.edu; tara.rice@frb.gov NR 81 TC 10 Z9 10 U1 0 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD JUL PY 2014 VL 44 BP 264 EP 278 DI 10.1016/j.jbankfin.2014.03.016 PG 15 WC Business, Finance; Economics SC Business & Economics GA AJ6DL UT WOS:000337779800018 ER PT J AU Ball, S Low, H AF Ball, Steffan Low, Hamish TI Do Self-insurance and Disability Insurance Prevent Consumption Loss on Disability? SO ECONOMICA LA English DT Article ID LABOR-FORCE PARTICIPATION; UNEMPLOYMENT; EARNINGS; SHOCKS; HEALTH AB We show the extent to which public insurance and self-insurance mitigate the cost of health shocks that limit the ability to work. We use consumption data from the UK to estimate insurance provided by government disability programmes. Individuals with a work-limiting health condition, in receipt of disability insurance, have 9% lower consumption than those without such a condition. Self-insurance through savings and a work-active partner each improve outcomes by about 3%. Reduced generosity of disability insurance after 1995 is associated with increases in the consumption loss on disability, implying worse insurance, but with fewer false claimants, implying better targeting. C1 [Ball, Steffan] Fed Reserve Board, Washington, DC 20551 USA. [Low, Hamish] Univ Cambridge, Cambridge CB2 1TN, England. [Low, Hamish] IFS, New Delhi, India. RP Ball, S (reprint author), Fed Reserve Board, Washington, DC 20551 USA. OI Low, Hamish/0000-0002-6064-9448 NR 28 TC 1 Z9 1 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0427 EI 1468-0335 J9 ECONOMICA JI Economica PD JUL PY 2014 VL 81 IS 323 BP 468 EP 490 DI 10.1111/ecca.12079 PG 23 WC Economics SC Business & Economics GA AJ4TR UT WOS:000337669700004 ER PT J AU Berentsen, A Marchesiani, A Waller, CJ AF Berentsen, Aleksander Marchesiani, Alessandro Waller, Christopher J. TI Floor systems for implementing monetary policy: Some unpleasant fiscal arithmetic SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Monetary policy; Floor system; Channel system; Standing facilities ID FEDERAL-FUNDS RATE; MONEY; LIQUIDITY; EFFICIENCY; RESERVES; EXCHANGE; CREDIT; BONDS; MODEL AB An increasing number of central banks implement monetary policy via a channel system or a floor system. We construct a general equilibrium model to study the properties of these systems. We find that a floor system is weakly optimal if and only if the target rate satisfies the Friedman rule. Unfortunately, the optimal floor system requires either transfers from the fiscal authority to the central bank or a reduction in seigniorage payments from the central bank to the government. This is the unpleasant fiscal arithmetic of a floor system. When the central bank faces financing constraints on its interest expense, we show that it is strictly optimal to operate a channel system. (C) 2013 Elsevier Inc. All rights reserved. C1 [Berentsen, Aleksander] Univ Basel, CH-4003 Basel, Switzerland. [Berentsen, Aleksander; Waller, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Marchesiani, Alessandro] Univ Minho, P-4719 Braga, Portugal. [Waller, Christopher J.] Univ Notre Dame, Notre Dame, IN 46556 USA. RP Berentsen, A (reprint author), Univ Basel, CH-4003 Basel, Switzerland. EM aleksander.berentsen@unibas.ch RI NIPE, Universidade Minho/F-9327-2010; Waller, Christopher/I-5755-2016; marchesiani, alessandro/I-5844-2013 OI Waller, Christopher/0000-0003-2406-9910; marchesiani, alessandro/0000-0002-1866-6279 NR 38 TC 0 Z9 0 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2014 VL 17 IS 3 BP 523 EP 542 DI 10.1016/j.red.2013.09.001 PG 20 WC Economics SC Business & Economics GA AJ4LO UT WOS:000337648000009 ER PT J AU Tang, Y Wu, J Zhang, L AF Tang, Yue Wu, Jin (Ginger) Zhang, Lu TI Do Anomalies Exist Ex Ante? SO REVIEW OF FINANCE LA English DT Article ID ASSET PRICING TESTS; STOCK RETURNS; IMPLIED COST; EARNINGS FORECASTS; MARKET-EFFICIENCY; EXPECTED RETURNS; ISSUES PUZZLE; RISK; INVESTMENT; EQUITY AB The anomalies literature in capital markets research in finance and accounting is based (almost) exclusively on average realized returns. In contrast, we construct accountingbased expected returns for dollar-neutral long-short trading strategies formed on a wide array of anomaly variables, including book to market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment to assets, accruals, earnings surprises, failure probability, return on assets, and short-term prior returns. Our findings are striking. Except for the value and the size premiums, the cost of equity estimates differ drastically from the average realized returns. C1 [Tang, Yue] Univ Florida, Gainesville, FL 32611 USA. [Wu, Jin (Ginger)] Univ Georgia, Athens, GA 30602 USA. [Wu, Jin (Ginger)] Fed Reserve Board, Washington, DC USA. [Zhang, Lu] Ohio State Univ, Columbus, OH 43210 USA. [Zhang, Lu] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Tang, Y (reprint author), Univ Florida, Gainesville, FL 32611 USA. NR 48 TC 4 Z9 4 U1 2 U2 13 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD JUL PY 2014 VL 18 IS 3 BP 843 EP 875 DI 10.1093/rof/rft026 PG 33 WC Business, Finance; Economics SC Business & Economics GA AI7MZ UT WOS:000337077100001 ER PT J AU Brown, JD Genc, S Hotchkiss, JL Quispe-Agnoli, M AF Brown, J. David Genc, Serife Hotchkiss, Julie L. Quispe-Agnoli, Myriam TI UNDOCUMENTED WORKERS' EMPLOYMENT ACROSS US BUSINESS CYCLES SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID CAPITAL-SKILL COMPLEMENTARITY; LABOR; IMMIGRATION; EXISTENCE; OUTCOMES; STATE AB Using matched employer-employee data from the state of Georgia, this paper investigates how employment of undocumented workers varies along the business cycle and how it differs from the adjustment in employment of documented workers. The cyclical component of undocumented employment is found to be significantly more volatile than the cyclical component of documented employment. Simulation results indicate that complementarities between documented workers and capital account for almost 90% of the difference in measured volatility between documented and undocumented employment. (JEL E24, J21, J15) C1 [Brown, J. David] Inst Study Labor IZA, D-53113 Bonn, Germany. [Genc, Serife] Cent Bank Republ Turkey, Istanbul Sch Cent Banking, Istanbul, Turkey. [Hotchkiss, Julie L.] Georgia State Univ, Res Dept, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Quispe-Agnoli, Myriam] Fed Reserve Bank Atlanta, Community & Econ Dev Dept, Atlanta, GA 30309 USA. RP Brown, JD (reprint author), Inst Study Labor IZA, D-53113 Bonn, Germany. EM jdavidbrown68@gmail.com; serife.genc@tcmb.gov.tr; julie.l.hotchkiss@atl.frb.org; myriam.quispe-agnoli@atl.frb.org NR 33 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1074-3529 EI 1465-7287 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD JUL PY 2014 VL 32 IS 3 BP 653 EP 670 DI 10.1111/coep.12026 PG 18 WC Economics; Public Administration SC Business & Economics; Public Administration GA AH9YV UT WOS:000336502900007 ER PT J AU Agarwal, S Amromin, G Ben-David, I Chomsisengphet, S Evanoff, DD AF Agarwal, Sumit Amromin, Gene Ben-David, Itzhak Chomsisengphet, Souphala Evanoff, Douglas D. TI Predatory lending and the subprime crisis SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Predatory lending; Subprime crisis; Household finance; Default ID PAYDAY; COSTS; LOANS AB We measure the effect of a 2006 antipredatory pilot program in Chicago on mortgage default rates to test whether predatory lending was a key element in fueling the subprime crisis. Under the program, risky borrowers or risky mortgage contracts or both triggered review sessions by housing counselors who shared their findings with the state regulator. The pilot program cut market activity in half, largely through the exit of lenders specializing in risky loans and through a decline in the share of subprime borrowers. Our results suggest that predatory lending practices contributed to high mortgage default rates among subprime borrowers, raising them by about a third. (C) 2014 Elsevier B.V. All rights reserved. C1 [Agarwal, Sumit] Natl Univ Singapore, Singapore 119077, Singapore. [Amromin, Gene; Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Ben-David, Itzhak] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA. [Ben-David, Itzhak] NBER, Cambridge, MA 02138 USA. [Chomsisengphet, Souphala] Off Comptroller Currency, Washington, DC 20219 USA. RP Ben-David, I (reprint author), Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA. EM bendavid@fisher.osu.edu RI Agarwal, Sumit/F-4836-2012; Ben-David, Itzhak/I-3233-2012; OI Ben-David, Itzhak/0000-0001-9743-7441 NR 37 TC 10 Z9 10 U1 3 U2 23 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUL PY 2014 VL 113 IS 1 BP 29 EP 52 DI 10.1016/j.jfineco.2014.02.008 PG 24 WC Business, Finance; Economics SC Business & Economics GA AI1VL UT WOS:000336643200002 ER PT J AU Steinbuks, J Elliehausen, G AF Steinbuks, Jevgenijs Elliehausen, Gregory TI The Economic Effects of Legal Restrictions on High-Cost Mortgages SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Dodd-Frank Act; High-cost mortgages; Mortgage credit; Prepayment penalties; Subprime lending ID PREDATORY LENDING LAW; SELF-SELECTION; INFORMATION; PREPAYMENT; DEFAULT; IMPACT AB We analyze the effects of state predatory mortgage lending laws, which have been a model for recent changes in the United States federal legislation enacted to regulate the mortgage contract terms common in higher-risk mortgage market segments. Using the Rothschild-Stiglitz approach to model credit markets under asymmetric information, legal restrictions are shown to reduce the use and attractiveness of mortgage credit. Consistent with model predictions, empirical results indicate that originations of regulated high-cost mortgages were significantly less than predicted in states with more restrictive laws. The differences between predicted and actual originations of high-cost mortgages in states with less restrictive laws were not significant. These differences were also not significant for non-high-cost originations across all states. Thus, credit regulation was differentially associated with reduction in originations of high-cost mortgages, and non-high-cost lending did not consistently expand in areas where high-cost mortgages were restricted. C1 [Steinbuks, Jevgenijs] Purdue Univ, W Lafayette, IN 47907 USA. [Elliehausen, Gregory] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Steinbuks, J (reprint author), Purdue Univ, W Lafayette, IN 47907 USA. EM jsteinbu@purdue.edu NR 41 TC 1 Z9 1 U1 2 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD JUL PY 2014 VL 49 IS 1 BP 47 EP 72 DI 10.1007/s11146-013-9413-4 PG 26 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AH8MV UT WOS:000336392900003 ER PT J AU Hotchkiss, JL Pitts, MM Rios-Avila, F AF Hotchkiss, J. L. Pitts, M. M. Rios-Avila, F. TI A search for evidence of skill mismatch in the aftermath of the great recession SO APPLIED ECONOMICS LETTERS LA English DT Article DE labour force participation; skill mismatch; educational attainment; labour supply; great recession AB Using matched individual-level data from the Current Population Survey, this article identifies a significant trend shift upwards in schooling among prime-age labour force leavers following the 2008-2009 recession. However, further evidence discredits skill mismatch as an explanation for that trend shift. C1 [Hotchkiss, J. L.; Pitts, M. M.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Hotchkiss, J. L.] Georgia State Univ, Dept Econ, Atlanta, GA 30303 USA. [Rios-Avila, F.] Levy Econon Inst, Annandale On Hudson, NY 12504 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org NR 18 TC 2 Z9 2 U1 2 U2 7 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 EI 1466-4291 J9 APPL ECON LETT JI Appl. Econ. Lett. PD JUN 13 PY 2014 VL 21 IS 9 BP 587 EP 592 DI 10.1080/13504851.2013.870645 PG 6 WC Economics SC Business & Economics GA AC0PH UT WOS:000332196700001 ER PT J AU Arcaya, M Glymour, MM Chakrabarti, P Christakis, NA Kawachi, I Subramanian, SV AF Arcaya, Mariana Glymour, M. Maria Chakrabarti, Prabal Christakis, Nicholas A. Kawachi, Ichiro Subramanian, S. V. TI Effects of Proximate Foreclosed Properties on Individuals' Systolic Blood Pressure in Massachusetts, 1987 to 2008 SO CIRCULATION LA English DT Article DE blood pressure; epidemiology; risk factors; stress ID LONG-TERM SURVIVAL; MYOCARDIAL-INFARCTION; SOCIAL-FACTORS; BODY-MASS; HYPERTENSION; COHORT; HEALTH AB Background-No studies have examined the effects of local foreclosure activity on neighbors' blood pressure, despite the fact that spillover effects of nearby foreclosures include many known risk factors for increased blood pressure. We assessed the extent to which living near foreclosed properties is associated with subsequent systolic blood pressure (SBP) measurements. Methods and Results-We used 6590 geocoded observations collected from 1740 participants in the Framingham Offspring Cohort across 5 waves (1987-2008) of the Framingham Heart Study to create a longitudinal record of exposure to nearby foreclosure activity. We distinguished between real estate-owned foreclosures, which typically sit vacant, and foreclosures purchased by third-party buyers, which are generally put into productive use. Counts of lender-owned foreclosed properties within 100 m of participants' homes were used to predict measured SBP and odds of being hypertensive. We assessed whether self-reported alcoholic drinks per week and measured body mass index helped to explain the relationship between foreclosure activity and SBP. Each additional real estate-owned foreclosure located within 100 m of a participant's home was associated with an increase in SBP of 1.71 mm Hg (P=0.03; 95% confidence interval, 0.18-3.24) after adjustment for individual-and area-level confounders but not with odds of hypertension. The presence of foreclosures purchased by third-party buyers was not associated with SBP or with hypertension. Body mass index and alcohol consumption attenuated the effect of living near real estate-owned foreclosures on SBP in fully adjusted models. Conclusions-Real estate-owned foreclosed properties may put nearby neighbors at risk for increased SBP, with higher alcohol consumption and body mass index partially mediating this relationship. C1 [Arcaya, Mariana; Kawachi, Ichiro; Subramanian, S. V.] Harvard Univ, Sch Publ Hlth, Dept Social & Behav Sci, Cambridge, MA 02138 USA. [Glymour, M. Maria] Univ Calif San Francisco, Sch Med, Dept Epidemiol & Biostat, San Francisco, CA 94143 USA. [Chakrabarti, Prabal] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Christakis, Nicholas A.] Yale Univ, Yale Inst Network Sci, New Haven, CT USA. RP Arcaya, M (reprint author), Harvard Univ, Sch Publ Hlth, Dept Social & Behav Sci, 9 Bow St, Cambridge, MA 02138 USA. EM marcaya@hsph.harvard.edu OI Glymour, M. Maria/0000-0001-9644-3081 FU Yerby Postdoctoral Fellowship Program at the Harvard School of Public Health; National Institutes of Health [3R25CA057711-18S1]; National Institutes of Health Initiative for Maximizing Student Diversity at the Harvard School of Public Health [5R25GM055353]; National Institute on Aging [P01-AG031093]; Robert Wood Johnson Investigator Award in Health Policy; National Heart, Lung, and Blood Institute; Boston University [N01-HC-25195] FX Dr Arcaya was supported by the Yerby Postdoctoral Fellowship Program at the Harvard School of Public Health and as a predoctoral fellow by the National Cancer Institute's joint Harvard School of Public Health-Dana Farber Cancer Institute Educational Program in Cancer Prevention Research, supported by the National Institutes of Health (grant 3R25CA057711-18S1) and the National Institutes of Health Initiative for Maximizing Student Diversity at the Harvard School of Public Health (grant 5R25GM055353). Dr Christakis is supported by the National Institute on Aging (award P01-AG031093). Dr Subramanian is supported by the Robert Wood Johnson Investigator Award in Health Policy. The Framingham Heart Study is conducted and supported by the National Heart, Lung, and Blood Institute in collaboration with Boston University (contract N01-HC-25195). This article was not approved by the Framingham Heart Study or the Federal Reserve Bank of Boston. The opinions and conclusions contained in this publication are solely those of the authors and are not endorsed by the Framingham Heart Study, Federal Reserve Bank of Boston, Boston University, National Institutes of Health, or National Heart, Lung, and Blood Institute and should not be assumed to reflect the opinions or conclusions of either. NR 33 TC 13 Z9 15 U1 1 U2 7 PU LIPPINCOTT WILLIAMS & WILKINS PI PHILADELPHIA PA 530 WALNUT ST, PHILADELPHIA, PA 19106-3621 USA SN 0009-7322 EI 1524-4539 J9 CIRCULATION JI Circulation PD JUN 3 PY 2014 VL 129 IS 22 BP 2262 EP 2268 DI 10.1161/CIRCULATIONAHA.113.006205 PG 7 WC Cardiac & Cardiovascular Systems; Peripheral Vascular Disease SC Cardiovascular System & Cardiology GA AI9SN UT WOS:000337276500008 PM 24891622 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI TAXES AND THE LABOR SUPPLY OF OLDER AMERICANS: RECENT EVIDENCE FROM THE SOCIAL SECURITY EARNINGS TEST SO NATIONAL TAX JOURNAL LA English DT Article DE taxes; labor supply; earnings test ID ELASTICITIES; RESPONSES; MICRO AB This paper summarizes recent work on the impact of taxation on the labor supply of older individuals, with a focus on the Senior Citizens Freedom to Work Act of 2000, which abolished the Social Security earnings test for those ages 65 to 69. For men age 65 to 69, the repeal increased earnings by 8 to 20 percent and hours by 5 to 16 percent. For women claiming Social Security benefits on their own earnings history, the repeal increased earnings by 20 percent. Estimates of the compensated elasticity of earnings with respect to the net-of-tax share range from 0.05 to 0.12. Labor supply is very inelastic, even accounting for adjustment costs. C1 [Engelhardt, Gary V.] Syracuse Univ, Dept Econ, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13244 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Engelhardt, GV (reprint author), Syracuse Univ, Dept Econ, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13244 USA. EM gvengelh@syr.edu; anil.kumar@dal.frb.org NR 20 TC 0 Z9 0 U1 0 U2 2 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 EI 1944-7477 J9 NATL TAX J JI Natl. Tax J. PD JUN PY 2014 VL 67 IS 2 BP 443 EP 458 PG 16 WC Business, Finance; Economics SC Business & Economics GA AW2GU UT WOS:000346107200007 ER PT J AU James, C Kizilaslan, A AF James, Christopher Kizilaslan, Atay TI Asset Specificity, Industry-Driven Recovery Risk, and Loan Pricing SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID FINANCIAL DISTRESS; CAPITAL STRUCTURE; CORPORATE-FINANCE; CREDIT; BANKRUPTCY; FIRMS; DEFAULT; INVESTMENT; PREDICTION; COVENANTS AB This paper examines the relationship between a firm's exposure to industry downturns that we call industry risk and bank loan pricing. We measure industry risk based on the relationship between a firm's stock returns and industry returns conditional on an industry downturn. We find industry risk is significantly related to the recovery rates in bankruptcy and the likelihood of the firm experiencing financial distress when its peers are also in distress. More importantly, we find that the spreads on unsecured bank loans are positively related to industry risk measures. These relationships are stronger for firms with more industry-specific assets. C1 [James, Christopher] Univ Florida, Warrington Coll Business, Gainesville, FL 32611 USA. [James, Christopher] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Kizilaslan, Atay] Cornerstone Res, New York, NY 10022 USA. RP James, C (reprint author), Univ Florida, Warrington Coll Business, POB 117168, Gainesville, FL 32611 USA. EM christopher.james@warrington.ufl.edu; akizilaslan@cornerstone.com NR 47 TC 2 Z9 2 U1 3 U2 12 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD JUN PY 2014 VL 49 IS 3 BP 599 EP 631 DI 10.1017/S0022109014000143 PG 33 WC Business, Finance; Economics SC Business & Economics GA AW0IQ UT WOS:000345975700003 ER PT J AU de Groot, O AF de Groot, Oliver TI The Risk Channel of Monetary Policy SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID GENERAL EQUILIBRIUM-MODELS; 2ND-ORDER APPROXIMATION; PRICE ADJUSTMENT; STEADY-STATE; CONTRACTS; MARKETS; CYCLES; COSTS; DEBT AB This paper examines how monetary policy affects the riskiness of the financial sector's aggregate balance sheet, a mechanism referred to as the risk channel of monetary policy. I study the risk channel in a DSGE model with nominal frictions and a banking sector that can issue both outside equity and debt, making banks' exposure to risk an endogenous choice and dependent on the (monetary) policy environment. Banks' equilibrium portfolio choice is determined by solving the model around a risk-adjusted steady state. I find that banks reduce their reliance on debt finance and decrease leverage when monetary policy shocks are prevalent. A monetary policy reaction function that responds to movements in bank leverage or to movements in credit spreads can incentivize banks to increase their use of debt finance and increase leverage, ceteris paribus, increasing the riskiness of the financial sector for the real economy. C1 Fed Reserve Board, Washington, DC 20551 USA. RP de Groot, O (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM oliver.v.degroot@frb.gov NR 31 TC 0 Z9 0 U1 2 U2 6 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2014 VL 10 IS 2 SI SI BP 115 EP 160 PG 46 WC Business, Finance SC Business & Economics GA AQ4TJ UT WOS:000342792300007 ER PT J AU De Pooter, M Robitaille, P Walker, I Zdinak, M AF De Pooter, Michiel Robitaille, Patrice Walker, Ian Zdinak, Michael TI Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico? SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID EURO AREA; NEWS AB In this paper, we consider whether long-term inflation expectations have become better anchored in Brazil, Chile, and Mexico. We do so using survey-based measures as well as financial-market-based measures of long-term inflation expectations, where we construct the market-based measures from daily prices on nominal and inflation-linked bonds. This paper is the first to examine the evidence from Brazil and Mexico, making use of the fact that markets for long-term government debt have become better developed over the past decade. We find that inflation expectations have become much better anchored over the past decade in all three countries, as a testament to the improved credibility of the central banks in these countries when it comes to keeping inflation low. That said, one-year inflation compensation in the far future displays some sensitivity to at least one macroeconomic data release per country. However, the impact of these releases is small and it does not appear that investors systematically alter their expectations for inflation as a result of surprises in monetary policy, consumer prices, or real activity variables. Finally, long-run inflation expectations in Brazil appear to have been less well anchored than in Chile and Mexico. C1 [De Pooter, Michiel; Robitaille, Patrice; Walker, Ian; Zdinak, Michael] Fed Reserve Board Governors, Washington, DC 20551 USA. RP De Pooter, M (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM michiel.d.depooter@frb.gov; patrice.robitaille@frb.gov NR 33 TC 2 Z9 2 U1 4 U2 8 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2014 VL 10 IS 2 SI SI BP 337 EP 400 PG 64 WC Business, Finance SC Business & Economics GA AQ4TJ UT WOS:000342792300015 ER PT J AU Jang, WW Eom, YH Kim, DH AF Jang, Woon Wook Eom, Young Ho Kim, Don H. TI Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects SO ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES LA English DT Article DE Jumps; Option pricing model; S&P 500 Index options; Stochastic volatility; Leverage effects ID CHANGED LEVY PROCESSES; DIFFUSIONS; VALUATION; IMPLICIT; RETURNS; FUTURES; PRICES; JUMP AB In this study, we develop a unified framework to analyze the asset price processes underlying option prices, and test a variety of model specifications using the S&P 500 index options. Specifically, we classify option pricing models, the stochastic volatility and leverage effects of which are generated by three channels: via the diffusion, via jumps, or via both. The empirical results from our specification analysis show that the performance of option pricing models can be improved significantly by generating stochastic return volatilities with two factor processes and with two sources of leverage effects that come separately from the jump and diffusion components. C1 [Jang, Woon Wook] Yonsei Univ, Coll Govt & Business, Wonju 220710, Gangwon Do, South Korea. [Eom, Young Ho] Yonsei Univ, Sch Business, Wonju 220710, Gangwon Do, South Korea. [Kim, Don H.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Jang, WW (reprint author), Yonsei Univ, Coll Govt & Business, 1 Yonseidae Gil, Wonju 220710, Gangwon Do, South Korea. EM zara2k@yonsei.ac.kr NR 31 TC 1 Z9 1 U1 5 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 2041-9945 EI 2041-6156 J9 ASIA-PAC J FINANC ST JI Asia-Pac. J. Financ. Stud. PD JUN PY 2014 VL 43 IS 3 BP 432 EP 464 DI 10.1111/ajfs.12054 PG 33 WC Business, Finance SC Business & Economics GA AK9SS UT WOS:000338767600005 ER PT J AU Daly, MC AF Daly, Mary C. TI The Other Welfare: Supplemental Security Income and US Social Policy SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Daly, Mary C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 1 TC 0 Z9 0 U1 1 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2014 VL 52 IS 2 BP 541 EP 543 PG 3 WC Economics SC Business & Economics GA AK8YL UT WOS:000338714600008 ER PT J AU Haltenhof, S Lee, SJ Stebunovs, V AF Haltenhof, Samuel Lee, Seung Jung Stebunovs, Viktors TI The credit crunch and fall in employment during the Great Recession SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Bank credit; Credit crunch; Job losses; Great Recession; Senior Loan Officer Opinion Survey ID BUSINESS-CYCLE; MATTER; REAL AB We study how a bank credit crunch a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession translates into job losses in U.S. manufacturing industries. To identify the impact of the recent credit crunch, we rely on differences in the degree of dependence on external finance and of tangibility of assets across manufacturing industries and in the sensitivity of these industries' output to changes in the supply of consumer credit. We find that, for employment, household access to bank loans matters more than firm access to bank loans. In addition, we show that, over the recent financial crisis, tightening access to commercial and industrial loans and, in particular, consumer installment loans may have contributed significantly to the drop in employment in the manufacturing sector. Published by Elsevier B.V. C1 [Haltenhof, Samuel] Univ Michigan, Ann Arbor, MI 48109 USA. [Lee, Seung Jung; Stebunovs, Viktors] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Stebunovs, V (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM viktors.stebunovs@frb.gov NR 27 TC 3 Z9 3 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2014 VL 43 BP 31 EP 57 DI 10.1016/j.jedc.2014.03.013 PG 27 WC Economics SC Business & Economics GA AJ6CF UT WOS:000337776600003 ER PT J AU Meisenzahl, RR AF Meisenzahl, Ralf R. TI Verifying the state of financing constraints: Evidence from US business credit contracts SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Firm balance sheet channel; Bank balance sheet channel; Small business lending ID NET WORTH; EQUITY PREMIUM; AGENCY COSTS; SHOCKS; DEBT; ENTREPRENEURSHIP; FLUCTUATIONS; INVESTMENT; MARKETS; PUZZLE AB Many policymakers are concerned that tight financing constraints for small businesses are stalling the recovery from the Great Recession. This paper empirically assesses two agency problems that induce such financing constraints one resulting in a "firm balance sheet channel" and one resulting in a "bank balance sheet channel". Evaluating specific models of these two agency problems against a comprehensive data set of U.S. small business credit contracts, I find strong support for the firm balance sheet channel but only weak support for the bank balance sheet channel. A complementary regression analysis confirms this result. Hence, policies seeking to improve firms' balance sheets may be desirable to support small business lending in the recovery from the Great Recession. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Meisenzahl, RR (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ralf.r.meisenzahl@frb.gov NR 33 TC 2 Z9 2 U1 3 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2014 VL 43 BP 58 EP 77 DI 10.1016/j.jedc.2014.03.006 PG 20 WC Economics SC Business & Economics GA AJ6CF UT WOS:000337776600004 ER PT J AU Chang, SH Contessi, S Francis, JL AF Chang, Su-Hsin Contessi, Silvio Francis, Johanna L. TI Understanding the accumulation of bank and thrift reserves during the US financial crisis SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Commercial banks; Financial crisis; Excess reserves; TARP ID LIQUIDITY; MANAGEMENT; EXPANSION; LOSSES; CREDIT; 1930S; MODEL; RISK; TARP AB The level of aggregate excess reserves held by U.S. depository institutions increased significantly at the peak of the 2007-2009 financial crisis. Although the amount of aggregate reserves is determined almost entirely by the policy initiatives of the central bank that act on the asset side of its balance sheet, the motivations of individual banks in accumulating reserves differ and respond to the impact of changes in the economic environment on individual institutions. We undertake a systematic analysis of this massive accumulation of excess reserves using bank-level data for more than 7000 commercial banks and almost 1000 savings institutions during the U.S. financial crisis. We propose a testable stochastic model of reserves determination when interest is paid on reserves, which we estimate using bank-level data and censored regression methods. We find evidence primarily of a precautionary motive for reserves accumulation with some notable heterogeneity in the response of reserves accumulation to external and internal factors of the largest banks compared with smaller banks. We combine propensity score matching and a difference-in-differences approach to determine whether the beneficiaries of the Capital Purchase Program of the Troubled Asset Relief Program accumulated less cash, including reserves, than non-beneficiaries. Contrary to anecdotal evidence, we find, that banks that participated in the program accumulated less cash, including reserves, than nonparticipants in the initial quarters after the capital injection. (C) 2014 Elsevier B.V. All rights reserved. C1 [Chang, Su-Hsin] Washington Univ, Div Publ Hlth Sci, Sch Med, St Louis, MO 63110 USA. [Contessi, Silvio] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Francis, Johanna L.] Fordham Univ, Dept Econ, Bronx, NY 10458 USA. [Francis, Johanna L.] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. RP Francis, JL (reprint author), Fordham Univ, Dept Econ, 441 East Fordham Rd, Bronx, NY 10458 USA. EM changsh@wudosis.wustl.edu; silvio.contessi@stls.frb.org; ajofrancis@fordham.edu OI Chang, Su-Hsin/0000-0001-5872-9556 NR 50 TC 2 Z9 2 U1 5 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2014 VL 43 BP 78 EP 106 DI 10.1016/j.jedc.2014.02.007 PG 29 WC Economics SC Business & Economics GA AJ6CF UT WOS:000337776600005 ER PT J AU Carpenter, S Demiralp, S Eisenschmidt, J AF Carpenter, Seth Demiralp, Selva Eisenschmidt, Jens TI The effectiveness of non-standard monetary policy in addressing liquidity risk during the financial crisis: The experiences of the Federal Reserve and the European Central Bank SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Bank lending; Non-standard policy; Bank funding volatility ID CREDIT; MARKET; MODEL; DISEQUILIBRIUM; TRANSMISSION AB A number of studies sought to measure the effects of non-standard policy on bank funding markets. This paper carries those estimates a step further by looking at the effects of bank funding market stress on the volume of bank lending. By separately modeling loan supply and demand, we determine how non-standard central bank measures affected bank lending by reducing stress in bank funding markets. Our results suggest that non-standard policy measures lowered bank funding volatility in the US and the Euro Area. Lower bank funding volatility in turn increased loan supply in both regions, contributing to sustained lending activity. (C) 2014 Elsevier B.V. All rights reserved. C1 [Carpenter, Seth] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Demiralp, Selva] Koc Univ, TR-34450 Istanbul, Turkey. [Eisenschmidt, Jens] European Cent Bank, Monetary Policy Strategy Div, D-60311 Frankfurt, Germany. RP Eisenschmidt, J (reprint author), European Cent Bank, Monetary Policy Strategy Div, Kaiserstr 29, D-60311 Frankfurt, Germany. EM scarpenter@frb.gov; sdemiralp@ku.edu.tr; Jens.Eisenschmidt@ecb.int RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 43 TC 2 Z9 2 U1 2 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2014 VL 43 BP 107 EP 129 DI 10.1016/j.jedc.2014.03.005 PG 23 WC Economics SC Business & Economics GA AJ6CF UT WOS:000337776600006 ER PT J AU Kiley, MT Sim, JW AF Kiley, Michael T. Sim, Jae W. TI Bank capital and the macroeconomy: Policy considerations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Financial intermediation; Crisis policies ID LIQUIDITY; INFORMATION; INVESTMENT; DEBT AB We develop a macroeconomic model in which the balance sheet condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete resolution of idiosyncratic funding risk that can be addressed only by costly refinancing, forcing them to behave in a risk-averse manner. The model shows that the balance sheet condition of intermediaries can drive asset values away from their fundamentals, causing aggregate investment and output to respond to shocks to intermediaries. We use this model to evaluate several public policies designed to address balance sheet problems at financial institutions. With regard to short-run policies, we find that capital injections conditioned upon voluntary recapitalization can be a more effective tool than asset purchases. With regard to long-run policies, we demonstrate that higher capital requirements can have sizable short-run effects on economic activity, and that a long transition period helps avoid undesirable side effects. Finally, we show that the marginal effects of policies can be larger during "crises" because of the nonlinear interactions between some financial frictions and policy actions. Published by Elsevier B.V. C1 [Kiley, Michael T.; Sim, Jae W.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Kiley, MT (reprint author), 20th & C St NW, Washington, DC USA. EM mkiley@frb.gov OI Kiley, Michael/0000-0003-0427-0131 NR 36 TC 2 Z9 2 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2014 VL 43 BP 175 EP 198 DI 10.1016/j.jedc.2014.01.024 PG 24 WC Economics SC Business & Economics GA AJ6CF UT WOS:000337776600009 ER PT J AU Guvenen, F Ozkan, S Song, J AF Guvenen, Fatih Ozkan, Serdar Song, Jae TI The Nature of Countercyclical Income Risk SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID HETEROGENEOUS CONSUMERS; LABOR-MARKET; SHOCKS; EARNINGS; DYNAMICS AB We study business cycle variation in individual earnings risk using a confidential and very large data set from the US Social Security Administration. Contrary to past research, we find that the variance of idiosyncratic shocks is not countercyclical. Instead, it is the left-skewness of shocks that is strongly countercyclical: during recessions, large upward earnings movements become less likely, whereas large drops in earnings become more likely. Second, we find that the fortunes during recessions are predictable by observable characteristics before the recession. Finally, the cyclicality of earnings risk is dramatically different for the top 1 percent compared with the rest of the population. C1 [Guvenen, Fatih] Univ Minnesota, Minneapolis, MN 55455 USA. [Guvenen, Fatih] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Ozkan, Serdar] Fed Reserve Board, Washington, DC USA. [Song, Jae] Social Secur Adm, Woodlawn, MD USA. RP Guvenen, F (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. OI Ozkan, Serdar/0000-0001-6364-9606 NR 34 TC 16 Z9 16 U1 2 U2 11 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD JUN PY 2014 VL 122 IS 3 BP 621 EP 660 DI 10.1086/675535 PG 40 WC Economics SC Business & Economics GA AJ5PO UT WOS:000337737600004 ER PT J AU Barakova, I Calem, PS Wachter, SM AF Barakova, Irina Calem, Paul S. Wachter, Susan M. TI Borrowing constraints during the housing bubble SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Tenure choice; Borrowing constraint; Credit constraint; Mortgage supply; Homeownership; Credit bubble ID CREDIT; PRICES AB The impact of borrowing constraints on homeownership has been well established in the literature. Wealth is most likely to restrict homeownership followed by credit and income. Using recent movers from the 1979 National Longitudinal Survey of Youth and borrowing constraint definitions commonly used in the literature, we examine the impact of these constraints on the probability of homeownership during the housing market boom between 2003 and 2007. We show that whereas the pool of financially constrained households expanded, the marginal impact of borrowing constraints associated with income and credit quality declined during this period. The constraint associated with wealth, however, continued to have a negative impact on homeownership status, all else equal. The fact that lending standards became less strict is accepted; however the impact of this on homeownership has not been previously studied. Here we find that less restrictive underwriting does appear to have reduced the impact of income and credit quality on homeownership but the impact of the wealth constraint persists. (C) 2014 Elsevier Inc. All rights reserved. C1 [Barakova, Irina] US Dept Treasury, OCC, Washington, DC 20219 USA. [Calem, Paul S.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Wachter, Susan M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Barakova, I (reprint author), US Dept Treasury, OCC, 400 7th St SW, Washington, DC 20219 USA. EM irina.barakova@occ.treas.gov; paul.calem@phil.frb.org; wachter@wharton.upenn.edu NR 28 TC 3 Z9 3 U1 1 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2014 VL 24 BP 4 EP 20 DI 10.1016/j.jhe.2014.01.001 PG 17 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AI9NZ UT WOS:000337260600002 ER PT J AU Cheung, R Cunningham, C Meltzer, R AF Cheung, Ron Cunningham, Chris Meltzer, Rachel TI Do homeowners associations mitigate or aggravate negative spillovers from neighboring homeowner distress? SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Homeowners associations; Foreclosures; Delinquency; House prices ID PROPERTY-VALUES; MORTGAGE FORECLOSURES; IMPACT; SALES; COMMUNITIES; CALIFORNIA AB Experiences reveal that the monitoring costs of the foreclosure crisis may be non-trivial, and smaller governments may have more success at addressing potential negative externalities. One highly localized form of government is a homeowners' association (HOA). HOAs could be well suited for triaging foreclosures, as they may detect delinquencies and looming defaults through direct observation or missed dues. On the other hand, the reliance on dues may leave HOAs particularly vulnerable to members' foreclosure. We examine how property prices respond to homeowner distress and foreclosure within HOA communities in Florida. We combine datasets of HOAs, sales and aggregate loan delinquency and foreclosures from 2000 through 2008. We find properties in HOAs are relatively less impacted by more distressed neighbor homes compared to non-HOA properties, but only when considering less severe delinquency rates. We also find that negative price effects from higher delinquency exposure rates are ameliorated for properties in larger and newer HOAs. (C) 2013 Elsevier Inc. All rights reserved. C1 [Cheung, Ron] Oberlin Coll, Oberlin, OH 44074 USA. [Cunningham, Chris] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Meltzer, Rachel] New Sch, Milano Sch Int Affairs Management & Urban Policy, New York, NY 10017 USA. RP Cheung, R (reprint author), Oberlin Coll, Rice Hall 233,10 N Prof St, Oberlin, OH 44074 USA. EM rcheung@oberlin.edu; Chris.Cunningha-m@atl.frb.org; meltzerr@newschool.edu NR 30 TC 1 Z9 1 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2014 VL 24 BP 75 EP 88 DI 10.1016/j.jhe.2013.11.007 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AI9NZ UT WOS:000337260600006 ER PT J AU Goodman, S Messeri, P O'Flaherty, B AF Goodman, Sarena Messeri, Peter O'Flaherty, Brendan TI How effective homelessness prevention impacts the length of shelter spells (Reprinted from Journal of Housing Economics, vol 23, pg 55-62, 2014) SO JOURNAL OF HOUSING ECONOMICS LA English DT Reprint DE Homelessness prevention; Shelter spells; Family homelessness ID NEW-YORK-CITY; DURATION AB Homelessness prevention programs intervene with households apparently in imminent danger of becoming homeless, and try to keep them housed. If they are at least partially successful, how do they change the average shelter spell of households actually becoming homeless? We use data from 2003 to 2008 for Homebase, a New York City homelessness prevention program that studies have found to be effective in reducing shelter entries. Homebase made no difference in average shelter spells at the community level. This result, like many results about shelter spell length, is not easy to reconcile with the idea that shelter spell length is a reflection of the seriousness of underlying problems. (C) 2014 Published by Elsevier Inc. C1 [Goodman, Sarena] Fed Reserve Syst, Washington, DC USA. [Messeri, Peter] Columbia Univ, Mailman Sch Publ Hlth, New York, NY USA. [O'Flaherty, Brendan] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP O'Flaherty, B (reprint author), Columbia Univ, Dept Econ, New York, NY 10027 USA. EM bo2@columbia.edu NR 17 TC 0 Z9 0 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2014 VL 24 BP 101 EP 108 DI 10.1016/j.jhe.2014.04.003 PG 8 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AI9NZ UT WOS:000337260600008 ER PT J AU Reina, V Begley, J AF Reina, Vincent Begley, Jaclene TI Will They Stay or Will They Go: Predicting Subsidized Housing Opt-Outs (Reprinted from Journal of Housing Economics, vol 23, pg 1-16, 2014) SO JOURNAL OF HOUSING ECONOMICS LA English DT Reprint DE Housing economics; Affordable housing; Subsidized housing; Preservation; Real estate; Rental housing AB Over the past 30 years, the share of renters in the United States spending over 30% of their income on rent, and thereby qualifying as rent burdened, has increased. This trend has particularly affected low-income families. At the same time, owners of thousands of privately owned, publicly subsidized rental housing units have left, or "opted out," of subsidy programs across the country. The efforts of local governments to preserve these properties as affordable housing are handicapped by a lack of understanding of the underlying factors that drive owners' decisions to opt out. This paper employs a unique dataset on subsidized properties in New York City and uses hazard models to explore why property owners in the Mitchell-Lama program, a New York State affordable housing program, choose to opt out. Our results suggest that properties located in neighborhoods with high property value growth, those with for-profit owners, and those past the affordability restrictions on all subsidies, are more likely to opt out. While our study focuses on Mitchell-Lama properties, the findings have broader implications for properties around the country that receive supply-side rental subsidies. We thank Jingqiang Du, Amy Faust, Tyler Jaeckel, Ken Adler, and Samantha Wright for their research assistance on this project. We are grateful for the valuable feedback from Vicki Been, Ingrid Gould Ellen, Andrew Hayashi, and the rest of the staff at the Furman Center for Real Estate and Urban Policy. We would also like to acknowledge the support from the Furman Center, Herbert Z. Gold, and the MacArthur Foundation. The opinions expressed herein are those of the authors and do not represent the official positions of the Federal Reserve Bank of Boston. (C) Elsevier Inc. All rights reserved. C1 [Reina, Vincent] Univ So Calif, Price Sch Publ Policy, Los Angeles, CA 90089 USA. [Reina, Vincent; Begley, Jaclene] Furman Ctr Real Estate & Urban Policy, New York, NY USA. [Begley, Jaclene] NYU, Wagner Sch Publ Serv, New York, NY 10003 USA. [Begley, Jaclene] Fed Reserve Bank Boston, Boston, MA USA. RP Reina, V (reprint author), Univ So Calif, Price Sch Publ Policy, Los Angeles, CA 90089 USA. EM vreina@usc.edu NR 22 TC 1 Z9 1 U1 2 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2014 VL 24 BP 122 EP 137 DI 10.1016/j.jhe.2014.04.005 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AI9NZ UT WOS:000337260600010 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI Monetary policy: Why money matters (and interest rates don't) SO JOURNAL OF MACROECONOMICS LA English DT Article DE Money; Medium of exchange; Monetary policy; Federal funds target; Structure of interest rates; Inflation ID FEDERAL-FUNDS RATE; OPEN MARKET OPERATIONS; TRANSCRIPTS TELL US; EXPECTATIONS HYPOTHESIS; TERM STRUCTURE; TRANSACTIONS DEMAND; CONDUCT; TESTS; CASH AB Since the late 1980s the Fed has implemented monetary policy by adjusting its target for the overnight federal funds rate. Money's role in monetary policy has been tertiary, at best. Indeed, several influential economists suggest that money is irrelevant for monetary policy because central banks affect economic activity and inflation by (i) controlling a very short-term nominal interest rate and (ii) influencing financial market participants' expectation of the future policy rate. I offer an alternative perspective: Money is essential for monetary policy because it is essential for controlling the price level, and the monetary authority's ability to control interest rates is greatly exaggerated. Published by Elsevier Inc. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM thornton@stls.frb.org NR 62 TC 6 Z9 6 U1 0 U2 4 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD JUN PY 2014 VL 40 BP 202 EP 213 DI 10.1016/j.jmacro.2013.12.005 PG 12 WC Economics SC Business & Economics GA AI4XP UT WOS:000336870200015 ER PT J AU Joslin, S Priebsch, M Singleton, KJ AF Joslin, Scott Priebsch, Marcel Singleton, Kenneth J. TI Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks SO JOURNAL OF FINANCE LA English DT Article AB This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks. C1 [Joslin, Scott] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA. [Priebsch, Marcel] Fed Reserve Board, Washington, DC 20551 USA. [Singleton, Kenneth J.] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. [Singleton, Kenneth J.] NBER, Cambridge, MA 02138 USA. RP Joslin, S (reprint author), Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA. NR 63 TC 21 Z9 21 U1 1 U2 15 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD JUN PY 2014 VL 69 IS 3 BP 1197 EP 1233 DI 10.1111/jofi.12131 PG 37 WC Business, Finance; Economics SC Business & Economics GA AH9YU UT WOS:000336502800008 ER PT J AU Chappell, HW McGregor, RR Vermilyea, TA AF Chappell, Henry W., Jr. McGregor, Rob Roy Vermilyea, Todd A. TI Power-Sharing in Monetary Policy Committees: Evidence from the United Kingdom and Sweden SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E52; E58; committee decisions; monetary policy; central banking; median voter ID OF-ENGLAND MPC; CONSENSUS; FOMC; HETEROGENEITY; OUTSIDERS; MAJORITY; CHAIRMAN; MEMBERS; RULES AB Committees may make better monetary policy decisions than individuals; however, the benefits of group decision making could be lost if committee members cede power to a chairman. We develop an econometric model to describe intracommittee power-sharing across members. Estimation of the model permits us to classify monetary policy committees into the typology developed by Blinder (, ). We estimate our model for the United Kingdom's Bank of England (BOE) and Sweden's Riksbank. Results for the BOE suggest that the Governor has little influence over other committee members, while those for the Riksbank indicate that the Governor is highly influential. C1 [Chappell, Henry W., Jr.] Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates. [McGregor, Rob Roy] Univ N Carolina, Dept Econ, Charlotte, NC 28223 USA. [Vermilyea, Todd A.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Chappell, HW (reprint author), Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates. EM hwchappell@professorchappell.com; rrmcgreg@uncc.edu; todd.a.vermilyea@frb.gov NR 42 TC 2 Z9 2 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2014 VL 46 IS 4 BP 665 EP 692 DI 10.1111/jmcb.12121 PG 28 WC Business, Finance; Economics SC Business & Economics GA AG5LH UT WOS:000335460000004 ER PT J AU Choi, DB AF Choi, Dong Beom TI Heterogeneity and Stability: Bolster the Strong, Not the Weak SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID OPTIMAL CAPITAL STRUCTURE; STRATEGIC COMPLEMENTARITIES; FINANCIAL CONTAGION; CORPORATE-DEBT; SYSTEMIC RISK; BANK FAILURES; ASSET PRICES; LIQUIDITY; CRISES; COORDINATION AB We first study a stylized model of self-fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems, the panic trigger threshold can depend only on one type's fragility. We then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers. Concerns about potential spillovers generate strategic interaction, triggering a pre-emption game in which one tries to exit the market before others to avoid spillovers. Although financial contagion originates in weaker institutions, systemic risk can critically depend on financial health of stronger in the contagion chain. In this case, bolstering the strong, rather than the weak, more effectively enhances systemic stability. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Choi, DB (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM dongbeom.choi@ny.frb.org NR 50 TC 2 Z9 2 U1 4 U2 15 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUN PY 2014 VL 27 IS 6 BP 1830 EP 1867 DI 10.1093/rfs/hhu023 PG 38 WC Business, Finance; Economics SC Business & Economics GA AH8TK UT WOS:000336410900006 ER PT J AU Hotchkiss, JL Moore, RE Rios-Avila, F AF Hotchkiss, Julie L. Moore, Robert E. Rios-Avila, Fernando TI ASSESSING THE WELFARE IMPACT OF TAX REFORM: A CASE STUDY OF THE 2001 U. S. TAX CUT SO REVIEW OF INCOME AND WEALTH LA English DT Correction AB This note acknowledges a programming error in our paper, Assessing the Welfare Impact of Tax Reform: A Case Study of the 2001U.S. Tax Cut (Review of Income and Wealth, 58(2), 233-56, 2012). Correcting the error primarily has the effect of scaling the calculated family welfare impact of 2001U.S. Tax Cut. The primary conclusions from the analysis, however, are unaffected. C1 [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.; Moore, Robert E.] Georgia State Univ, Atlanta, GA 30303 USA. [Rios-Avila, Fernando] Bard Coll, Levy Econ Inst, Annandale on Hudson, NY 12504 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0034-6586 EI 1475-4991 J9 REV INCOME WEALTH JI Rev. Income Wealth PD JUN PY 2014 VL 60 IS 2 BP 404 EP 404 DI 10.1111/roiw.12113 PG 1 WC Economics SC Business & Economics GA AG6NK UT WOS:000335535100010 ER PT J AU Ouimet, P Zarutskie, R AF Ouimet, Paige Zarutskie, Rebecca TI Who works for startups? The relation between firm age, employee age, and growth SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Firm age; Employee age; Entrepreneurship; Wages; Venture capital ID LIQUIDITY CONSTRAINTS; LIFE-CYCLE; EARNINGS PROFILES; ENTREPRENEURSHIP; PRODUCTIVITY; DESTRUCTION; DYNAMICS; MARKETS; CHOICE; WAGES AB Young firms disproportionately employ and hire young workers. On average, young employees in young firms earn higher wages than young employees in older firms. Young employees disproportionately join young firms with greater innovation potential and that exhibit higher growth, conditional on survival. We argue that the skills, risk tolerance, and joint dynamics of young workers contribute to their disproportionate share of employment in young firms. Moreover, an increase in the supply of young workers is positively related to new firm creation in high-tech industries, supporting a causal link between the supply of young workers and new firm creation. Published by Elsevier B.V. C1 [Ouimet, Paige] Univ N Carolina, Chapel Hill, NC USA. [Zarutskie, Rebecca] Fed Reserve Board, Washington, DC 20551 USA. RP Zarutskie, R (reprint author), Fed Reserve Board, Mailstop 97,20th & C St NW, Washington, DC 20551 USA. EM rebecca.zarutskie@frb.gov NR 53 TC 8 Z9 8 U1 10 U2 71 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUN PY 2014 VL 112 IS 3 BP 386 EP 407 DI 10.1016/j.jfineco.2014.03.003 PG 22 WC Business, Finance; Economics SC Business & Economics GA AH3ID UT WOS:000336016000005 ER PT J AU Johnson, KW Li, G AF Johnson, Kathleen W. Li, Geng TI Are Adjustable-Rate Mortgage Borrowers Borrowing Constrained? SO REAL ESTATE ECONOMICS LA English DT Article ID LIQUIDITY CONSTRAINTS; CHOICE; RISK; ECONOMY; CRISIS AB Past research argues that changes in adjustable-rate mortgage (ARM) payments may lead households to cut back on consumption. These outcomes are more likely if ARM borrowers are borrowing constrained, and we show in this article that ARM borrowers exhibit attitudes toward borrowing and behavior that are consistent with being borrowing constrained. Although the demographic and financial characteristics of ARM and fixed-rate mortgage (FRM) borrowers are somewhat similar, ARM borrowers differ from FRM borrowers in their uses of credit and attitudes toward it. In addition, we find the consumption growth of households with an ARM is more sensitive to past income than the consumption growth of other households, suggesting the ARM borrowers may be subject to borrowing constraints that hinder their ability to smooth consumption. C1 [Johnson, Kathleen W.; Li, Geng] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Johnson, KW (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM Kathleen.W.Johnson@frb.gov; Geng.Li@frb.gov NR 18 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2014 VL 42 IS 2 BP 457 EP 471 DI 10.1111/1540-6229.12033 PG 15 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AH2NT UT WOS:000335958900006 ER PT J AU Kaufman, A AF Kaufman, Alex TI The Influence of Fannie and Freddie on Mortgage Loan Terms SO REAL ESTATE ECONOMICS LA English DT Article ID SPONSORED ENTERPRISES; RATES; GSES; SECURITIZATION; GOVERNMENT; GOALS AB This article uses a novel instrumental variables approach to quantify the effect that government-sponsored enterprise (GSE) purchase eligibility had on equilibrium mortgage loan terms in the period from 2003 to 2007. The technique is designed to eliminate sources of bias that may have affected previous studies. GSE eligibility appears to have lowered interest rates by about ten basis points, encouraged fixed-rate loans over ARMs and discouraged low documentation and brokered loans. There is no measurable effect on loan performance or on the prevalence of certain types of "exotic" mortgages. The overall picture suggests that GSE purchases had only a modest impact on loan terms during this period. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Kaufman, A (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM alex.kaufman@frb.gov NR 31 TC 3 Z9 3 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2014 VL 42 IS 2 BP 472 EP 496 DI 10.1111/1540-6229.12030 PG 25 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AH2NT UT WOS:000335958900007 ER PT J AU Bauer, MD Neely, CJ AF Bauer, Michael D. Neely, Christopher J. TI International channels of the Fed's unconventional monetary policy SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Monetary policy; Zero lower bound; LSAP; Signaling; Portfolio balance; Dynamic term structure model ID TERM STRUCTURE MODELS; ASSET PURCHASE PROGRAMS; INTEREST-RATES; ANNOUNCEMENTS; MARKET; EXCHANGE; IMPACT; BIAS; US AB Previous research has established that the Federal Reserve's large scale asset purchases (LSAPs) significantly influenced international bond yields. We use dynamic term structure models to uncover to what extent signaling and portfolio balance channels caused these declines. For the U.S. and Canada, the evidence supports the view that LSAPs had substantial signaling effects. For Australian and German yields, signaling effects were present but likely more moderate, and portfolio balance effects appear to have played a relatively larger role than in the U.S. and Canada. Portfolio balance effects were small for Japanese yields and signaling effects basically nonexistent. These findings about LSAP channels are consistent with predictions based on interest rate dynamics during normal times: Signaling effects tend to be large for countries with strong yield responses to conventional U.S. monetary policy surprises, and portfolio balance effects are consistent with the degree of substitutability across international bonds, as measured by the covariance between foreign and U.S. bond returns. (C) 2014 Elsevier Ltd. All rights reserved. C1 [Bauer, Michael D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, 101 Market St MS 1130, San Francisco, CA 94105 USA. EM michael.bauer@sf.frb.org; neely@stls.frb.org RI Neely, Christopher/I-5749-2016; OI Neely, Christopher/0000-0003-2852-9419; Bauer, Michael/0000-0002-2711-816X NR 37 TC 22 Z9 22 U1 3 U2 25 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD JUN PY 2014 VL 44 BP 24 EP 46 DI 10.1016/j.jimonfin.2013.12.007 PG 23 WC Business, Finance SC Business & Economics GA AG7RY UT WOS:000335617200002 ER PT J AU Morgan, DP Samolyk, K AF Morgan, Donald P. Samolyk, Kathrine TI Piggy Banks: Financial Intermediaries as a Commitment to Save SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Financial intermediaries; Banks; Commitment mechanisms; Saving ID DEPOSIT INSURANCE; LIQUIDITY; RUNS AB Banks and other intermediaries may help savers commit to investment plans that savers could not stick to if they held assets directly. We illustrate this commitment function using a version of the Diamond and Dybvig (1983) model where savers' short-run liquidity needs are correlated with shocks to investment opportunities. The investment securities are all freely tradeable, yet savers still do better if they delegate their investment decisions to an intermediary that overrides the savers' liquidity demands when investment opportunities warrant. Bank CDs, insurance annuities, pensions, and even social security, by locking funds out of reach, may all constitute real world examples of this commitment role of financial intermediaries. C1 [Morgan, Donald P.] Fed Reserve Bank New York, New York, NY 10045 USA. [Samolyk, Kathrine] Consumer Financial Protect Bur, Washington, DC 20552 USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM don.morgan@ny.frb.org NR 10 TC 0 Z9 0 U1 2 U2 12 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 EI 1573-0735 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD JUN PY 2014 VL 45 IS 3 BP 271 EP 286 DI 10.1007/s10693-013-0166-2 PG 16 WC Business, Finance SC Business & Economics GA AG1JK UT WOS:000335171100001 ER PT J AU Briglevics, T Shy, O AF Briglevics, Tamas Shy, Oz TI Why Don't Most Merchants Use Price Discounts to Steer Consumer Payment Choice? SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE Steering payment methods; Price discounts; Card surcharges; Merchant discount fee; Swipe cost; Payment instruments; Payment methods ID RETAIL CUSTOMERS; CASH DISCOUNTS; CREDIT CARDS AB Recent legislation and court settlements in the United States allow merchants to use price discounts to steer customers to pay with means of payment that are less costly to merchants. We use transaction data to compute rough estimates of the expected net cost reduction by merchant type of giving debit card and cash price discounts. We find that steering consumers to debit and cash via simple price discounts reduces most merchants' card processing cost; however, this reduction is small and may be insufficient to offset the increase in the cost of administering price menus that vary by payment instrument. C1 [Briglevics, Tamas; Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Briglevics, Tamas] Boston Coll, Dept Econ, Chestnut Hill, MA 02467 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM tbriglevics@gmail.com; ozshy@ozshy.com OI Briglevics, Tamas/0000-0002-5994-0721 NR 24 TC 3 Z9 3 U1 2 U2 6 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X EI 1573-7160 J9 REV IND ORGAN JI Rev. Ind. Organ. PD JUN PY 2014 VL 44 IS 4 BP 367 EP 392 DI 10.1007/s11151-014-9419-y PG 26 WC Economics; Management SC Business & Economics GA AG2GN UT WOS:000335234400003 ER PT J AU French, E Song, J AF French, Eric Song, Jae TI The Effect of Disability Insurance Receipt on Labor Supply SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID INSTRUMENTAL VARIABLE ESTIMATION; HEALTH; APPLICANTS; EARNINGS; MODELS; IDENTIFICATION; PROGRAM; GROWTH; CARE AB This paper exploits the effectively random assignment of judges to Disability Insurance cases to estimate the causal impact of Disability Insurance receipt on labor supply. We find that benefit receipt reduces labor force participation by 26 percentage points three years after a disability determination decision, although the reduction is smaller for older people, college graduates, and those with mental illness. OLS and instrumental variables estimates are similar. Furthermore, over 60 percent of those denied benefits by an administrative law judge are subsequently allowed benefits within ten years, showing that most applicants apply, reapply, and appeal until they get benefits. C1 [French, Eric] UCL, Dept Econ, London WC1E 6BT, England. [French, Eric] Fed Reserve Bank Chicago, Chicago, IL USA. [Song, Jae] Social Secur Adm, Off Qual Performance, Arlington, VA 22202 USA. RP French, E (reprint author), UCL, Dept Econ, Gower St, London WC1E 6BT, England. EM eric.french.econ@gmail.com; jae.song@ssa.gov NR 43 TC 15 Z9 15 U1 2 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD MAY PY 2014 VL 6 IS 2 BP 291 EP 337 DI 10.1257/pol.6.2.291 PG 47 WC Economics SC Business & Economics GA AT1KR UT WOS:000344692800010 ER PT J AU Barsky, R Justiniano, A Melosi, L AF Barsky, Robert Justiniano, Alejandro Melosi, Leonardo TI The Natural Rate of Interest and Its Usefulness for Monetary Policy SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID LIQUIDITY TRAP; WELFARE; SLUMP; COSTS; RISK C1 [Barsky, Robert; Justiniano, Alejandro; Melosi, Leonardo] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Barsky, Robert] Univ Michigan, Ann Arbor, MI 48109 USA. [Barsky, Robert] NBER, Cambridge, MA 02138 USA. EM Barsky@frb.chi.org; ajustiniano@frb.chi.org; lmelosi@frb.chi.org NR 21 TC 9 Z9 9 U1 2 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 37 EP 43 DI 10.1257/aer.104.5.37 PG 7 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400005 ER PT J AU Fernald, JG Jones, CI AF Fernald, John G. Jones, Charles I. TI The Future of US Economic Growth SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID TECHNOLOGICAL-CHANGE C1 [Fernald, John G.] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. [Jones, Charles I.] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. EM john.fernald@sf.frb.org; chad.jones@stanford.edu NR 24 TC 3 Z9 3 U1 3 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 44 EP 49 DI 10.1257/aer.104.5.44 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400006 ER PT J AU Willen, P AF Willen, Paul TI Mandated Risk Retention in Mortgage Securitization: An Economist's View SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID COMPETITIVE EQUILIBRIA; ADVERSE SELECTION C1 [Willen, Paul] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Willen, Paul] NBER, Cambridge, MA 02138 USA. EM paul.willen@bos.frb.org NR 11 TC 0 Z9 0 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 82 EP 87 DI 10.1257/aer.104.5.82 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400013 ER PT J AU Arellano, C Bai, Y AF Arellano, Cristina Bai, Yan TI Renegotiation Policies in Sovereign Defaults SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc C1 [Arellano, Cristina] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Arellano, Cristina] Univ Minnesota, Minneapolis, MN 55401 USA. [Arellano, Cristina] NBER, Cambridge, MA 02138 USA. [Bai, Yan] Univ Rochester, Dept Econ, Rochester, NY 14627 USA. EM arellano.cristina@gmail.com; yanbai06@gmail.com NR 8 TC 0 Z9 0 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 94 EP 100 DI 10.1257/aer.104.5.94 PG 7 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400015 ER PT J AU Aguiar, M Amador, M Farhi, E Gopinath, G AF Aguiar, Mark Amador, Manuel Farhi, Emmanuel Gopinath, Gita TI Sovereign Debt Booms in Monetary Unions SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc C1 [Aguiar, Mark] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Amador, Manuel] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [Farhi, Emmanuel; Gopinath, Gita] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM maguiar@princeton.edu; amador.manuel@gmail.com; efarhi@fas.harvard.edu; gopinath@harvard.edu NR 6 TC 3 Z9 3 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 101 EP 106 DI 10.1257/aer.104.5.101 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400016 ER PT J AU Andreski, P Li, G Samancioglu, MZ Schoeni, R AF Andreski, Patricia Li, Geng Samancioglu, Mehmet Zahid Schoeni, Robert TI Estimates of Annual Consumption Expenditures and Its Major Components in the PSID in Comparison to the CE SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID INCOME; PANEL C1 [Andreski, Patricia] Univ Michigan Hlth Syst, Off Hlth Equ & Inclus, Ann Arbor, MI 48109 USA. [Li, Geng] Fed Reserve Board, Washington, DC 20551 USA. [Samancioglu, Mehmet Zahid] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Schoeni, Robert] Univ Michigan, Inst Social Res, Ann Arbor, MI 48109 USA. [Schoeni, Robert] Univ Michigan, Ford Sch Publ Policy, Ann Arbor, MI 48109 USA. EM pandresk@umich.edu; geng.li@frb.gov; mzs@umich.edu; bschoeni@umich.edu FU NIA NIH HHS [R01 AG019802, R01 AG040213]; NICHD NIH HHS [R01 HD069609] NR 6 TC 1 Z9 1 U1 1 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 132 EP 135 DI 10.1257/aer.104.5.132 PG 4 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400022 PM 25221338 ER PT J AU Charles, KK Danziger, S Li, G Schoeni, R AF Charles, Kerwin Kofi Danziger, Sheldon Li, Geng Schoeni, Robert TI The Intergenerational Correlation of Consumption Expenditures SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID CE C1 [Charles, Kerwin Kofi] Univ Chicago, Harris Sch Publ Policy, Chicago, IL 60637 USA. [Danziger, Sheldon] Russell Sage Fdn, New York, NY 10065 USA. [Li, Geng] Fed Reserve Board, Washington, DC 20551 USA. [Schoeni, Robert] Univ Michigan, Ann Arbor, MI 48109 USA. EM kcharles@uchicago.edu; sheldond@rsage.org; geng.li@frb.gov; bschoeni@umich.edu FU NIA NIH HHS [R01 AG019802, R01 AG040213]; NICHD NIH HHS [R01 HD069609, R24 HD041028] NR 9 TC 0 Z9 0 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 136 EP 140 DI 10.1257/aer.104.5.136 PG 5 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400023 PM 25214651 ER PT J AU Buera, FJ Kaboski, JP Shin, Y AF Buera, Francisco J. Kaboski, Joseph P. Shin, Yongseok TI Macro-Perspective on Asset Grants Programs: Occupational and Wealth Mobility SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID CHOICE C1 [Buera, Francisco J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Buera, Francisco J.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Buera, Francisco J.; Shin, Yongseok] NBER, Cambridge, MA 02138 USA. [Kaboski, Joseph P.] Univ Notre Dame, Notre Dame, IN 46556 USA. [Shin, Yongseok] Washington Univ, St Louis, MO 63130 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO USA. EM Francisco.Buera@chi.frb.org; jkaboski@nd.edu; yshin@wustl.edu NR 10 TC 1 Z9 1 U1 3 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 159 EP 164 DI 10.1257/aer.104.5.159 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400027 ER PT J AU Gourio, F Rudanko, L AF Gourio, Francois Rudanko, Leena TI Can Intangible Capital Explain Cyclical Movements in the Labor Wedge? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc C1 [Gourio, Francois] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Gourio, Francois; Rudanko, Leena] NBER, Cambridge, MA 02138 USA. [Rudanko, Leena] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM francois.gourio@chi.frb.org; leena.rudanko@phil.frb.org NR 8 TC 2 Z9 2 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 183 EP 188 DI 10.1257/aer.104.5.183 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400031 ER PT J AU Sheiner, L AF Sheiner, Louise TI The Determinants of the Macroeconomic Implications of Aging SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 126th Annual Meeting American-Economic-Association CY JAN 03-05, 2014 CL Philadelphia, PA SP Amer Econ Assoc ID SAVE C1 Fed Reserve Board Governors, Fiscal Anal Sect, Div Res & Stat, Washington, DC 20551 USA. EM lsheiner@frb.gov NR 15 TC 0 Z9 0 U1 1 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2014 VL 104 IS 5 BP 218 EP 223 DI 10.1257/aer.104.5.218 PG 6 WC Economics SC Business & Economics GA AL1ZL UT WOS:000338925400037 ER PT J AU Diez, FJ AF Diez, Federico J. TI The asymmetric effects of tariffs on intra-firm trade and offshoring decisions SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Intra-firm trade; Offshoring; Outsourcing; Tariffs ID FIRMS AB This paper studies the effects of tariffs on intra-firm trade. Building on the Antras and Helpman (2004) North-South theoretical framework, I show that higher Northern tariffs reduce the incentives for outsourcing and offshoring, while higher Southern tariffs have the opposite effects. I also show that increased offshoring and outsourcing imply a decrease in the ratio of Northern intra-firm imports to total imports, an empirically testable prediction. Using a highly disaggregated dataset of U.S. (the North) imports and relevant U.S. and foreign tariffs, I find robust evidence to support the model's predictions. (C) 2013 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Diez, FJ (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM federico.diez@bos.frb.org NR 25 TC 1 Z9 1 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2014 VL 93 IS 1 BP 76 EP 91 DI 10.1016/j.jinteco.2013.12.004 PG 16 WC Economics SC Business & Economics GA AJ7GC UT WOS:000337864200006 ER PT J AU Cheremukhin, AA Restrepo-Echavarria, P AF Cheremukhin, Anton A. Restrepo-Echavarria, Paulina TI The labor wedge as a matching friction SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Labor wedge; Business cycles; Search and matching ID BUSINESS-CYCLE; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; FLUCTUATIONS; SEARCH; MODELS; MARKET; VACANCIES AB We use a search and matching model to decompose the labor wedge into three classes of labor market frictions and evaluate their role for the labor wedge and unemployment. We find that there is an asymmetric effect of labor market frictions on the labor wedge and unemployment. While the wedge is to a large extent explained by changes in matching efficiency, unemployment is accounted for by the combination of frictions to matching efficiency, job destruction and bargaining. If search and matching frictions give rise to the labor wedge, then it is relevant for explaining unemployment mainly through changes in matching efficiency. (C) 2014 Elsevier B.V. All rights reserved. C1 [Cheremukhin, Anton A.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Restrepo-Echavarria, Paulina] Ohio State Univ, Dept Econ, Columbus, OH 43210 USA. RP Restrepo-Echavarria, P (reprint author), Ohio State Univ, Dept Econ, 410 Arps Hall,1945 N High St, Columbus, OH 43210 USA. EM chertosha@gmail.com; restrepo-echavarria.1@osu.edu RI Restrepo-Echavarria, Paulina/I-5751-2016 OI Restrepo-Echavarria, Paulina/0000-0002-1481-051X NR 31 TC 2 Z9 2 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD MAY PY 2014 VL 68 BP 71 EP 92 DI 10.1016/j.euroecorev.2014.02.008 PG 22 WC Economics SC Business & Economics GA AI2ND UT WOS:000336694100005 ER PT J AU Starr, M Dominiak, L Aizcorbe, A AF Starr, Martha Dominiak, Laura Aizcorbe, Ana TI Decomposing Growth In Spending Finds Annual Cost Of Treatment Contributed Most To Spending Growth, 1980-2006 SO HEALTH AFFAIRS LA English DT Article ID DISEASE PREVALENCE; CARE AB Researchers have disagreed about factors driving up health care spending since the 1980s. One camp, led by Kenneth Thorpe, identifies rising numbers of people being treated for chronic diseases as a major factor. Charles Roehrig and David Rousseau reach the opposite conclusion: that three-quarters of growth in average spending reflects the rising costs of treating given diseases. We reexamined sources of spending growth using data from four nationally representative surveys. We found that rising costs of treatment accounted for 70 percent of growth in real average health care spending from 1980 to 2006. The contribution of shares of the population treated for given diseases increased in 1997-2006, but even then it accounted for only one-third of spending growth. We highlight the fact that Thorpe's inclusion of population growth as part of disease prevalence explains the appreciable difference in results. An important policy implication is that programs to better manage chronic diseases may only modestly reduce average spending growth. C1 [Starr, Martha] Amer Univ, Dept Econ, Washington, DC 20016 USA. [Dominiak, Laura] Fed Reserve Board, Washington, DC USA. [Aizcorbe, Ana] Virginia Tech, Virginia Bioinformat Inst, Social & Decis Analyt Lab, Arlington, VA USA. RP Starr, M (reprint author), Amer Univ, Dept Econ, Washington, DC 20016 USA. EM ana1@vbi.vt.edu NR 18 TC 7 Z9 7 U1 0 U2 2 PU PROJECT HOPE PI BETHESDA PA 7500 OLD GEORGETOWN RD, STE 600, BETHESDA, MD 20814-6133 USA SN 0278-2715 J9 HEALTH AFFAIR JI Health Aff. PD MAY PY 2014 VL 33 IS 5 BP 823 EP 831 DI 10.1377/hlthaff.2013.0656 PG 9 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA AI2DD UT WOS:000336666500015 PM 24799580 ER PT J AU Adolfson, M Laseen, S Linde, J Svensson, LEO AF Adolfson, Malin Laseen, Stefan Linde, Jesper Svensson, Lars E. O. TI Monetary policy trade-offs in an estimated open-economy DSGE model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Optimal monetary policy; Instrument rules; Open-economy DSGE models; Output gap; Potential output ID NOMINAL RIGIDITIES; RATES AB This paper studies the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank's estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy. Our main finding is that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible. Published by Elsevier B.V. C1 [Adolfson, Malin; Laseen, Stefan] Sveriges Riksbank, Stockholm, Sweden. [Linde, Jesper] Fed Reserve Board, Board Governors Fed Reserve Syst, Div Int Finance, Washington Nw, DC 20551 USA. [Svensson, Lars E. O.] Stockholm Sch Econ, SIFR, Stockholm, Sweden. [Svensson, Lars E. O.] Stockholm Univ, IIES, Stockholm, Sweden. [Svensson, Lars E. O.] NBER, Cambridge, MA 02138 USA. RP Linde, J (reprint author), Fed Reserve Board, Board Governors Fed Reserve Syst, Div Int Finance, Mailstop 20,20th & C St, Washington Nw, DC 20551 USA. EM jesper.l.linde@frb.gov NR 25 TC 2 Z9 2 U1 3 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAY PY 2014 VL 42 BP 33 EP 49 DI 10.1016/j.jedc.2014.02.012 PG 17 WC Economics SC Business & Economics GA AI2RS UT WOS:000336706400003 ER PT J AU Davis, JS AF Davis, J. Scott TI Financial integration and international business cycle co-movement SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Financial integration; Business cycle co-movement; Wealth effect; Balance sheet effect ID ECONOMIC-ACTIVITY; MONETARY-POLICY; ASSET PRICES; GLOBAL BANKS; TRADE; SYNCHRONIZATION; GLOBALIZATION; DETERMINANTS; LAW; TRANSMISSION AB International business cycle transmission through integrated financial markets occurs through wealth and balance sheet effects. Balance sheet effects lead to business cycle convergence, but wealth effects lead to divergence. This paper shows empirically that debt market integration has a positive effect on co-movement, implying that balance sheet effects are the main conduit for international transmission through integrated debt markets. Equity market integration has a negative effect, implying that wealth effects are the main channel for international transmission through integrated equity markets. Distinguishing between wealth and balance sheet effects resolves some key discrepancies between empirical and theoretical findings in international macroeconomics. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Davis, JS (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM scott.davis@dal.frb.org NR 57 TC 4 Z9 4 U1 2 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2014 VL 64 BP 99 EP 111 DI 10.1016/j.jmoneco.2014.01.007 PG 13 WC Business, Finance; Economics SC Business & Economics GA AH9PJ UT WOS:000336474000007 ER PT J AU Agarwal, S Lucca, D Seru, A Trebbi, F AF Agarwal, Sumit Lucca, David Seru, Amit Trebbi, Francesco TI Inconsistent Regulators: Evidence from Banking SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article DE G21; G28 ID DEREGULATION; SUPERVISION; UNCERTAINTY; CORRUPTION; INDUSTRY; GROWTH; COST; RISK AB We find that regulators can implement identical rules inconsistently due to differences in their institutional design and incentives, and this behavior may adversely impact the effectiveness with which regulation is implemented. We study supervisory decisions of U.S. banking regulators and exploit a legally determined rotation policy that assigns federal and state supervisors to the same bank at exogenously set time intervals. Comparing federal and state regulator supervisory ratings within the same bank, we find that federal regulators are systematically tougher, downgrading supervisory ratings almost twice as frequently as do state supervisors. State regulators counteract these downgrades to some degree by upgrading more frequently. Under federal regulators, banks report worse asset quality, higher regulatory capital ratios, and lower return on assets. Leniency of state regulators relative to their federal counterparts is related to costly outcomes, such as higher failure rates and lower repayment rates of government assistance funds. The discrepancy in regulator behavior is related to different weights given by regulators to local economic conditions and, to some extent, differences in regulatory resources. We find no support for regulator self-interest, which includes "revolving doors" as a reason for leniency of state regulators. C1 [Agarwal, Sumit] Natl Univ Singapore, Singapore 117548, Singapore. Fed Reserve Bank New York, New York, NY USA. Univ Chicago, Chicago, IL 60637 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ British Columbia, Natl Bur Econ Researc, Vancouver, BC V5Z 1M9, Canada. RP Agarwal, S (reprint author), Natl Univ Singapore, Singapore 117548, Singapore. EM amit.seru@chicagobooth.edu RI Agarwal, Sumit/F-4836-2012 NR 48 TC 16 Z9 16 U1 5 U2 35 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 EI 1531-4650 J9 Q J ECON JI Q. J. Econ. PD MAY PY 2014 VL 129 IS 2 BP 889 EP 938 DI 10.1093/qje/qju003 PG 50 WC Economics SC Business & Economics GA AH5CR UT WOS:000336146600008 ER PT J AU Hacker, JS Huber, GA Nichols, A Rehm, P Schlesinger, M Valletta, R Craig, S AF Hacker, Jacob S. Huber, Gregory A. Nichols, Austin Rehm, Philipp Schlesinger, Mark Valletta, Rob Craig, Stuart TI THE ECONOMIC SECURITY INDEX: A NEW MEASURE FOR RESEARCH AND POLICY ANALYSIS SO REVIEW OF INCOME AND WEALTH LA English DT Article DE D31; I14; J11; household income; household risk; medical spending; volatility; wealth ID LOSS AVERSION; RISK; REDISTRIBUTION; DISPLACEMENT; CONSUMPTION; EARNINGS; WEALTH AB This article presents the Economic Security Index (ESI), a new measure of economic insecurity. The ESI assesses the individual-level occurrence of substantial year-to-year declines in available household resources, accounting for fluctuations not only in income but also in out-of-pocket medical expenses. It also assesses whether those experiencing such declines have sufficient liquid financial wealth to buffer against these shocks. We find that insecuritythe share of individuals experiencing substantial resource declines without adequate financial buffershas risen steadily since the mid-1980s for virtually all subgroups of Americans, albeit with cyclical fluctuation. At the same time, we find that there is substantial disparity in the degree to which different subgroups are exposed to economic risk. As the ESI derives from a data-independent conceptual foundation, it can be measured using different panel datasets. We find that the degree and disparity by which insecurity has risen is robust across the best available sources. C1 [Hacker, Jacob S.; Huber, Gregory A.; Schlesinger, Mark; Craig, Stuart] Yale Univ, New Haven, CT 06520 USA. [Nichols, Austin] Urban Inst, Washington, DC 20037 USA. [Rehm, Philipp] Ohio State Univ, Columbus, OH 43210 USA. [Valletta, Rob] San Francisco Fed Reserve Bank, San Francisco, CA USA. RP Hacker, JS (reprint author), Inst Social & Policy Studies, 77 Prospect St, New Haven, CT 06511 USA. EM jacob.hacker@yale.edu NR 54 TC 4 Z9 4 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0034-6586 EI 1475-4991 J9 REV INCOME WEALTH JI Rev. Income Wealth PD MAY PY 2014 VL 60 SU 1 SI SI BP S5 EP S32 DI 10.1111/roiw.12053 PG 28 WC Economics SC Business & Economics GA AG6HP UT WOS:000335520000002 ER PT J AU Wright, R Wong, YY AF Wright, Randall Wong, Yuet-Yee TI BUYERS, SELLERS, AND MIDDLEMEN: VARIATIONS ON SEARCH-THEORETIC THEMES SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRIVATE INFORMATION; COUNTER MARKETS; MONEY; EQUILIBRIUM; EXCHANGE; MODEL; INTERMEDIATION; PRICES; TRADE; MAKERS AB We study exchange that is bilateral but indirect-it involves chains of intermediaries, or middlemen-in markets with frictions. These frictions include search and bargaining problems. We show how, and how many, intermediaries might get involved in a chain, and how bargaining with one depends on upcoming negotiations with those downstream. The roles of buyers, sellers, money, and prices are discussed, allowing us to clarify some neglected connections between different branches of search theory. Pursuing one such connection, with monetary economics, we show how bubbles can emerge in intermediation, even with fully rational agents and perfect foresight. C1 Univ Wisconsin, Madison, WI 53706 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Fed Reserve Bank Chicago, Chicago, IL USA. NBER, Cambridge, MA 02138 USA. SUNY Binghamton, Binghamton, NY 13902 USA. RP Wright, R (reprint author), Univ Wisconsin, Dept Econ, 5262B Grainger Hall,975 Univ Ave, Madison, WI 53706 USA. EM rwright@bus.wisc.edu NR 74 TC 7 Z9 7 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2014 VL 55 IS 2 BP 375 EP 397 DI 10.1111/iere.12053 PG 23 WC Economics SC Business & Economics GA AF7DX UT WOS:000334874900003 ER PT J AU Campbell, JR Eden, B AF Campbell, Jeffrey R. Eden, Benjamin TI RIGID PRICES: EVIDENCE FROM U.S. SCANNER DATA SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID STICKY PRICES; INFLATION; COSTS; ADJUSTMENT; CONSUMER; DYNAMICS; BEHAVIOR; DEMAND; SALES AB This article uses weekly scanner data from two small U.S. cities to characterize time and state dependence of grocers' pricing decisions. In these data, the probability of a nominal adjustment declines with the time since the last price change. A store's price for a particular product typically goes through several price changes in rapid succession before settling down. We also detect state dependence: The probability of a nominal adjustment is highest when a store's price substantially differs from the average of other stores' prices. However, extreme relative prices typically reflect the store's recent changes instead of changes in average prices. C1 [Campbell, Jeffrey R.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Tilburg Univ, CentER, NL-5000 LE Tilburg, Netherlands. Vanderbilt Univ, Nashville, TN 37235 USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org NR 21 TC 3 Z9 3 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2014 VL 55 IS 2 BP 423 EP 442 DI 10.1111/iere.12055 PG 20 WC Economics SC Business & Economics GA AF7DX UT WOS:000334874900005 ER PT J AU Rosa, C AF Rosa, Carlo TI Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market SO JOURNAL OF FUTURES MARKETS LA English DT Article ID CENTRAL BANK COMMUNICATION; INTEREST-RATES; REAL-TIME; SURPRISES; STOCK; PRICES; MATTER; YIELDS AB This paper examines the impact of conventional and unconventional monetary policy on municipal bonds using a novel high-frequency dataset. I use three proxies for monetary policy surprises: the surprise change to the current federal funds target rate, the surprise component in the Federal Open Market Committee (FOMC) balance-of-risk statement, and the unanticipated announcements of future large-scale asset purchases. Estimation results show that monetary policy news have economically important and highly significant effects on municipal bond prices. Their daily responses are, however, substantially lower than the reaction of comparable Treasury notes. This work documents that market (in)efficiency, and the slow adjustment of municipal bond prices, can partially rationalize this discrepancy. (c) 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:434-450, 2014 C1 Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. RP Rosa, C (reprint author), Fed Reserve Bank New York, Markets Grp, 33 Liberty St, New York, NY 10045 USA. EM carlo.rosa@ny.frb.org NR 36 TC 0 Z9 0 U1 2 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0270-7314 EI 1096-9934 J9 J FUTURES MARKETS JI J. Futures Mark. PD MAY PY 2014 VL 34 IS 5 BP 434 EP 450 DI 10.1002/fut.21606 PG 17 WC Business, Finance SC Business & Economics GA AD8UF UT WOS:000333540500003 ER PT J AU Bandyopadhyay, S Chambers, D Munemo, J AF Bandyopadhyay, Subhayu Chambers, Dustin Munemo, Jonathan TI Foreign Aid, Illegal Immigration, and Host Country Welfare SO REVIEW OF DEVELOPMENT ECONOMICS LA English DT Article AB This paper analyzes the effect of foreign aid on illegal immigration and host country welfare using a general equilibrium model. It shows that foreign aid may worsen the recipient nation's terms of trade. Furthermore, it may also raise illegal immigration, if the terms of trade effect on immigration flows dominates the other effects identified in our analysis. Empirical analysis of the effect of foreign aid on illegal immigration to the USA broadly supports the predictions of our theoretical model. Foreign aid worsens the recipient's terms of trade. While the terms of trade effect tends to reduce illegal immigration, countervailing effects are found to dominate. The paper contributes to the related literature by establishing that there are unintended consequences of foreign aid and, while some of them are reminiscent of the classical transfer problem, others are new and arise as a result of endogenous illegal immigration flows. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Chambers, Dustin; Munemo, Jonathan] Salisbury Univ, Dept Econ & Finance, Salisbury, MD 21801 USA. RP Munemo, J (reprint author), Salisbury Univ, Dept Econ & Finance, 1101 Camden Ave, Salisbury, MD 21801 USA. EM bandyopadhyay@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 14 TC 1 Z9 1 U1 1 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1363-6669 EI 1467-9361 J9 REV DEV ECON JI Rev. Dev. Econ. PD MAY PY 2014 VL 18 IS 2 BP 372 EP 385 DI 10.1111/rode.12090 PG 14 WC Economics; Planning & Development SC Business & Economics; Public Administration GA AE1DB UT WOS:000333705500013 ER PT J AU Beauchemin, K Tasci, M AF Beauchemin, Kenneth Tasci, Murat TI DIAGNOSING LABOR MARKET SEARCH MODELS: A MULTIPLE-SHOCK APPROACH SO MACROECONOMIC DYNAMICS LA English DT Article DE Labor Market Search; Mismatch; Business Cycles; Unemployment; Job Vacancies ID CYCLICAL BEHAVIOR; BUSINESS CYCLES; JOB DESTRUCTION; EQUILIBRIUM UNEMPLOYMENT; EMPLOYMENT FLUCTUATIONS; WAGE STICKINESS; VACANCIES; TURNOVER; CREATION AB We construct a multiple-shock, discrete-time version of the Mortensen-Pissarides labor market search model to investigate the basic model's well-known tendency to underpredict the volatility of key labor market variables. In addition to the standard labor productivity shock, we introduce shocks to matching efficiency and job separation. We estimate the multiple-shock model and then simulate its properties. Although it generates significantly more volatility while preserving the Beveridge curve relationship, the multiple-shock model generates counterfactual implications for the cyclicality of job separations. Using a business cycle accounting approach, next we show that the model requires significantly procyclical and volatile matching efficiency and counterfactually procyclical job separations to render the observed data without error. We conjecture that the basic Mortensen-Pissarides model lacks mechanisms to generate sufficiently strong labor market reallocation over the business cycle, and suggest nontrivial labor force participation and job-to-job transitions as promising avenues of research. C1 [Beauchemin, Kenneth] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Tasci, Murat] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Tasci, M (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM Murat.Tasci@clev.frb.org NR 46 TC 1 Z9 1 U1 0 U2 7 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2014 VL 18 IS 3 BP 548 EP 572 DI 10.1017/S1365100512000508 PG 25 WC Economics SC Business & Economics GA AK4TS UT WOS:000338417600003 ER PT J AU Clark, TE AF Clark, Todd E. TI HOW THE ECONOMY WORKS: CONFIDENCE, CRASHES, AND SELF-FULFILLING PROPHECIES BY ROGER E. A. FARMER SO MACROECONOMIC DYNAMICS LA English DT Book Review C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org NR 1 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2014 VL 18 IS 3 BP 721 EP 725 DI 10.1017/S136510051200065X PG 5 WC Economics SC Business & Economics GA AK4TS UT WOS:000338417600009 ER PT J AU Holmes, TJ Stevens, JJ AF Holmes, Thomas J. Stevens, John J. TI An Alternative Theory of the Plant Size Distribution, with Geography and Intra- and International Trade SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID PRODUCTIVITY; INDUSTRY; QUALITY; FIRMS AB There is wide variation in the sizes of manufacturing plants, even within the most narrowly defined industry classifications. Standard theories attribute such size differences to productivity differences. This paper develops an alternative theory in which industries are made up of large plants producing standardized goods and small plants making custom or specialty goods. It uses confidential census data to estimate the parameters of the model. The model fits the data well. In particular, the predictions of the model regarding the effect of a surge of imports from China are consistent with what happened over the period 1997-2007. C1 [Holmes, Thomas J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Stevens, John J.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Holmes, TJ (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 34 TC 11 Z9 11 U1 9 U2 15 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD APR PY 2014 VL 122 IS 2 BP 369 EP 421 DI 10.1086/674633 PG 53 WC Economics SC Business & Economics GA AI3AY UT WOS:000336732000004 ER PT J AU Gomis-Porqueras, P Peralta-Alva, A Waller, C AF Gomis-Porqueras, Pedro Peralta-Alva, Adrian Waller, Christopher TI The shadow economy as an equilibrium outcome SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Informal sector; Search; Money; Credit ID UNDERGROUND ECONOMY; INFORMAL SECTOR; MODEL; INFLATION; SPAIN; SIZE AB We construct a dynamic general equilibrium model of tax evasion where agents choose to report some of their income. Unreported income requires using a payment method that avoids recordkeeping in some markets-cash. Trade using cash to avoid taxes is the 'shadow economy' in our model. We then calibrate our model using money, interest rate and GDP data to back out the size of the shadow economy for a sample of countries and compare our measures to traditional reduced form estimates. (C) 2014 Elsevier B.V. All rights reserved. C1 [Gomis-Porqueras, Pedro] Deakin Univ, Geelong, Vic 3217, Australia. [Peralta-Alva, Adrian] IMF, Washington, DC USA. [Waller, Christopher] Univ Notre Dame, Div Res, Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Waller, C (reprint author), Univ Notre Dame, Div Res, Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM cwaller@stls.frb.org RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 20 TC 2 Z9 2 U1 1 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD APR PY 2014 VL 41 BP 1 EP 19 DI 10.1016/j.jedc.2014.02.006 PG 19 WC Economics SC Business & Economics GA AH1JN UT WOS:000335876500001 ER PT J AU Giannoni, MP AF Giannoni, Marc P. TI Optimal interest-rate rules and inflation stabilization versus price-level stabilization SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Optimal monetary policy; Taylor rule; Robust policy ID OPTIMAL MONETARY-POLICY; FORWARD-LOOKING; FRAMEWORK AB This paper compares the properties of interest-rate rules such as simple Taylor rules and rules that respond to price-level fluctuations (called Wicksellian rules) in a basic forward-looking model. By introducing appropriate history dependence in policy, Wicksellian rules perform better than optimal Taylor rules in terms of welfare, robustness to alternative shock processes, and are less prone to equilibrium indeterminacy. A simple Wicksellian rule augmented with a high degree of interest rate inertia resembles a robustly optimal rule, i.e., a monetary policy rule that implements the optimal plan and that is also completely robust to the specification of exogenous shock processes. (C) 2014 Elsevier B.V. All rights reserved. C1 [Giannoni, Marc P.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Giannoni, Marc P.] Ctr Econ Policy Res, London SW1Y 6LA, England. RP Giannoni, MP (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM marc.giannoni@ny.frb.org NR 46 TC 5 Z9 5 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD APR PY 2014 VL 41 BP 110 EP 129 DI 10.1016/j.jedc.2014.01.013 PG 20 WC Economics SC Business & Economics GA AH1JN UT WOS:000335876500007 ER PT J AU Justiniano, A Primiceri, GE Tambalotti, A AF Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea TI The effects of the saving and banking glut on the US economy SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT 36th Annual Meeting of the International-Seminar-on-Macroeconomics (ISoM) of the National-Bureau-of-Economic-Research CY JUN 21-22, 2013 CL Bank Italy, Rome, ITALY SP Natl Bur Econ Res, Int Seminar Macroeconom HO Bank Italy DE Banking glut; Saving glut; Collateral constraints; Current account deficit ID BUSINESS CYCLES; GLOBAL IMBALANCES; MONETARY-POLICY; INTEREST-RATES; HOUSE PRICES; CREDIT; MODELS; CRISIS AB We use a quantitative equilibrium model with houses, collateralized debt and foreign borrowing to study the impact of global imbalances on the U.S. economy in the 2000s. Our results suggest that the dynamics of foreign capital flows account for between one fourth and one third of the increase in U.S. house prices and household debt that preceded the financial crisis. The key to these findings is that the model generates the sustained low level of interest rates observed over that period. (C) 2014 Published by Elsevier B.V. C1 [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Primiceri, Giorgio E.] Northwestern Univ, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] CEPR, Washington, DC USA. [Primiceri, Giorgio E.] NBER, Cambridge, MA 02138 USA. [Tambalotti, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Justiniano, A (reprint author), Fed Reserve Bank Chicago, 204 S LaSalle, Chicago, IL 60604 USA. EM ajustiniano@frbchi.org; g-primiceri@northwestern.edu; a.tambalotti@gmail.com OI Tambalotti, Andrea/0000-0002-9323-2470 NR 62 TC 6 Z9 6 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD APR PY 2014 VL 92 SU 1 BP S52 EP S67 DI 10.1016/j.jinteco.2013.12.009 PG 16 WC Economics SC Business & Economics GA AH1HS UT WOS:000335871800005 ER PT J AU Swanson, ET Williams, JC AF Swanson, Eric T. Williams, John C. TI Measuring the effect of the zero lower bound on yields and exchange rates in the UK and Germany SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT 36th Annual Meeting of the International-Seminar-on-Macroeconomics (ISoM) of the National-Bureau-of-Economic-Research CY JUN 21-22, 2013 CL Bank Italy, Rome, ITALY SP Natl Bur Econ Res, Int Seminar Macroeconom HO Bank Italy DE Monetary policy; Zero lower bound; Forward guidance; Fiscal policy; Fiscal multiplier; Exchange rates ID MONETARY-POLICY; MARKET; ANNOUNCEMENTS; MULTIPLIER; DEBT AB The zero lower bound on nominal interest rates began to constrain many central banks' setting of short-term interest rates in late 2008 or early 2009. According to standard macroeconomic models, this should have greatly reduced the effectiveness of monetary policy and increased the efficacy of fiscal policy. However, these models also imply that asset prices and private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current level of the monetary policy rate. Thus, interest rates with a year or more to maturity are arguably more relevant for asset prices and the economy, and it is unclear to what extent those yields have been affected by the zero lower bound. In this paper, we apply the methods of Swanson and Williams (2013) to medium-and longer-term yields and exchange rates in the U.K. and Germany. In particular, we compare the sensitivity of these rates to macroeconomic news during periods when short-term interest rates were very low to that during normal times. We find that: 1) USD/GBP and USD/EUR exchange rates have been essentially unaffected by the zero lower bound, 2) yields on German bunds were essentially unconstrained by the zero bound until late 2012, and 3) yields on U.K. gilts were substantially constrained by the zero lower bound in 2009 and 2012, but were surprisingly responsive to news in 2010-11. We compare these findings to the U.S. and discuss their broader implications. (C) 2013 Elsevier B.V. All rights reserved. C1 [Swanson, Eric T.; Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Fed Reserve Bank San Francisco, Mail Stop 71,101 Market St, San Francisco, CA 94105 USA. EM eric.swanson@sf.frb.org; John.CWilliams@sf.frb.org NR 40 TC 5 Z9 5 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD APR PY 2014 VL 92 SU 1 BP S2 EP S21 DI 10.1016/j.jinteco.2013.11.009 PG 20 WC Economics SC Business & Economics GA AH1HS UT WOS:000335871800002 ER PT J AU Fitzgerald, D Haller, S AF Fitzgerald, Doireann Haller, Stefanie TI Pricing-to-Market: Evidence From Plant-Level Prices SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE pricing-to-market; exchange rates; sticky prices ID REAL EXCHANGE-RATE; RATE PASS-THROUGH; MODELS; RATES AB We use micro data on Irish producer prices to provide clean evidence on pricing-to-market across a broad range of manufacturing sectors. We have monthly observations on prices charged by the same plant for the same product to buyers in Ireland and the UK, two markets segmented by variable exchange rates. Assuming that relative marginal cost is constant across markets within a plant and a product, this allows us to observe the behaviour of the markup in the UK market relative to the home market. To identify pricing-to-market that goes beyond what is mechanically due to price stickiness, we condition on episodes where prices change. When prices are invoiced in local currency, conditional on prices changing, the ratio of the markup in the foreign market to the markup in the home market increases one-for-one with depreciations of home against foreign currency and decreases one-for-one with appreciations of home against foreign currency, a very particular form of pricing-to-market. C1 [Fitzgerald, Doireann] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Haller, Stefanie] Univ Coll Dublin, Dept Econ, Dublin, Ireland. RP Fitzgerald, D (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 24 TC 6 Z9 6 U1 1 U2 7 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2014 VL 81 IS 2 BP 761 EP 786 DI 10.1093/restud/rdt045 PG 26 WC Economics SC Business & Economics GA AH1ZJ UT WOS:000335920200008 ER PT J AU Guvenen, F Kuruscu, B Ozkan, S AF Guvenen, Fatih Kuruscu, Burhanettin Ozkan, Serdar TI Taxation of Human Capital and Wage Inequality: A Cross-Country Analysis SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Progressive taxation; Labour income tax; Wage inequality; Ben-Porath; Human capital; Skill-biased technical change ID LIFE-CYCLE MODEL; EUROPEAN UNEMPLOYMENT; ECONOMIC-GROWTH; LABOR; EARNINGS; POLICY; ACCUMULATION; CONSUMPTION; RISK AB Wage inequality has been significantly higher in the U.S. than in continental European countries (CEU) since the 1970s. Moreover, this inequality gap has further widened during this period as the U.S. has experienced a large increase in wage inequality, whereas the CEU has seen only modest changes. This article studies the role of labour income tax policies for understanding these facts, focusing on male workers. We construct a life cycle model in which individuals decide each period whether to go to school, work, or stay non-employed. Individuals can accumulate human capital either in school or while working. Wage inequality arises from differences across individuals in their ability to learn new skills as well as from idiosyncratic shocks. Progressive taxation compresses the (after-tax) wage structure, thereby distorting the incentives to accumulate human capital, in turn reducing the cross-sectional dispersion of (before-tax) wages. Consistent with the model, we empirically document that countries with more progressive labour income tax schedules have (i) significantly lower before-tax wage inequality at different points in time and (ii) experienced a smaller rise in wage inequality since the early 1980s. We then study the calibrated model and find that these policies can account for half of the difference between the U.S. and the CEU in overall wage inequality and 84% of the difference in inequality at the upper end (log 90-50 differential). In a two-country comparison between the U.S. and Germany, the combination of skill-biased technical change and changing progressivity of tax schedules explains all the difference between the evolution of inequality in these two countries since the early 1980s. C1 [Guvenen, Fatih] Univ Minnesota, Minneapolis, MN 55455 USA. [Guvenen, Fatih] NBER, Cambridge, MA 02138 USA. [Kuruscu, Burhanettin] Univ Toronto, Toronto, ON M5S 1A1, Canada. [Ozkan, Serdar] Fed Reserve Board, Washington, DC USA. RP Guvenen, F (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. OI Ozkan, Serdar/0000-0001-6364-9606 NR 52 TC 8 Z9 8 U1 1 U2 16 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2014 VL 81 IS 2 BP 818 EP 850 DI 10.1093/restud/rdt042 PG 33 WC Economics SC Business & Economics GA AH1ZJ UT WOS:000335920200010 ER PT J AU Kauffman, N Dumortier, J Hayes, DJ Brown, RC Laird, DA AF Kauffman, Nathan Dumortier, Jerome Hayes, Dermot J. Brown, Robert C. Laird, David A. TI Producing energy while sequestering carbon? The relationship between biochar and agricultural productivity SO BIOMASS & BIOENERGY LA English DT Article DE Biochar; Life cycle analysis; Biofuel; Yield improvement; Land-use change ID GREENHOUSE-GAS EMISSIONS; BIOMASS FAST PYROLYSIS; LIFE-CYCLE ASSESSMENT; LAND-USE CHANGE; N2O EMISSIONS; CORN STOVER; NITROUS-OXIDE; SOIL; BIOFUELS; YIELD AB A partial solution to problems associated with anthropogenic greenhouse gas (GHG) emissions could be the development and deployment of carbon-negative technologies, i.e., producing energy while reducing atmospheric carbon dioxide levels. Biofuels have been considered a possibility but have faced limitations due to competition with food production and GHG emissions through indirect land-use change (ILUC). In this article, we show how emissions from ILUC can potentially be reduced by producing food and bioenergy from biochar amended soils. The possibility of yield improvements from biochar would reduce the land requirement for crop production and thus, lead to a reduction in emissions from ILUC. In our application, biochar and bio-oil are produced via fast pyrolysis of corn stover. ho-oil is subsequently upgraded into a fuel suitable for use in internal combustion engines. Applying the U.S. regulatory method used to determine biofuel life cycle emissions, our results show that a biochar-induced yield improvement in the U.S. Midwest ranging from 1% to 8% above trend can lead to an ILUC credit between 1.65 and 14.79 t CO2- equivalent ha(-1) year(-1) when future emissions are assessed over the next 30 years. The model is generalizable to other feedstocks and locations and illustrates the relationship between biochar and crop production. (C) 2014 Elsevier Ltd. All rights reserved. C1 [Kauffman, Nathan] Fed Reserve Bank Kansas City, Omaha, NE 68102 USA. [Dumortier, Jerome] Indiana Univ Purdue Univ, Sch Publ & Environm Affairs, Indianapolis, IN 46202 USA. [Hayes, Dermot J.] Iowa State Univ, Dept Econ, Ames, IA 50011 USA. [Brown, Robert C.] Iowa State Univ, Dept Mech Engn, Ames, IA 50011 USA. [Laird, David A.] Iowa State Univ, Dept Agron, Ames, IA 50011 USA. RP Dumortier, J (reprint author), Indiana Univ Purdue Univ, Sch Publ & Environm Affairs, 801 W Michigan St,BS 4074, Indianapolis, IN 46202 USA. EM nathan.kauffman@kc.frb.org; jdumorti@iupui.edu RI Dumortier, Jerome/J-2029-2014; OI Dumortier, Jerome/0000-0001-8681-1688; Hayes, Dermot/0000-0002-6278-7238 FU Bioeconomy Institute (BEI) at Iowa State University; Biobased Industry Center (BIC) grant FX This research was supported by partial funding from the Bioeconomy Institute (BEI) at Iowa State University. Partial funding was also provided by a Biobased Industry Center (BIC) grant. The authors declare no competing financial interests. NR 53 TC 10 Z9 10 U1 2 U2 56 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0961-9534 EI 1873-2909 J9 BIOMASS BIOENERG JI Biomass Bioenerg. PD APR PY 2014 VL 63 BP 167 EP 176 DI 10.1016/j.biombioe.2014.01.049 PG 10 WC Agricultural Engineering; Biotechnology & Applied Microbiology; Energy & Fuels SC Agriculture; Biotechnology & Applied Microbiology; Energy & Fuels GA AG2VP UT WOS:000335275500018 ER PT J AU Bubb, R Kaufman, A AF Bubb, Ryan Kaufman, Alex TI Securitization and moral hazard: Evidence from credit score cutoff rules SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Financial crisis; Moral hazard; Mortgages; Securitization; Credit scores AB A growing literature exploits credit score cutoff rules as a natural experiment to estimate the moral hazard effect of securitization on lender screening. However, these cutoff rules can be traced to underwriting guidelines for originators, not for securitizers. Moreover, loan-level data reveal that lenders change their screening at credit score cutoffs in the absence of changes in the probability of securitization. Credit score cutoff rules thus cannot be used to learn about the moral hazard effect of securitization on underwriting. By showing that this evidence has been misinterpreted, our analysis should move beliefs away from the conclusion that securitization led to lax screening. (C) 2014 Elsevier B.V. All rights reserved. C1 [Bubb, Ryan] NYU, New York, NY 10012 USA. [Kaufman, Alex] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Bubb, R (reprint author), NYU, 40 Washington Sq South, New York, NY 10012 USA. EM ryan.bubb@nyu.edu; alex.kaufman@gmail.com NR 22 TC 8 Z9 8 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2014 VL 63 BP 1 EP 18 DI 10.1016/j.jmoneco.2014.01.005 PG 18 WC Business, Finance; Economics SC Business & Economics GA AG0LQ UT WOS:000335107400001 ER PT J AU Crowley, MA Howse, R AF Crowley, Meredith A. Howse, Robert TI Tuna-Dolphin II: a legal and economic analysis of the Appellate Body Report SO WORLD TRADE REVIEW LA English DT Review ID MARKET C1 [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Crowley, Meredith A.] Univ Cambridge, Cambridge CB2 1TN, England. [Howse, Robert] NYU, Sch Law, New York, NY 10003 USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM crowley.meredith@gmail.com; howserob@gmail.com NR 14 TC 5 Z9 5 U1 1 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 EI 1475-3138 J9 WORLD TRADE REV JI World Trade Rev. PD APR PY 2014 VL 13 IS 2 BP 321 EP 355 DI 10.1017/S147474561400010X PG 35 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA AG5GA UT WOS:000335446300008 ER PT J AU Manuelli, RE Seshadri, A AF Manuelli, Rodolfo E. Seshadri, Ananth TI Frictionless Technology Diffusion: The Case of Tractors SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INNOVATION; INDUSTRY; GROWTH; FIRMS; CYCLE; SIZE AB Many new technologies display long adoption lags, and this is often interpreted as evidence of frictions inconsistent with the standard neoclassical model. We study the diffusion of the tractor in American agriculture between 1910 and 1960-a well-known case of slow diffusion-and show that the speed of adoption was consistent with the predictions of a simple neoclassical growth model. The reason for the slow rate of diffusion was that tractor quality kept improving over this period and, more importantly, that only when wages increased did it become relatively unprofitable to operate the alternative, labor-intensive, horse technology. C1 [Manuelli, Rodolfo E.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Manuelli, Rodolfo E.] Fed Reserve Bank St Louis, St Louis, MO USA. [Seshadri, Ananth] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. RP Manuelli, RE (reprint author), Washington Univ, Dept Econ, 1 Brookings Dr, St Louis, MO 63130 USA. EM manuelli@wustl.edu; aseshadr@ssc.wisc.edu NR 37 TC 0 Z9 0 U1 4 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2014 VL 104 IS 4 BP 1368 EP 1391 DI 10.1257/aer.104.4.1368 PG 24 WC Economics SC Business & Economics GA AF1UE UT WOS:000334498600010 ER PT J AU Kurmann, A Mertens, E AF Kurmann, Andre Mertens, Elmar TI Stock Prices, News, and Economic Fluctuations: Comment SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID BUSINESS CYCLES COMPETE; LETTING DIFFERENT VIEWS; IDENTIFYING RESTRICTIONS AB Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and long-run restrictions. C1 [Kurmann, Andre] Drexel Univ, Sch Econ, LeBow Coll Business, Philadelphia, PA 19104 USA. [Mertens, Elmar] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Kurmann, A (reprint author), Drexel Univ, Sch Econ, LeBow Coll Business, 3220 Market St, Philadelphia, PA 19104 USA. EM kurmann.andre@gmail.com; elmar.mertens@frb.gov NR 17 TC 1 Z9 1 U1 1 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2014 VL 104 IS 4 BP 1439 EP 1445 DI 10.1257/aer.104.4.1439 PG 7 WC Economics SC Business & Economics GA AF1UE UT WOS:000334498600013 ER PT J AU Amromin, G Sharpe, SA AF Amromin, Gene Sharpe, Steven A. TI From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return SO MANAGEMENT SCIENCE LA English DT Article DE investor sentiment; expected stock returns; portfolio choice; asset pricing ID CONSUMER CONFIDENCE; ASSET PRICES; CONSUMPTION; STRATEGIES; SENTIMENT; WEALTH AB Data obtained from monthly Gallup/UBS surveys from 1998 to 2007 and from a special supplement to the Michigan Surveys of Consumer Attitudes and Behavior, run in 22 monthly surveys between 2000 and 2005, are used to analyze stock market beliefs and portfolio choices of household investors. We show that the key variables found to be positive predictors of actual stock returns in the asset-pricing literature are also highly correlated with investor's subjective expected returns, but with the opposite sign. Moreover, our analysis of the microdata indicates that subjective expectations of both risk and returns on stocks are strongly influenced by perceptions of economic conditions. In particular, when investors believe macroeconomic conditions are more expansionary, they tend to expect both higher returns and lower volatility. This is difficult to reconcile with the canonical view that expected returns on stocks rise during recessions to compensate household investors for increased exposure or sensitivity to macroeconomic risks. Finally, the relevance of these investors' subjective expectations is supported by the finding of a significant link between their expectations and portfolio choices. In particular, we show that portfolio equity positions tend to be higher for those respondents that anticipate higher expected returns or lower uncertainty. C1 [Amromin, Gene] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Amromin, G (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM gamromin@frbchi.org; steve.a.sharpe@frb.gov NR 49 TC 4 Z9 4 U1 2 U2 26 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD APR PY 2014 VL 60 IS 4 BP 845 EP 866 DI 10.1287/mnsc.2013.1806 PG 22 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA AE9SR UT WOS:000334350400003 ER PT J AU Luo, YL Nie, J Young, ER AF Luo, Yulei Nie, Jun Young, Eric R. TI Robust control, informational frictions, and international consumption correlations SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Robustness; Imperfect state observation; International consumption correlations; Consumption dynamics ID QUADRATIC-GAUSSIAN CONTROL; SMALL OPEN-ECONOMY; PERMANENT INCOME; PROCESSING CONSTRAINTS; RATIONAL INATTENTION; BUSINESS CYCLES; MONETARY-POLICY; CURRENT ACCOUNT; MODEL; PUZZLE AB In this paper we examine the effects of model misspecification (robustness or RB) on international consumption correlations in an otherwise standard small open economy model with endogenous capital accumulation. We show that in the presence of capital mobility in financial markets. RB lowers the international consumption correlations by generating heterogeneous responses of consumption to productivity shocks across countries facing different macroeconomic uncertainty. In addition, we show that RB can also improve the model's predictions in three other moments of consumption dynamics: the relative volatility of consumption to income, the persistence of consumption, and the correlation between consumption and output. After calibrating the RB parameter using the detection error probabilities, we show that the model can explain the observed international consumption correlations as well as the other consumption moments quantitatively. Finally, we show that the main conclusions of our benchmark model do not change in an extension in which the agent cannot observe the state perfectly due to finite information-processing capacity. (c) 2014 Elsevier B.V. All rights reserved. C1 [Luo, Yulei] Univ Hong Kong, Fac Business & Econ, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China. [Nie, Jun] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. RP Nie, J (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. EM yluo@econ.hku.hk; jun.nie@kc.frb.org; ey2d@virginia.edu NR 51 TC 1 Z9 1 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD APR PY 2014 VL 67 BP 1 EP 27 DI 10.1016/j.euroecorev.2013.12.007 PG 27 WC Economics SC Business & Economics GA AE6EQ UT WOS:000334083800001 ER PT J AU Scherbina, A Schlusche, B AF Scherbina, Anna Schlusche, Bernd TI Asset price bubbles: a survey SO QUANTITATIVE FINANCE LA English DT Article DE Asset pricing; Behavioral finance; Asset bubbles; Behavioral models ID STOCK-MARKET; REAL-ESTATE; CORPORATE-INVESTMENT; FINANCIAL WEALTH; HERD BEHAVIOR; CROSS-SECTION; CRASHES; MOMENTUM; RETURNS; OPINION AB Why do asset price bubbles continue to appear in various markets? What types of events give rise to bubbles and why do arbitrage forces fail to quickly burst them? Do bubbles have real economic consequences and should policy makers do more to prevent them? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. The latest U.S. real estate bubble is described in the context of this literature. C1 [Scherbina, Anna] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA. [Schlusche, Bernd] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Scherbina, A (reprint author), Univ Calif Davis, Grad Sch Management, 1 Shields Ave, Davis, CA 95616 USA. EM ascherbina@ucdavis.edu NR 84 TC 5 Z9 5 U1 9 U2 50 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1469-7688 EI 1469-7696 J9 QUANT FINANC JI Quant. Financ. PD APR 1 PY 2014 VL 14 IS 4 SI SI BP 589 EP 604 DI 10.1080/14697688.2012.755266 PG 16 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AE5SD UT WOS:000334048200005 ER PT J AU Gagnon, E Mandel, BR Vigfusson, RJ AF Gagnon, Etienne Mandel, Benjamin R. Vigfusson, Robert J. TI Missing Import Price Changes and Low Exchange Rate Pass-Through SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID PRODUCT REPLACEMENT BIAS; ADJUSTMENT; INFLATION; COSTS; COMPETITION; MARKET AB A large body of empirical work has found that exchange rate movements have only modest effects on US inflation. However, exchange rate pass-through may be underestimated because some price changes are missed when constructing price indexes. We investigate downward biases that arise when items exit or enter the US import price index. Using Bureau of Labor Statistics microdata, we find that, although potentially large in theory, the empirical biases are modest over typical forecast horizons. As such, the empirical evidence continues to support the conclusion that pass-through to US import prices is low. C1 [Gagnon, Etienne; Vigfusson, Robert J.] Fed Reserve Board, Washington, DC 20551 USA. [Mandel, Benjamin R.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Gagnon, E (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM etienne.gagnon@frb.gov; benjamin.mandel@ny.frb.org; robert.j.vigfusson@frb.gov NR 29 TC 3 Z9 3 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2014 VL 6 IS 2 BP 156 EP 206 DI 10.1257/mac.6.2.156 PG 51 WC Economics SC Business & Economics GA AE0YZ UT WOS:000333693600006 ER PT J AU Bhardwaj, G Sengupta, R AF Bhardwaj, Geetesh Sengupta, Rajdeep TI Subprime cohorts and loan performance SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Mortgages; Subprime; Loan quality; Crisis ID MORTGAGE-BACKED SECURITIES; CREDIT; TERMINATION; ECONOMICS; DEFAULT; CRISIS AB Loan performance of subprime originations during the boom years of 2004-2006 is contrasted with that of subprime originations during the early period of 2000-2002. A counterfactual technique is developed to determine how originations during the early period would perform in a different environment, namely, the environment faced by originations of 2004,2005, and 2006. In an environment where house prices are increasing rapidly, low credit score originations do not show high rates of default as was witnessed for 2000-2002 cohorts. However, in an environment of stagnant or deteriorating home prices, low credit score originations show significantly higher rates of default than high credit score originations. With a greater proportion of low credit score originations, earlier cohorts of 2000-2002 were no less vulnerable to the environment faced by cohorts of 2004-2006. In essence, these results raise concerns about the viability of all cohorts of subprime originations because of their reliance on the appreciation of the underlying collateral rather than the creditworthiness of the borrower. (C) 2013 Elsevier B.V. All rights reserved. C1 [Bhardwaj, Geetesh] SummerHaven Investment Management LLC, Stamford, CT 06902 USA. [Sengupta, Rajdeep] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Sengupta, R (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM rajdeep.sengupta@kc.frb.org NR 51 TC 1 Z9 1 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2014 VL 41 BP 236 EP 252 DI 10.1016/j.jbankfin.2013.11.037 PG 17 WC Business, Finance; Economics SC Business & Economics GA AD8GX UT WOS:000333505600018 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID PREDICTIVE ABILITY; INFERENCE; SELECTION AB This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (Econometrica 1989; 57: 307-333). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an out-of-sample version of the two-step testing procedure recommended by Vuong but also show that an exact one-step procedure is sometimes applicable. When the models are overlapping, we provide a simple-to-use fixed-regressor wild bootstrap that can be used to conduct valid inference. Monte Carlo simulations generally support the theoretical results: the two-step procedure is conservative, while the one-step procedure can be accurately sized when appropriate. We conclude with an empirical application comparing the predictive content of credit spreads to growth in real stock prices for forecasting US real gross domestic product growth. Copyright (c) 2013 John Wiley & Sons, Ltd. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP McCracken, MW (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 21 TC 3 Z9 3 U1 2 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR PY 2014 VL 29 IS 3 BP 415 EP 430 DI 10.1002/jae.2316 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AE0VM UT WOS:000333684300004 ER PT J AU Hale, G Razin, A Tong, H AF Hale, Galina Razin, Assaf Tong, Hui TI Stock Prices in the Presence of Liquidity Crises: The Effect of Creditor Protection SO ECONOMICA LA English DT Article ID SUDDEN STOPS; INVESTMENT; INFORMATION; FINANCE; LAW AB We develop a model predicting two channels through which creditor protection affects stock prices: (1) the probability of a liquidity crisis leading to a binding investment-finance constraint falls with better creditor protection; (2) the stock prices under the investment-constrained regime increase with better creditor protection. We find evidence for both predictions using data on stock markets and creditor protection for 52 countries from 1980 to 2008. In particular, better creditor protection is correlated with lower stock market volatility and lower frequency of crises. Moreover, during crises, stock prices and investment fall more in countries with poor creditor protection. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Razin, Assaf] Tel Aviv Univ, Cornell Univ, NBER, CEPR, IL-69978 Tel Aviv, Israel. [Tong, Hui] Int Monetary Fund, Washington, DC 20431 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 26 TC 0 Z9 0 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0427 EI 1468-0335 J9 ECONOMICA JI Economica PD APR PY 2014 VL 81 IS 322 BP 329 EP 347 DI 10.1111/ecca.12072 PG 19 WC Economics SC Business & Economics GA AC5ZH UT WOS:000332599000009 ER PT J AU Martin, A Skeie, D von Thadden, EL AF Martin, Antoine Skeie, David von Thadden, Ernst-Ludwig TI Repo Runs SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID DEPOSIT INSURANCE; MORAL HAZARD; LIQUIDITY; DEBT; MARKET; MODEL AB The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium model and analyze under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such expectations-driven runs are possible and show that they depend crucially on the microstructure of particular funding markets that we examine in detail. This provides insights into the differences between the tri-party repo market and the bilateral repo market, which were both at the heart of the recent financial crisis. C1 [Martin, Antoine; Skeie, David] Fed Reserve Bank New York, New York, NY USA. [von Thadden, Ernst-Ludwig] Univ Mannheim, D-68131 Mannheim, Germany. RP von Thadden, EL (reprint author), Univ Mannheim, ECGI, D-68131 Mannheim, Germany. EM vthadden@uni-mannheim.de RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 33 TC 10 Z9 10 U1 4 U2 16 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD APR PY 2014 VL 27 IS 4 BP 957 EP 989 DI 10.1093/rfs/hht134 PG 33 WC Business, Finance; Economics SC Business & Economics GA AD2TJ UT WOS:000333088000001 ER PT J AU Desai, CA Elliehausen, G Lawrence, EC AF Desai, Chintal A. Elliehausen, Gregory Lawrence, Edward C. TI On the County-Level Credit Outcome Beta SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Beta; Default; Personal bankruptcy; Consumer credit; Portfolio theory ID PERSONAL BANKRUPTCY; RATES AB In their pioneering work, Musto and Souleles (Journal of Monetary Economics 53(1):59-84, 2006) apply portfolio theory to consumer lending. This paper extends their work by analyzing three county-level credit outcome betas. We use the probability of default calibrated from the credit score, the actual default rate, and the actual bankruptcy rate to compute 'score', 'default', and 'bankruptcy' betas for each U.S. county. The correlation between default and bankruptcy betas is quite low. Counties in states in which a borrower has a right to take action against aggressive collection practices tend to have higher default betas but lower bankruptcy betas. These findings suggest the possibility of an 'informal bankruptcy' option for consumers. The effects of county score, default, and bankruptcy betas on the county average revolving credit line per borrower are negative. For small lenders that do not have access to the detailed historical credit files on individual consumers, the county-level beta approach of this paper might be helpful for diversifying portfolios geographically and managing risk on existing accounts. C1 [Desai, Chintal A.] Univ Texas Pan Amer, Edinburg, TX 78541 USA. [Elliehausen, Gregory] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Lawrence, Edward C.] Univ Missouri, St Louis, MO 63121 USA. RP Desai, CA (reprint author), Univ Texas Pan Amer, Edinburg, TX 78541 USA. EM desaica@utpa.edu NR 28 TC 1 Z9 1 U1 1 U2 5 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 EI 1573-0735 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD APR PY 2014 VL 45 IS 2 BP 201 EP 218 DI 10.1007/s10693-012-0157-8 PG 18 WC Business, Finance SC Business & Economics GA AC9AK UT WOS:000332826000003 ER PT J AU Shao, EC Silos, P AF Shao, Enchuan Silos, Pedro TI ACCOUNTING FOR THE CYCLICAL DYNAMICS OF INCOME SHARES SO ECONOMIC INQUIRY LA English DT Article ID LABOR-MARKET; MONOPOLISTIC COMPETITION; BUSINESS CYCLES; EQUILIBRIUM UNEMPLOYMENT; VACANCIES; BEHAVIOR; SEARCH; FLUCTUATIONS; RETURNS; SHOCKS AB Over the business cycle, labor's share of output is negatively but weakly correlated with output, and it lags output by about four quarters. Profits' share is strongly pro-cyclical. It neither leads nor lags output, and its volatility is about five times that of output. Those assumptions relate to the structure of aggregate technology and the degree of competition in factor markets. Despite much evidence in favor of time-varying income shares, macroeconomics still lacks models that can account for their time series facts. This article constructs a model that can replicate those facts. We introduce costly entry of firms in a model with frictional labor markets and find a link between the ability of the model to replicate income shares' dynamics and the ability of the model to amplify and propagate shocks. That link is a weak correlation between the real interest rate and output, a fact in U.S. data but a feature that models of aggregate fluctuations have had difficulty achieving. (JEL E3, E25, J3, E24) C1 [Shao, Enchuan] Bank Canada, Ottawa, ON K1A 0G9, Canada. [Silos, Pedro] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Shao, EC (reprint author), Bank Canada, Ottawa, ON K1A 0G9, Canada. EM eshao@bank-banque-canada.ca; Pedro.Silos@atl.frb.org NR 27 TC 1 Z9 1 U1 3 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD APR PY 2014 VL 52 IS 2 BP 778 EP 795 DI 10.1111/ecin.12065 PG 18 WC Economics SC Business & Economics GA AB4YM UT WOS:000331795900018 ER PT J AU Elyasiani, E Mester, LJ Pagano, MS AF Elyasiani, Elyas Mester, Loretta J. Pagano, Michael S. TI Large capital infusions, investor reactions, and the return and risk-performance of financial institutions over the business cycle SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Securities issuance; Market reaction; Financial service firms; Commercial banks; Government intervention ID MARKETS; OFFERINGS; IMPACT; STOCK; FIRMS; BANKS; COSTS; TARP AB We examine investors' reactions to announcements of large capital infusions by U.S. financial institutions (FIs) from 2000 to 2009. These infusions include private market infusions (seasoned equity offerings (SEOs)) as well as injections of government capital under the Troubled Asset Relief Program (TARP). The sample period covers both business cycle expansions and contractions, and the recent financial crisis. We present evidence on the factors affecting FIs' decisions to raise capital, the determinants of investor reactions, and post-infusion risk-taking of the recipients, as well as a sample of matching FIs. Investors reacted negatively to the news of private market SEOs by FIs, both in the immediate term (e.g., the two days surrounding the announcement) and over the subsequent year, but positively to TARP injections. Reactions differed depending on the characteristics of the FIs, and the stage of the business cycle. Smaller, more financially constrained non-bank institutions were more likely to have raised capital through private market offerings during the period prior to TARP, and firms receiving a TARP injection tended to be riskier and more levered. In the case of TARP recipients, they appeared to finance an increase in credit risk with more stable financing sources such as core deposits, which lowered their liquidity risk. However, we find no evidence that banks' capital adequacy increased after the capital injections. Published by Elsevier B.V. C1 [Elyasiani, Elyas] Temple Univ, Fox Sch Business & Management, Philadelphia, PA 19122 USA. [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Mester, Loretta J.] Univ Penn, Dept Finance, Wharton Sch, Philadelphia, PA 19104 USA. [Pagano, Michael S.] Villanova Univ, Villanova Sch Business, Villanova, PA 19085 USA. RP Mester, LJ (reprint author), Villanova Univ, Villanova Sch Business, Dept Finance, 800 Lancaster Ave, Villanova, PA 19085 USA. EM elyas@temple.edu; Loretta.Mester@phil.frb.org; Michael.Pagano@villanova.edu NR 33 TC 8 Z9 8 U1 1 U2 20 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD APR PY 2014 VL 11 BP 62 EP 81 DI 10.1016/j.jfs.2013.11.002 PG 20 WC Business, Finance; Economics SC Business & Economics GA AC3GW UT WOS:000332405900005 ER PT J AU Ghamami, S Goldberg, LR AF Ghamami, Samim Goldberg, Lisa R. TI Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA SO JOURNAL OF DERIVATIVES LA English DT Article AB Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's credit exposure to the counterparty. We consider a class of reduced form CVA models that includes the formulation of Hull and White and show that wrong way CVA need not exceed independent CVA. This result is based on some general properties of the model calibration scheme and a formula that we derive for intensity models of dependent CVA (wrong or right way). We support our result with a stylized analytical example as well as more realistic numerical examples based on the Hull and White model. We conclude with a discussion of the implications of our findings for Basel III CVA capital charges, which are predicated on the assumption that wrong way risk increases CVA. C1 [Ghamami, Samim] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Ghamami, Samim; Goldberg, Lisa R.] Univ Calif Berkeley, Ctr Risk Management Res, Berkeley, CA 94720 USA. [Goldberg, Lisa R.] Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Ghamami, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM samim.ghamami@frb.gov; lrg@stat.berkeley.edu NR 19 TC 4 Z9 4 U1 2 U2 4 PU INST INVESTOR INC PI NEW YORK PA 225 PARK AVE SOUTH, NEW YORK, NY 10003 USA SN 1074-1240 EI 2168-8524 J9 J DERIV JI J. Deriv. PD SPR PY 2014 VL 21 IS 3 BP 24 EP 35 PG 12 WC Business, Finance SC Business & Economics GA AM3VX UT WOS:000339782000002 ER PT J AU Chien, Y Song, J AF Chien, Yili Song, Joon TI A NOTE ON USING EXCESSIVE PERKS TO RESTRAIN THE HIDDEN SAVING PROBLEM SO MACROECONOMIC DYNAMICS LA English DT Article DE Hidden Saving; Moral Hazard Problem; Double Deviation; Perks ID OPTIMAL INCENTIVE CONTRACTS; PRINCIPAL-AGENT PROBLEMS; MORAL HAZARD; COMPENSATION; INFORMATION; ORGANIZATION; INSURANCE; COSTS; MODEL; PAY AB We offer an explanation for why perks are overprovided to high-profile CEOs. Hidden saving by an agent makes it difficult for a principal to control the agent's moral hazard problem. However, an agent typically cannot save perks; for example, a CEO who owns the right to use a private jet for personal use cannot bank the unused airplane hours. Thus, the principal may oversupply the agent perks to avoid the hidden saving problem. When the agent can both exert lower effort and save wage income, i.e., in the presence of the double deviation problem, we show that the principal supplies more perks than the agent would have purchased on his own (i.e., excessive perks). C1 [Chien, Yili] Fed Reserve Bank St Louis, St Louis, MO USA. [Song, Joon] Sungkyunkwan Univ, Seoul 110745, South Korea. RP Song, J (reprint author), Sungkyunkwan Univ, Dept Econ, 25-2 Sungkyunkwan Ro, Seoul 110745, South Korea. EM joonsong.econ@gmail.com RI Chien, Yili/I-5741-2016 OI Chien, Yili/0000-0002-6820-1197 NR 30 TC 0 Z9 0 U1 1 U2 4 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD MAR PY 2014 VL 18 IS 2 BP 480 EP 496 DI 10.1017/S136510051200048X PG 17 WC Economics SC Business & Economics GA AK4TN UT WOS:000338417100010 ER PT J AU Neumark, D Salas, JMI Wascher, W AF Neumark, David Salas, J. M. Ian Wascher, William TI REVISITING THE MINIMUM WAGE-EMPLOYMENT DEBATE: THROWING OUT THE BABY WITH THE BATHWATER? SO ILR REVIEW LA English DT Article ID FAST-FOOD INDUSTRY; PANEL-DATA; STATE; LAWS; UNEMPLOYMENT; SUBSTITUTION; CALIFORNIA AB The authors revisit the long-running minimum wage employment debate to assess new studies claiming that estimates produced by the panel data approach commonly used in recent minimum wage research are flawed by that approach's failure to account for spatial heterogeneity. The new studies use research designs intended to control for this heterogeneity and conclude that minimum wages in the United States have not reduced employment. The authors explore the ability of the new research designs to isolate reliable identifying information, and they test the designs' untested assumptions about the construction of better control groups. Their analysis reveals problems with the new research designs. Moreover, using methods that let the data identify the appropriate control groups, their results reaffirm the evidence of disemployment effects, with teen employment elasticities near -0.15. This evidence, they conclude, still shows that minimum wages pose a tradeoff of higher wages for some against job losses for others. C1 [Neumark, David] Univ Calif Irvine, Ctr Econ & Publ Policy, Irvine, CA 92697 USA. [Salas, J. M. Ian] Harvard Ctr Populat & Dev Studies, Cambridge, MA USA. [Wascher, William] Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Neumark, D (reprint author), Univ Calif Irvine, Ctr Econ & Publ Policy, Irvine, CA 92697 USA. NR 41 TC 25 Z9 25 U1 6 U2 24 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0019-7939 EI 2162-271X J9 ILR REV JI ILR Rev. PD SPR PY 2014 VL 67 SU S SI SI BP 608 EP 648 PG 41 WC Industrial Relations & Labor SC Business & Economics GA AI5AE UT WOS:000336877000007 ER PT J AU Azariadis, C AF Azariadis, Costas TI Credit Policy in times of Financial Distress SO JOURNAL OF MACROECONOMICS LA English DT Article DE Bank panics; Last resort; Capital requirements; Credit conditions ID DEPOSIT INSURANCE; MORAL-HAZARD; LIQUIDITY; EQUILIBRIUM; BUBBLES; PANICS; DEBT AB This essay evaluates two central bank policy tools, capital requirements and lending of last resort, designed to avert financial panics in the context of endowment economies with complete markets and limited borrower commitment. Credit panics are self-fulfilling shocks to expected credit conditions which cause transitions from an optimal but fragile steady state to a suboptimal state with zero unsecured credit. The main findings are: (i) Countercyclical reserve policies protect the optimal equilibrium against modest shocks but are powerless against large shocks. (ii) If we ignore private information and central bank inefficiencies, this class of models bears out Bagehot's 1873 claim in Lombard Street: panics are averted if central banks stand ready to lend at a rate somewhat above the one associated with the optimal state. (C) 2013 Elsevier Inc. All rights reserved. C1 [Azariadis, Costas] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Azariadis, Costas] Fed Reserve Bank St Louis, St Louis, MO USA. RP Azariadis, C (reprint author), Washington Univ, Dept Econ, Campus Box 1208, St Louis, MO 63130 USA. EM azariadi@wustl.edu NR 20 TC 0 Z9 0 U1 5 U2 8 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD MAR PY 2014 VL 39 SI SI BP 337 EP 345 DI 10.1016/j.jmacro.2013.09.003 PN B PG 9 WC Economics SC Business & Economics GA AH5QM UT WOS:000336185900012 ER PT J AU Engemann, KM Owyang, MT Wall, HJ AF Engemann, Kristie M. Owyang, Michael T. Wall, Howard J. TI WHERE IS AN OIL SHOCK? SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID MONETARY-POLICY; SUPPLY SHOCKS; PRICE SHOCKS; US ECONOMY; MACROECONOMY; STATES AB Much of the literature examining the effects of oil shocks asks the question What is an oil shock? and has concluded that oil-price increases are asymmetric in their effects on the U.S. economy. That is, sharp increases in oil prices affect economic activity adversely, but sharp decreases in oil prices have no effect. We reconsider the directional symmetry of oil-price shocks by addressing the question Where is an oil shock? the answer to which reveals a great deal of spatial/directional asymmetry across states. Although most states have typical responses to oil-price shocksthey are affected by positive shocks onlythe rest experience either negative shocks only (five states), both positive and negative shocks (five states), or neither shock (five states). C1 [Engemann, Kristie M.; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Wall, Howard J.] Lindenwood Univ, Ctr Econ & Environm, St Charles, MO 63301 USA. RP Engemann, KM (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM kristie.m.engemann@stls.frb.org; michael.t.owyang@stls.frb.org; hwall@lindenwood.edu RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 28 TC 1 Z9 1 U1 2 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 EI 1467-9787 J9 J REGIONAL SCI JI J. Reg. Sci. PD MAR PY 2014 VL 54 IS 2 BP 169 EP 185 DI 10.1111/jors.12071 PG 17 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA AG4GP UT WOS:000335377700001 ER PT J AU Matoso, R Rezende, M AF Matoso, Rafael Rezende, Marcelo TI Asymmetric information in oil and gas lease auctions with a national company SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Oil and gas lease auctions; Asymmetric information; National oil company ID PROPRIETARY INFORMATION; AIR AB This paper analyzes bidding behavior in oil and gas tract auctions in Brazil, where the main winner has been Petrobras, a national company. We test predictions from the theory of common-value, first-price, sealed-bid auctions with asymmetric information. The tests indicate that Petrobras was better informed about tract values than other bidders. We show that Petrobras bid higher than its competitors for more profitable tracts, and that it bid more frequently than its competitors for tracts being re-offered after receiving no bids in previous auctions. We also find evidence that Petrobras could bid competitively in a limited number of auctions only, and we discuss how our results can help to improve oil and gas tract auction rules. Published by Elsevier B.V. C1 [Matoso, Rafael] Petrobras SA, BR-20031912 Ctr Rio De Janeiro, RJ, Brazil. [Rezende, Marcelo] Fed Reserve Board, Washington, DC 20551 USA. RP Rezende, M (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM rafael.matoso@petrobras.com.br; marcelo.rezende@frb.gov NR 34 TC 0 Z9 0 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 EI 1873-7986 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD MAR PY 2014 VL 33 BP 72 EP 82 DI 10.1016/j.ijindorg.2014.02.006 PG 11 WC Economics SC Business & Economics GA AG8ZM UT WOS:000335707500008 ER PT J AU Cheng, AR Jahan-Parvar, MR AF Cheng, Ai-Ru Jahan-Parvar, Mohammad R. TI Risk-return trade-off in the pacific basin equity markets SO EMERGING MARKETS REVIEW LA English DT Article DE Conditional variance and skewness; Intertemporal CAPM; Pacific basin equity markets; Risk-return trade-off ID AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; GENERALIZED DISAPPOINTMENT AVERSION; STOCK RETURNS; ASSET PRICES; VOLATILITY; SKEWNESS; MODEL; REGIME; TESTS; GARCH AB We conduct an empirical study of risk-return trade-off in fourteen Pacific basin equity markets using several volatility estimators, including five variants of GARCH class, equally weighted rolling window volatility, and mixed data sampling (MIDAS), as well as binormal GARCH (BiN-GARCH) model which allows for non-zero conditional skewness in returns. Our findings imply that the BiN-GARCH model, which allows for time-variation in the conditional skewness and market price of risk, captures the expected positive risk-return relationship in eleven out of fourteen markets studied. In comparison, symmetric skewness models such as MIDAS or GARCH variants fail to capture positive and statistically significant market price of risk estimates. These results provide support for the growing literature on the necessity of modeling conditional higher moments in financial research. Published by Elsevier B.V. C1 [Cheng, Ai-Ru] No Illinois Univ, Dept Econ, De Kalb, IL 60115 USA. [Jahan-Parvar, Mohammad R.] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Jahan-Parvar, MR (reprint author), Fed Reserve Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM acheng1@niu.edu; Mohammad.Jahan-Parvar@frb.gov NR 32 TC 1 Z9 1 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1566-0141 EI 1873-6173 J9 EMERG MARK REV JI Emerg. Mark. Rev. PD MAR PY 2014 VL 18 BP 123 EP 140 DI 10.1016/j.ememar.2014.01.004 PG 18 WC Business, Finance; Economics SC Business & Economics GA AG4XN UT WOS:000335423800008 ER PT J AU Duca, JV Kumar, A AF Duca, John V. Kumar, Anil TI Financial literacy and mortgage equity withdrawals SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Mortgage equity withdrawals; Financial literacy; Consumption; Credit constraints ID HOUSEHOLD WEALTH-ACCUMULATION; HOUSING WEALTH; CONSUMPTION; DECISIONS; LIQUIDITY; EDUCATION; MARKETS; CREDIT; CRISIS; HOME AB Mortgage equity withdrawals (MEW) are correlated with covariates consistent with a permanent income framework augmented for credit-constraints. We assess linkages between MEW and financial literacy/education using the Health and Retirement Study (HRS) and Panel Study of Income Dynamics (PSID). We find that the financially literate are 3-5 percentage points less likely to withdraw housing equity via non-home equity loan mortgages using the HRS, while college graduates are 5 percentage points less likely than those without a high school degree in the PSID. Among those withdrawing housing equity in the PS1D, college graduates extract significantly less equity and are less likely to have high levels of housing leverage after doing so. (C) 2013 Elsevier Inc. All rights reserved. C1 [Duca, John V.; Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM john.v.duca@dal.frb.org; anil.kumar@dal.frb.org RI Ramalho, Thiago/E-4525-2016 NR 51 TC 6 Z9 6 U1 4 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2014 VL 80 BP 62 EP 75 DI 10.1016/j.jue.2013.08.003 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AE9JT UT WOS:000334324800006 ER PT J AU Gyourko, J Tracy, J AF Gyourko, Joseph Tracy, Joseph TI Reconciling theory and empirics on the role of unemployment in mortgage default SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Mortgage default; Unemployment; FHA AB Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment in the decision to stop payment on a mortgage. We help reconcile this divergence by employing a novel empirical strategy involving simulated unemployment histories to measure the severity of attenuation bias in loan-level estimations of default risk due to a borrower becoming unemployed. Attenuation bias results because individual data on unemployment status is unobserved, requiring that a market-wide unemployment rate be used as a proxy. Attenuation is extreme, with our results suggesting that the use of an aggregate unemployment rate in lieu of actual borrower unemployment status results in default risk from a borrower becoming unemployed being underestimated by a factor more than 100. In addition, our analysis indicates that adding the unemployment rate as a proxy for the missing borrower-specific unemployment indicator does not improve the accuracy of the estimated model over the specification without the proxy variable included. Hence, aggregate portfolio-level risk estimates for mortgage guarantors such as FHA also are not improved. These views represent those of the authors and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System. This is a revised version of a paper that previously circulated under the title "Unemployment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund (NBER Working Paper No. 18880). John Grigsby provided excellent research assistance. We appreciate the helpful comments of Andrew Haughwout, Wilbert van der Klaauw, the editor (Stuart Rosenthal) and referees, but remain responsible for any errors. (C) 2013 Elsevier Inc. All rights reserved. C1 [Gyourko, Joseph] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Tracy, Joseph] Fed Reserve Bank New York, New York, NY 10045 USA. RP Tracy, J (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM joestracy@gmail.com NR 21 TC 8 Z9 8 U1 2 U2 11 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2014 VL 80 BP 87 EP 96 DI 10.1016/j.jue.2013.10.005 PG 10 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AE9JT UT WOS:000334324800008 ER PT J AU Chiappori, PA Samphantharak, K Schulhofer-Wohl, S Townsend, RM AF Chiappori, Pierre-Andre Samphantharak, Krislert Schulhofer-Wohl, Sam Townsend, Robert M. TI Heterogeneity and risk sharing in village economies SO QUANTITATIVE ECONOMICS LA English DT Article DE Risk preferences; heterogeneity; complete markets; insurance; D12; D14; D53; D81; D91; G11; O16 ID INSURANCE; PREFERENCES; UNCERTAINTY; MARKET; INDIA; EQUILIBRIUM; AVERSION AB We show how to use panel data on household consumption to directly estimate households' risk preferences. Specifically, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we then test allowing for this heterogeneity. There is substantial, statistically significant heterogeneity in estimated risk preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk preferences are unrelated to wealth or other characteristics. The heterogeneity matters for policy: Although the average household would benefit from eliminating village-level risk, less-risk-averse households that are paid to absorb that risk would be worse off by several percent of household consumption. C1 [Chiappori, Pierre-Andre] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Samphantharak, Krislert] Univ Calif San Diego, Dept Econ, San Diego, CA 92103 USA. [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Townsend, Robert M.] MIT, Dept Econ, Cambridge, MA 02139 USA. RP Chiappori, PA (reprint author), Columbia Univ, Dept Econ, New York, NY 10027 USA. EM pc2167@columbia.edu; krislert@ucsd.edu; wohls@minneapolisfed.org; rtownsen@mit.edu FU NICHD NIH HHS [R01 HD027638] NR 30 TC 6 Z9 6 U1 0 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD MAR PY 2014 VL 5 IS 1 BP 1 EP 27 DI 10.3982/QE131 PG 27 WC Economics SC Business & Economics GA AE9QZ UT WOS:000334344800001 PM 24932226 ER PT J AU Davis, MA Fisher, JDM Whited, TM AF Davis, Morris A. Fisher, Jonas D. M. Whited, Toni M. TI MACROECONOMIC IMPLICATIONS OF AGGLOMERATION SO ECONOMETRICA LA English DT Article DE Economic growth; productivity; increasing returns; agglomeration; density ID PANEL DATA; TECHNOLOGICAL-CHANGE; GENERALIZED-METHOD; GROWTH; CITIES; MOMENTS; IDENTIFICATION; EXTERNALITIES; POPULATION; INEQUALITY AB Cities exist because of the productivity gains that arise from clustering production and workers, a process called agglomeration. How important is agglomeration for aggregate growth? This paper constructs a dynamic stochastic general equilibrium model of cities and uses it to estimate the effect of local agglomeration on aggregate growth. We combine aggregate time-series and city-level panel data to estimate the model's parameters via generalized method of moments. The estimates imply a statistically and economically significant impact of local agglomeration on the growth rate of per capita consumption, raising it by about 10%. C1 [Davis, Morris A.] Univ Wisconsin, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. [Fisher, Jonas D. M.] Fed Reserve Bank Chicago, Chicago, IL 60637 USA. [Whited, Toni M.] Univ Rochester, Simon Business Sch, Rochester, NY 14627 USA. RP Davis, MA (reprint author), Univ Wisconsin, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. EM mdavis@bus.wisc.edu; jfisher@frbchi.org; toni.whited@simon.rochester.edu RI Whited, Toni/K-5154-2013 OI Whited, Toni/0000-0001-5998-4647 NR 46 TC 8 Z9 9 U1 3 U2 15 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD MAR PY 2014 VL 82 IS 2 BP 731 EP 764 DI 10.3982/ECTA9029 PG 34 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AE0TF UT WOS:000333678400008 ER PT J AU Lopez, JA Spiegel, MM AF Lopez, Jose A. Spiegel, Mark M. TI Foreign Entry into Underwriting Services: Evidence from Japan's "Big Bang" Deregulation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE F34; Japan; euro-yen; securities; G24; G21; difference-in-differences; underwriting; Samurai ID UNITED-STATES; MARKET; COMPETITION; REPUTATION; IMPACT; FIRMS AB We examined the effect of foreign entry into bond market underwriting activity using issue-level data from the Japanese "Samurai" and euro-yen bond markets. We found that the fees charged by Japanese underwriters were higher on average than those of foreign underwriters, but the difference could be explained by conditioning on issue characteristics. Our results also suggest that bond issuers sorted properly across underwriters, as switching across underwriter nationalities would be expected to result in higher fees. However, the savings enjoyed by firms issuing with foreign underwriters were modest and statistically insignificant, while those of firms issuing with Japanese underwriters were substantial and statistically significant. This result suggests that Japanese underwriters priced their services aggressively over the sample period, perhaps in an effort to retain or gain market share. This conjecture is supported by a matching exercise that examined the liberalization of foreign underwriter access to the Samurai bond market, using euro-yen bond issues as a control. Foreign entry led to a statistically and economically significant decrease of 16 basis points on average in underwriting fees in the Samurai bond market. Overall, our results suggest that the international market for Japanese bond underwriting services was partially segmented by nationality as issuers appear to have preferred habitats, but that liberalization increased overall market competition. C1 [Lopez, Jose A.; Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Lopez, JA (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM jose.a.lopez@sf.frb.org; mark.spiegel@sf.frb.org NR 27 TC 0 Z9 0 U1 2 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2014 VL 46 IS 2-3 BP 445 EP 468 DI 10.1111/jmcb.12112 PG 24 WC Business, Finance; Economics SC Business & Economics GA AD6PH UT WOS:000333382800008 ER PT J AU Mora, N AF Mora, Nada TI Reason for Reserve? Reserve Requirements and Credit SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE bank credit; E5; F3; dollarization; reserve requirements; G28; G21; monetary policy ID MONETARY-POLICY; BANKS; DOLLARIZATION; TRANSMISSION; MARKET AB This paper considers the impact of a regulatory policy action on bank credit and traces its incidence across banks. I make use of a reserve requirement increase in Lebanon that was considerably greater on foreign currency deposits than on domestic currency deposits. All banks cut lending as they scrambled to adjust portfolios. But the policy shock disproportionately affected banks with a greater reliance on dollar funding and with low buffers of dollar liquid assets. Exposed domestic-owned banks also adjusted more slowly than similar foreign-owned banks that obtained outside funding. Descriptive firm-bank matching evidence reveals a disproportionate impact on small firms. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Mora, N (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM nada.mora@kc.frb.org NR 43 TC 4 Z9 4 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2014 VL 46 IS 2-3 BP 469 EP 501 DI 10.1111/jmcb.12113 PG 33 WC Business, Finance; Economics SC Business & Economics GA AD6PH UT WOS:000333382800009 ER PT J AU Kishor, NK Koenig, EF AF Kishor, N. Kundan Koenig, Evan F. TI Credit Indicators as Predictors of Economic Activity: A Real-Time VAR Analysis SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE data revisions; E51; credit indicators; C53; forecasting; E37; real time ID YIELD CURVE; BUSINESS-CYCLE; UNITED-STATES; ACCELERATOR; SPREAD; MODELS; POWER AB Using readily available indicators of the profitability, price, and availability of credit-the term spread, junk-bond spread, and banks' "willingness to lend" as reported by the Federal Reserve-we show that it is possible to significantly improve on the real-time output and employment predictions of forecasting professionals at the medium-run horizons that are most relevant to policymakers and private decision makers. Key to this improvement is a flexible state-space model of data revisions. The willingness-to-lend variable is the best real-time predictor of GDP growth. For forecasting job growth, all three credit indicators prove helpful. C1 [Kishor, N. Kundan] Univ Wisconsin Milwaukee, Dept Econ, Milwaukee, WI 53211 USA. [Koenig, Evan F.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Kishor, NK (reprint author), Univ Wisconsin Milwaukee, Dept Econ, Milwaukee, WI 53211 USA. EM kishor@uwm.edu; evan.f.koenig@dal.frb.org NR 29 TC 1 Z9 1 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2014 VL 46 IS 2-3 BP 545 EP 564 DI 10.1111/jmcb.12116 PG 20 WC Business, Finance; Economics SC Business & Economics GA AD6PH UT WOS:000333382800012 ER PT J AU Plante, M AF Plante, Michael TI The long-run macroeconomic impacts of fuel subsidies SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Oil; Fuel-price subsidies; Developing countries; Fiscal policy AB Many developing and emerging market countries have subsidies on fuel products. Using a small open economy model with a non-traded sector, I show how these subsidies impact the steady state levels of macroeconomic aggregates such as consumption, labor supply, and aggregate welfare. These subsidies can lead to crowding out of non-oil consumption, inefficient inter-sectoral allocations of labor, and other distortions in macroeconomic variables. Across steady states, aggregate welfare is reduced by these subsidies. This result holds for a country with no oil production and for a net exporter of oil. The distortions in relative prices introduced by the subsidy create most of the welfare losses. How the subsidy is financed is of secondary importance. Aggregate welfare is significantly higher if the subsidies are replaced by lump-sum transfers of equal value. (C) 2013 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Plante, M (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM michael.plante@dal.frb.org NR 29 TC 7 Z9 7 U1 0 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD MAR PY 2014 VL 107 BP 129 EP 143 DI 10.1016/j.jdeveco.2013.11.008 PG 15 WC Economics SC Business & Economics GA AD8AQ UT WOS:000333489300010 ER PT J AU Hartley, D AF Hartley, Daniel TI Great American City: Chicago and the Enduring Neighborhood Effect SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Hartley, Daniel] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Hartley, D (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 2 TC 0 Z9 0 U1 0 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD MAR PY 2014 VL 52 IS 1 BP 245 EP 246 PG 2 WC Economics SC Business & Economics GA AE1SX UT WOS:000333751300025 ER PT J AU Bassett, WF Chosak, MB Driscoll, JC Zakrajsek, E AF Bassett, William F. Chosak, Mary Beth Driscoll, John C. Zakrajsek, Egon TI Changes in bank lending standards and the macroeconomy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Credit supply disruptions; Bank lending policies; Credit crunch ID MONETARY-POLICY; DEPOSIT INSURANCE; CREDIT SPREADS; BUSINESS-CYCLE; MARKET; TRANSMISSION; CRUNCH; RISK; FLUCTUATIONS; DEMAND AB Identifying macroeconomic effects of credit shocks is difficult because many of the same factors that influence the supply of loans also affect the demand for credit. Using bank-level responses to the Federal Reserve's Loan Officer Opinion Survey, we construct a new credit supply indicator: changes in lending standards, adjusted for the macroeconomic and bank-specific factors that also affect loan demand. Tightening shocks to this credit supply indicator lead to a substantial decline in output and the capacity of businesses and households to borrow from banks, as well as to a widening of credit spreads and an easing of monetary policy. Published by Elsevier B.V. C1 [Bassett, William F.; Driscoll, John C.; Zakrajsek, Egon] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Zakrajsek, E (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. EM William.F.Bassett@frb.gov; mbchosak@gmail.com; John.C.Driscoll@frb.gov; Egon.Zakrajsek@frb.gov NR 55 TC 25 Z9 25 U1 1 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2014 VL 62 BP 23 EP 40 DI 10.1016/j.jmoneco.2013.12.005 PG 18 WC Business, Finance; Economics SC Business & Economics GA AE1HD UT WOS:000333719500002 ER PT J AU Gust, C Lopez-Salido, D AF Gust, Christopher Lopez-Salido, David TI Monetary policy and the cyclicality of risk SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Segmented markets; Equity premium; Monetary policy rules ID TIME-VARYING RISK; INTEREST-RATES; EQUITY PREMIUM; EXCHANGE-RATES; ASSET; LIQUIDITY; MARKETS; STOCK; FLUCTUATIONS; EQUILIBRIUM AB A dynamic general equilibrium model to study the relationship between monetary policy and movements in risk is developed. Variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. Accordingly, prices for risky assets respond sharply to aggregate shocks because only a relatively small subset of consumers are available to absorb these shocks. The model can account for both the mean and the volatility of returns on equity and the risk-free rate and generates a decline in the equity premium following an unanticipated easing of monetary policy. Published by Elsevier B.V. C1 [Gust, Christopher; Lopez-Salido, David] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Lopez-Salido, D (reprint author), 20th & C St NW, Washington, DC 20551 USA. EM christopher.j.gust@frb.gov; david.j.lopez-salido@frb.gov NR 31 TC 2 Z9 2 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2014 VL 62 BP 59 EP 75 DI 10.1016/j.jmoneco.2013.11.008 PG 17 WC Business, Finance; Economics SC Business & Economics GA AE1HD UT WOS:000333719500004 ER PT J AU Lester, TW Hartley, DA AF Lester, T. William Hartley, Daniel A. TI The long term employment impacts of gentrification in the 1990s SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Gentrification; Urban labor markets; Industrial displacement; Central city economic restructuring ID DISPLACEMENT; CHICAGO AB In the ongoing debate over the social benefits and costs of gentrification, one of the key questions left largely unaddressed by the empirical literature is the degree to which gentrification impacts local labor markets. This paper begins by exploring the nature of employment change in one archetypical gentrifying neighborhood-Chicago's Wicker Park to motivate the central hypothesis that gentrification is associated with industrial restructuring. Next, a detailed analysis is presented on the long-term employment changes in neighborhoods that have experienced gentrification during the 1990s across a sample of 20 large central cities. Specifically, this paper uses Freeman's (2005) definition to define tracts that experienced gentrification and compares employment outcomes in such tracts and those within a 1/4 mile buffer to comparable non-gentrified tracts. This analysis shows that employment grew slightly faster in gentrifying neighborhoods than other portions of the central city. However, jobs in restaurants and retail services tended to replace those lost in goods producing industries. This process of industrial restructuring occurred at a faster rate in gentrifying areas. Thus gentrification can be considered a contributory and catalytic factor in accelerating the shift away from manufacturing within urban labor markets. (C) 2014 Elsevier B.V. All rights reserved. C1 [Lester, T. William] Univ N Carolina, Dept City & Reg Planning, Chapel Hill, NC 27516 USA. [Hartley, Daniel A.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Lester, TW (reprint author), 320 New East,MC 3140, Chapel Hill, NC 27516 USA. EM twlester@unc.edu; daniel.hartley@clev.frb.org NR 26 TC 2 Z9 2 U1 3 U2 24 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAR PY 2014 VL 45 BP 80 EP 89 DI 10.1016/j.segsciurbeco.2014.01.003 PG 10 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA AE3EI UT WOS:000333859400007 ER PT J AU Da, Z Liu, QQ Schaumburg, E AF Da, Zhi Liu, Qianqiu Schaumburg, Ernst TI A Closer Look at the Short-Term Return Reversal SO MANAGEMENT SCIENCE LA English DT Article DE short-term return reversal; liquidity; sentiment; fundamental news ID STOCK RETURNS; CROSS-SECTION; EXPECTED RETURNS; LIQUIDITY; RISK; EQUILIBRIUM; ARBITRAGE; SENTIMENT; BEHAVIOR; MARKETS AB Stock returns unexplained by "fundamentals," such as cash flow news, are more likely to reverse in the short run than those linked to fundamental news. Making novel use of analyst forecast revisions to measure cash flow news, a simple enhanced reversal strategy generates a risk-adjusted return four times the size of the standard reversal strategy. Importantly, isolating the component of past returns not driven by fundamentals provides a cleaner setting for testing existing theories of short-term reversals. Using this approach, we find that both liquidity shocks and investor sentiment contribute to the observed short-term reversal, but in different ways: Specifically, the reversal profit is attributable to liquidity shocks on the long side because fire sales more likely demand liquidity, and it is attributable to investor sentiment on the short side because short-sale constraints prevent the immediate elimination of overvaluation. C1 [Da, Zhi] Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA. [Liu, Qianqiu] Univ Hawaii, Shidler Coll Business, Honolulu, HI 96822 USA. [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY 10045 USA. RP Da, Z (reprint author), Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA. EM zda@nd.edu; qianqiu@hawaii.edu; ernst.schaumburg@gmail.com NR 43 TC 11 Z9 11 U1 3 U2 23 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD MAR PY 2014 VL 60 IS 3 BP 658 EP 674 DI 10.1287/mnsc.2013.1766 PG 17 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA AC9FE UT WOS:000332839000007 ER PT J AU Han, S Zhou, X AF Han, Song Zhou, Xing TI Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction SO MANAGEMENT SCIENCE LA English DT Article DE corporate bond yield spreads; information asymmetry; information risk premium; credit risk; corporate default prediction ID OPTIMAL CAPITAL STRUCTURE; GOING-PUBLIC DECISION; BID-ASK SPREAD; CREDIT SPREADS; TERM STRUCTURE; INSTITUTIONAL INVESTORS; SECURITIES MARKETS; STOCK RETURNS; SWAP MARKET; LIQUIDITY AB Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed trading in corporate bonds and its ability to predict corporate defaults. We find that microstructure measures of information asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Furthermore, information asymmetry can help forecast corporate defaults after conditioning on other default prediction variables. Such forecasting ability of informed bond trading is especially useful for private firms because the bond market constitutes the only venue for informed traders to exploit their information advantages. C1 [Han, Song] Fed Reserve Board, Div Res & Stat, Short Term Funding Markets Sect, Washington, DC 20551 USA. [Zhou, Xing] Rutgers State Univ, Rutgers Business Sch, Dept Finance & Econ, Piscataway, NJ 08854 USA. RP Han, S (reprint author), Fed Reserve Board, Div Res & Stat, Short Term Funding Markets Sect, Washington, DC 20551 USA. EM song.han@frb.gov; xing.zhou@rbsmail.rutgers.edu NR 90 TC 2 Z9 2 U1 5 U2 32 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD MAR PY 2014 VL 60 IS 3 BP 675 EP 694 DI 10.1287/mnsc.2013.1768 PG 20 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA AC9FE UT WOS:000332839000008 ER PT J AU Hurst, E Li, G Pugsley, B AF Hurst, Erik Li, Geng Pugsley, Benjamin TI ARE HOUSEHOLD SURVEYS LIKE TAX FORMS? EVIDENCE FROM INCOME UNDERREPORTING OF THE SELF-EMPLOYED SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID LIFE-CYCLE; EVASION; RETURNS; ENTREPRENEURSHIP; NONCOMPLIANCE; EXPENDITURE; CONSUMPTION; CONSTRAINTS; ALLOCATION; DEMAND AB A large literature shows that the self-employed underreport their income to tax authorities. In this paper, we quantify the extent to which the self-employed also systematically underreport their income in U. S. household surveys. We use the Engel curve describing the relationship between income and expenditures of wage and salary workers to infer the actual income, and thus the reporting gap, of the self-employed based on their reported expenditures. On average, the self-employed underreport their income by about 25%. We show that failing to account for such income underreporting leads to biased conclusions in a variety of settings. C1 [Hurst, Erik] Univ Chicago, Chicago, IL 60637 USA. [Li, Geng] Board Governors Fed Reserve Syst, Washington, DC USA. [Pugsley, Benjamin] Fed Reserve Bank New York, New York, NY USA. RP Hurst, E (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 43 TC 19 Z9 19 U1 2 U2 19 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAR PY 2014 VL 96 IS 1 BP 19 EP 33 DI 10.1162/REST_a_00363 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AB9OH UT WOS:000332123700002 ER PT J AU Li, G AF Li, Geng TI INFORMATION SHARING AND STOCK MARKET PARTICIPATION: EVIDENCE FROM EXTENDED FAMILIES SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID PORTFOLIO CHOICE; YOUNG; PLAN AB Using the Panel Study of Income Dynamics, we document that controlling for observable characteristics, household investors' likelihood of entering the stock market within the ensuing five years is about 20% to 30% higher if their parents or children had entered the stock market during the previous five years. By eliminating competing hypotheses such as preference similarity and herding, we argue that these findings highlight the significance of information sharing regarding household financial decisions. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Li, G (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 22 TC 10 Z9 10 U1 1 U2 9 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAR PY 2014 VL 96 IS 1 BP 151 EP 160 PG 10 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AB9OH UT WOS:000332123700010 ER PT J AU Corradin, S Fillat, JL Vergara-Alert, C AF Corradin, Stefano Fillat, Jose L. Vergara-Alert, Carles TI Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID AUTOMOBILE PURCHASES; OPTIMAL CONSUMPTION; CONSUMER DURABLES; EXPECTED RETURNS; ASSET ALLOCATION; REGIME SHIFTS; ADJUSTMENT; BEHAVIOR; INVESTMENT; STOCKS AB We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a more valuable house is higher during periods of high expected growth in house prices. We also find that the share of wealth invested in risky assets is lower during periods of high expected growth in house prices. Finally, the decrease in risky portfolio holdings for households moving to a more valuable house is greater in high-growth periods. These findings are robust to tests using household-level data from the Panel Study of Income Dynamics (PSID) and Survey of Income and Program Participation (SIPP) surveys. The coefficients obtained using model-simulated data are consistent with those obtained in the empirical tests. C1 [Corradin, Stefano] European Cent Bank, Frankfurt, Germany. [Fillat, Jose L.] Fed Reserve Bank Boston, Boston, MA 02118 USA. [Vergara-Alert, Carles] IESE Business Sch, Barcelona, Spain. RP Fillat, JL (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02118 USA. EM jose.fillat@bos.frb.org NR 40 TC 4 Z9 4 U1 2 U2 16 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD MAR PY 2014 VL 27 IS 3 BP 823 EP 880 DI 10.1093/rfs/hht062 PG 58 WC Business, Finance; Economics SC Business & Economics GA AC3LO UT WOS:000332420600005 ER PT J AU Reina, V Begley, J AF Reina, Vincent Begley, Jaclene TI Will they stay or will they go: Predicting subsidized housing opt-outs SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Housing economics; Affordable housing; Subsidized housing; Preservation; Real estate; Rental housing AB Over the past 30 years, the share of renters in the United States spending over 30% of their income on rent, and thereby qualifying as rent burdened, has increased. This trend has particularly affected low-income families. At the same time, owners of thousands of privately owned, publicly subsidized rental housing units have left, or "opted out," of subsidy programs across the country. The efforts of local governments to preserve these properties as affordable housing are handicapped by a lack of understanding of the underlying factors that drive owners' decisions to opt out. This paper employs a unique dataset on subsidized properties in New York City and uses hazard models to explore why property owners in the Mitchell-Lama program, a New York State affordable housing program, choose to opt out. Our results suggest that properties located in neighborhoods with high property value growth, those with for-profit owners, and those past the affordability restrictions on all subsidies, are more likely to opt out. While our study focuses on Mitchell-Lama properties, the findings have broader implications for properties around the country that receive supply-side rental subsidies. We thank Jingqiang Du, Amy Faust, Tyler Jaeckel, Ken Adler, and Samantha Wright for their research assistance on this project. We are grateful for the valuable feedback from Vicki Been, Ingrid Gould Ellen, Andrew Hayashi, and the rest of the staff at the Furman Center for Real Estate and Urban Policy. We would also like to acknowledge the support from the Furman Center, Herbert Z. Gold, and the MacArthur Foundation. The opinions expressed herein are those of the authors and do not represent the official positions of the Federal Reserve Bank of Boston. (C) 2013 Elsevier Inc. All rights reserved. C1 [Reina, Vincent] Univ So Calif, Price Sch Publ Policy, Los Angeles, CA 90089 USA. [Reina, Vincent; Begley, Jaclene] Furman Ctr Real Estate & Urban Policy, New York, NY USA. [Begley, Jaclene] NYU, Wagner Sch Publ Serv, New York, NY 10003 USA. [Begley, Jaclene] Fed Reserve Bank Boston, Boston, MA USA. RP Reina, V (reprint author), Univ So Calif, Price Sch Publ Policy, Los Angeles, CA 90089 USA. EM vreina@usc.edu NR 21 TC 2 Z9 2 U1 2 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD MAR PY 2014 VL 23 BP 1 EP 16 DI 10.1016/j.jhe.2013.11.002 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AB9VM UT WOS:000332143800001 ER PT J AU Goodman, S Messeri, P O'Flaherty, B AF Goodman, Sarena Messeri, Peter O'Flaherty, Brendan TI How effective homelessness prevention impacts the length of shelter spells SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Homelessness prevention; Shelter spells; Family homelessness ID NEW-YORK-CITY; DURATION AB Homelessness prevention programs intervene with households apparently in imminent danger of becoming homeless, and try to keep them housed. If they are at least partially successful, how do they change the average shelter spell of households actually becoming homeless? We use data from 2003 to 2008 for Homebase, a New York City homelessness prevention program that studies have found to be effective in reducing shelter entries. Homebase made no difference in average shelter spells at the community level. This result, like many results about shelter spell length, is not easy to reconcile with the idea that shelter spell length is a reflection of the seriousness of underlying problems. (C) 2014 Elsevier Inc. All rights reserved. C1 [Goodman, Sarena] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Messeri, Peter] Columbia Univ, Mailman Sch Publ Hlth, New York, NY USA. [O'Flaherty, Brendan] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP O'Flaherty, B (reprint author), Columbia Univ, Dept Econ, New York, NY 10027 USA. EM bo2@columbia.edu FU NICHD NIH HHS [R24 HD058486]; NIMH NIH HHS [P30 MH071430] NR 16 TC 5 Z9 5 U1 2 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD MAR PY 2014 VL 23 BP 55 EP 62 DI 10.1016/j.jhe.2014.01.003 PG 8 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AB9VM UT WOS:000332143800005 PM 24610995 ER PT J AU Osili, UO Paulson, A AF Osili, Una Okonkwo Paulson, Anna TI Crises and confidence: Systemic banking crises and depositor behavior SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Systemic banking crises; Confidence; Deposit insurance; Reinforcement learning; Immigrants ID FINANCIAL DEVELOPMENT; FORM GAMES; INSURANCE; MARKET; RISK; INSTITUTIONS; IMMIGRATION; DEPRESSION; MODELS; WORK AB We show that individuals who have experienced a systemic banking crisis are 11 percentage points less likely to use banks in the U.S. than otherwise similar individuals who emigrated from the same country but did not live through a crisis. This finding is robust to controlling for exposure to other macroeconomic events and to various methods for addressing potential bias due to migrant self-selection. Consistent with the view that personal experience plays an important role in decision-making, the effects are larger for individuals who were older and more likely to have had wealth entrusted to the banking system at the time of the crisis and for people who experienced crises in countries without deposit insurance. (C) 2013 Elsevier B.V. All rights reserved. C1 [Osili, Una Okonkwo] Indiana Univ Purdue Univ, Indianapolis, IN 46202 USA. [Paulson, Anna] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Paulson, A (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM anna.paulson@chi.frb.org NR 49 TC 6 Z9 6 U1 7 U2 31 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAR PY 2014 VL 111 IS 3 BP 646 EP 660 DI 10.1016/j.jfineco.2013.11.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA AB0JZ UT WOS:000331479300007 ER PT J AU Dunn, A Shapiro, AH AF Dunn, Abe Shapiro, Adam Hale TI Do Physicians Possess Market Power? SO JOURNAL OF LAW & ECONOMICS LA English DT Article ID MEDICAL-CARE; HEALTH-CARE; HOSPITAL COMPETITION; PRICE INDEXES; UNITED-STATES; NONPROFIT; INSURANCE; CONSOLIDATION; CALIFORNIA; BEHAVIOR AB We study the degree to which greater physician concentration leads to higher service prices charged by physicians in the commercially insured medical care market. Using a database of physicians throughout the United States, we construct physician-firm concentration measures based on market boundaries defined by fixed driving times, which we label the fixed-travel-time Herfindahl-Hirschman index. We link these concentration measures to health insurance claims. We find that physicians in more concentrated markets charge higher service prices; a physician in the 90th percentile of market concentration will charge 14-30 percent higher fees than a physician in the 10th percentile. Our estimates imply that physician consolidation has caused about an 8 percent increase in fees on average over the last 20 years and substantially higher increases in concentrated markets. C1 [Dunn, Abe] Bur Econ Anal, Washington, DC 20230 USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Dunn, A (reprint author), Bur Econ Anal, Washington, DC 20230 USA. NR 51 TC 14 Z9 14 U1 0 U2 6 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-2186 EI 1537-5285 J9 J LAW ECON JI J. Law Econ. PD FEB PY 2014 VL 57 IS 1 BP 159 EP 193 DI 10.1086/674407 PG 35 WC Economics; Law SC Business & Economics; Government & Law GA AJ5OI UT WOS:000337733800006 ER PT J AU Andersen, TG Dobrev, D Schaumburg, E AF Andersen, Torben G. Dobrev, Dobrislav Schaumburg, Ernst TI A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY SO ECONOMETRIC THEORY LA English DT Article ID HIGH-FREQUENCY DATA; MICROSTRUCTURE NOISE; QUADRATIC VARIATION; REALIZED VARIANCE; VOLATILITY MODELS; LIMIT-THEOREMS; JUMPS; TIME; DYNAMICS; KERNELS AB We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high-frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the significant empirical challenges for IQ estimation posed by commonly encountered data imperfections and set forth three complementary approaches for improving IQ-based inference. First, we show that many common deviations from the jump-diffusive null can be dealt with by a novel filtering scheme that generalizes truncation of individual returns to truncation of arbitrary functionals on return blocks. Second, we propose a new family of efficient robust neighborhood truncation (RNT) estimators for integrated power variation based on order statistics of a set of unbiased local power variation estimators on a block of returns. Third, we find that ratio-based inference, originally proposed in this context by Barndorff-Nielsen and Shephard (2002, Journal of Applied Econometrics 17, 457-477), has desirable robustness properties in the face of regularly occurring data imperfections and thus is well suited for empirical applications. We confirm that the proposed filtering scheme and the RNT estimators perform well in our extensive simulation designs and in an application to the individual Dow Jones 30 stocks. C1 [Andersen, Torben G.] Northwestern Univ, Evanston, IL 60208 USA. [Dobrev, Dobrislav] Fed Reserve Board Governors, Washington, DC USA. [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY USA. RP Andersen, TG (reprint author), Northwestern Univ, Kellogg Sch Management, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM t-andersen@northwestern.edu FU NSF; CREATES by the Danish National Research Foundation FX We are grateful to two anonymous referees as well as the editor, Jun Yu, for comments. We also thank participants at the 2010 SETA Conference at Singapore Management University and the Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant, Toulouse, France, May 2011; the NBER-NSF Time Series Conference, Michigan State University, September 16-17, 2011; the 5th International Conference on Computational and Financial Econometrics, London, December 17-19, 2011; the 5th Annual SoFiE Conference - Oxford-Man Institute, June 20-22, 2012; the North American Summer Meeting of the Econometric Society, Evanston, June 28-July 1, 2012; along with Federico Bandi, Peter R. Hansen, Andrew Patton, Peter C. B. Phillips, and Kevin Sheppard for comments on an earlier draft. Excellent research assistance was provided by Patrick Mason. Andersen gratefully acknowledges financial support from the NSF through a grant to the NBER and by CREATES, funded by the Danish National Research Foundation. The views in this paper are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, or of any other person associated with the Federal Reserve System. Address correspondence to Torben G. Andersen, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, Evanston, IL 60208, USA; e-mail: t-andersen@northwestern.edu. NR 39 TC 5 Z9 5 U1 1 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0266-4666 EI 1469-4360 J9 ECONOMET THEOR JI Economet. Theory PD FEB PY 2014 VL 30 IS 1 BP 3 EP 59 DI 10.1017/S026646661300011X PG 57 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AJ5BG UT WOS:000337695000002 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES SO ECONOMETRIC THEORY LA English DT Article ID CENTRAL-LIMIT-THEOREM; SEMIPARAMETRIC ESTIMATORS; EDGEWORTH EXPANSIONS; QUADRATIC-FORMS; INDEX MODELS; U-STATISTICS; COEFFICIENTS; REGRESSION; EFFICIENCY; VARIANCE AB This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (Econometrica 57, 1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels, and the standard errors are "robust" in the sense that they accommodate (but do not require) bandwidths that are smaller than those for which conventional standard errors are valid. Moreover, the results of a Monte Carlo experiment suggest that the finite sample coverage rates of confidence intervals constructed using the standard errors developed in this paper coincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths. C1 [Cattaneo, Matias D.] Univ Michigan, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY USA. [Jansson, Michael] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Jansson, Michael] CREATES, Warwick, England. RP Jansson, M (reprint author), Univ Calif Berkeley, Dept Econ, 530 Evans Hall 3880, Berkeley, CA 94720 USA. EM mjansson@econ.berkeley.edu OI Cattaneo, Matias/0000-0003-0493-7506 FU National Science Foundation [SES 0921505, SES 0920953]; CREATES - Danish National Research Foundation FX The authors thank Oliver Linton, two referees, Bryan Graham, Jim Powell, Tom Rothenberg, Paul Ruud, and seminar participants at Arizona, Berkeley, Boston University, Cornell, Harvard, Michigan, Michigan State, Ohio State, Penn State, Western Ontario, the 2008 Latin American Meeting of the Econometric Society, the 2009 North American Summer Meeting of the Econometric Society, the 2009 All UC Econometrics Conference, and the 2010 International Symposium on Econometric Theory and Applications for comments. We thank Jasjeet Sekhon and Rocio Titiunik for providing access to the Calgrid cluster. Cattaneo gratefully acknowledges financial support from the National Science Foundation (SES 0921505). Jansson gratefully acknowledges financial support from the National Science Foundation (SES 0920953) and the research support of CREATES (funded by the Danish National Research Foundation). Address correspondence to Michael Jansson, University of California, Berkeley, Department of Economics, 530 Evans Hall #3880, Berkeley, CA 94720-3880; e-mail: mjansson@econ.berkeley.edu. NR 30 TC 3 Z9 3 U1 3 U2 9 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0266-4666 EI 1469-4360 J9 ECONOMET THEOR JI Economet. Theory PD FEB PY 2014 VL 30 IS 1 BP 176 EP 200 DI 10.1017/S0266466613000169 PG 25 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AJ5BG UT WOS:000337695000007 ER PT J AU Dettling, LJ Kearney, MS AF Dettling, Lisa J. Kearney, Melissa S. TI House prices and birth rates: The impact of the real estate market on the decision to have a baby SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Fertility; HPI; Credit constraints; Home equity; Cyclicality of births; MSA; Housing market ID BUSINESS CYCLES; UNITED-STATES AB This project investigates how changes in Metropolitan Statistical Area (MSA)-level house prices affect household fertility decisions. Recognizing that housing is a major cost associated with child rearing, and assuming that children are normal goods, we hypothesize that an increase in house prices will have a negative price effect on current period fertility. This applies to both potential first-time homeowners and current homeowners who might upgrade to a bigger house with the addition of a child. On the other hand, for current homeowners, an increase in MSA-level house prices will increase home equity, leading to a positive effect on birth rates. Our results suggest that indeed, short-term increases in house prices lead to a decline in births among non-owners and a net increase among owners. The estimates imply that a $10,000 increase leads to a 5% increase in fertility rates among owners and a 2.4% decrease among non-owners. At the mean U.S. home ownership rate, these estimates imply that the net effect of a $10,000 increase in house prices is a 0.8% increase in current period fertility rates. Given underlying differences in home ownership rates, the predicted net effect of house price changes varies across demographic groups. In addition, we find that changes in house prices exert a larger effect on current period birth rates than do changes in unemployment rates. (C) 2013 Elsevier B.V. All rights reserved. C1 [Dettling, Lisa J.] Fed Reserve Board, Washington, DC USA. [Kearney, Melissa S.] Univ Maryland, College Pk, MD 20742 USA. [Kearney, Melissa S.] NBER, Cambridge, MA 02138 USA. RP Kearney, MS (reprint author), Univ Maryland, Dept Econ, College Pk, MD 20742 USA. EM lisa.j.dettling@frb.gov; Kearney@econ.umd.edu NR 35 TC 11 Z9 12 U1 2 U2 22 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2014 VL 110 BP 82 EP 100 DI 10.1016/j.jpubeco.2013.09.009 PG 19 WC Economics SC Business & Economics GA AD8HQ UT WOS:000333507500007 ER PT J AU Bandyopadhyay, S Sandler, T AF Bandyopadhyay, Subhayu Sandler, Todd TI Immigration policy and counterterrorism SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Transnational terrorism; Immigration; International externalities; Counterterrorism policy; Developing country ID TERRORISM; AID AB In a developing country, terrorists recruit and allocate their capital, skilled labor, and unskilled labor between domestic and foreign targets. Domestic targets require less skilled labor than foreign targets. Under various strategic scenarios, we show how countermeasures against the different terrorist inputs alter the amount and mix of targets, as well as how skilled and unskilled immigration quotas by a targeted foreign country affect this mix of attacks. We find that increases in skilled labor quotas generally reduce terrorist attacks in the foreign country, especially when the terrorists reside in a skill-scarce country. A number of different strategic scenarios, including leader-follower, are investigated. (C) 2014 The Authors. Published by Elsevier B.V. All rights reserved. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Sandler, Todd] Univ Texas Dallas, Sch Econ Polit & Policy Sci, Richardson, TX 75080 USA. RP Sandler, T (reprint author), Univ Texas Dallas, Sch Econ Polit & Policy Sci, 800 W Campbell Rd, Richardson, TX 75080 USA. EM bandyopadhyay@stls.frb.org; tsandler@utdallas.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 21 TC 3 Z9 3 U1 0 U2 7 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2014 VL 110 BP 112 EP 123 DI 10.1016/j.jpubeco.2013.12.013 PG 12 WC Economics SC Business & Economics GA AD8HQ UT WOS:000333507500009 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI Incentives and responses under No Child Left Behind: Credible threats and the role of competition SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE No Child Left Behind; Incentives; Public school performance; Regression discontinuity ID REGRESSION-DISCONTINUITY DESIGN; SCHOOL ACCOUNTABILITY; VOUCHER THREATS; FLORIDA AB NCLB mandated the institution of Adequate Yearly Progress (AYP) objectives, and schools are assigned an AYP pass/fail based on performance in these objectives. AYP-fail status is associated with negative publicity and often sanctions. Using data from Wisconsin and alternate regression discontinuity designs, I study the incentives and responses of schools that failed AYP once. Math-induced AYP-failures showed strong improvements in math, while reading-induced AYP-failures showed marked improvements in reading. Consistent with incentives, these schools showed no positive effect in other high stakes objectives. In contrast, test-participation failures showed no effect in either high stakes reading or math, while they showed some evidence of positive (though not statistically significant) effects in test participation. Improvements in reading are associated with parallel effects in low stakes language arts (possibly due to spillover effects), while there is no evidence of effects in low stakes science or social studies. Nor is there evidence of effects on graduation rates. Performance in low stakes grades suffered, and so did performance in weaker subgroups in spite of their inclusion in AYP computations. There is evidence of focus on marginal students around high stakes cutoffs in subject areas AYP-failed schools improved in, but this did not come at the expense of ends. Credibility of threat mattered-AYP-failed schools that faced more competition responded considerably more strongly in the objectives they had incentives in. (C) 2013 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org NR 35 TC 6 Z9 6 U1 0 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2014 VL 110 BP 124 EP 146 DI 10.1016/j.jpubeco.2013.08.005 PG 23 WC Economics SC Business & Economics GA AD8HQ UT WOS:000333507500010 ER PT J AU Krainer, J Laderman, E AF Krainer, John Laderman, Elizabeth TI Mortgage Loan Securitization and Relative Loan Performance SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Mortgage lending; Securitization; Loan quality; Asymmetric information AB We compare the ex ante observable risk characteristics, the default performance, and the pricing of securitized mortgage loans to mortgage loans retained by the original lender. In our sample of loans originated between 2000 and 2007, we find that privately securitized fixed and adjustable-rate mortgages were riskier ex ante than lender-retained loans or loans securitized through the government sponsored agencies. We do not find any evidence of differential loan performance for privately securitized fixed-rate mortgages. We find evidence that privately securitized adjustable-rate mortgages performed worse than retained mortgages, although other observable factors appear to be more economically important determinants of mortgage default. We do not find any evidence of a compensating premium in the loan rates for privately securitized adjustable-rate mortgages. C1 [Krainer, John; Laderman, Elizabeth] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Krainer, J (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM John.Krainer@sf.frb.org; Elizabeth.Laderman@sf.frb.org NR 18 TC 5 Z9 5 U1 0 U2 3 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 EI 1573-0735 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD FEB PY 2014 VL 45 IS 1 BP 39 EP 66 DI 10.1007/s10693-013-0161-7 PG 28 WC Business, Finance SC Business & Economics GA AC4KU UT WOS:000332490700003 ER PT J AU Brown, JP Goetz, SJ Ahearn, MC Liang, CL AF Brown, Jason P. Goetz, Stephan J. Ahearn, Mary C. Liang, Chyi-lyi (Kathleen) TI Linkages Between Community-Focused Agriculture, Farm Sales, and Regional Growth SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE farm structure; community-focused agriculture; regional growth ID ECONOMIC-GROWTH; UNITED-STATES; US; AMENITIES; PATTERNS; QUALITY; SIZE AB Community-focused agriculture has been heralded as a development strategy to induce local economic growth. This study examines county-level linkages between community-focused agriculture and growth in total agricultural sales and economic growth more broadly. Using Census of Agriculture data, regional growth models are estimated on real personal income per capita change between 2002 and 2007. We find no association between community-focused agriculture and growth in total agricultural sales at the national level, but do in some regions of the United States. A $1 increase in farm sales led to an annualized increase of $0.04 in county personal income. With few exceptions, community-focused agriculture did not make significant contributions to economic growth in the time period analyzed. C1 [Brown, Jason P.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Goetz, Stephan J.] Penn State Univ, Northeast Reg Ctr Rural Dev, University Pk, PA 16802 USA. [Ahearn, Mary C.] USDA, ERS, Washington, DC 20250 USA. [Liang, Chyi-lyi (Kathleen)] Univ Vermont, Dept Community Dev & Appl Econ, Burlington, VT USA. RP Brown, JP (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM jason.brown@kc.frb.org NR 36 TC 5 Z9 5 U1 2 U2 10 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 EI 1552-3543 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2014 VL 28 IS 1 SI SI BP 5 EP 16 DI 10.1177/0891242413506610 PG 12 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA AB2IQ UT WOS:000331616800002 ER PT J AU Goetz, SJ Rupasingha, A AF Goetz, Stephan J. Rupasingha, Anil TI The Determinants of Self-Employment Growth Insights From County-Level Data, 2000-2009 SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE policy; self-employment; agglomeration; entrepreneurship ID ENTREPRENEURS; US AB The sustained surge in self-employment since 2000 has largely gone unnoticed by policy makers and economic developers. Here the authors document this surge and identify variables associated with expanding self-employment. Results provide mixed evidence about the importance of capital access to self-employment growth, but reveal that different approaches are needed in different county types depending on their proximity to metro areas and population size, if the goal is to increase future rural self-employment rates. In all county types, the initial share of self-employed predicts self-employment growth, underscoring the importance of a culture favoring entrepreneurship and path dependence. Self-employment earnings and educational attainment also play significant roles, as does the ethnic diversity of the population. Population density matters in both rural and urban counties, but less so within individual rural-urban continuum code categories. State policy, especially labor market freedom, has important effects on self-employment in most county types and periods studied. C1 [Goetz, Stephan J.] Penn State Univ, Northeast Reg Ctr Rural Dev, State Coll, PA 16802 USA. [Rupasingha, Anil] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Goetz, SJ (reprint author), Penn State Univ, 7 Amsby Bldg, State Coll, PA 16802 USA. EM sgoetz@psu.edu NR 34 TC 2 Z9 2 U1 2 U2 17 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 EI 1552-3543 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2014 VL 28 IS 1 SI SI BP 42 EP 60 DI 10.1177/0891242413507102 PG 19 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA AB2IQ UT WOS:000331616800005 ER PT J AU Pender, JL Weber, JG Brown, JP AF Pender, John L. Weber, Jeremy G. Brown, Jason P. TI Sustainable Rural Development and Wealth Creation Five Observations Based on Emerging Energy Opportunities SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE community development; industry; wealth creation; sustainability; rural development; industry studies ID WIND POWER DEVELOPMENT; NATURAL-GAS; ECONOMIC-IMPACTS; ETHANOL PLANTS; LAND-USE; US; GROWTH; EMISSIONS; FRAMEWORK; INDUSTRY AB In this article, the authors argue that better data and research on rural wealth creation are greatly needed and present a conceptual framework to help guide such research. The authors then discuss five observations about rural wealth creation, based on examples drawn from the recent literature on emerging energy industries in rural America. The cases show that the types of data needed to draw conclusions about wealth effects of new development are highly contextual. The framework can help researchers think about the types of data needed to assess policy. C1 [Pender, John L.; Weber, Jeremy G.] USDA, ERS, Resource & Rural Econ Div, Washington, DC 20250 USA. [Brown, Jason P.] Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Pender, JL (reprint author), USDA, ERS, 1400 Independence Ave,SW,Mailstop 1800, Washington, DC 20250 USA. EM jpender@ers.usda.gov NR 83 TC 2 Z9 2 U1 3 U2 14 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 EI 1552-3543 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2014 VL 28 IS 1 SI SI BP 73 EP 86 DI 10.1177/0891242413513327 PG 14 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA AB2IQ UT WOS:000331616800007 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI The Balance Sheet and the Future of Fed Policy SO OPEN ECONOMIES REVIEW LA English DT Article DE Balance sheet; Monetary policy AB The size of the Fed's balance sheet has almost quadrupled since 2007, and the composition of the balance sheet has changed in important ways, with regard to both assets and liabilities. This short paper asseses the implications for how monetary policy works, and the entailed risks. The size of the balance sheet and its composition may not matter economically, but there are significant political risks. The political risk-taking may make monetary policy choices more difficult than they would otherwise be. C1 [Williamson, Stephen D.] Washington Univ, St Louis, MO 63130 USA. [Williamson, Stephen D.] Fed Reserve Bank St Louis, St Louis, MO USA. [Williamson, Stephen D.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Williamson, SD (reprint author), Washington Univ, St Louis, MO 63130 USA. EM swilliam@artsci.wustl.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 4 TC 1 Z9 1 U1 0 U2 5 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 EI 1573-708X J9 OPEN ECON REV JI Open Econ. Rev. PD FEB PY 2014 VL 25 IS 1 SI SI BP 163 EP 170 DI 10.1007/s11079-013-9302-8 PG 8 WC Economics SC Business & Economics GA AB5LF UT WOS:000331829300007 ER PT J AU Barbarino, A Mastrobuoni, G AF Barbarino, Alessandro Mastrobuoni, Giovanni TI The Incapacitation Effect of Incarceration: Evidence from Several Italian Collective Pardons SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID SENTENCE ENHANCEMENTS; STATISTICAL LIFE; CRIME REDUCTION; PRISON; IMPRISONMENT; PUNISHMENT; INFERENCE; VARIABLES AB We estimate the "incapacitation effect" on crime using variation in Italian prison population driven by eight collective pardons passed between 1962 and 1990. The prison releases are sudden (within one day), very large (up to 35 percent of the entire prison population), and happen nationwide. Exploiting this quasi-natural experiment we break the simultaneity of crime and prisoners and, in addition, use the national character of the pardons to separately identify incapacitation from changes in deterrence. The elasticity of total crime with respect to incapacitation is between -17 and -30 percent. A cost-benefit analysis suggests that Italy's prison population is below its optimal level. C1 [Barbarino, Alessandro] Fed Reserve Board, Washington, DC 20551 USA. [Mastrobuoni, Giovanni] Univ Essex, Colchester CO4 3SQ, Essex, England. [Mastrobuoni, Giovanni] IZA, Coll Carlo Alberto, Turin, Italy. [Mastrobuoni, Giovanni] Netspar, Tilburg, Netherlands. RP Barbarino, A (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM alessandro.barbarino@frb.gov; gmastrob@essex.ac.uk OI Mastrobuoni, Giovanni/0000-0002-7597-6855 NR 63 TC 10 Z9 10 U1 1 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2014 VL 6 IS 1 BP 1 EP 37 DI 10.1257/pol.6.1.1 PG 37 WC Economics SC Business & Economics GA AA6GC UT WOS:000331195800001 ER PT J AU Bullard, J Eusepi, S AF Bullard, James Eusepi, Stefano TI WHEN DOES DETERMINACY IMPLY EXPECTATIONAL STABILITY? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Review ID MONETARY-POLICY; RATIONAL-EXPECTATIONS; MODELS; RULES AB Since the introduction of rational expectations, there have been issues with multiple equilibria and equilibrium selection. We study the connections between determinacy of rational expectations equilibrium and learnability of that equilibrium in a general class of purely forward-looking models. Our framework is sufficiently flexible to encompass lags in agents' information and either finite horizon or infinite horizon approaches to learning. We are able to isolate conditions under which determinacy does and does not imply learnability and also conditions under which long-horizon forecasts make a clear difference for learnability. Finally, we apply our result to a relatively general New Keynesian model. C1 Fed Reserve Bank St Louis, St Louis, MO USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, Dept Res & Stat, 33 Liberty St, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 23 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2014 VL 55 IS 1 BP 1 EP 22 DI 10.1111/iere.12039 PG 22 WC Economics SC Business & Economics GA AA4OP UT WOS:000331075800001 ER PT J AU Feng, ZG Miao, JJ Peralta-Alva, A Santos, MS AF Feng, Zhigang Miao, Jianjun Peralta-Alva, Adrian Santos, Manuel S. TI NUMERICAL SIMULATION OF NONOPTIMAL DYNAMIC EQUILIBRIUM MODELS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID STATIONARY MARKOV EQUILIBRIA; OVERLAPPING-GENERATIONS; LIFE-CYCLE; INCOMPLETE MARKETS; BUSINESS CYCLES; ECONOMIES; TAX; CONSUMPTION; TAXATION AB In this article, we propose a recursive equilibrium algorithm for the numerical simulation of nonoptimal dynamic economies. This algorithm builds upon a convergent operator over an expanded set of state variables. The fixed point of this operator defines the set of all Markovian equilibria. We study approximation properties of the operator. We also apply our recursive equilibrium algorithm to various models with heterogeneous agents, incomplete financial markets, endogenous and exogenous borrowing constraints, taxes, and money. C1 Purdue Univ, W Lafayette, IN 47907 USA. Boston Univ, Boston, MA 02215 USA. Zhejiang Univ, Cent Univ Finance & Econ, Hangzhou, Zhejiang, Peoples R China. Fed Reserve Bank St Louis, St Louis, MO USA. Univ Miami, Coral Gables, FL 33124 USA. RP Santos, MS (reprint author), Univ Miami, Dept Econ, POB 248126, Coral Gables, FL 33124 USA. EM m.santos2@miami.edu NR 37 TC 10 Z9 10 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2014 VL 55 IS 1 BP 83 EP 110 DI 10.1111/iere.12042 PG 28 WC Economics SC Business & Economics GA AA4OP UT WOS:000331075800004 ER PT J AU Chan, SW Sharygin, C Been, V Haughwout, A AF Chan, Sewin Sharygin, Claudia Been, Vicki Haughwout, Andrew TI Pathways After Default: What Happens to Distressed Mortgage Borrowers and Their Homes? SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Mortgage; Default; Modification; Foreclosure; REO ID FORECLOSURE AB We use a detailed dataset of seriously delinquent mortgages to examine the dynamic process of mortgage default-from initial delinquency and default to final resolution of the loan and disposition of the property. We estimate a two-stage competing risk hazard model to assess the factors associated with post-default outcomes, including whether a borrower receives a legal notice of foreclosure. In particular, we focus on a borrower's ability to avoid a foreclosure auction by getting a modification, by refinancing the loan, or by selling the property. We find that the outcomes of the foreclosure process are significantly related to: loan characteristics including the borrower's credit history, current loan-to-value and the presence of a junior lien; the borrower's post-default payment behavior, including the borrower's participation in foreclosure counseling; neighborhood characteristics such as foreclosure rates, recent house price depreciation and median income; and the borrower's race and ethnicity. C1 [Chan, Sewin] NYU, Robert F Wagner Sch Publ Serv, New York, NY 10012 USA. [Sharygin, Claudia] Urban Inst, Washington, DC 20037 USA. [Been, Vicki] NYU, Sch Law, New York, NY 10012 USA. [Haughwout, Andrew] Fed Reserve Bank New York, New York, NY 10045 USA. RP Chan, SW (reprint author), NYU, Robert F Wagner Sch Publ Serv, 295 Lafayette St, New York, NY 10012 USA. EM sewin.chan@nyu.edu; csharygin@urban.org; vicki.been@nyu.edu; andrew.haughwout@ny.frb.org NR 26 TC 6 Z9 6 U1 1 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD FEB PY 2014 VL 48 IS 2 BP 342 EP 379 DI 10.1007/s11146-012-9400-1 PG 38 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AA0EJ UT WOS:000330767800007 ER PT J AU Erceg, C Linde, J AF Erceg, Christopher Linde, Jesper TI IS THERE A FISCAL FREE LUNCH IN A LIQUIDITY TRAP? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID INFLATION DYNAMICS; NOMINAL RIGIDITIES; MONETARY-POLICY; GOVERNMENT; SHOCKS; MULTIPLIER; FRICTIONS; US AB In this paper, we use a dynamic stochastic general equilibrium model to examine the effects of an expansion in government spending in a liquidity trap. If the liquidity trap is very prolonged, the spending multiplier can be much larger than in normal circumstances, and the budgetary costs minimal. However, given this fiscal free lunch, it is unclear why policymakers would want to limit the size of fiscal expansion. Our paper addresses this question in a model environment in which the duration of the liquidity trap is determined endogenously, and depends on the size of the fiscal stimulus. We show that even if the multiplier is high for small increases in government spending, it may decrease substantially at higher spending levels; thus, it is crucial to distinguish between the marginal and average responses of output and government debt. C1 [Erceg, Christopher; Linde, Jesper] Fed Reserve Board, Washington, DC 20551 USA. RP Erceg, C (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM christopher.erceg@frb.gov; jesper.l.linde@frb.gov NR 37 TC 19 Z9 19 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1542-4766 EI 1542-4774 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD FEB PY 2014 VL 12 IS 1 BP 73 EP 107 DI 10.1111/jeea.12059 PG 35 WC Economics SC Business & Economics GA AA1JP UT WOS:000330852800004 ER PT J AU Corsetti, G Dedola, L Leduc, S AF Corsetti, Giancarlo Dedola, Luca Leduc, Sylvain TI THE INTERNATIONAL DIMENSION OF PRODUCTIVITY AND DEMAND SHOCKS IN THE US ECONOMY SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID REAL EXCHANGE-RATE; MONETARY-POLICY; CURRENT ACCOUNT; BUSINESS-CYCLE; FISCAL-POLICY; TRADE; TECHNOLOGY; FLUCTUATIONS; ADJUSTMENT; MATTER AB This paper analyzes the cross-country effects of productivity and demand disturbances in the United States identified with sign restrictions based on standard theory. Productivity gains in US manufacturing increase US consumption and investment vis-a-vis foreign countries, resulting in a trade deficit and higher international prices of US goods, despite the rise in their supply. Financial adjustment works via a higher global value of US equities, real dollar appreciation, and an expansion of US gross foreign liabilities as well as assets. Positive demand shocks to US manufacturing also increase investment and cause a real dollar appreciation, but have limited effects on the trade balance and net foreign assets. Our findings emphasize the importance for macroeconomic interdependence of endogenous fluctuations in aggregate demand across countries in response to business cycle shocks. C1 [Corsetti, Giancarlo] Univ Cambridge, Cambridge CB2 1TN, England. [Dedola, Luca] European Cent Bank, Frankfurt, Germany. [Leduc, Sylvain] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Corsetti, G (reprint author), Univ Cambridge, Cambridge CB2 1TN, England. EM gc422@cam.ac.uk; luca.dedola@ecb.int; Sylvain.Leduc@sf.frb.org OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 43 TC 10 Z9 10 U1 4 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1542-4766 EI 1542-4774 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD FEB PY 2014 VL 12 IS 1 BP 153 EP 176 DI 10.1111/jeea.12070 PG 24 WC Economics SC Business & Economics GA AA1JP UT WOS:000330852800007 ER PT J AU Armantier, O Boly, A AF Armantier, Olivier Boly, Amadou TI On the effects of incentive framing on bribery: evidence from an experiment in Burkina Faso SO ECONOMICS OF GOVERNANCE LA English DT Review DE Bribery; Incentive framing; Experimental economics ID FIELD EXPERIMENTS; RECIPROCITY; CORRUPTION; ECONOMICS; GAME AB While incentive framing has been shown to promote workers' effort, little is known about how it affects other dimensions of the employer-employee relationship. This paper examines whether incentive framing can also influence workers propensity to engage in an activity disloyal to their employer: corruption. To do so, we conducted an experiment in which graders are offered a bribe to report a better grade. Three treatments are conducted by framing economically equivalent contracts as menus of bonuses, penalties, or bonuses and penalties. We find that graders are more corrupt when incentives are framed as a combination of bonuses and penalties, while no difference is found between the bonus and the penalty contracts. These results are inconsistent with both standard economic theory and labor reciprocity. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Boly, Amadou] United Nations Ind Dev Org, Vienna, Austria. RP Boly, A (reprint author), United Nations Ind Dev Org, Vienna, Austria. EM a.boly@unido.org NR 42 TC 0 Z9 0 U1 1 U2 7 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1435-6104 J9 ECON GOV JI Econ. Gov. PD FEB PY 2014 VL 15 IS 1 BP 1 EP 15 DI 10.1007/s10101-013-0135-0 PG 15 WC Economics SC Business & Economics GA 302FV UT WOS:000330588700001 ER PT J AU Bord, VM Santos, JAC AF Bord, Vitaly M. Santos, Joao A. C. TI Banks' Liquidity and the Cost of Liquidity to Corporations SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; G32; bank liquidity; credit commitments; all-in-drawn spreads; commitment fees ID LOAN COMMITMENTS; MARKET; RISK; CREDIT; CRISIS; LINES AB We consider the liquidity shock banks experienced following the collapse of the asset-backed commercial paper (ABCP) market in the fall of 2007 to investigate whether banks' liquidity conditions affect their ability to provide liquidity to corporations. We find that banks that borrowed more from the Federal Home Loan Bank system or the Federal Reserve's discount window following that liquidity shock passed a larger portion of their borrowing costs onto corporations seeking access to liquidity when compared to the precrisis period. This increase is larger among banks with a bigger exposure to the ABCP market, credit lines that pose more liquidity risk to banks, and borrowers that are likely dependent on the credit-line provider. Our findings show that the crisis that affected the banking system had a negative effect not only on the price of credit to corporations, but also on the price corporations pay to guarantee access to liquidity. C1 [Bord, Vitaly M.] Harvard Univ, Cambridge, MA 02138 USA. [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY USA. [Santos, Joao A. C.] Nova Sch Business & Econ, Lisbon, Portugal. RP Bord, VM (reprint author), Harvard Univ, Cambridge, MA 02138 USA. EM vbord@fas.harvard.edu; joao.santos@ny.frb.org NR 33 TC 5 Z9 5 U1 2 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2014 VL 46 SU 1 BP 13 EP 45 DI 10.1111/jmcb.12076 PG 33 WC Business, Finance; Economics SC Business & Economics GA 295RZ UT WOS:000330134500002 ER PT J AU Rosengren, ES AF Rosengren, Eric S. TI Our Financial Structures-Are They Prepared for Financial Instability? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Rosengren, ES (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM eric.rosengren@bos.frb.org NR 10 TC 2 Z9 2 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2014 VL 46 SU 1 BP 143 EP 156 DI 10.1111/jmcb.12084 PG 14 WC Business, Finance; Economics SC Business & Economics GA 295RZ UT WOS:000330134500010 ER PT J AU Peek, J AF Peek, Joe TI Does Macro-Prudential Regulation Leak? Evidence from a UK Policy Experiment Discussion SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Peek, J (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM joe.peek@bos.frb.org NR 1 TC 1 Z9 1 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2014 VL 46 SU 1 BP 215 EP 218 DI 10.1111/jmcb.12087 PG 4 WC Business, Finance; Economics SC Business & Economics GA 295RZ UT WOS:000330134500013 ER PT J AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song TI Procyclical Leverage and Value-at-Risk SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G01; G23; G32 ID DEBT; EQUILIBRIUM; INVESTMENT; LIQUIDITY; CAPACITY; BEHAVIOR; BANKING AB The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the observed features. Under general conditions on the outcome distribution given by extreme value theory (EVT), intermediaries maintain a constant probability of default to shifts in the outcome distribution, implying substantial deleveraging during downturns. For some parameter values, we can solve the model explicitly, thereby endogenizing the VaR threshold probability from the contracting problem. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 41 TC 23 Z9 23 U1 3 U2 31 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD FEB PY 2014 VL 27 IS 2 BP 373 EP 403 DI 10.1093/rfs/hht068 PG 31 WC Business, Finance; Economics SC Business & Economics GA 300GU UT WOS:000330453200001 ER PT J AU Brooks, L Sinitsyn, M AF Brooks, Leah Sinitsyn, Maxim TI Where Does the Bucket Leak? Sending Money to the Poor via the Community Development Block Grant Program SO HOUSING POLICY DEBATE LA English DT Article DE CDBG; Community Development Block Grant; economic development; neighborhood AB Since the inception of the Community Development Block Grant (CDBG) program in 1975, cities and large urban counties have been entitled to funding based on a formula designed to approximate community need. As with any such federally funded and locally administered program, there is a tension between federal and local control. At the federal level, one of CDBG's main goals is to benefit low- and moderate-income (LMI) people and places. While a substantial literature assesses how well CDBG funds are targeted to needy recipient jurisdictions, evidence on how funds are distributed within recipient jurisdictions is much more limited. In this article, we examine the distribution of CDBG funds relative to the share of LMI people at the council-district and neighborhood levels in Chicago, Illinois, and Los Angeles, California, for 1998 - 2004. In Los Angeles, we find that relatively poorer council districts receive more than they would were funds distributed following the share of LMI people. In contrast, Chicago's relatively poorer council districts receive lower funding than predicted by their share of the LMI population. This difference across council districts within the cities is partially explained by the greater sensitivity of allocations in Chicago to the location of high-income households. Despite these disparities, policy answers are not obvious; any policy that aims to enhance CDBG's reach to LMI people must contend with the erosion of broad-based political support that this would engender. C1 [Brooks, Leah] Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. [Sinitsyn, Maxim] Univ Calif San Diego, Dept Econ, San Diego, CA 92103 USA. RP Brooks, L (reprint author), Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. EM leah.brooks@frb.gov NR 2 TC 0 Z9 0 U1 0 U2 6 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1051-1482 EI 2152-050X J9 HOUS POLICY DEBATE JI Hous. Policy Debate PD JAN 2 PY 2014 VL 24 IS 1 SI SI BP 119 EP 171 DI 10.1080/10511482.2013.862560 PG 53 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA 297OP UT WOS:000330265100006 ER PT B AU Paulson, A Plestis, T Rosen, R McMenamin, R Mohey-Deen, Z AF Paulson, Anna Plestis, Thanases Rosen, Richard McMenamin, Robert Mohey-Deen, Zain BE Biggs, JH Richardson, MP TI Assessing the Vulnerability of the US Life Insurance Industry SO MODERNIZING INSURANCE REGULATION SE Wiley Finance Series LA English DT Article; Book Chapter ID SYSTEMIC RISK; LIQUIDITY C1 [Paulson, Anna] Fed Reserve Bank Chicago, Financial Res, Econ Res Dept, Chicago, IL 60604 USA. [Plestis, Thanases; Rosen, Richard; Mohey-Deen, Zain] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. [McMenamin, Robert] Fed Reserve Bank Chicago, Insurance Initiat, Chicago, IL USA. RP Paulson, A (reprint author), Fed Reserve Bank Chicago, Financial Res, Econ Res Dept, Chicago, IL 60604 USA. NR 19 TC 0 Z9 0 U1 1 U2 1 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA BN 978-1-118-76679-8; 978-1-118-75871-7 J9 WILEY FINANC SER PY 2014 BP 61 EP 83 D2 10.1002/9781118766798 PG 23 WC Business, Finance SC Business & Economics GA BD3MR UT WOS:000359932900007 ER PT S AU Martinez-Garcia, E Wynne, MA AF Martinez-Garcia, Enrique Wynne, Mark A. BE Jeliazkov, I Poirier, DJ TI ASSESSING BAYESIAN MODEL COMPARISON IN SMALL SAMPLES SO BAYESIAN MODEL COMPARISON SE Advances in Econometrics LA English DT Article; Book Chapter DE Bayesian methods; posterior model probabilities; Schwarz criterion; new open economy macro; global slack hypothesis ID GENERAL EQUILIBRIUM-MODELS; MONETARY-POLICY; STOCHASTIC COMPLEXITY; IDENTIFICATION; FRAMEWORK AB We investigate the Bayesian approach to model comparison within a two-country framework with nominal rigidities using the workhorse New Keynesian open-economy model of Martinez-Garcia and Wynne (2010). We discuss the trade-offs that monetary policy characterized by a Taylor-type rule - faces in an interconnected world, with perfectly flexible exchange rates. We then use posterior model probabilities to evaluate the weight of evidence in support of such a model when estimated against more parsimonious specifications that either abstract from monetary frictions or assume autarky by means of controlled experiments that employ simulated data. We argue that Bayesian model comparison with posterior odds is sensitive to sample size and the choice of observable variables for estimation. We show that posterior model probabilities strongly penalize overfitting, which can lead us to favor a less parameterized model against the true data-generating process when the two become arbitrarily close to each other. We also illustrate that the spillovers from monetary policy across countries have an added confounding effect. C1 [Martinez-Garcia, Enrique; Wynne, Mark A.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Martinez-Garcia, E (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. OI Martinez-Garcia, Enrique/0000-0001-5736-361X NR 42 TC 1 Z9 1 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-78441-184-8; 978-1-78441-185-5 J9 ADV ECONOMETRICS PY 2014 VL 34 BP 71 EP 115 DI 10.1108/S0731-905320140000034006 D2 10.1108/S0731-9053201434 PG 45 WC Economics SC Business & Economics GA BD1LW UT WOS:000358141100004 ER PT S AU Maasoumi, E Pitts, M Wu, K AF Maasoumi, Esfandiar Pitts, Melinda Wu, Ke BE Chang, Y Fomby, TB Park, JY TI THE GAP BETWEEN THE CONDITIONAL WAGE DISTRIBUTIONS OF INCUMBENTS AND THE NEWLY HIRED EMPLOYEES: DECOMPOSITION AND UNIFORM ORDERING SO ESSAYS IN HONOR OF PETER C. B. PHILLIPS SE Advances in Econometrics LA English DT Proceedings Paper CT 14th Conference on Advances in Econometrics CY NOV 01-03, 2013 CL SE Methodist Univ, Dallas, TX HO SE Methodist Univ DE Wage gap; metric entropy distance; stochastic dominance; counterfactual analysis; human capital; inequality ID INEQUALITY AB We examine the cardinal gap between wage distributions of the incumbents and newly hired workers based on entropic distances which are well-defined welfare theoretic measures. Decomposition of several effects is achieved by identifying several counterfactual distributions of different groups. These go beyond the usual Oaxaca-Blinder decompositions at the (linear) conditional means. Much like quantiles, these entropic distances are well-defined inferential objects and functions whose statistical properties have recently been developed. Going beyond these strong rankings and distances, we consider weak uniform ranking of these wage outcomes based on statistical tests for stochastic dominance. The empirical analysis is focused on employees with at least 35 hours of work in the 1996-2012 monthly Current Population Survey (CPS). Among others, we find incumbent workers enjoy a better distribution of wages, but the attribution of the gap to wage inequality and human capital characteristics varies between quantiles. For instance, highly paid new workers are mainly due to human capital components, and in some years, even better wage structure. C1 [Maasoumi, Esfandiar; Wu, Ke] Emory Univ, Dept Econ, Atlanta, GA 30322 USA. [Pitts, Melinda] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Maasoumi, E (reprint author), Emory Univ, Dept Econ, Atlanta, GA 30322 USA. NR 22 TC 0 Z9 0 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-78441-182-4; 978-1-78441-183-1 J9 ADV ECONOMETRICS PY 2014 VL 33 BP 587 EP 612 DI 10.1108/S0731-905320140000033016 PG 26 WC Economics SC Business & Economics GA BD4EO UT WOS:000360559300017 ER PT J AU Oet, MV AF Oet, Mikhail V. BA Ruiz, IR Garcia, GR BF Ruiz, IR Garcia, GR TI Financial system stress: From empirical validity to theoretical foundations SO INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014) LA English DT Proceedings Paper CT 1st International Work-Conference on Time Series (ITISE) CY JUN 25-27, 2014 CL Granada, SPAIN SP Univ Granada, Fac Sci, Univ Granada, Dept Comp Architecture & Comp Technol, Univ Granada, CITIC DE financial stress; empirical validity; factor analysis; asset pricing; cognitive bias AB A review of financial system's stress measure (Gramlich et al., 2010; Oet et al., 2011) reveals not only the absence of theory of financial stress, but also the absence of search for theory. Previous research has proceeded by accreting intuitive choices of variables to serve as components of stress in financial system or specific markets. In addition, the composition of the financial system itself has not been thoroughly tested by previous studies. Thus, parsing out of the financial system into latent factors that may serve as internally reliable and valid constructs has been left largely to intuition and chance. A valid understanding of the latent factors that form the financial system stress is vital. Yet, the problem is vicious as the dynamics of agent interaction are difficult to trace: the agents exhibit adaptive behavior, and the financial system evolves in response to change. This study conducts an integrative systematic review and empirical analysis of financial stress in an evolving financial system to construct a parsimonious set of causal factors that drive the financial system dynamics. The empirical analysis parses out principal axis factors utilizing longitudinal exploratory factor analysis. The resulting factors' correlational and Granger causality structures are applied via confirmatory factor analysis to test the hypotheses of conditional process analysis on the latent stress factors. Our analysis of empirical validity of current stress measures highlights a number of serious problems with the current a priori stress construction. The empirical validity leads us to posit a new theoretical foundation for a deeper understanding of financial stress-one that can adapt to a change in financial system structure and be useful across financial system of diverse architectures (market-based vs. intermediate) and development (emerging or developed). C1 [Oet, Mikhail V.] Fed Reserve Bank Cleveland, Supervis & Regulat, Cleveland, OH 44114 USA. [Oet, Mikhail V.] Case Western Reserve Univ, Cleveland, OH 44106 USA. RP Oet, MV (reprint author), Fed Reserve Bank Cleveland, Supervis & Regulat, Cleveland, OH 44114 USA. EM mikhail.v.oet@clev.frb.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU COPICENTRO GRANADA S L PI GRANADA PA AV ANDALUCIA, 38, GRANADA, GRANADA 18014, SPAIN BN 978-84-15814-97-9 PY 2014 BP 1460 EP 1460 PG 1 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA BD2SE UT WOS:000359136600164 ER PT B AU Jones, BF Reedy, EJ Weinberg, BA AF Jones, Benjamin F. Reedy, E. J. Weinberg, Bruce A. BE Simonton, DK TI Age and Scientific Genius SO WILEY HANDBOOK OF GENIUS LA English DT Article; Book Chapter ID LIFE-CYCLE; RESEARCH PRODUCTIVITY; ACADEMIC SCIENTISTS; YOUNG SCIENTISTS; MODERN-ART; MODEL; ACHIEVEMENT; CREATIVITY; PSYCHOLOGY; LANDMARKS C1 [Jones, Benjamin F.] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. [Jones, Benjamin F.] Northwestern Univ, Kellogg Innovat & Entrepreneurship Initiat, Evanston, IL 60208 USA. [Jones, Benjamin F.] Northwestern Univ, Natl Bur Econ Res, Evanston, IL 60208 USA. [Reedy, E. J.] Northwestern Univ, Managerial Econ, Evanston, IL 60208 USA. [Reedy, E. J.] Kauffman Fdn, Kansas City, KS USA. [Reedy, E. J.] Fed Reserve Bank Kansas City, Kansas City, KS USA. [Reedy, E. J.] Natl Sci Fdn, Arlington, VA 22230 USA. [Weinberg, Bruce A.] Ohio State Univ, Econ, Columbus, OH 43210 USA. [Weinberg, Bruce A.] Natl Bur Econ Res, Bonn, Germany. [Weinberg, Bruce A.] Inst Study Labor, Bonn, Germany. RP Jones, BF (reprint author), Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. NR 64 TC 2 Z9 2 U1 0 U2 0 PU BLACKWELL SCIENCE PUBL PI OXFORD PA OSNEY MEAD, OXFORD OX2 0EL, ENGLAND BN 978-1-118-36735-3; 978-1-118-36740-7 PY 2014 BP 422 EP 450 D2 10.1002/9781118367377 PG 29 WC Psychology, Multidisciplinary SC Psychology GA BC7FO UT WOS:000354810600021 ER PT B AU Levchenko, A Zhang, J AF Levchenko, Andrei Zhang, Jing BE Ferrarini, B Hummels, D TI External rebalancing, structural adjustment, and real exchange rates in developing Asia SO ASIA AND GLOBAL PRODUCTION NETWORKS: IMPLICATIONS FOR TRADE, INCOMES AND ECONOMIC VULNERABILITY LA English DT Article; Book Chapter ID INTERNATIONAL-TRADE; INCOME DIFFERENCES; MODEL C1 [Levchenko, Andrei] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Levchenko, Andrei] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Zhang, Jing] Fed Reserve Bank Chicago, Chicago, IL USA. RP Levchenko, A (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. NR 28 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78347-209-3; 978-1-78347-208-6 PY 2014 BP 215 EP 248 D2 10.4337/9781783472093 PG 34 WC Business; Economics SC Business & Economics GA BC5QU UT WOS:000353499100008 ER PT B AU Taylor, ML Strom, RJ Renz, DO AF Taylor, Marilyn L. Strom, Robert J. Renz, David O. BE Taylor, ML Strom, RJ Renz, DO TI Handbook of Research on Entrepreneurs' Engagement in Philanthropy Introduction SO HANDBOOK OF RESEARCH ON ENTREPRENEURS' ENGAGEMENT IN PHILANTHROPY LA English DT Editorial Material; Book Chapter C1 [Taylor, Marilyn L.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Strateg Management, Kansas City, MO 64110 USA. [Taylor, Marilyn L.] Univ Kansas KU, Kansas City, MO USA. [Strom, Robert J.] Ewing Marion Kauffman Fdn, Commissioned Res, Kansas City, MO USA. [Strom, Robert J.] Fed Reserve Bank Kansas City, Publ Affairs, Kansas City, MO USA. [Strom, Robert J.] Missouri Council Econ Educ, Kansas City, MO USA. [Strom, Robert J.] Univ Missouri, Econ, Columbia, MO 65211 USA. [Renz, David O.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Nonprofit Leadership, Kansas City, MO USA. [Renz, David O.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Midwest Ctr Nonprofit Leadership, Kansas City, MO USA. RP Taylor, ML (reprint author), Univ Missouri Kansas City, Henry W Bloch Sch Management, Strateg Management, Kansas City, MO 64110 USA. NR 5 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78347-101-0; 978-1-78347-100-3 PY 2014 BP 1 EP 8 D2 10.4337/9781783471010 PG 8 WC Psychology, Applied; Management SC Psychology; Business & Economics GA BC5QK UT WOS:000353489400002 ER PT B AU Baumol, WJ Strom, RJ AF Baumol, William J. Strom, Robert J. BE Taylor, ML Strom, RJ Renz, DO TI Entrepreneurship and philanthropy: protecting the public interest SO HANDBOOK OF RESEARCH ON ENTREPRENEURS' ENGAGEMENT IN PHILANTHROPY LA English DT Article; Book Chapter C1 [Baumol, William J.] NYU, Stern Sch Business, Econ, New York, NY 10003 USA. [Baumol, William J.] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Baumol, William J.] Amer Econ Assoc, New York, NY USA. [Strom, Robert J.] Ewing Marion Kauffman Fdn, Commissioned Res, Kansas City, MO USA. [Strom, Robert J.] Fed Reserve Bank Kansas City, Publ Affairs, Kansas City, MO USA. [Strom, Robert J.] Missouri Council Econ Educ, Kansas City, MO USA. [Strom, Robert J.] Univ Missouri, Econ, Columbia, MO 65211 USA. RP Baumol, WJ (reprint author), NYU, Stern Sch Business, Econ, New York, NY 10003 USA. NR 5 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78347-101-0; 978-1-78347-100-3 PY 2014 BP 11 EP 23 D2 10.4337/9781783471010 PG 13 WC Psychology, Applied; Management SC Psychology; Business & Economics GA BC5QK UT WOS:000353489400004 ER PT B AU Taylor, ML Coates, TT Strom, RJ Renz, DO Holman, R AF Taylor, Marilyn L. Coates, Theresa T. Strom, Robert J. Renz, David O. Holman, Rhonda BE Taylor, ML Strom, RJ Renz, DO TI Exploring the transitions from entrepreneur to philanthropist - learning from Mr 'K' and Mr 'M' SO HANDBOOK OF RESEARCH ON ENTREPRENEURS' ENGAGEMENT IN PHILANTHROPY LA English DT Article; Book Chapter C1 [Taylor, Marilyn L.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Strateg Management, Kansas City, MO 64110 USA. [Taylor, Marilyn L.] Univ Kansas KU, Kansas City, MO USA. [Coates, Theresa T.] Limestone Coll, Business, Gaffney, SC USA. [Coates, Theresa T.] Analog Devices Inc, Norwood, MA USA. [Coates, Theresa T.] GE Plast, Kansas City, MO USA. [Coates, Theresa T.] McGraw Hill Inc, Kansas City, MO USA. [Strom, Robert J.] Ewing Marion Kauffman Fdn, Commissioned Res, Kansas City, MO USA. [Strom, Robert J.] Fed Reserve Bank Kansas City, Publ Affairs, Kansas City, MO USA. [Strom, Robert J.] Missouri Council Econ Educ, Kansas City, MO USA. [Strom, Robert J.] Univ Missouri, Econ, Columbia, MO 65211 USA. [Renz, David O.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Nonprofit Leadership, Kansas City, MO USA. [Renz, David O.] Univ Missouri Kansas City, Henry W Bloch Sch Management, Midwest Ctr Nonprofit Leadership, Kansas City, MO USA. [Holman, Rhonda] Hlth Care Fdn Greater Kansas City, Grants Adm, Kansas City, MO USA. [Holman, Rhonda] Ewing Marion Kauffman Fdn, Kansas City, MO USA. RP Taylor, ML (reprint author), Univ Missouri Kansas City, Henry W Bloch Sch Management, Strateg Management, Kansas City, MO 64110 USA. NR 39 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78347-101-0; 978-1-78347-100-3 PY 2014 BP 325 EP 363 D2 10.4337/9781783471010 PG 39 WC Psychology, Applied; Management SC Psychology; Business & Economics GA BC5QK UT WOS:000353489400019 ER PT S AU Quinn, S Roberds, W AF Quinn, Stephen Roberds, William BE Bernholz, P Vaubel, R TI The Bank of Amsterdam Through the Lens of Monetary Competition SO EXPLAINING MONETARY AND FINANCIAL INNOVATION: A HISTORICAL ANALYSIS SE Financial and Monetary Policy Studies LA English DT Article; Book Chapter ID MONEY C1 [Quinn, Stephen] Texas Christian Univ, Econ, Ft Worth, TX 76129 USA. [Roberds, William] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Quinn, S (reprint author), Texas Christian Univ, Econ, Ft Worth, TX 76129 USA. EM s.quinn@tcu.edu NR 34 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER PI DORDRECHT PA PO BOX 17, 3300 AA DORDRECHT, NETHERLANDS SN 0921-8580 BN 978-3-319-06109-2; 978-3-319-06108-5 J9 FINAN MON P PY 2014 VL 39 BP 283 EP 300 DI 10.1007/978-3-319-06109-2_11 D2 10.1007/978-3-319-06109-2 PG 18 WC Business, Finance; Economics SC Business & Economics GA BC1UP UT WOS:000350428900011 ER PT S AU Peralta-Alva, A Santos, MS AF Peralta-Alva, Adrian Santos, Manuel S. BA Schmedders, K Judd, KL BF Schmedders, K Judd, KL TI Analysis of Numerical Errors SO HANDBOOK OF COMPUTATIONAL ECONOMICS, VOL 3 SE Handbooks in Economics LA English DT Article; Book Chapter ID STATIONARY MARKOV EQUILIBRIA; AGGREGATE GROWTH-MODELS; RATIONAL-EXPECTATIONS; DYNAMIC ECONOMIES; OVERLAPPING GENERATIONS; CONVERGENCE PROPERTIES; INCOMPLETE MARKETS; DISTRIBUTIONS; SIMULATION; ESTIMATORS C1 [Peralta-Alva, Adrian] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Santos, Manuel S.] Univ Miami, Dept Econ, Coral Gables, FL 33124 USA. RP Peralta-Alva, A (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. NR 58 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-080-93178-4; 978-0-444-52980-0 J9 HBK ECON PY 2014 BP 517 EP 556 DI 10.1016/B978-0-444-52980-0.00009-8 PG 40 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BC0HU UT WOS:000349044900010 ER PT S AU Ericson, KMM Fuster, A AF Ericson, Keith M. Marzilli Fuster, Andreas BE Arrow, KJ Bresnahan, TF TI The Endowment Effect SO ANNUAL REVIEW OF ECONOMICS, VOL 6 SE Annual Review of Economics LA English DT Article; Book Chapter DE reference-dependent preferences; loss aversion; WTP-WTA gap; expectations ID REFERENCE-DEPENDENT PREFERENCES; ELIMINATE MARKET ANOMALIES; LOSS AVERSION; PROSPECT-THEORY; SUBJECT MISCONCEPTIONS; ELICITING VALUATIONS; CONSUMER CHOICE; PAY-WILLINGNESS; ACCEPT GAP; EXPERIMENTAL TESTS AB The endowment effect is among the best known findings in behavioral economics and has been used as evidence for theories of reference-dependent preferences and loss aversion. However, a recent literature has questioned the robustness of the effect in the laboratory, as well as its relevance in the field. In this review, we provide a summary of the evidence and describe recent theoretical developments that can potentially reconcile the different findings, with a focus on expectation-based reference points. We also survey recent work from psychology that provides either alternatives to or refinements of the usual loss-aversion explanation. We argue that loss aversion is still the leading paradigm for understanding the endowment effect, but given the rich psychology behind the effect, a version of the theory that encompasses multiple reference points may be required. C1 [Ericson, Keith M. Marzilli] Boston Univ, Sch Management, Boston, MA 02115 USA. [Fuster, Andreas] Fed Reserve Bank New York, New York, NY 10045 USA. [Ericson, Keith M. Marzilli] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Ericson, KMM (reprint author), Boston Univ, Sch Management, Boston, MA 02115 USA. EM kericson@bu.edu NR 85 TC 8 Z9 9 U1 5 U2 32 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4606-5 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2014 VL 6 BP 555 EP 579 DI 10.1146/annurev-economics-080213-041320 PG 25 WC Economics SC Business & Economics GA BB9LK UT WOS:000348441000022 ER PT J AU Melosi, L AF Melosi, Leonardo TI Estimating Models with Dispersed Information SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY; STICKY PRICES; RATIONAL INATTENTION; BUSINESS-CYCLE; DSGE MODELS; TIME; EQUILIBRIUM; FLUCTUATIONS; KNOWLEDGE; FRAMEWORK AB We conduct likelihood evaluation of a DSGE model in which firms have imperfect common knowledge. Imperfect common knowledge is found to be more successful than price stickiness a la Calvo to account for the highly persistent effects of nominal shocks on output and inflation. Our likelihood analysis suggests that firms pay little attention to aggregate nominal conditions. This paper shows that such allocation of attention is plausible because it is optimal for firms with a reasonably small size of information frictions and a size of idiosyncratic uncertainty that is in line with the micro evidence on price changes. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Melosi, L (reprint author), Fed Reserve Bank Chicago, 230 LaSalle St, Chicago, IL 60604 USA. EM lmelosi@frbchi.org NR 57 TC 2 Z9 2 U1 2 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2014 VL 6 IS 1 BP 1 EP 31 DI 10.1257/mac.6.1.1 PG 31 WC Economics SC Business & Economics GA 284VL UT WOS:000329349200001 ER PT J AU Ghamami, S Zhang, B AF Ghamami, Samim Zhang, Bo TI Efficient Monte Carlo counterparty credit risk pricing and measurement SO JOURNAL OF CREDIT RISK LA English DT Article ID SIMULATION; OPTIONS; CVA AB Counterparty credit risk (CCR), a key driver of the 2007-8 credit crisis, has become one of the main focuses of major global and US regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR estimation frameworks by focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure, credit value adjustment, and effective expected positive exposure. Our numerical examples illustrate that our proposed efficient Monte Carlo estimators outperform the existing crude estimators of these CCR measures substantially in terms of mean square error (MSE). We also demonstrate that the two widely used sampling methods, the so-called path dependent simulation and direct jump to simulation date, are not equivalent in that they lead to Monte Carlo CCR estimators which are drastically different in terms of their MSE. C1 [Ghamami, Samim] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Ghamami, Samim] Univ Calif Berkeley, Ctr Risk Management Res, Berkeley, CA 94720 USA. [Zhang, Bo] IBM Thomas J Watson Res Ctr, Business Solut & Math Sci Dept, Yorktown Hts, NY 10598 USA. RP Ghamami, S (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM samim.ghamami@frb.gov; bozhang@gatech.edu NR 27 TC 0 Z9 0 U1 2 U2 3 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 EI 1755-9723 J9 J CREDIT RISK JI J. Credit Risk PY 2014 VL 10 IS 3 BP 87 EP 133 PG 47 WC Business, Finance SC Business & Economics GA AZ9WL UT WOS:000348564700004 ER PT J AU Noeth, B Boshara, R AF Noeth, Bryan Boshara, Ray TI The Balance Sheets of Younger Americans: Is the American Dream at Risk? Introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 [Noeth, Bryan] Fed Reserve Bank, Ctr Household Financial Stabil, St Louis, MO 63102 USA. [Boshara, Ray] Ctr Household Financial Stabil, St Louis, MO USA. [Boshara, Ray] Fed Reserve Bank, St Louis, MO USA. RP Noeth, B (reprint author), Fed Reserve Bank, Ctr Household Financial Stabil, St Louis, MO 63102 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 4 BP 295 EP 304 PG 10 WC Business, Finance; Economics SC Business & Economics GA AY1RP UT WOS:000347370000001 ER PT J AU Merry, EA Thomas, L AF Merry, Ellen A. Thomas, Logan TI Asset Holdings of Young Households: Trends and Patterns SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID WEALTH AB The authors use multiple waves of the triennial Survey of Consumer Finances (SCF) from 1989 to 2013 to examine the composition of the asset portfolios of young households whose head of household is between 18 and 41 years of age. The focus is on households' decisions to hold different types of assets, including both financial assets (e.g., bank accounts, stocks, and retirement accounts) and non-financial assets (e.g., residential real estate, businesses, and automobiles). The authors describe the patterns of acquisition of broad asset categories in the early part of the life cycle with attention to patterns that appear to have changed over time and explore how the propensity to hold different types of assets varies across households. C1 [Merry, Ellen A.; Thomas, Logan] Fed Reserve Syst, Board Governors, Div Consumer & Community Affairs, Washington, DC 20551 USA. RP Merry, EA (reprint author), Fed Reserve Syst, Board Governors, Div Consumer & Community Affairs, Washington, DC 20551 USA. NR 14 TC 0 Z9 0 U1 2 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 4 BP 390 EP 410 PG 21 WC Business, Finance; Economics SC Business & Economics GA AY1RP UT WOS:000347370000005 ER PT J AU Occhino, F Pescatori, A AF Occhino, Filippo Pescatori, Andrea TI Leverage, investment, and optimal monetary policy SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE balance sheet channel of monetary policy; debt overhang; Fisher debt-deflation ID DEBT OVERHANG; BUSINESS FLUCTUATIONS; CREDIT CYCLES; AGENCY COSTS; NET WORTH; CONTRACTS AB We study optimal monetary policy in an economy where firms' debt overhangs lead to under-investment and under-production. The magnitude of this debt-induced distortion varies over the business cycle, rising significantly during recessions. When debt is contracted in nominal terms, this distortion gives rise to a balance sheet channel for monetary policy. In the presence of real and financial shocks, the monetary authority faces a trade-off between inflation and output gap stabilization. The optimal monetary policy rule prescribes that the anticipated component of inflation should be set equal to a target level, while the unanticipated component should rise in response to adverse shocks, smoothing the debt overhang distortion and the output gap. C1 [Occhino, Filippo] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. [Pescatori, Andrea] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. RP Occhino, F (reprint author), Fed Reserve Bank Cleveland, Res Dept, 1455 East 6th St, Cleveland, OH 44114 USA. EM filippo.occhino@clev.frb.org NR 28 TC 2 Z9 3 U1 1 U2 2 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2014 VL 14 IS 1 BP 511 EP 531 DI 10.1515/bejm-2013-0113 PG 21 WC Economics SC Business & Economics GA AU0HJ UT WOS:000345303900017 ER PT J AU Kandrac, J AF Kandrac, John TI Modelling the causes and manifestation of bank stress: an example from the financial crisis SO APPLIED ECONOMICS LA English DT Article DE bank stress; early warning model; financial crisis; financial regulation; bank failure ID LARGE COMMERCIAL-BANKS; MONETARY-POLICY; FAILURES AB In this study, I model the predictors and manifestation of bank stress during the financial crisis using a Multiple Indicator Multiple Cause model. Unlike most early warning models that predict failure probabilities, this article describes a framework for predicting a broader notion of bank stress that need not rely on regulatory decisions. As such, this method can be easily applied to large institutions, and avoids the complications associated with modelling a regulatory decision such as failure or a CAMELS downgrade. Using bank reliance on Term Auction Facility funds and the out-of-sample incidence of failures and acquisitions, I demonstrate that the measure of bank stress generated here accords with other notions of bank-level distress. Finally, this method catalogues predictors of distress during the financial crisis. Thus, this article can help assess the validity of several recent regulatory proposals. I find that those banks entering the crisis with more Tier 1 capital, more liquid balance sheets, and relatively stable liabilities subsequently came under less stress. These findings support the Basel III recommended increases in banks' capital adequacy, liquidity and stable funding. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Kandrac, J (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM john.p.kandrac@frb.gov NR 27 TC 0 Z9 0 U1 5 U2 8 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0003-6846 EI 1466-4283 J9 APPL ECON JI Appl. Econ. PY 2014 VL 46 IS 35 BP 4290 EP 4301 DI 10.1080/00036846.2014.955257 PG 12 WC Economics SC Business & Economics GA AR8DW UT WOS:000343806800003 ER PT B AU Cohen, BJ AF Cohen, Benjamin J. BE Armijo, LE Katada, SN TI The Financial Statecraft of Emerging Powers Shield and Sword in Asia and Latin America Foreword SO FINANCIAL STATECRAFT OF EMERGING POWERS: SHIELD AND SWORD IN ASIA AND LATIN AMERICA SE International Political Economy Series LA English DT Editorial Material; Book Chapter C1 [Cohen, Benjamin J.] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. [Cohen, Benjamin J.] Fed Reserve Bank New York, New York, NY 10045 USA. [Cohen, Benjamin J.] Princeton Univ, Princeton, NJ 08544 USA. [Cohen, Benjamin J.] Tufts Univ, Fletcher Sch Law & Diplomacy, Medford, MA 02155 USA. RP Cohen, BJ (reprint author), Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. NR 0 TC 2 Z9 2 U1 1 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-137-42938-4; 978-1-137-42937-7 J9 INT POLIT ECON SER PY 2014 BP X EP XI D2 10.1057/9781137429384 PG 2 WC Economics; Political Science SC Business & Economics; Government & Law GA BB4PF UT WOS:000343288800001 ER PT B AU Becker, C Mendelsohn, SJ Benderskaya, K AF Becker, Charles Mendelsohn, S. Joshua Benderskaya, Kseniya BE McGranahan, G Martine, G TI RUSSIA'S PLANNED URBANISATION AND MISPLACED URBAN DEVELOPMENT SO URBAN GROWTH IN EMERGING ECONOMIES: LESSONS FROM THE BRICS LA English DT Article; Book Chapter ID FORMER SOVIET-UNION; INTERNAL MIGRATION; GROWTH; CITIES; USSR; LAND C1 [Benderskaya, Kseniya] Fed Reserve Bank Boston, Boston, MA USA. RP Becker, C (reprint author), Duke Univ, Durham, NC 27706 USA. RI Szymanska, Daniela/G-1155-2014 OI Szymanska, Daniela/0000-0001-6079-6838 NR 82 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-415-71876-9; 978-1-315-86787-8; 978-0-415-71875-2 PY 2014 BP 99 EP 141 PG 43 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA BB3ZX UT WOS:000343115000004 ER PT J AU Bullard, J AF Bullard, James TI The Rise and Fall of Labor Force Participation in the United States SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TIME AB Monetary policy choices going forward are explicitly tied to labor market performance. Hence, the sharp decline in the labor force participation rate following the 2007-09 recession has become a salient topic. Presented here are a summary of labor force participation rate data and projections, a survey of the literature that studies the recent decline in the participation rate, and a view toward fruitful paths for future research. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 23 TC 0 Z9 0 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 1 BP 1 EP 12 PG 12 WC Business, Finance; Economics SC Business & Economics GA AQ8GG UT WOS:000343061700002 ER PT J AU Coughlin, CC AF Coughlin, Cletus C. TI The Great Trade Collapse and Rebound: A State-by-State View SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INTERNATIONAL-TRADE; EXPORTS; CRISIS AB During the Great Trade Collapse in the United States, which began in late 2008, one concern was that such a large collapse would transform exporting firms into strictly domestic firms or, worse, drive them out of business. In either case, it was feared that U.S. exporting might, at best, revive slowly. However, this fear about long-lived export impacts did not materialize. Clearly there were large export effects, but the sharp decline was quickly followed by a sharp rebound that began in mid-2009. In contrast to previous research, this study examines this historic episode from the perspective of individual states. A comparison of intensive and extensive trade margins reveals that the adjustment occurred to a greater extent on the intensive than on the extensive trade margin. In other words, the adjustment process entailed relatively larger changes in average exports per firm than in the number of exporting firms. It is likely much easier to alter existing export levels than to, first, eliminate all exports by a firm and, second, either restart exports by this firm or become a new entrant into exporting. The bottom line is that the U.S. export sector weathered the challenges associated with the global recession and financial crisis quite well. The fact that relatively large firms dominate U.S. exports likely contributes to the resiliency of the U.S. export sector. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Coughlin, CC (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 24 TC 0 Z9 0 U1 1 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 1 BP 13 EP 33 PG 21 WC Business, Finance; Economics SC Business & Economics GA AQ8GG UT WOS:000343061700003 ER PT J AU Kliesen, KL AF Kliesen, Kevin L. TI A Guide to Tracking the US Economy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Analyzing and forecasting the performance and direction of a large, complex economy like that of the United States is a difficult task. The process involves parsing a great deal of data, understanding key economic relationships, and assessing which events or factors might cause monetary or fiscal policymakers to change policy. One purpose of this article is to reinforce several key principles that are useful for tracking the U.S. economy's performance in real time. Two principles stand out: First, the economy is regularly hit by unexpected economic disturbances (shocks) that policymakers and forecasting models cannot predict. Second, most key data used to measure the economy and track its performance are often revised and by substantial amounts. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 17 TC 1 Z9 1 U1 1 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 1 BP 35 EP 54 PG 20 WC Business, Finance; Economics SC Business & Economics GA AQ8GG UT WOS:000343061700004 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI QE: Is There a Portfolio Balance Effect? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; RATES AB The Federal Open Market Committee has recently attempted to stimulate economic growth using unconventional methods. Prominent among these is quantitative easing (QE) the purchase of a large quantity of longer-term debt on the assumption that it will reduce long-term yields through the portfolio balance channel. Former Federal Reserve Chairman Ben Bernanke and others suggest that QE works through the portfolio balance channel, which implies a strong, statistically significant positive relationship between the public's holding of long-term Treasury debt and long-term Treasury yields. The author uses the econometric approach of Gagnon et al. (2011) and others to investigate the relationship between a variety of measures of the public's debt holding and various yield measures in the literature. The empirical results provide virtually no support for the portfolio balance channel. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 24 TC 3 Z9 3 U1 1 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 1 BP 55 EP 72 PG 18 WC Business, Finance; Economics SC Business & Economics GA AQ8GG UT WOS:000343061700005 ER PT J AU Fawley, BW Neely, CJ AF Fawley, Brett W. Neely, Christopher J. TI The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID STOCK MARKETS REACTION; DISCOUNT RATE ANNOUNCEMENTS; HIGH-FREQUENCY RESPONSE; INTEREST-RATES; FUNDS FUTURES; EXCHANGE-RATES; INFORMATION-CONTENT; UNITED-STATES; REAL-TIME; TRANSMISSION AB This article describes the joint evolution of Federal Reserve policy and the study of the impact of monetary policy surprises on high-frequency asset prices. Since the 1970s, the Federal Open Market Committee has clarified its objectives and modified its procedures to become more transparent and predictable. Researchers have had to account for these changes to procedures and perceived objectives in developing methods to study the effects of monetary surprises. Unexpected changes to the Committee's federal funds target and postmeeting statements strongly and consistently affect asset prices, including interest rates, exchange rates, and (for target changes) stock prices. The study of monetary surprises on asset prices provides important insight for policymakers, financial market participants, and economic models. C1 [Fawley, Brett W.] Rosen Consulting Grp, Berkeley, CA 94704 USA. [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Fawley, BW (reprint author), Rosen Consulting Grp, Berkeley, CA 94704 USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 76 TC 3 Z9 3 U1 2 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 1 BP 73 EP 109 PG 37 WC Business, Finance; Economics SC Business & Economics GA AQ8GG UT WOS:000343061700006 ER PT J AU Thornton, DL Wheelock, DC AF Thornton, Daniel L. Wheelock, David C. TI Making Sense of Dissents: A History of FOMC Dissents SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID POLICY AB This article presents a record of dissents on Federal Open Market Committee (FOMC) monetary policy votes from the Committee's inception in its modern form in 1936 through 2013. Dissents were rare during the Committee's first 20 years but began to increase in the late 1950s. The number of dissents increased sharply during the late 1970s and early 1980s, when both inflation and unemployment were unusually high. However, at other times, the number of dissents was not correlated with either inflation or the unemployment rate. A review of FOMC records and published statements indicates that dissents often reflect fundamental disagreement about (i) how to achieve the Committee's macroeconomic objectives and (ii) the current stance of policy. The number of dissents also appears to have been influenced by the language used by the FOMC to communicate instructions to the manager of the System Open Market Account. (JEL E61, E65, N12) C1 [Thornton, Daniel L.; Wheelock, David C.] Fed Reserve Bank, St Louis, MO 63102 USA. RP Thornton, DL (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 15 TC 3 Z9 3 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 3 BP 213 EP 227 PG 15 WC Business, Finance; Economics SC Business & Economics GA AQ8GI UT WOS:000343062100002 ER PT J AU Bandyopadhyay, S Sandler, T AF Bandyopadhyay, Subhayu Sandler, Todd TI The Effects of Terrorism on Trade: A Factor Supply Approach SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FOREIGN DIRECT-INVESTMENT; CONSEQUENCES; GROWTH AB The conventional view of terrorism is that it raises risks and, as a result, reduces trade. The authors use a factor supply approach to show that this hypothesis is not necessarily correct. They use a two-good, two-factor, small open economy model to show that terrorism can either reduce or raise trade depending on critical factors, such as the impact of terrorism on the intensive factor of the export or the import sector. They then extend the analysis to models with several goods and factors and identify conditions under which trade may rise or fall with a greater incidence of terrorism. Finally, they provide an analysis of the effects of terrorism on trade in the presence of an optimal counterterrorism policy. The authors find that a nation's adjustment of its counterterrorism level in response to a greater terrorist threat may moderate the impact of terrorism on trade. (JEL F11, F52, H56) C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank, St Louis, MO 63102 USA. [Sandler, Todd] Univ Texas Dallas, Dallas, TX 75083 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 20 TC 0 Z9 0 U1 3 U2 8 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 3 BP 229 EP 241 PG 13 WC Business, Finance; Economics SC Business & Economics GA AQ8GI UT WOS:000343062100003 ER PT J AU Contessi, S De Pace, P Li, L AF Contessi, Silvio De Pace, Pierangelo Li, Li TI An International Perspective on the Recent Behavior of Inflation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DYNAMICS; RECESSION AB Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with the risk of deflation. However, the euro area is not the only economy navigating the risky waters of low inflation. Several other advanced economies have recently experienced below-target inflation as well as outright deflation. In this article, the authors collect data for nine advanced economies and document several facts about the behavior of inflation during the 2002-14 period. First, they show that the relationship between inflation rates and short-term rates displays similar changes across advanced economies with and without central bank programs designed to increase the size of their balance sheets (e.g., large-scale asset purchases). Second, they describe recent indications that headline and core inflation are below target for individual countries. They then discuss various explanations for this trend (global factors, output gaps, and changes in inflation expectations), showing that there is some important heterogeneity across countries. Finally, they show that while output has become even more synchronized across countries since 2008, the cross-country correlation of inflation is no longer higher than the cross-country correlation of output. (JEL E31, E43, F42, F44) C1 [Contessi, Silvio; Li, Li] Harvard Univ, Cambridge, MA 02138 USA. [Contessi, Silvio; Li, Li] Fed Reserve Bank St Louis, St Louis, MO USA. [De Pace, Pierangelo] Pomona Coll, Claremont, CA 91711 USA. RP Contessi, S (reprint author), Harvard Univ, Cambridge, MA 02138 USA. NR 48 TC 1 Z9 1 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 3 BP 267 EP 294 PG 28 WC Business, Finance; Economics SC Business & Economics GA AQ8GI UT WOS:000343062100005 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI Monetary Policy in the United States: A Brave New World? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This article is a reflection on monetary policy in the United States during Ben Bernanke's two terms as Chairman of the Federal Open Market Committee, from 2006 to 2014. Inflation targeting, policy during the financial crisis, and post-crisis monetary policy (forward guidance and quantitative easing) are discussed and evaluated. (JEL E52, N12) C1 [Williamson, Stephen D.] Washington Univ, St Louis, MO 63130 USA. [Williamson, Stephen D.] Fed Reserve Bank St Louis, St Louis, MO USA. [Williamson, Stephen D.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Williamson, SD (reprint author), Washington Univ, St Louis, MO 63130 USA. RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 16 TC 1 Z9 1 U1 0 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 2 BP 111 EP 121 PG 11 WC Business, Finance; Economics SC Business & Economics GA AQ8GH UT WOS:000343061900001 ER PT J AU Dupor, B AF Dupor, Bill TI The 2009 Recovery Act: Directly Created and Saved Jobs Were Primarily in Government SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Over one-half of the fiscal spending component of the American Recovery and Reinvestment Act (ARRA; i.e., the Recovery Act) was allocated via grants, loans, and contracts. Businesses, nonprofits, and nonfederal government agencies that received this type of stimulus funding were required to report the number of jobs directly created and saved as a result of their funding. Created and saved jobs represent, precisely, the full-time equivalent of jobs funded by first- and second-tier recipients of and contractors on ARRA grants, loans, and contracts. In this article, the author categorizes these jobs into either the private sector (businesses and nonprofits) or the government sector. It is estimated that at the one-year mark following the start of the stimulus, 166,000 of the 682,000 jobs directly created/saved were in the private sector. Examples of private sector stimulus jobs include social workers hired by nonprofit groups to assist families, mechanics to repair buses for public transportation, and construction workers to repave highways. Examples of government stimulus jobs include public school teachers, civil servants employed at state agencies, and police officers. While fewer than one of four stimulus jobs were in the private sector, more than seven of nine jobs in the U.S. economy overall reside in the private sector. Thus, stimulus-funded jobs were heavily tilted toward government. (JEL E6, H7) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Dupor, B (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Dupor, William/I-5742-2016 OI Dupor, William/0000-0002-2407-2792 NR 25 TC 1 Z9 1 U1 1 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 2 BP 123 EP 145 PG 23 WC Business, Finance; Economics SC Business & Economics GA AQ8GH UT WOS:000343061900002 ER PT J AU Badel, A AF Badel, Alejandro TI Representative Neighborhoods of the United States SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Many metropolitan areas in the United States display substantial racial segregation and substantial variation in incomes and house prices across neighborhoods. To what extent can this variation be summarized by a small number of representative (or synthetic) neighborhoods? To answer this question, U.S. neighborhoods are classified according to their characteristics in the year 2000 using a clustering algorithm. The author finds that such classification can account for 37 percent of the variation with two representative neighborhoods and for up to 52 percent with three representative neighborhoods. Furthermore, neighborhoods classified as similar to the same representative neighborhood tend to be geographically close to each other, forming large areas of fairly homogeneous characteristics. Representative neighborhoods seem a promising empirical benchmark for quantitative theories involving neighborhood formation. (JEL R2, D31, D58, J24) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Badel, A (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 11 TC 0 Z9 0 U1 2 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 2 BP 147 EP 172 PG 26 WC Business, Finance; Economics SC Business & Economics GA AQ8GH UT WOS:000343061900003 ER PT J AU Grover, S McCracken, MW AF Grover, Sean McCracken, Michael W. TI Factor-Based Prediction of Industry-Wide Bank Stress SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID UNIT-ROOT; INFLATION; FORECASTS; INFERENCE; ACCURACY; MODELS; TESTS AB This article investigates the use of factor-based methods for predicting industry-wide bank stress. Specifically, using the variables detailed in the Federal Reserve Board of Governors' bank stress scenarios, the authors construct a small collection of distinct factors. We then investigate the predictive content of these factors for net charge-offs and net interest margins at the bank industry level. The authors find that the factors do have significant predictive content, both in and out of sample, for net interest margins but significantly less predictive content for net charge-offs. Overall, it seems reasonable to conclude that the variables used in the Fed's bank stress tests are useful for identifying stress at the industry-wide level. The final section offers a simple factor-based analysis of the counterfactual bank stress testing scenarios. (JEL C12, C32, C52, C53) C1 [Grover, Sean; McCracken, Michael W.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Grover, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 22 TC 0 Z9 0 U1 3 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2014 VL 96 IS 2 BP 173 EP 193 PG 21 WC Business, Finance; Economics SC Business & Economics GA AQ8GH UT WOS:000343061900004 ER PT S AU Heathcote, J Perri, F AF Heathcote, Jonathan Perri, Fabrizio BE Gopinath, G Helpman, E Rogoff, K TI Assessing International Efficiency SO HANDBOOK OF INTERNATIONAL ECONOMICS, VOL 4 SE Handbooks in Economics LA English DT Article; Book Chapter DE International risk sharing; Long-run risk; Long-run growth; International business cycles; Real exchange rate ID REAL EXCHANGE-RATES; BUSINESS CYCLES; LONG-RUN; FINANCIAL INTEGRATION; DIVERSIFICATION PUZZLE; TRADE; CONSUMPTION; MACROECONOMICS; ECONOMIES; COUNTRIES AB This chapter is structured in three parts. The first part outlines the methodological steps, involving both theoretical and empirical work, for assessing whether an observed allocation of resources across countries is efficient. The second part applies themethodology to the long-run allocation of capital and consumption in a large cross section of countries. We find that countries that grow faster in the long run also tend to save more both domestically and internationally. These facts suggest that either the long-run allocation of resources across countries is inefficient, or that there is a systematic relation between fast growth and preference for delayed consumption. The third part applies the methodology to the allocation of resources across developed countries at the business cycle frequency. Here we discuss how evidence on international quantity comovement, exchange rates, asset prices, and international portfolio holdings can be used to assess efficiency. Overall, quantities and portfolios appear consistent with efficiency, while evidence from prices is difficult to interpret using standard models. The welfare costs associated with an inefficient allocation of resources over the business cycle can be significant if shocks to relative country permanent income are large. In those cases partial financial liberalization can lower welfare. C1 [Heathcote, Jonathan; Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Heathcote, Jonathan; Perri, Fabrizio] Ctr Econ Policy Res, London SW1Y 6LA, England. [Perri, Fabrizio] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 69 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-54315-8; 978-0-444-54314-1 J9 HBK ECON PY 2014 BP 523 EP 584 DI 10.1016/B978-0-444-54314-1.00009-4 PG 62 WC Economics; International Relations SC Business & Economics; International Relations GA BB3LL UT WOS:000342836400011 ER PT S AU Aguiar, M Amador, M AF Aguiar, Mark Amador, Manuel BE Gopinath, G Helpman, E Rogoff, K TI Sovereign Debt SO HANDBOOK OF INTERNATIONAL ECONOMICS, VOL 4 SE Handbooks in Economics LA English DT Article; Book Chapter DE Sovereign debt; Debt overhang; Default ID DEFAULT RISK; EMERGING ECONOMIES; BUSINESS CYCLES; INTEREST-RATES; POTENTIAL REPUDIATION; LAGRANGE MULTIPLIERS; CONTINGENT CLAIM; MORAL HAZARD; PHILIP-II; INVESTMENT AB In this chapter, we use a benchmark limited-commitment model to explore key issues in the economics of sovereign debt. After highlighting conceptual issues that distinguish sovereign debt as well as reviewing a number of empirical facts, we use the model to discuss debt overhang, risk-sharing, and capital flows in an environment of limited enforcement. We also discuss recent progress on default and renegotiation; self-fulfilling debt crises; and incomplete markets and their quantitative implications. We conclude with a brief assessment of the current state of the literature and highlight some directions for future research. C1 [Aguiar, Mark] Princeton Univ, Princeton, NJ 08544 USA. [Amador, Manuel] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Aguiar, M (reprint author), Princeton Univ, Princeton, NJ 08544 USA. NR 95 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-54315-8; 978-0-444-54314-1 J9 HBK ECON PY 2014 BP 647 EP 687 DI 10.1016/B978-0-444-54314-1.00011-2 PG 41 WC Economics; International Relations SC Business & Economics; International Relations GA BB3LL UT WOS:000342836400013 ER PT J AU Flood, MD AF Flood, Mark D. BE Brose, MS Flood, MD Krishna, D Nichols, B TI A brief history of financial risk and information SO HANDBOOK OF FINANCIAL DATA AND RISK INFORMATION, VOL I: PRINCIPLES AND CONTEXT LA English DT Article; Book Chapter ID CAPITAL-MARKET; PERFORMANCE; LIABILITIES; ORIGINS; BANK C1 [Flood, Mark D.] Concordia Univ, Montreal, PQ, Canada. [Flood, Mark D.] Off Thrift Supervis, Div Risk Management, Chicago, IL USA. [Flood, Mark D.] US Off Financial Res, Washington, DC USA. RP Flood, MD (reprint author), Fed Reserve Bank St Louis, Res Dept, Renton, WA 98057 USA. NR 122 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01201-1 PY 2014 BP 8 EP 32 PG 25 WC Business, Finance SC Business & Economics GA BB1RE UT WOS:000341303900003 ER PT J AU Flood, MD Kwan, S Leonova, IS AF Flood, Mark D. Kwan, Simon Leonova, Irina S. BE Brose, MS Flood, MD Krishna, D Nichols, B TI Data for microprudential supervision of US banks SO HANDBOOK OF FINANCIAL DATA AND RISK INFORMATION, VOL I: PRINCIPLES AND CONTEXT LA English DT Article; Book Chapter C1 [Flood, Mark D.] Concordia Univ, Montreal, PQ, Canada. [Flood, Mark D.] Off Thrift Supervis, Div Risk Management, Washington, DC USA. [Flood, Mark D.] US Off Financial Res, Washington, DC USA. [Kwan, Simon] Fed Reserve Bank, San Francisco, CA USA. [Leonova, Irina S.] US Dept Treasury, Washington, DC USA. RP Flood, MD (reprint author), Concordia Univ, Montreal, PQ, Canada. NR 153 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01201-1 PY 2014 BP 426 EP 489 PG 64 WC Business, Finance SC Business & Economics GA BB1RE UT WOS:000341303900015 ER PT J AU Buonincontri, D Robson, N AF Buonincontri, Dianne Robson, Nicholas BE Brose, MS Flood, MD Krishna, D Nichols, B TI Financial institutions' data requirements SO HANDBOOK OF FINANCIAL DATA AND RISK INFORMATION, VOL II: SOFTWARE AND DATA LA English DT Article; Book Chapter C1 [Buonincontri, Dianne] Fed Reserve Bank New York, New York, NY 10045 USA. RP Buonincontri, D (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01202-8 PY 2014 BP 50 EP 84 PG 35 WC Business, Finance SC Business & Economics GA BB1RG UT WOS:000341304900005 ER PT J AU Fernandez-Villaverde, J Guerron-Quintana, P Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Guerron-Quintana, Pablo Rubio-Ramirez, Juan F. TI Supply-Side Policies and the Zero Lower Bound SO IMF ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; LIQUIDITY TRAP AB Supply-side policies can play a role in fighting a low aggregate demand that traps an economy at the zero lower bound (ZLB) of nominal interest rates. Reductions in mark-ups or future increases in productivity triggered by supply-side policies generate a wealth effect that pulls current consumption and output up. Since the economy is at the ZLB, increases in interest rates do not undo this wealth effect. The paper illustrates this mechanism with a New Keynesian model. C1 [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27706 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Philadelphia, PA 19104 USA. NR 18 TC 5 Z9 5 U1 1 U2 4 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2014 VL 62 IS 2 BP 248 EP 260 DI 10.1057/imfer.2014.10 PG 13 WC Business, Finance; Economics SC Business & Economics GA AN1LG UT WOS:000340344400003 ER PT J AU Cetorelli, N AF Cetorelli, Nicola TI SURVIVING CREDIT MARKET COMPETITION SO ECONOMIC INQUIRY LA English DT Article ID FIRM DYNAMICS; MANUFACTURING-INDUSTRIES; FINANCING CONSTRAINTS; BANK COMPETITION; GROWTH; DEREGULATION; ENTRY; MODEL; EXIT; DEPENDENCE AB Empirical studies have documented that improvements in credit supply have important effects on entry in nonfinancial industries. This article shows that changes in credit supply conditions have much deeper effects on firms' population dynamics, well above and beyond the experience of entry. I explore the hypothesis that changes in credit supply have important effects on the demand side as well. I conjecture that when financial capital is difficult to obtain, while fewer firms may enter, those entering are drawn from a population with a better distribution of entrepreneurial quality. In an environment where financial capital is easily obtainable instead, the population of loan applicants changes as well, including those in a tougher environment who would not have tried entrepreneurship in the first place. These changes in the population of applicants imply significant effects on firms' life expectancy profile, and these effects are heterogeneous across firms of different vintage. Modifications in life expectancy are likely to affect firms' incentives in undertaking future capital investment and likewise investments in technological innovation. Hence, these changes in overall firms' population dynamics characterize an explicit mechanism through which finance can affect real economic activity. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Cetorelli, N (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM nicola.cetorelli@ny.frb.org NR 36 TC 2 Z9 2 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD JAN PY 2014 VL 52 IS 1 BP 320 EP 340 DI 10.1111/ecin.12033 PG 21 WC Economics SC Business & Economics GA AM4DC UT WOS:000339801700020 ER PT J AU Nowak, J AF Nowak, Jeremy BE Golden, J Updike, D TI MURALS AS SOCIAL CONTRACTS SO MURAL ARTS @ 30 LA English DT Article; Book Chapter C1 [Nowak, Jeremy] ArtPlace Amer, Brooklyn, NY USA. [Nowak, Jeremy] Brookings Inst, Washington, DC 20036 USA. [Nowak, Jeremy] Univ Penn, Inst Urban Res, Philadelphia, PA 19104 USA. [Nowak, Jeremy] William Penn Fdn, Philadelphia, PA USA. [Nowak, Jeremy] TRF, Hyderabad, Andhra Pradesh, India. RP Nowak, J (reprint author), Fed Reserve Bank Philadelphia, Board Directors, Philadelphia, PA 19106 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU TEMPLE UNIV PRESS PI PHILADELPHIA PA BROAD & OXFORD ST, PHILADELPHIA, PA 19122 USA PY 2014 BP 42 EP 65 PG 24 WC Art SC Art GA BA9AF UT WOS:000339064600004 ER PT B AU Reid, C AF Reid, Carolina BE Cramer, R Shanks, TRW TI THE PROMISES AND PITFALLS OF HOMEOWNERSHIP SO ASSETS PERSPECTIVE: THE RISE OF ASSET BUILDING AND ITS IMPACT ON SOCIAL POLICY LA English DT Article; Book Chapter ID HOUSING-MARKET; UNITED-STATES; OUTCOMES; BORROWERS; POLICY; MORTGAGES; EDUCATION; BENEFITS; CREDIT; CRISIS C1 [Reid, Carolina] Univ Calif Berkeley, Dept City & Reg Planning, Berkeley, CA 94720 USA. [Reid, Carolina] Ctr Responsible Lending, Durham, NC USA. [Reid, Carolina] Fed Reserve Bank San Francisco, Community Dev Dept, San Francisco, CA USA. RP Reid, C (reprint author), Univ Calif Berkeley, Dept City & Reg Planning, Berkeley, CA 94720 USA. NR 106 TC 2 Z9 2 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-137-38488-1; 978-1-137-38827-8 PY 2014 BP 123 EP 149 D2 10.1057/9781137384881 PG 27 WC International Relations; Political Science SC International Relations; Government & Law GA BA6XO UT WOS:000337301000006 ER PT B AU Dewald, WG Anderson, RG AF Dewald, William G. Anderson, Richard G. BE Szenberg, M Ramrattan, L TI Replication and Reflection: A Decade at the Journal of Money, Credit, and Banking SO SECRETS OF ECONOMICS EDITORS LA English DT Article; Book Chapter ID ECONOMICS; MANAGEMENT; LESSONS; PROJECT C1 [Dewald, William G.] Ohio State Univ, Columbus, OH 43210 USA. [Dewald, William G.; Anderson, Richard G.] Fed Reserve Bank, St Louis, MO USA. RP Dewald, WG (reprint author), Ohio State Univ, Columbus, OH 43210 USA. NR 19 TC 0 Z9 0 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-32010-8; 978-0-262-52546-6 PY 2014 BP 199 EP 212 PG 14 WC Economics SC Business & Economics GA BA3SB UT WOS:000334705900016 ER PT J AU Debortoli, D Maih, J Nunes, R AF Debortoli, Davide Maih, Junior Nunes, Ricardo TI LOOSE COMMITMENT IN MEDIUM-SCALE MACROECONOMIC MODELS: THEORY AND APPLICATIONS SO MACROECONOMIC DYNAMICS LA English DT Article DE Commitment; Discretion; Monetary Policy ID RATIONAL-EXPECTATIONS; MONETARY-POLICY; INFLATION; WELFARE; GAINS; RULES; PLANS AB This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment. As opposed to the existing literature, our method can be employed in the medium-and large-scale models typically used in monetary policy. We apply our method to the Smets and Wouters model [American Economic Review 97(3), 586-606 (2007)], for which we show that imperfect commitment has relevant implications for interest rate setting, the sources of business cycle fluctuations, and welfare. C1 [Debortoli, Davide] Univ Calif San Diego, La Jolla, CA 92093 USA. [Maih, Junior] Int Monetary Fund, Washington, DC 20431 USA. [Nunes, Ricardo] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Nunes, R (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ricardo.p.nunes@frb.gov RI Debortoli, Davide/K-5785-2014 OI Debortoli, Davide/0000-0001-8012-1790 NR 44 TC 4 Z9 4 U1 2 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD JAN PY 2014 VL 18 IS 1 BP 175 EP 198 DI 10.1017/S1365100512000326 PG 24 WC Economics SC Business & Economics GA AJ9RY UT WOS:000338051600008 ER PT S AU Bianchi, F Melosi, L AF Bianchi, Francesco Melosi, Leonardo BE Parker, JA Woodford, M TI Dormant Shocks and Fiscal Virtue SO NBER MACROECONOMICS ANNUAL 2013 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID MONETARY-POLICY AB We develop a theoretical framework to account for the observed instability of the link between inflation and fiscal imbalances across time and countries. Current policymakers' behavior influences agents' beliefs about the way debt will be stabilized. The standard policy mix consists of a virtuous fiscal authority that moves taxes in response to debt and a central bank that has full control over inflation. When policymakers deviate from this virtuous regime, agents conduct Bayesian learning to infer the likely duration of the deviation. As agents observe more and more deviations, they become increasingly pessimistic about a prompt return to the virtuous regime and inflation starts drifting in response to a fiscal imbalance. Shocks that were dormant under the virtuous regime now start manifesting themselves. These changes are initially imperceptible, can unfold over decades, and accelerate as agents' beliefs deteriorate. Dormant shocks explain the run-up of US inflation and uncertainty in the 1970s. The currently low long-term interest rates and inflation expectations might hide the true risk of inflation faced by the US economy. C1 [Bianchi, Francesco] Duke Univ, Durham, NC 27706 USA. [Bianchi, Francesco] CEPR, Washington, DC USA. [Melosi, Leonardo] Fed Reserve Bank Chicago, Chicago, IL USA. RP Bianchi, F (reprint author), Duke Univ, Durham, NC 27706 USA. NR 6 TC 5 Z9 5 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-16540-0 J9 NBER MACROECON ANNU PY 2014 VL 28 BP 1 EP + D2 10.7208/chicago/9780226165547.001.0001 PG 69 WC Business, Finance; Economics SC Business & Economics GA BA4OW UT WOS:000336074300002 ER PT J AU Armstrong, C Craig, B Jackson, WE Thomson, JB AF Armstrong, Craig Craig, Ben Jackson, William E., III Thomson, James B. TI The Moderating Influence of Financial Market Development on the Relationship between Loan Guarantees for SMEs and Local Market Employment Rates SO JOURNAL OF SMALL BUSINESS MANAGEMENT LA English DT Article ID PRICE-CONCENTRATION RELATIONSHIP; ECONOMIC-GROWTH; CREDIT MARKET; LENDING RELATIONSHIPS; UNITED-STATES; BANKING; IMPACT; INTERVENTION; BENEFITS AB We empirically examine whether a major government intervention in the small firm credit market yields significantly better results in markets that are less financially developed. The government intervention that we investigate is Small Business Administration (SBA) guaranteed lending. After controlling for the appropriate cross-sectional market characteristics, we find that SBA guaranteed lending has a significantly more positive impact on the average annual level of employment when the local market is relatively less financially developed. This result has important implications for public policy directives concerning where SBA guaranteed lending should be directed. C1 [Armstrong, Craig] Univ Alabama, Dept Management & Mkt, Tuscaloosa, AL 35487 USA. [Craig, Ben] Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH USA. [Jackson, William E., III] Univ Alabama, Dept Management & Mkt, J Craig Smith Endowed Chair Business Integr, Tuscaloosa, AL 35487 USA. [Thomson, James B.] Univ Akron, Coll Business Adm, Akron, OH 44325 USA. RP Jackson, WE (reprint author), Univ Alabama, Culverhouse Coll Commerce, J Craig Smith Endowed Chair Business Integr, Tuscaloosa, AL 35487 USA. EM wjackson@cba.ua.edu NR 27 TC 0 Z9 0 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0047-2778 EI 1540-627X J9 J SMALL BUS MANAGE JI J. Small Bus. Manag. PD JAN PY 2014 VL 52 IS 1 BP 126 EP 140 DI 10.1111/jsbm.12036 PG 15 WC Management SC Business & Economics GA AD9KI UT WOS:000333583500007 ER PT B AU Iacoviello, M AF Iacoviello, Matteo BE Wachter, S Cho, M Tcha, MJ TI Macroeconomics of housing SO GLOBAL FINANCIAL CRISIS AND HOUSING: A NEW POLICY PARADIGM SE KDI Series in Economic Policy and Development LA English DT Article; Book Chapter ID BUSINESS-CYCLE C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Iacoviello, M (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. NR 32 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78347-288-8; 978-1-78347-287-1 J9 KDI SER ECON POL DEV PY 2014 BP 21 EP 39 PG 19 WC Economics; Planning & Development SC Business & Economics; Public Administration GA BA1WD UT WOS:000333144600002 ER PT J AU Brave, S Walstrum, T AF Brave, Scott Walstrum, Thomas TI Estimating marginal treatment effects using parametric and semiparametric methods SO STATA JOURNAL LA English DT Article DE st0331; margte; locpoly2; etregress; movestay; marginal treatment effect; average treatment effect; generalized Roy model; local instrumental variables ID INSTRUMENTAL VARIABLES; POLICY; MODELS AB We describe the new command margte, which computes marginal and average treatment effects for a model with a binary treatment and a continuous outcome given selection on unobservables and returns. Marginal treatment effects differ from average treatment effects in instances where the impact of treatment varies within a population in correlation with unobserved characteristics. Both parametric and semiparametric estimation methods can be used with margte, and we provide evidence from a Monte Carlo simulation for when each is preferable. C1 [Brave, Scott; Walstrum, Thomas] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. [Walstrum, Thomas] Univ Illinois, Chicago, IL USA. RP Brave, S (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. EM sbrave@frbchi.org; twalstrum@frbchi.org NR 18 TC 1 Z9 1 U1 1 U2 9 PU STATA PRESS PI COLLEGE STATION PA 4905 LAKEWAY PARKWAY, COLLEGE STATION, TX 77845 USA SN 1536-867X J9 STATA J JI Stata J. PY 2014 VL 14 IS 1 BP 191 EP 217 PG 27 WC Social Sciences, Mathematical Methods; Statistics & Probability SC Mathematical Methods In Social Sciences; Mathematics GA AE7BE UT WOS:000334150900011 ER PT J AU Eggertsson, G Ferrero, A Raffo, A AF Eggertsson, Gauti Ferrero, Andrea Raffo, Andrea TI Can structural reforms help Europe? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Structural reforms; Zero lower bound; Monetary union ID INTERTEMPORAL SUBSTITUTION; MONETARY-POLICY; LIQUIDITY TRAP; FISCAL-POLICY; RISK-AVERSION; OPEN-ECONOMY; CONSUMPTION; FRAMEWORK; RETURN AB Structural reforms that increase competition in product and labor markets are often indicated as the main policy option available for peripheral Europe to regain competitiveness and boost output. We show that, in a crisis that pushes the nominal interest rate to its lower bound, these reforms do not support economic activity in the short run, and may well be contractionary. In the absence of the appropriate monetary stimulus, reforms fuel expectations of prolonged deflation, increase the real interest rate, and depress aggregate demand. Our findings carry important implications for the current debate on the timing and the design of structural reforms in Europe. Published by Elsevier B.V. C1 [Eggertsson, Gauti] Brown Univ, Providence, RI 02912 USA. [Ferrero, Andrea] Univ Oxford, Oxford OX1 2JD, England. [Raffo, Andrea] Fed Reserve Board, Washington, DC 20551 USA. RP Raffo, A (reprint author), Fed Reserve Board, 20th C St NW, Washington, DC 20551 USA. EM andrea.raffo@frb.gov NR 42 TC 23 Z9 23 U1 3 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2014 VL 61 BP 2 EP 22 DI 10.1016/j.jmoneco.2013.11.006 PG 21 WC Business, Finance; Economics SC Business & Economics GA AC8VQ UT WOS:000332813600001 ER PT J AU Hatchondo, JC Martinez, L Padilla, CS AF Hatchondo, Juan Carlos Martinez, Leonardo Padilla, Cesar Sosa TI Voluntary sovereign debt exchanges SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Sovereign default; Debt restructuring; Voluntary debt exchanges; Long-term debt; Endogenous borrowing constraints ID BUSINESS CYCLES; EMERGING ECONOMIES; INTEREST-RATES; DEFAULT RISK; OVERHANG AB We show that some recent sovereign debt restructurings were characterized by (i) the absence of missed debt payments prior to the restructurings, (ii) reductions in the government's debt burden, and (iii) increases in the market value of debt claims for holders of the restructured debt. Since both the government and its creditors are likely to benefit from such restructurings, we label these episodes as "voluntary" debt exchanges. We present a model in which voluntary debt exchanges can occur in equilibrium when the debt level takes values above the one that maximizes the market value of debt claims. In contrast to previous studies on debt overhang, in our model opportunities for voluntary exchanges arise because a debt reduction implies a decline of the sovereign default risk. This is observed in the absence of any effect of debt reductions on future output levels. Although voluntary exchanges are Pareto improving at the time of the restructuring, we show that eliminating the possibility of conducting voluntary exchanges may improve welfare from an ex ante perspective. Thus, our results highlight a cost of initiatives that facilitate debt restructurings. (C) 2013 Elsevier B.V. All rights reserved. C1 [Hatchondo, Juan Carlos] Indiana Univ, Bloomington, IN 47405 USA. [Hatchondo, Juan Carlos] Fed Reserve Bank Richmond, Richmond, VA USA. [Padilla, Cesar Sosa] McMaster Univ, Hamilton, ON L8S 4L8, Canada. RP Hatchondo, JC (reprint author), Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. EM juanc.hatchondo@gmail.com; leo14627@gmail.com; cesarspa@gmail.com NR 32 TC 5 Z9 5 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2014 VL 61 BP 32 EP 50 DI 10.1016/j.jmoneco.2013.11.002 PG 19 WC Business, Finance; Economics SC Business & Economics GA AC8VQ UT WOS:000332813600003 ER PT J AU Amador, M AF Amador, Manuel TI Comment on: "Voluntary debt exchanges in sovereign debt markets" by Hatchondo, Martinez and Padilla SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Amador, M (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN USA. EM amador.manuel@gmail.com NR 1 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2014 VL 61 BP 51 EP 52 DI 10.1016/j.jmoneco.2013.11.004 PG 2 WC Business, Finance; Economics SC Business & Economics GA AC8VQ UT WOS:000332813600004 ER PT J AU Wright, MLJ AF Wright, Mark L. J. TI Comment on "Sovereign debt markets in turbulent times: Creditor discrimination and crowding-out effects" by Broner, Erce, Martin and Ventura SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID DEFAULT; RISK C1 [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wright, Mark L. J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Wright, MLJ (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM Mark.Wright@chi.frb.org NR 17 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2014 VL 61 BP 143 EP 147 DI 10.1016/j.jmoneco.2013.12.002 PG 5 WC Business, Finance; Economics SC Business & Economics GA AC8VQ UT WOS:000332813600010 ER PT J AU Mandelman, FS Zanetti, F AF Mandelman, Federico S. Zanetti, Francesco TI Flexible prices, labor market frictions and the response of employment to technology shocks SO LABOUR ECONOMICS LA English DT Article DE Technology shocks; Employment; Labor market frictions ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; BAYESIAN-ANALYSIS; MONETARY-POLICY; MODEL; UNEMPLOYMENT AB Recent empirical evidence establishes that a positive technology shock leads to a decline in labor inputs. Standard RBC models fails to replicate this stylized fact, while recent papers show that augmenting the model with implementation lags, or habit formation, or shock persistence in growth rates among others accounts for this fact. In this paper, we show that a standard flexible price model with labor market frictions that allows hiring costs to depend on technology shocks may also lead to the same negative impact on labor inputs. Labor market frictions are therefore able to account for the fall in labor inputs. However, the elasticity of hiring costs to technology shocks is large, suggesting that additional extensions to the model are needed. (C) 2013 Elsevier B.V. All rights reserved. C1 [Mandelman, Federico S.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Zanetti, Francesco] Univ Oxford, Dept Econ, Oxford OX1 3UQ, England. RP Zanetti, F (reprint author), Univ Oxford, Dept Econ, Oxford OX1 3UQ, England. EM federico.mandelman@atl.frb.org; francesco.zanetti@economics.ox.ac.uk NR 46 TC 4 Z9 4 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 EI 1879-1034 J9 LABOUR ECON JI Labour Econ. PD JAN PY 2014 VL 26 BP 94 EP 102 DI 10.1016/j.labeco.2013.11.004 PG 9 WC Economics SC Business & Economics GA AC3SO UT WOS:000332441700009 ER PT J AU Carlson, M Lewis, K Nelson, W AF Carlson, Mark Lewis, Kurt Nelson, William TI USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE financial market functioning; stress events; Financial stress; financial market volatility; policy interventions; financial market comovement ID CRISIS AB This paper describes the construction of a financial stress index (FSI). Our index incorporates the level, volatility and comovement of a variety of financial series, rather than a single dimension of the data. To determine which time periods are ones of notable financial stress and thus the relevant ones for determining the role of the level, volatility and comovement of our financial series, we use actions taken by policymakers. In addition to describing the construction of our FSI, we discuss issues relevant to the general construction of stress indexes such as how an FSI differs from a financial conditions index, the challenges of combining different financial series into a single measure and the role historical experience plays in index construction. Copyright (c) 2013 John Wiley & Sons, Ltd. C1 [Carlson, Mark; Lewis, Kurt; Nelson, William] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Carlson, M (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM mark.a.carlson@frb.gov NR 33 TC 2 Z9 2 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1076-9307 EI 1099-1158 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD JAN PY 2014 VL 19 IS 1 SI SI BP 59 EP 72 DI 10.1002/ijfe.1482 PG 14 WC Business, Finance SC Business & Economics GA AB3OK UT WOS:000331699900009 ER PT J AU Martin, A Skeie, D von Thadden, EL AF Martin, Antoine Skeie, David von Thadden, Ernst-Ludwig TI The fragility of short-term secured funding markets SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Investment banking; Repurchase agreements; Runs; Financial fragility; Collateral; Systemic risk ID BANK LIQUIDITY; DEPOSIT INSURANCE; MODEL; DEBT; RUNS AB This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These determinants depend on the borrower's (endogenous) balance sheet and on (exogenous) fundamentals. Systemic runs are possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the system as a whole is exposed to high short-term funding risk. The theory has policy implications for prudential regulation and lender-of-last-resort interventions. (C) 2013 Elsevier Inc. All rights reserved. C1 [Martin, Antoine; Skeie, David] Fed Reserve Bank New York, New York, NY USA. [von Thadden, Ernst-Ludwig] Univ Mannheim, Mannheim, Germany. RP von Thadden, EL (reprint author), Univ Mannheim, Mannheim, Germany. EM antoine.martin@ny.frb.org; david.skeie@ny.frb.org; vthadden@uni-mannheim.de RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 35 TC 5 Z9 5 U1 4 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2014 VL 149 BP 15 EP 42 DI 10.1016/j.jet.2013.10.006 PG 28 WC Economics SC Business & Economics GA AB2ZO UT WOS:000331661300002 ER PT J AU Andolfatto, D Berentsen, A Waller, C AF Andolfatto, David Berentsen, Aleksander Waller, Christopher TI Optimal disclosure policy and undue diligence SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Disclosure policy; Undue diligence; Risk-sharing; Intertemporal trade; Limited commitment ID SOCIAL VALUE; INFORMATION; MONEY; PRICES AB Information about asset quality is often not disclosed to asset markets. What principles determine when a financial regulator should disclose or withhold information? We explore this question using a risk-sharing model with intertemporal trade and limited commitment. Information about future asset returns is available to society, but legislation dictates whether this information is disclosed or not. In our environment, nondisclosure is generally desirable except when individuals can access hidden information what we call undue diligence at sufficiently low cost. Ironically, information disclosure is desirable only when individuals have a strong incentive to discover it for themselves. (C) 2013 Elsevier Inc. All rights reserved. C1 [Andolfatto, David; Berentsen, Aleksander; Waller, Christopher] Fed Reserve Bank St Louis, St Louis, MO USA. [Andolfatto, David] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. [Berentsen, Aleksander] Univ Basel, CH-4002 Basel, Switzerland. [Waller, Christopher] Univ Notre Dame, Notre Dame, IN 46556 USA. RP Berentsen, A (reprint author), Univ Basel, Dept Econ, Peter Merian Weg 6, CH-4002 Basel, Switzerland. EM David.Andolfatto@stls.frb.org; aleksander.berentsen@unibas.ch; cwaller@stls.frb.org RI Waller, Christopher/I-5755-2016; Andolfatto, David/I-5738-2016 OI Waller, Christopher/0000-0003-2406-9910; Andolfatto, David/0000-0003-0703-3967 NR 19 TC 6 Z9 6 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2014 VL 149 BP 128 EP 152 DI 10.1016/j.jet.2013.02.003 PG 25 WC Economics SC Business & Economics GA AB2ZO UT WOS:000331661300006 ER PT J AU Favara, G Song, Z AF Favara, Giovanni Song, Zheng TI House price dynamics with dispersed information SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Housing prices; Information dispersion; Income dispersion ID MARKET; GONE; RISK AB We use a user-cost model to study how dispersed information affects the equilibrium house price. In the model, agents are disparately informed about local economic conditions, consume housing services, and speculate on price changes. Optimists, who expect high house price growth, buy in anticipation of capital gains; pessimists, who expect capital losses, prefer to rent. Because of short-selling constraints on housing, pessimistic expectations are not incorporated in the price of owned houses and the equilibrium price is higher and more volatile relative to the benchmark case of common information. We present evidence supporting the model's predictions in a panel of US cities. (C) 2013 Elsevier Inc. All rights reserved. C1 [Favara, Giovanni] Fed Reserve Board, Washington, DC 20551 USA. [Song, Zheng] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. RP Song, Z (reprint author), Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. EM giovanni.favara@frb.gov; zheng.song@chicagobooth.edu NR 41 TC 6 Z9 6 U1 2 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2014 VL 149 BP 350 EP 382 DI 10.1016/j.jet.2013.05.001 PG 33 WC Economics SC Business & Economics GA AB2ZO UT WOS:000331661300013 ER PT J AU Sengupta, R AF Sengupta, Rajdeep TI Lending to uncreditworthy borrowers SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Bank competition; Credit allocation; Lending standards ID ASYMMETRIC INFORMATION; RELATIONSHIP BANKING; ROTHSCHILD-STIGLITZ; CREDIT; COMPETITION; STANDARDS; DEREGULATION; MARKETS; CYCLES; RATES AB We study optimal lending behavior in situations where borrowers' outside options increase with their creditworthiness. Creditworthiness is private information of borrowers. Lenders use collateral as a screening mechanism to address this adverse selection problem. A lender seeking to attract creditworthy borrowers with high reservation payoffs (while screening out uncreditworthy types) must offer contracts with sufficiently low interest rates and, consequently, high collateral requirements. Because higher collateral requirements raise screening costs, however, lenders favor pooling uncreditworthy borrowers over screening them in essence, a lowering of credit standards. Lending costs determine break-even offers that rival incumbents can offer borrowers. Accordingly, a lender faces borrowers whose reservation payoffs depend on the lender's cost advantage over rival incumbent lenders. Our results imply that screening is more likely to occur in markets with a greater disparity in lending costs. Conversely, when funding markets are intensely competitive, lenders are more likely to resort to pooling. This paper also rationalizes the phenomenon of cream-skimming by outside (foreign) lenders as an equilibrium of the model. Surprisingly, we find that the presence of an informed rival actually facilitates cream-skimming by an uninformed lender. (C) 2013 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Sengupta, R (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM rajdeep.sengupta@kc.frb.org NR 42 TC 2 Z9 3 U1 1 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2014 VL 23 IS 1 BP 101 EP 128 DI 10.1016/j.jfi.2013.07.001 PG 28 WC Business, Finance SC Business & Economics GA AB3CM UT WOS:000331668900005 ER PT J AU Christensen, JHE Lopez, JA Rudebusch, GD AF Christensen, Jens H. E. Lopez, Jose A. Rudebusch, Glenn D. TI Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Arbitrage-free yield curve modeling; Financial crisis; Kalman filter; LIBOR ID RISK; MARKET; PREMIA; BONDS; SWAP; US AB In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending rates near the start of the crisis, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term interbank rates. This model can account for fluctuations in the term structure of credit and liquidity spreads observed in the data. A significant shift in model estimates after the announcement of the liquidity facilities suggests that these central bank actions did help lower the liquidity premium in term interbank rates. C1 [Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM Jens.Christensen@sf.frb.org; jose.a.lopez@sf.frb.org; Glenn.Rudebusch@sf.frb.org NR 27 TC 5 Z9 5 U1 6 U2 13 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2014 VL 32 IS 1 BP 136 EP 151 DI 10.1080/07350015.2013.858631 PG 16 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 299YN UT WOS:000330431700008 ER PT J AU Pesaran, MH Chudik, A AF Pesaran, M. Hashem Chudik, Alexander TI Aggregation in large dynamic panels SO JOURNAL OF ECONOMETRICS LA English DT Article DE Aggregation; Large dynamic panels; Long memory; Weak and strong cross section dependence; VAR models; Impulse responses; Factor models; Inflation persistence ID HETEROGENEOUS PANELS; ECONOMETRIC-ANALYSIS; MODELS; INFERENCE AB This paper investigates the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is derived and used (i) to establish conditions under which Granger's (1980) conjecture regarding the long memory properties of aggregate variables from 'a very large scale dynamic, econometric model' holds, and (ii) to show which distributional features of micro parameters can be identified from the aggregate model. The paper also derives impulse response functions for the aggregate variables, distinguishing between the effects of composite macro and aggregated idiosyncratic shocks. Some of the findings of the paper are illustrated by Monte Carlo experiments. The paper also contains an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to which 'observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our findings suggest that dynamic heterogeneity as well as persistent common factors are needed for explaining the observed persistence of the aggregate inflation. (C) 2013 Elsevier B.V. All rights reserved. C1 [Pesaran, M. Hashem] Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA. [Pesaran, M. Hashem] Univ Cambridge Trinity Coll, Cambridge CB2 1TQ, England. [Chudik, Alexander] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Pesaran, MH (reprint author), Univ So Calif, Dept Econ, 3620 South Vermont Ave, Los Angeles, CA 90089 USA. EM pesaran@usc.edu; alexander.chudik@dal.frb.org NR 38 TC 4 Z9 4 U1 0 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2014 VL 178 BP 273 EP 285 DI 10.1016/j.jeconom.2013.08.027 PN 2 PG 13 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 296CD UT WOS:000330161800007 ER PT J AU Levchenko, AA Zhang, J AF Levchenko, Andrei A. Zhang, Jing TI Ricardian productivity differences and the gains from trade SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Gains from trade; Comparative advantage; Sufficient statistics ID EATON-KORTUM MODEL; INTERNATIONAL-TRADE; INCOME DIFFERENCES; GROWTH; WORLD AB This paper evaluates the role of sectoral heterogeneity in determining the gains from trade. We first show analytically that in the presence of sectoral Ricardian comparative advantage, a one-sector sufficient statistic formula that uses total trade volumes as a share of total absorption systematically understates the true gains from trade. Greater relative sectoral productivity differences lead to larger disparities between the gains implied by the one-sector formula and the true gains. Using data on overall and sectoral trade shares in a sample of 79 countries and 19 sectors we show that the multi-sector formula implies on average 30% higher gains from trade than the one-sector formula, and as much as 100% higher gains for some countries. We then set up and estimate a quantitative Ricardian-Heckscher-Ohlin model in which no version of the formula applies exactly, and compare a range of sufficient statistic formulas to the true gains in this model. Confirming the earlier results, formulas that do not take into account the sectoral heterogeneity understate the true gains from trade in the model by as much as two-thirds. The one-sector formulas understate the gains by more in countries with greater dispersion in sectoral productivities. (C) 2013 Elsevier B.V. All rights reserved. C1 [Levchenko, Andrei A.] Univ Michigan, Ann Arbor, MI 48104 USA. [Levchenko, Andrei A.] NBER, Cambridge, MA 02138 USA. [Levchenko, Andrei A.] CEPR, Cambridge, MA USA. [Zhang, Jing] Fed Reserve Bank Chicago, Chicago, IL USA. RP Levchenko, AA (reprint author), Univ Michigan, Dept Econ, 611 Tappan St, Ann Arbor, MI 48104 USA. EM alev@umich.edu; jzhang@chifrb.org OI Levchenko, Andrei A/0000-0001-9087-7911 NR 39 TC 4 Z9 4 U1 3 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD JAN PY 2014 VL 65 BP 45 EP 65 DI 10.1016/j.euroecorev.2013.10.006 PG 21 WC Economics SC Business & Economics GA 290OK UT WOS:000329768000003 ER PT J AU Jensen, MJ Maheu, JM AF Jensen, Mark J. Maheu, John M. TI Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bayesian nonparametrics; Dirichlet process mixture; Leverage effect; Stochastic volatility ID BAYESIAN-ANALYSIS; LIKELIHOOD INFERENCE; STOCK RETURNS; LEVERAGE; NEWS; MARKETS; IMPACT AB We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our semiparametric model accurately forecasting market returns. During tranquil markets, expected volatility rises (declines, then rises as the shock increases) when the market shock is negative (positive). This asymmetry is muted when the market is volatile. In other words, when times are good, no news is good news, but during bad times, neither good nor bad news matters with regards to volatility. (C) 2013 Elsevier B.V. All rights reserved. C1 [Jensen, Mark J.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Maheu, John M.] McMaster Univ, DeGroote Sch Business, Hamilton, ON, Canada. RP Jensen, MJ (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Mark.Jensen@atl.frb.org; maheujm@mcmaster.ca NR 50 TC 5 Z9 5 U1 0 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2014 VL 178 BP 523 EP 538 DI 10.1016/j.jeconom.2013.08.018 PN 3 PG 16 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 293HC UT WOS:000329961000011 ER PT J AU Hall, AR Inoue, A Nason, JM Rossi, B AF Hall, Alastair R. Inoue, Atsushi Nason, James M. Rossi, Barbara TI Information criteria for impulse response function matching estimation of DSGE models (vol 170, pg 499, 2012) SO JOURNAL OF ECONOMETRICS LA English DT Correction C1 [Hall, Alastair R.] Univ Manchester, Manchester M13 9PL, Lancs, England. [Inoue, Atsushi] So Methodist Univ, Dept Econ, Umphrey Lee Ctr, Dallas, DC 75205 USA. [Nason, James M.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Rossi, Barbara] ICREA Univ Pompeu Fabra, Barcelona GSE & CREI, Barcelona, Spain. RP Inoue, A (reprint author), So Methodist Univ, Dept Econ, Umphrey Lee Ctr, Suite 301,3300 Dyer St, Dallas, DC 75205 USA. EM ainoue@mail.smu.edu NR 1 TC 0 Z9 0 U1 1 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2014 VL 178 BP 706 EP 706 DI 10.1016/j.jeconom.2013.09.001 PN 3 PG 1 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 293HC UT WOS:000329961000023 ER PT J AU He, ZG Li, S Wei, B Yu, JF AF He, Zhiguo Li, Si Wei, Bin Yu, Jianfeng TI Uncertainty, Risk, and Incentives: Theory and Evidence SO MANAGEMENT SCIENCE LA English DT Article DE executive compensation; optimal contracting; learning; uncertainty; risk-incentive trade-off ID PAY-PERFORMANCE SENSITIVITY; EXECUTIVE-COMPENSATION; CEO COMPENSATION; CROSS-SECTION; TRADE-OFF; CONTRACTS; MARKET; FIRM; PROFITABILITY; TECHNOLOGY AB Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this "learning-by-doing" effect generates a positive relation between profitability uncertainty and incentives. We document empirical support for this prediction. C1 [He, Zhiguo] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Li, Si] Wilfrid Laurier Univ, Sch Business & Econ, Waterloo, ON N2L 3C5, Canada. [Li, Si] Tsinghua Univ, PBC Sch Finance, Beijing 100083, Peoples R China. [Wei, Bin] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Yu, Jianfeng] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. RP He, ZG (reprint author), Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. EM zhiguo.he@chicagobooth.edu; sli@wlu.ca; bin.wei@frb.gov; jianfeng@umn.edu FU Social Sciences and Humanities Research Council of Canada FX This work does not necessarily reflect the views of the Federal Reserve System or its staff. The authors thank Wei Jiang (the department editor), an anonymous associate editor, three anonymous referees, and seminar participants at the Third Annual Triple Crown Conference, the Northern Finance Association annual meetings, the Sixth Singapore International Conference on Finance, Financial Management Association meetings, World Finance and Banking Symposium, and the Chinese Finance Association Best Paper Symposium. Si Li acknowledges financial support from the Social Sciences and Humanities Research Council of Canada. All errors are the authors' responsibility. NR 57 TC 3 Z9 3 U1 11 U2 54 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD JAN PY 2014 VL 60 IS 1 BP 206 EP 226 DI 10.1287/mnsc.2013.1744 PG 21 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 292PV UT WOS:000329915300012 ER PT J AU Moretti, E Wilson, DJ AF Moretti, Enrico Wilson, Daniel J. TI State incentives for innovation, star scientists and jobs: Evidence from biotech SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Place-based policies; Clusters; Local labor markets; Biotechnology; State tax incentives AB We evaluate the effects of state-provided financial incentives for biotech companies, which are part of a growing trend of placed-based policies designed to spur innovation clusters. We estimate that the adoption of subsidies for biotech employers by a state raises the number of star biotech scientists in that state by about 15% over a three year period. A 10% decline in the user cost of capital induced by an increase in R&D tax incentives raises the number of stars by 22%. Most of the gains are due to the relocation of star scientist to adopting states, with limited effect on the productivity of incumbent scientists already in the state. The gains are concentrated among private sector inventors. We uncover little effect of subsidies on academic researchers, consistent with the fact that their incentives are unaffected. Our estimates indicate that the effect on overall employment in the biotech sector is of comparable magnitude to that on star scientists. Consistent with a model where workers are fairly mobile across states, we find limited effects on salaries in the industry. We uncover large effects on employment in the non-traded sector due to a sizable multiplier effect, with the largest impact on employment in construction and retail. Finally, we find mixed evidence of a displacement effect on states that are geographically close, or states that economically close as measured by migration flows. (C) 2013 Elsevier Inc. All rights reserved., C1 [Moretti, Enrico] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Moretti, Enrico] NBER, Cambridge, MA 02138 USA. [Wilson, Daniel J.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Moretti, E (reprint author), Univ Calif Berkeley, Berkeley, CA 94720 USA. EM moretti@econ.berkeley.edu NR 23 TC 12 Z9 12 U1 5 U2 31 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2014 VL 79 SI SI BP 20 EP 38 DI 10.1016/j.jue.2013.07.002 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 289LW UT WOS:000329685000003 ER PT B AU Fee, K Hartley, D AF Fee, Kyle Hartley, Daniel BE Wachter, SM Zeuli, KA TI The Relationship Between City Center Density and Urban Growth or Decline SO REVITALIZING AMERICAN CITIES SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Fee, Kyle; Hartley, Daniel] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. RP Fee, K (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4555-4 J9 CITY 21ST CENTURY PY 2014 BP 45 EP + PG 21 WC Social Sciences, Interdisciplinary; Urban Studies SC Social Sciences - Other Topics; Urban Studies GA BJJ79 UT WOS:000328512400004 ER PT B AU Kodrzycki, YK Munoz, AP AF Kodrzycki, Yolanda K. Munoz, Ana Patricia BE Wachter, SM Zeuli, KA TI Lessons from Resurgent Mid-Sized Manufacturing Cities SO REVITALIZING AMERICAN CITIES SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Kodrzycki, Yolanda K.] Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA USA. [Kodrzycki, Yolanda K.; Munoz, Ana Patricia] Boston Feds Res Dept, Boston, MA USA. [Kodrzycki, Yolanda K.] Amherst Coll, Amherst, MA 01002 USA. [Munoz, Ana Patricia] Fed Reserve Bank Boston, Boston, MA USA. RP Kodrzycki, YK (reprint author), Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA USA. NR 0 TC 1 Z9 1 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4555-4 J9 CITY 21ST CENTURY PY 2014 BP 83 EP + PG 25 WC Social Sciences, Interdisciplinary; Urban Studies SC Social Sciences - Other Topics; Urban Studies GA BJJ79 UT WOS:000328512400006 ER PT B AU Mallach, A AF Mallach, Alan BE Wachter, SM Zeuli, KA TI Parallel Histories, Diverging Trajectories: Resilience in Small Industrial Cities SO REVITALIZING AMERICAN CITIES SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Mallach, Alan] Brookings Inst, Metropolitan Policy Program, Washington, DC 20036 USA. [Mallach, Alan] Pratt Inst, Grad City Planning Program, New York, NY USA. [Mallach, Alan] Univ Nevada Las Vegas, Las Vegas, NV USA. RP Mallach, A (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 0 TC 1 Z9 1 U1 1 U2 2 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4555-4 J9 CITY 21ST CENTURY PY 2014 BP 125 EP + PG 25 WC Social Sciences, Interdisciplinary; Urban Studies SC Social Sciences - Other Topics; Urban Studies GA BJJ79 UT WOS:000328512400008 ER PT B AU Mallach, A AF Mallach, Alan BE Wachter, SM Zeuli, KA TI Transformation Is Messy Work: The Complex Challenge of Spatial Reconfiguration in America's Legacy Cities SO REVITALIZING AMERICAN CITIES SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Mallach, Alan] Brookings Inst, Metropolitan Policy Program, Washington, DC 20036 USA. [Mallach, Alan] Pratt Inst, Grad City Planning Program, New York, NY USA. [Mallach, Alan] Univ Nevada Las Vegas, Las Vegas, NV USA. RP Mallach, A (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 0 TC 0 Z9 0 U1 1 U2 3 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4555-4 J9 CITY 21ST CENTURY PY 2014 BP 168 EP + PG 26 WC Social Sciences, Interdisciplinary; Urban Studies SC Social Sciences - Other Topics; Urban Studies GA BJJ79 UT WOS:000328512400010 ER PT B AU Nowak, J AF Nowak, Jeremy BE Wachter, SM Zeuli, KA TI REVITALIZING AMERICAN CITIES Afterword SO REVITALIZING AMERICAN CITIES SE City in the Twenty-First Century LA English DT Editorial Material; Book Chapter C1 [Nowak, Jeremy] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Nowak, Jeremy] Brookings Inst, Washington, DC 20036 USA. RP Nowak, J (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4555-4 J9 CITY 21ST CENTURY PY 2014 BP 256 EP 260 PG 5 WC Social Sciences, Interdisciplinary; Urban Studies SC Social Sciences - Other Topics; Urban Studies GA BJJ79 UT WOS:000328512400015 ER PT J AU Liu, Z Wang, PF AF Liu, Zheng Wang, Pengfei TI Credit Constraints and Self-Fulfilling Business Cycles SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID SUNSPOT EQUILIBRIA; INCREASING RETURNS; INDIVISIBLE LABOR; INDETERMINACY; FLUCTUATIONS; COMPETITION; VOLATILITY; LIQUIDITY; DYNAMICS; FINANCE AB We argue that credit constraints not only amplify fundamental shocks, they can also lead to self-fulfilling business cycles. We study a model with heterogeneous firms, in which imperfect contract enforcement implies that productive firms face binding credit constraints, with the borrowing capacity limited by expected equity value. A drop in equity value tightens credit constraints and reallocates resources from productive to unproductive firms. Such reallocation reduces aggregate productivity, further depresses equity value, generating a financial multiplier. Aggregate dynamics are isomorphic to those in a representative-agent economy with increasing returns. For sufficiently tight credit constraints, the model generates self-fulfilling business cycles. C1 [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Wang, Pengfei] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM zheng.liu@sf.frb.org; pfwang@ust.hk OI Wang, Pengfei/0000-0002-8686-4787 NR 39 TC 14 Z9 15 U1 0 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2014 VL 6 IS 1 BP 32 EP 69 DI 10.1257/mac.6.1.32 PG 38 WC Economics SC Business & Economics GA 284VL UT WOS:000329349200002 ER PT J AU Cipriani, M Guarino, A AF Cipriani, Marco Guarino, Antonio TI Estimating a Structural Model of Herd Behavior in Financial Markets SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CONTRARIAN BEHAVIOR; STOCK-PRICES; INFORMATION; TRADES; IMPACT; CASCADES AB We develop a new methodology to estimate herd behavior in financial markets. We build a model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding occurs often and is particularly pervasive on some days. On average, the proportion of herd buyers is 2 percent; that of herd sellers is 4 percent. Herding also causes important informational inefficiencies in the market, amounting, on average, to 4 percent of the asset's expected value. C1 [Cipriani, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Guarino, Antonio] UCL, Dept Econ, London WC1E 6BT, England. RP Cipriani, M (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM marco.cipriani@ny.frb.org; a.guarino@ucl.ac.uk NR 36 TC 7 Z9 7 U1 7 U2 38 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JAN PY 2014 VL 104 IS 1 BP 224 EP 251 DI 10.1257/aer.104.1.224 PG 28 WC Economics SC Business & Economics GA 283BL UT WOS:000329219300008 ER PT J AU Bauer, MD Rudebusch, GD Wu, JC AF Bauer, Michael D. Rudebusch, Glenn D. Wu, Jing Cynthia TI Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID INTEREST-RATES; STRUCTURE MODELS; RISK AB Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macroeconomic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially acyclical, and often just parallel the secular trend in long-term interest rates. In contrast, bias-corrected term premia show pronounced countercyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia. C1 [Bauer, Michael D.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Wu, Jing Cynthia] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, 101 Market St MS 1130, San Francisco, CA 94105 USA. EM michael.bauer@sf.frb.org; glenn.rudebusch@sf.frb.org; cynthia.wu@chicagobooth.edu NR 21 TC 6 Z9 6 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JAN PY 2014 VL 104 IS 1 BP 323 EP 337 DI 10.1257/aer.104.1.323 PG 15 WC Economics SC Business & Economics GA 283BL UT WOS:000329219300013 ER PT J AU Sandleris, G Wright, MLJ AF Sandleris, Guido Wright, Mark L. J. TI The Costs of Financial Crises: Resource Misallocation, Productivity, and Welfare in the 2001 Argentine Crisis SO SCANDINAVIAN JOURNAL OF ECONOMICS LA English DT Article DE Argentina; financial crisis; productivity; resource misallocation; welfare; E01; E22; F41; O4 ID BUSINESS CYCLES; AGGREGATE PRODUCTIVITY; NATIONAL-INCOME; SUDDEN STOPS; TRADE; INDUSTRY; ECONOMY; TERMS AB Financial crises in emerging market countries appear to be very costly: both output and a host of partial welfare indicators decline dramatically. The magnitude of these costs is puzzling both from an accounting perspective - factor usage does not decline as much as output, resulting in large falls in measured productivity - and from a theoretical perspective. With the aim of resolving this puzzle, we present a framework that allows us to do the following. First, we account for changes in a country's measured productivity during a financial crisis as the result of changes in the underlying technology of the economy, the efficiency with which resources are allocated across sectors, and the efficiency of the resource allocation within sectors, driven both by reallocation amongst existing plants and by entry and exit. Second, we measure the change in the country's welfare resulting from changes in productivity, government spending, the terms of trade, and a country's international investment position. We apply this framework to the Argentine crisis of 2001 using a unique establishment level dataset and we find that more than half of the, roughly, 10 percent decline in measured total factor productivity can be accounted for by deteriorations in the allocation of resources both across and within sectors. We measure the decline in welfare to be of the order of one-quarter of one year's gross domestic product. C1 [Sandleris, Guido] Torcuato di Tella Univ, RA-1428 Buenos Aires, DF, Argentina. [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wright, Mark L. J.] Univ Calif Los Angeles, Los Angeles, CA USA. [Wright, Mark L. J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Sandleris, G (reprint author), Torcuato di Tella Univ, RA-1428 Buenos Aires, DF, Argentina. EM gsandleris@utdt.edu; mlwright@econ.ucla.edu NR 45 TC 5 Z9 5 U1 2 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0347-0520 EI 1467-9442 J9 SCAND J ECON JI Scand. J. Econ. PD JAN PY 2014 VL 116 IS 1 BP 87 EP 127 DI 10.1111/sjoe.12050 PG 41 WC Economics SC Business & Economics GA 284KC UT WOS:000329314400005 ER PT J AU Bandyopadhyay, S Sandler, T Younas, J AF Bandyopadhyay, Subhayu Sandler, Todd Younas, Javed TI Foreign direct investment, aid, and terrorism SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID PANEL-DATA; TRANSNATIONAL TERRORISM; DEVELOPING-COUNTRIES; MODELS AB This paper constructs a theoretical model to investigate the relationship between the two major forms of terrorism and foreign direct investment (FDI). We analyze with various estimators how these relationships are affected by foreign aid flows by focusing on 78 developing countries for 1984-2008. Both types of terrorism are found to depress FDI. Aggregate aid mitigates the negative consequences of domestic and transnational terrorism, but this aid appears more robust in ameliorating the adverse effect of domestic terrorism. However, when aid is subdivided, bilateral aid is effective in reducing the adverse effects of transnational terrorism on FDI, whereas multilateral aid is effective in curbing the adverse effects of domestic terrorism on FDI. For transnational terrorism, there is evidence in the literature that donor countries earmark some bilateral aid to counterterrorism. Aid's ability to curb the risk to FDI from terrorism is important because FDI is an important engine of development. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Sandler, Todd] Univ Texas Dallas, Sch Econ Polit & Policy Sci, Richardson, TX 75080 USA. [Younas, Javed] Amer Univ Sharjah, Sharjah, U Arab Emirates. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. EM tsandler@utdallas.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 31 TC 13 Z9 13 U1 2 U2 26 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 EI 1464-3812 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD JAN PY 2014 VL 66 IS 1 BP 25 EP 50 DI 10.1093/oep/gpt026 PG 26 WC Economics SC Business & Economics GA 269PU UT WOS:000328255200002 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID US TREASURY MARKET; FEDERAL-FUNDS RATE; COMMUNICATION; PRICES; NEWS AB It has become common practice to estimate the response of asset prices to monetary policy actions using market-based measures such as the unexpected change in the federal funds futures rate as proxies for monetary policy shocks. I show that because interest rates and market-based measures of monetary policy shocks respond simultaneously to all news rather than simply news about monetary policy actions, estimates of the response of interest rates to monetary policy using only monetary policy news measures are biased. I propose a methodology that corrects for this 'joint-response bias'. The results indicate that when the bias is accounted for the response of Treasury yields to monetary policy actions is considerably smaller than previously estimated. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM thornton@stls.frb.org NR 23 TC 3 Z9 3 U1 1 U2 11 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 EI 1464-3812 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD JAN PY 2014 VL 66 IS 1 BP 67 EP 87 DI 10.1093/oep/gps072 PG 21 WC Economics SC Business & Economics GA 269PU UT WOS:000328255200004 ER PT J AU Cooper, RN AF Cooper, Richard N. BE Rosecrance, RN Miller, SE TI Economic Interdependence and War SO NEXT GREAT WAR?: THE ROOTS OF WORLD WAR I AND THE RISK OF U.S.-CHINA CONFLICT SE Belfer Center Studies in International Security LA English DT Article; Book Chapter C1 [Cooper, Richard N.] Harvard Univ, Int Econ, Cambridge, MA 02138 USA. [Cooper, Richard N.] Natl Intelligence Council, New York, NY USA. [Cooper, Richard N.] Council Econ Advisers, Davis, CA USA. [Cooper, Richard N.] Fed Reserve Bank Boston, Boston, MA USA. [Cooper, Richard N.] Global Dev Network, New Delhi, India. RP Cooper, RN (reprint author), Harvard Univ, Int Econ, Cambridge, MA 02138 USA. NR 0 TC 1 Z9 1 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-02899-8 J9 BELFER CENT STUD INT PY 2014 BP 57 EP 69 D2 10.7551/mitpress/9780262028998.001.0001 PG 13 WC History; International Relations SC History; International Relations GA BE7FU UT WOS:000375212400006 ER PT S AU Ghamami, S Zhang, B AF Ghamami, Samim Zhang, Bo BE Tolk, A Yilmaz, L Diallo, SY Ryzhov, IO TI EFFICIENT MONTE CARLO CVA ESTIMATION SO PROCEEDINGS OF THE 2014 WINTER SIMULATION CONFERENCE (WSC) SE Winter Simulation Conference Proceedings LA English DT Proceedings Paper CT Winter Simulation Conference CY DEC 07-10, 2014 CL Savannah, GA ID SIMULATION; RISK AB This paper presents an overview of the efficient Monte Carlo counterparty credit risk (CCR) estimation framework recently developed by Ghamami and Zhang (2014). We focus on the estimation of credit value adjustment (CVA), one of the most widely used and regulatory-driven counterparty credit risk measures. Our proposed efficient CVA estimators are developed based on novel applications of well-known mean square error (MSE) reduction techniques in the simulation literature. Our numerical examples illustrate that the efficient estimators outperform the existing crude estimators of CVA substantially in terms of MSE. C1 [Ghamami, Samim] Fed Reserve Board, Washington, DC 20551 USA. [Ghamami, Samim] Univ Calif Berkeley, Ctr Risk Management Res, Berkeley, CA 94720 USA. [Zhang, Bo] IBM Corp, Thomas J Watson Res Ctr, Yorktown Hts, NY 10598 USA. RP Ghamami, S (reprint author), Fed Reserve Board, Washington, DC 20551 USA.; Ghamami, S (reprint author), Univ Calif Berkeley, Ctr Risk Management Res, Berkeley, CA 94720 USA. EM samim.ghamami@frb.gov; bozhang@gatech.edu NR 15 TC 0 Z9 0 U1 0 U2 0 PU IEEE PI NEW YORK PA 345 E 47TH ST, NEW YORK, NY 10017 USA SN 0891-7736 BN 978-1-4799-7486-3 J9 WINT SIMUL C PROC PY 2014 BP 453 EP 464 PG 12 WC Computer Science, Information Systems; Computer Science, Interdisciplinary Applications; Computer Science, Theory & Methods SC Computer Science GA BG4XP UT WOS:000389248200041 ER PT J AU Hsu, JW Willis, R AF Hsu, Joanne W. Willis, Robert TI Dementia Risk and Financial Decision Making by Older Households: The Impact of Information SO JOURNAL OF HUMAN CAPITAL LA English DT Article ID MILD COGNITIVE IMPAIRMENT; ALZHEIMER-DISEASE; UNITED-STATES; ABILITIES; PREVALENCE; HEALTH; DEMOGRAPHICS; RETIREMENT; AWARENESS; CAPACITY AB The cognitive ability needed to manage finances is a form of human capital. Dementias cause progressive declines in cognition. We analyze how information about decline affects the choice of the household financial decision maker using longitudinal data on older couples. We find that as the financial decision maker's cognition declines, financial management is eventually turned over to the spouse, often well after experiencing difficulties handling money. Couples who control their retirement accounts and are at greatest risk from financial mismanagement are much more likely to shift responsibility to a spouse in response to a diagnosis of memory disease than those with fixed incomes. C1 [Hsu, Joanne W.] Fed Reserve Board Governors, Washington, DC USA. [Willis, Robert] Univ Michigan, Ann Arbor, MI 48109 USA. RP Hsu, JW (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 58 TC 6 Z9 6 U1 2 U2 10 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 1932-8575 EI 1932-8664 J9 J HUM CAPITAL JI J. Hum. Cap. PD WIN PY 2013 VL 7 IS 4 BP 340 EP 377 DI 10.1086/674105 PG 38 WC Economics SC Business & Economics GA AN1EZ UT WOS:000340326800002 ER PT J AU Heathcote, J Perri, F AF Heathcote, Jonathan Perri, Fabrizio TI The International Diversification Puzzle Is Not as Bad as You Think SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID COUNTRY PORTFOLIOS; BUSINESS CYCLES; EXCHANGE-RATES; TRADE; PRICES; GOODS; TRANSMISSION; CONSUMPTION; DYNAMICS; WORLD AB The international diversification puzzle is the fact that country portfolios are on average biased toward domestic assets, while one-good international macro models with nondiversifiable labor income risk predict the opposite pattern of diversification. This paper embeds a portfolio choice decision in a two-good international business cycle model and provides a closed-form solution for equilibrium country portfolios. Equilibrium portfolios are biased toward domestic assets because endogenous international relative price fluctuations make domestic assets a good hedge against labor income risk. Evidence from developed economies in recent years is qualitatively and quantitatively consistent with the mechanisms highlighted by the theory. C1 [Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Heathcote, Jonathan; Perri, Fabrizio] Ctr Econ Policy Res, Washington, DC USA. [Perri, Fabrizio] Natl Bur Econ Res, Fed Reserve Bank Minneapolis, Cambridge, MA 02138 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 41 TC 22 Z9 22 U1 3 U2 14 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD DEC PY 2013 VL 121 IS 6 BP 1108 EP 1159 DI 10.1086/674143 PG 52 WC Economics SC Business & Economics GA AJ8QU UT WOS:000337972500003 ER PT J AU Foote, CL AF Foote, Christopher L. TI The Redistribution Recession: How Labor Market Distortions Contracted the Economy. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review ID TIME C1 [Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 8 TC 0 Z9 0 U1 2 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2013 VL 51 IS 4 BP 1194 EP 1198 PG 5 WC Economics SC Business & Economics GA 293NJ UT WOS:000329978300009 ER PT J AU Azariadis, C Choi, KJ AF Azariadis, Costas Choi, Kyoung Jin TI Credit crunches as markov equilibria SO JOURNAL OF MACROECONOMICS LA English DT Article DE Credit crunch; Unsecured lending; Financial panics ID OVERLAPPING GENERATIONS; BUBBLES; CYCLES; RISK; MODEL AB We explain the large observed volatility of commercial and industrial loans as a Markov equilibrium of an economy with limited commitment in which all credit is unsecured and self-enforcing. Aggregate income growth shocks affect gains from future asset market trading, inducing fluctuations in credit limits. The economy alternates between a high state of well diversified idiosyncratic risks and a "credit crunch" state of low debt limits and poor diversification. (C) 2013 Elsevier Inc. All rights reserved. C1 [Azariadis, Costas] Washington Univ, St Louis, MO 63130 USA. [Azariadis, Costas] Fed Reserve Bank St Louis, St Louis, MO USA. [Choi, Kyoung Jin] Univ Calgary, Calgary, AB T2N 1N4, Canada. RP Azariadis, C (reprint author), Washington Univ, St Louis, MO 63130 USA. EM azariadi@wustl.edu NR 21 TC 0 Z9 0 U1 1 U2 7 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2013 VL 38 SI SI BP 2 EP 11 DI 10.1016/j.jmacro.2013.09.009 PN A PG 10 WC Economics SC Business & Economics GA 288EJ UT WOS:000329594500002 ER PT J AU Williams, JC AF Williams, John C. TI A defense of moderation in monetary policy SO JOURNAL OF MACROECONOMICS LA English DT Article DE Optimal monetary policy; Uncertainty; Bayesian decision making; Unconventional monetary policy ID ASSET PURCHASE PROGRAMS; UNCERTAINTY; MODEL AB This paper examines the implications of uncertainty about the effects of monetary policy for optimal monetary policy with an application to the current situation. Using a stylized macroeconomic model, I derive optimal policies under uncertainty for both conventional and unconventional monetary policies. According to an estimated version of this model, the US economy is currently suffering from a large and persistent adverse demand shock. Optimal monetary policy absent uncertainty would quickly restore real GDP close to its potential level and allow the inflation rate to rise temporarily above the longer-run target. By contrast, the optimal policy under uncertainty is more muted in its response. As a result, output and inflation return to target levels only gradually. This analysis highlights three important insights for monetary policy under uncertainty. First, even in the presence of considerable uncertainty about the effects of monetary policy, the optimal policy nevertheless responds strongly to shocks: uncertainty does not imply inaction. Second, one cannot simply look at point forecasts and judge whether policy is optimal. Indeed, once one recognizes uncertainty, some moderation in monetary policy may well be optimal. Third, in the context of multiple policy instruments, the optimal strategy is to rely on the instrument associated with the least uncertainty and use alternative, more uncertain instruments only when the least uncertain instrument is employed to its fullest extent possible. Published by Elsevier Inc. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM John.C.Williams@sf.frb.org NR 32 TC 1 Z9 1 U1 1 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0164-0704 EI 1873-152X J9 J MACROECON JI J. Macroecon. PD DEC PY 2013 VL 38 BP 137 EP 150 DI 10.1016/j.jmacro.2013.07.010 PN B PG 14 WC Economics SC Business & Economics GA 288EL UT WOS:000329594700001 ER PT J AU Rosa, C AF Rosa, Carlo TI Market efficiency broadcasted live: ECB code words and euro exchange rates SO JOURNAL OF MACROECONOMICS LA English DT Article DE Central bank decisions and statements; High-frequency exchange rates ID HIGH-FREQUENCY RESPONSE; MONETARY-POLICY; FOREIGN-EXCHANGE; MACROECONOMIC ANNOUNCEMENTS; UNITED-STATES; REAL-TIME; NEWS; STATEMENTS; PRICES; IMPACT AB This paper examines the impact of the European Central Bank (ECB) monetary policy on euro exchange rate returns using an event study with intraday data for five currencies (the euro exchange rate versus the US dollar, the British pound, the Canadian dollar, the Swiss franc, and the Japanese yen). I construct two indicators of news about monetary policy stemming separately from policy decisions and the press conference. Estimation results show that the surprise component of communication has highly statistically significant effects on exchange rates, whereas the response of euro exchange rates to the unanticipated change in the policy rate is more muted. I also estimate the financial market impact on euro exchange rates of US, European and German macroeconomic news, and I show that the impact of the ECB press conference is economically important. The process of fully incorporating the ECB news shock takes about 1 h, and thus this result suggests that the whole press conference (both the Introductory Statement and the Q&A part) provides valuable information to market participants. (C) 2013 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Rosa, C (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM carlo.rosa@ny.frb.org NR 36 TC 0 Z9 0 U1 1 U2 14 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2013 VL 38 BP 167 EP 178 DI 10.1016/j.jmacro.2013.07.008 PN B PG 12 WC Economics SC Business & Economics GA 288EL UT WOS:000329594700003 ER PT J AU Dunn, A Shapiro, AH Liebman, E AF Dunn, Abe Shapiro, Adam Hale Liebman, Eli TI Geographic variation in commercial medical-care expenditures: A framework for decomposing price and utilization SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE Price indexes; Productivity; Geographic variation in health care spending; Regional price indexes; Health care spending variation ID REGIONAL-VARIATIONS; HEALTH-CARE; INDEXES; GROWTH AB This study introduces a new framework for measuring and analyzing medical-care expenditures. The framework focuses on expenditures at the disease level that are decomposed between price and utilization. We find that both price and utilization differences are important contributors to expenditure differences across commercial markets. Further examination shows that for some diseases utilization drives variation while for others price is more important. Finally, when disease-specific measures are aggregated across diseases, much of the important disease-specific variation is masked, leading to much smaller measures of aggregate variation. Published by Elsevier B.V. C1 [Dunn, Abe] Bur Econ Anal, Washington, DC 20005 USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Liebman, Eli] Duke Univ, Dept Econ, Durham, NC 27706 USA. RP Dunn, A (reprint author), Bur Econ Anal, 1441 L St NW, Washington, DC 20005 USA. EM abe.dunn@bea.gov NR 29 TC 7 Z9 7 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 EI 1879-1646 J9 J HEALTH ECON JI J. Health Econ. PD DEC PY 2013 VL 32 IS 6 BP 1153 EP 1165 DI 10.1016/j.jhealeco.2013.09.006 PG 13 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 283VM UT WOS:000329275100013 PM 24144728 ER PT J AU Di, WH Murdoch, JC AF Di, Wenhua Murdoch, James C. TI The impact of the low income housing tax credit program on local schools SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Housing; Education; Low-income housing tax credit; Neighborhood ID GOES MAINSTREAM; SUBURBS; MOVES AB The low-income housing tax credit (LIHTC) program has developed over two million rental homes for low-income households since 1986. The perception of deterioration in school quality has been a main reason for community opposition to LIHTC projects in middle- and upper-income areas. In this paper, we examine the impact of LIHTC projects on the nearby school performance using data on all LIHTC projects and elementary schools in Texas from the 2003-04 through 2008-09 academic years. We employ the longitudinal structure of the data to control for school fixed effects and estimate the relationship between the opening of nearby LIHTC on campus-level standardized test scores and performance ratings. We address the potential selection biases by controlling for preexisting trends in school performance prior to the study period. We find no robust evidence that the opening of LIHTC units negatively impacts the performance of nearby elementary schools. (C) 2013 Elsevier Inc. All rights reserved. C1 [Di, Wenhua] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Murdoch, James C.] Univ Texas Dallas, Richardson, TX 75080 USA. RP Murdoch, JC (reprint author), Univ Texas Dallas, 800 W Campbell Rd GR 31, Richardson, TX 75080 USA. EM wenhua.di@dal.frb.org; murdoch@utdalla-s.edu NR 36 TC 3 Z9 3 U1 1 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD DEC PY 2013 VL 22 IS 4 BP 308 EP 320 DI 10.1016/j.jhe.2013.10.002 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 280FT UT WOS:000329014800004 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI Generalized Jackknife Estimators of Weighted Average Derivatives SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE Bias correction; Semiparametric estimation; Uniform consistency ID KERNEL ESTIMATION; SEMIPARAMETRIC ESTIMATION; INDEX MODELS; COEFFICIENTS; REGRESSION; VARIANCE AB With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this article revisits the large-sample properties of an importantmember of that class, namely a kernel-based weighted average derivative estimator. Asymptotic linearity of the estimator is established under weak conditions. Indeed, we show that the bandwidth conditions employed are necessary in some cases. A bias-corrected version of the estimator is proposed and shown to be asymptotically linear under yet weaker bandwidth conditions. Implementational details of the estimators are discussed, including bandwidth selection procedures. Consistency of an analog estimator of the asymptotic variance is also established. Numerical results from a simulation study and an empirical illustration are reported. To establish the results, a novel result on uniform convergence rates for kernel estimators is obtained. The online supplemental material to this article includes details on the theoretical proofs and other analytic derivations, and further results from the simulation study. C1 [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY 10045 USA. [Jansson, Michael] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA. RP Cattaneo, MD (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM cattaneo@umich.edu; richard.crump@ny.frb.org; mjansson@econ.berkeley.edu OI Cattaneo, Matias/0000-0003-0493-7506 FU National Science Foundation [SES 0921505, SES 1122994, SES 0920953, SES 1124174]; CREATES; Danish National Research Foundation FX The first author gratefully acknowledges financial support from the National Science Foundation (SES 0921505 and SES 1122994). The third author gratefully acknowledges financial support from the National Science Foundation (SES 0920953 and SES 1124174) and the research support of CREATES (funded by the Danish National Research Foundation). NR 30 TC 6 Z9 6 U1 0 U2 4 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0162-1459 EI 1537-274X J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD DEC PY 2013 VL 108 IS 504 BP 1243 EP 1256 DI 10.1080/01621459.2012.745810 PG 14 WC Statistics & Probability SC Mathematics GA 278RZ UT WOS:000328908700010 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI Generalized Jackknife Estimators of Weighted Average Derivatives Rejoinder SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Editorial Material C1 [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY 10045 USA. [Jansson, Michael] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA. RP Cattaneo, MD (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM cattaneo@umich.edu; richard.crump@ny.frb.org; mjansson@econ.berkeley.edu NR 8 TC 0 Z9 0 U1 0 U2 2 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0162-1459 EI 1537-274X J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD DEC PY 2013 VL 108 IS 504 BP 1265 EP 1268 DI 10.1080/01621459.2013.856717 PG 4 WC Statistics & Probability SC Mathematics GA 278RZ UT WOS:000328908700015 ER PT J AU Pitchford, R Wright, MLJ AF Pitchford, Rohan Wright, Mark L. J. TI On the contribution of game theory to the study of sovereign debt and default SO OXFORD REVIEW OF ECONOMIC POLICY LA English DT Article DE sovereign debt; sovereign default; game theory; bargaining theory ID STOCHASTIC-MODEL; STRATEGIC DELAY; RISK; COMMITMENT; RENEGOTIATION; INFORMATION; BEHAVIOR; MARKETS; TRADE; COSTS AB This paper reviews the lessons learned from the application of the tools of game theory to the theoretical study of sovereign debt and default. We focus on two main questions. First, we review answers to the most fundamental question in the theory of sovereign debt: given that there is no supranational institution for enforcing the repayment of debts, why do countries ever repay their debts? Second, we review theories of the process by which sovereign debts are restructured with a view to answering the following question: why does the process of sovereign debt restructuring appear so inefficient? The first question raises issues in the design of self-enforcing contracts and on the credibility of threats to punish a country in default. The second question involves applications of the theory of bargaining in environments where the parties to a bargain cannot commit to honour the terms of the bargain or even commit to enter into negotiations in the first place. C1 [Pitchford, Rohan] Australian Natl Univ, Canberra, ACT 0200, Australia. [Wright, Mark L. J.] Univ Calif Los Angeles, Fed Reserve Bank Chicago, Los Angeles, CA USA. [Wright, Mark L. J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Pitchford, R (reprint author), Australian Natl Univ, Canberra, ACT 0200, Australia. EM rohanpitchford@gmail.com; mlwright@econ.ucla.edu NR 88 TC 3 Z9 3 U1 2 U2 10 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0266-903X EI 1460-2121 J9 OXFORD REV ECON POL JI Oxf. Rev. Econ. Policy PD WIN PY 2013 VL 29 IS 4 BP 649 EP 667 DI 10.1093/oxrep/grt023 PG 19 WC Economics SC Business & Economics GA 281XE UT WOS:000329133500002 ER PT J AU Daly, MC Wilson, DJ Johnson, NJ AF Daly, Mary C. Wilson, Daniel J. Johnson, Norman J. TI RELATIVE STATUS AND WELL-BEING: EVIDENCE FROM U. S. SUICIDE DEATHS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INCOME-DISTRIBUTION; UNITED-STATES; ASSET PRICES; MORTALITY; HAPPINESS; INEQUALITY; UNEMPLOYMENT; SATISFACTION; ECONOMICS; LIFE AB We assess the importance of interpersonal income comparisons using data on suicide deaths. We examine whether suicide risk is related to others' income, holding own income and other individual and environmental factors fixed. We estimate models of the suicide hazard using two independent data sets: the National Longitudinal Mortality Study and the National Center for Health Statistics' Multiple Cause of Death Files combined with the 5% Public Use Micro Sample of the 1990 decennial census. Results from both data sources show that, controlling for own income and individual characteristics, individual suicide risk rises with others' income. C1 [Daly, Mary C.; Wilson, Daniel J.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Johnson, Norman J.] US Bur Census, Washington, DC USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 63 TC 7 Z9 7 U1 0 U2 15 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD DEC PY 2013 VL 95 IS 5 BP 1480 EP 1500 PG 21 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 278GU UT WOS:000328878000003 ER PT J AU Faust, J Gilchrist, S Wright, JH Zakrajsek, E AF Faust, Jon Gilchrist, Simon Wright, Jonathan H. Zakrajsek, Egon TI CREDIT SPREADS AS PREDICTORS OF REAL-TIME ECONOMIC ACTIVITY: A BAYESIAN MODEL-AVERAGING APPROACH SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS-CYCLE; INTEREST-RATES; TERM STRUCTURE; YIELD CURVE; FORECASTS; GROWTH; US; PREDICTABILITY; UNCERTAINTY; ACCURACY AB Employing a large number of financial indicators, we use Bayesian model averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios, constructed directly from the secondary market prices of outstanding bonds, sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically sensitive measures of economic activity at horizons from the current quarter out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe almost exclusively to the inclusion of credit spreads in the set of predictors. C1 [Faust, Jon] Johns Hopkins Univ, Fed Reserve Board, Baltimore, MD 21218 USA. [Faust, Jon; Gilchrist, Simon; Wright, Jonathan H.] NBER, Cambridge, MA 02138 USA. [Gilchrist, Simon] Boston Univ, Boston, MA 02215 USA. [Wright, Jonathan H.] Johns Hopkins Univ, Baltimore, MD 21218 USA. [Zakrajsek, Egon] Fed Reserve Board, Washington, DC USA. RP Faust, J (reprint author), Johns Hopkins Univ, Fed Reserve Board, Baltimore, MD 21218 USA. NR 61 TC 18 Z9 18 U1 5 U2 27 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD DEC PY 2013 VL 95 IS 5 BP 1501 EP 1519 DI 10.1162/REST_a_00376 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 278GU UT WOS:000328878000004 ER PT J AU Moench, E Ng, S Potter, S AF Moench, Emanuel Ng, Serena Potter, Simon TI DYNAMIC HIERARCHICAL FACTOR MODELS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB This paper uses multilevel factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework achieves dimension reduction and yet explicitly allows for heterogeneity between blocks. The model is estimated using an MCMC algorithm that takes into account the hierarchical structure of the factors. The importance of block-level variations is illustrated in a four-level model estimated on a panel of 445 series related to different categories of real activity in the United States. C1 [Moench, Emanuel; Potter, Simon] Fed Reserve Bank New York, New York, NY 10045 USA. [Ng, Serena] Columbia Univ, New York, NY 10027 USA. RP Moench, E (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 19 TC 11 Z9 11 U1 1 U2 7 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD DEC PY 2013 VL 95 IS 5 BP 1811 EP 1817 DI 10.1162/REST_a_00359 PG 7 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 278GU UT WOS:000328878000022 ER PT J AU Armantier, O Boly, A AF Armantier, Olivier Boly, Amadou TI COMPARING CORRUPTION IN THE LABORATORY AND IN THE FIELD IN BURKINA FASO AND IN CANADA SO ECONOMIC JOURNAL LA English DT Article ID PREFERENCES; ENFORCERS; ECONOMICS; GENDER; GAMES AB We investigate the external validity of corruption experiments by conducting the same experiment in three different environments: a laboratory in a developed country, a laboratory in a developing country and the field in a developing country. In the experiment, a candidate proposes a bribe to a grader to obtain a better grade. We find the direction and magnitude of several treatment effects to be statistically indistinguishable across the three environments. In particular, increasing the graders' wage reduces the probability of accepting the bribe but promotes reciprocation. Our results therefore provide evidence that laboratory experiments on corruption can have empirical relevance. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10013 USA. [Armantier, Olivier] Cirano Cireq, Montreal, PQ, Canada. [Boly, Amadou] United Nations Ind Dev Org, Vienna, Austria. RP Armantier, O (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10013 USA. EM olivier.armantier@ny.frb.org NR 37 TC 6 Z9 6 U1 2 U2 15 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 EI 1468-0297 J9 ECON J JI Econ. J. PD DEC PY 2013 VL 123 IS 573 BP 1168 EP 1187 DI 10.1111/ecoj.12019 PG 20 WC Economics SC Business & Economics GA 272JX UT WOS:000328457700004 ER PT J AU Bearse, P Cardak, BA Glomm, G Ravikumar, B AF Bearse, Peter Cardak, Buly A. Glomm, Gerhard Ravikumar, B. TI Why do education vouchers fail at the ballot box? SO EUROPEAN JOURNAL OF POLITICAL ECONOMY LA English DT Article DE Education vouchers; Majority voting; Calibration; Welfare gains; Partial voter turnout ID PRIVATE-SCHOOL VOUCHERS; POLITICAL-ECONOMY; PROVISION AB We compare a uniform voucher regime against the status quo mix of public and private education, focusing on the distribution of welfare gains and losses across households by income. We argue that the topping-up option available under uniform vouchers is not sufficiently valuable for the poorer households, so the voucher regime is defeated at the polls. Our result is robust to partial voter turnout and efficiency differences between public and private schools, but depends critically on the opting-out feature in the current system. (C) 2013 Elsevier B.V. All rights reserved. C1 [Bearse, Peter] Univ N Carolina, Dept Econ, Greensboro, NC 27402 USA. [Cardak, Buly A.] La Trobe Univ, Sch Econ, Bundoora, Vic 3086, Australia. [Glomm, Gerhard] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Ravikumar, B.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Glomm, G (reprint author), Indiana Univ, Dept Econ, Wylie Hall, Bloomington, IN 47405 USA. EM bearse@uncg.edu; b.cardak@latrobe.edu.au; gglomm@indiana.edu; b.ravikumar@wustl.edu RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 25 TC 2 Z9 2 U1 3 U2 9 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0176-2680 EI 1873-5703 J9 EUR J POLIT ECON JI Eur. J. Polit. Econ. PD DEC PY 2013 VL 32 BP 26 EP 37 DI 10.1016/j.ejpoleco.2013.06.005 PG 12 WC Economics; Political Science SC Business & Economics; Government & Law GA 276AJ UT WOS:000328720200002 ER PT J AU Bassetto, M Messer, T AF Bassetto, Marco Messer, Todd TI Fiscal Consequences of Paying Interest on Reserves SO FISCAL STUDIES LA English DT Article DE interest-rate risk; quantitative easing; monetary-fiscal interaction; excess reserves; central bank; E52; E58; E61; E63; H63 ID MONETARY; MONEY AB We review the role of the central bank's balance sheet in a textbook monetary model and explore what changes if the central bank is allowed to pay interest on its liabilities. When the central bank (CB) cannot pay interest, away from the zero lower bound its (real) balance sheet is limited by the demand for money. Furthermore, if securities are not marked to market and the central bank holds its bonds to maturity, it is impossible for the CB to make losses, and it always obtains profits from being a monopoly provider of money. When the option of paying interest on liabilities is allowed, the limit on the CB's balance sheet is lifted. In this case, the CB is free to take on interest-rate risk - for example, by buying long-term securities and financing those purchases with short-term debt that pays the market interest rate. This is a risky enterprise that can lead to additional profits but also to losses. To the extent that losses exceed the profits of the monopoly operations, the CB faces two options: either it is recapitalised by Treasury or it increases its monopoly profits by raising the inflation tax. C1 [Bassetto, Marco] UCL, London WC1E 6BT, England. [Bassetto, Marco; Messer, Todd] Fed Reserve Bank Chicago, Chicago, IL USA. RP Bassetto, M (reprint author), UCL, London WC1E 6BT, England. EM m.bassetto@ucl.ac.uk; todd.messer@chi.frb.org OI Bassetto, Marco/0000-0001-8325-8450 NR 21 TC 3 Z9 3 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0143-5671 EI 1475-5890 J9 FISC STUD JI Fisc. Stud. PD DEC PY 2013 VL 34 IS 4 BP 413 EP 436 DI 10.1111/j.1475-5890.2013.12014.x PG 24 WC Business, Finance; Economics SC Business & Economics GA 271NP UT WOS:000328399000001 ER PT J AU Hobijn, B Sahin, A AF Hobijn, Bart Sahin, Ayseguel TI Beveridge Curve Shifts across Countries since the Great Recession SO IMF ECONOMIC REVIEW LA English DT Article ID CYCLICAL BEHAVIOR; LABOR-MARKET; NATURAL RATE; UNEMPLOYMENT; RISE; JOB AB The paper documents the shift in the Beveridge curve in the United States since the Great Recession. It argues that a decline in quits, the relatively poor performance of the construction sector, and the extension of unemployment insurance benefits have largely driven this shift. The paper then introduces a method to estimate fitted Beveridge curves for other OECD countries for which data on vacancies and employment by job tenure are available. It shows that Portugal, Spain, and the United Kingdom also experienced rightward shifts in their Beveridge curves. Besides the United States, these are among the countries with the highest house price and construction employment declines in the sample. C1 [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Hobijn, Bart] Vrije Univ Amsterdam, Amsterdam, Netherlands. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Hobijn, B (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 56 TC 5 Z9 5 U1 0 U2 12 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD DEC PY 2013 VL 61 IS 4 BP 566 EP 600 DI 10.1057/imfer.2013.18 PG 35 WC Business, Finance; Economics SC Business & Economics GA 275MK UT WOS:000328680900002 ER PT J AU Gandelman, N Hernandez-Murillo, R AF Gandelman, Nestor Hernandez-Murillo, Ruben TI What do happiness and health satisfaction data tell us about relative risk aversion? SO JOURNAL OF ECONOMIC PSYCHOLOGY LA English DT Article DE Relative risk aversion; Marginal utility of income; Happiness; Health dependence ID ASSET RETURNS; UTILITY; INCOME; PREFERENCES; INFLATION AB In this paper we provide estimates of the coefficient of relative risk aversion using information on self-reports of subjective personal well-being from multiple datasets, including three cross-sectional surveys and two panel surveys, namely the Gallup World Poll, the European Social Survey, the World Values Survey, the British Household Panel Survey for the United Kingdom, and the General Social Survey for the United States. We additionally consider the implications of allowing for health-state dependence in the utility function on the estimates of risk aversion and examine how the marginal utility of income changes in poor health states. Our estimates of relative risk aversion with cross-section data vary closely around 1, which corresponds to logarithmic utility, while the estimates with panel data are slightly larger. We find that controlling for health dependence generally reduces these estimates. In contrast with other studies in the literature, our results also suggest that the marginal utility of income increases when satisfaction with health deteriorates, and this effect is robust across the various datasets analyzed. (C) 2013 Elsevier B.V. All rights reserved. C1 [Gandelman, Nestor] Univ ORT Uruguay, Dept Econ, Montevideo, Uruguay. [Hernandez-Murillo, Ruben] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Gandelman, N (reprint author), Univ ORT Uruguay, Dept Econ, PC 11-300, Montevideo, Uruguay. EM gandelman@ort.edu.uy NR 30 TC 2 Z9 2 U1 2 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-4870 EI 1872-7719 J9 J ECON PSYCHOL JI J. Econ. Psychol. PD DEC PY 2013 VL 39 BP 301 EP 312 DI 10.1016/j.joep.2013.09.005 PG 12 WC Economics; Psychology, Multidisciplinary SC Business & Economics; Psychology GA 276AM UT WOS:000328720500025 ER PT J AU Brevoort, KP Cooper, CR AF Brevoort, Kenneth P. Cooper, Cheryl R. TI Foreclosure's Wake: The Credit Experiences of Individuals Following Foreclosure SO REAL ESTATE ECONOMICS LA English DT Article ID FAMILY MORTGAGE FORECLOSURES; PROPERTY-VALUES; DEFAULT; IMPACT AB While a substantial literature has examined the causes of mortgage foreclosure, there has been relatively little work on the consequences of foreclosure for the borrowers themselves. Using a large sample of anonymous credit bureau records, observed quarterly from 1999 through 2010, we examine the credit experiences of 330,000 borrowers before and after a foreclosure start. Our analysis documents the substantial declines in credit scores that accompany a foreclosure start and examines the length of time it takes individuals to return their credit scores to predelinquency levels. The results suggest that, particularly for prime borrowers, credit score recovery comes slowly, if at all. The lack of recovery appears to be driven by persistently higher delinquency rates on consumer credit (such as auto and credit card loans) in the years that follow their foreclosure start. Our results also indicate that the experiences of individuals whose mortgages entered foreclosure from 2007 to 2009 have followed a similar path to borrowers foreclosed earlier in the decade, though their postforeclosure-start delinquency rates have been higher and, consequently, credit score recovery appears to be taking longer. C1 [Brevoort, Kenneth P.] Fed Reserve Board, Washington, DC 20551 USA. [Cooper, Cheryl R.] Urban Inst, Washington, DC 20037 USA. RP Brevoort, KP (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM ken@brevoort.com; Cheryl.r.cooper@gmail.com NR 33 TC 1 Z9 1 U1 1 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD DEC PY 2013 VL 41 IS 4 BP 747 EP 792 DI 10.1111/1540-6229.12021 PG 46 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 273PU UT WOS:000328549000002 ER PT J AU DeYoung, R Kowalik, M Reidhill, J AF DeYoung, Robert Kowalik, Michal Reidhill, Jack TI A theory of failed bank resolution: Technological change and political economics SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Bank failures; Failed bank resolution; Bankruptcy; FDIC ID GREAT-DEPRESSION; FINANCIAL INSTITUTIONS; CONSEQUENCES; PROPAGATION; FAILURES; BAILOUTS AB We model the failed bank resolution process as a repeated game between a utility-maximizing government resolution authority (RA) and a profit-maximizing banking industry. Limits to resolution technology and political/economic pressure create incentives for the RA to bail out failed complex banks; the inability of the RA to credibly commit to closing these banks creates an incentive for bank complexity. We solve the game in mixed strategies and find equilibrium conditions remarkably descriptive of government responses to actual and potential large bank insolvencies during the recent financial crisis. The central role of the technology constraint in this model highlights a crucial determinant of failed bank resolution policy that has been overlooked in the theory literature to date; without improved resolution technologies, future bank bailouts are inevitable. The effects of political pressure in this model remind us that regulatory reform (e.g., Dodd-Frank) is only as good as the regulators that implement the reform. (C) 2012 Elsevier B.V. All rights reserved. C1 [DeYoung, Robert] Univ Kansas, Lawrence, KS 66045 USA. [Kowalik, Michal] Federal Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Reidhill, Jack] Federal Deposit Insurance Corp, Washington, DC 20219 USA. RP DeYoung, R (reprint author), Univ Kansas, 1300 Sunnyside Ave, Lawrence, KS 66045 USA. EM rdeyoung@ku.edu; michal.kowalik@kc.frb.org; jreidhill@fdic.gov NR 42 TC 8 Z9 8 U1 1 U2 15 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2013 VL 9 IS 4 BP 612 EP 627 DI 10.1016/j.jfs.2012.09.003 PG 16 WC Business, Finance; Economics SC Business & Economics GA 267EC UT WOS:000328078500013 ER PT J AU Duca, JV AF Duca, John V. TI Did the commercial paper funding facility prevent a Great Depression style money market meltdown? SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Great Depression; Commercial paper; Financial frictions; Credit rationing ID MONETARY-POLICY; IMPERFECT INFORMATION; CREDIT; BANK AB This paper analyzes how risk premiums altered the use of commercial paper relative to bank loans during the recent financial crisis. Consistent with the theoretical and empirical literature on how surges in risk premiums can induce plunges in under-collateralized credit or credit funded with noninsured sources, results indicate that a spike in risk premiums induced a plunge in commercial paper use during the recent crisis. This paper also finds that Federal Reserve interventions in the money market helped prevent the commercial paper market from melting down to the extent seen during the early 1930s. (C) 2012 Elsevier B.V. All rights reserved. C1 [Duca, John V.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM john.v.duca@dal.frb.org NR 39 TC 2 Z9 2 U1 0 U2 8 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2013 VL 9 IS 4 BP 747 EP 758 DI 10.1016/j.jfs.2012.04.002 PG 12 WC Business, Finance; Economics SC Business & Economics GA 267EC UT WOS:000328078500025 ER PT J AU Black, LK Hazelwood, LN AF Black, Lamont K. Hazelwood, Lieu N. TI The effect of TARP on bank risk-taking SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Banking; Government regulation; Macroeconomic stabilization policy ID INCENTIVES; BEHAVIOR; MARKET AB One of the largest responses of the US government to the recent financial crisis was the Troubled Asset Relief Program (TARP). TARP was originally intended to stabilize the financial sector through the increased capitalization of banks. However, recipients of TARP funds were then encouraged to make additional loans despite increased borrower risk. In this paper, we consider the effect of the TARP capital injections on bank risk-taking by analyzing the risk ratings of banks' commercial loan originations during the crisis. The results indicate that, relative to non-TARP banks, the risk of loan originations increased at large TARP banks but decreased at small TARP banks. Loan levels also moved in different directions for large and small banks and, in supporting evidence, these effects are evaluated based on loan size and TARP repayment. For large banks, the increase in risk-taking without an increase in lending is suggestive of moral hazard due to government support. These results may also be due to the conflicting goals of the TARP program for bank recapitalization and bank lending. Published by Elsevier B.V. C1 [Black, Lamont K.; Hazelwood, Lieu N.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Black, LK (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM lamont.black@frb.gov; lieu.n.hazelwood@frb.gov NR 28 TC 33 Z9 33 U1 4 U2 20 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2013 VL 9 IS 4 BP 790 EP 803 DI 10.1016/j.jfs.2012.04.001 PG 14 WC Business, Finance; Economics SC Business & Economics GA 267EC UT WOS:000328078500028 ER PT J AU Jaimovich, N Pruitt, S Siu, HE AF Jaimovich, Nir Pruitt, Seth Siu, Henry E. TI The Demand for Youth: Explaining Age Differences in the Volatility of Hours SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID COVARIANCE-MATRIX ESTIMATION; REAL-BUSINESS-CYCLE; LIFE-CYCLE; AGGREGATE FLUCTUATIONS; INDIVISIBLE LABOR; WAGES; EMPLOYMENT; MARKET C1 [Jaimovich, Nir] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Jaimovich, Nir; Siu, Henry E.] NBER, Cambridge, MA 02138 USA. [Pruitt, Seth] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Siu, Henry E.] Univ British Columbia, Dept Econ, Vancouver, BC V6T 1Z1, Canada. RP Jaimovich, N (reprint author), Duke Univ, Dept Econ, 213 Social Sci Bldg, Durham, NC 27708 USA. EM njaimo@gmail.com; seth.j.pruitt@frb.gov; hankman@mail.ubc.ca NR 31 TC 3 Z9 3 U1 4 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2013 VL 103 IS 7 BP 3022 EP 3044 DI 10.1257/aer.103.7.3022 PG 23 WC Economics SC Business & Economics GA 266WI UT WOS:000328054200013 ER PT J AU Marquez, J Morse, A Schlusche, B AF Marquez, Jaime Morse, Ari Schlusche, Bernd TI The Federal Reserve's balance sheet and overnight interest rates: Empirical modeling of exit strategies SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference of the International-Finance-and-Banking-Society (IFABS) CY JUN 18-20, 2012 CL Valencia, SPAIN DE Reserve balances; Federal funds rate; Balance sheet; Exit strategy; FIML ID OPEN MARKET OPERATIONS; FUNDS MARKET AB This paper provides a comprehensive study of the interplay between the Federal Reserve's balance sheet and overnight interest rates. We model both the supply of and the demand for excess reserves. Treating outright securities holdings of the Federal Reserve as a policy tool, we estimate the effects of unconventional monetary policy on overnight funding rates. Further, we offer the first empirical assessment of the FOMC's principles of the exit strategy. Assuming a path for removing monetary policy accommodation that is consistent with the FOMC's exit principles, we project that the federal funds rate increases to 70 basis points by 2016, settling in a corridor bracketed by the discount rate and the interest rate on excess reserves, as excess reserves of depository institutions decline to near zero. Published by Elsevier B.V. C1 [Marquez, Jaime; Schlusche, Bernd] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Morse, Ari] Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA 15213 USA. RP Schlusche, B (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW,Mailstop 85, Washington, DC 20551 USA. EM bernd.schlusche@frb.gov NR 17 TC 4 Z9 4 U1 3 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2013 VL 37 IS 12 SI SI BP 5300 EP 5315 DI 10.1016/j.jbankfin.2013.01.015 PG 16 WC Business, Finance; Economics SC Business & Economics GA 261RV UT WOS:000327683200047 ER PT J AU Valletta, RG AF Valletta, Robert G. TI House lock and structural unemployment SO LABOUR ECONOMICS LA English DT Article DE Unemployment; House prices; Mobility ID HEALTH-INSURANCE; UNITED-STATES; LOSS AVERSION; DURATION; MOBILITY; MIGRATION; MARKET; HOMEOWNERS; CPS AB A recent decline in internal migration in the United States may have been caused in part by falling house prices, through the "lock in" effects of financial constraints faced by households whose housing debt exceeds the market value of their home. I analyze the relationship between such "house lock" and the elevated levels and persistence of unemployment during the recent recession and its aftermath, using data for the years 2008-11. Because house lock is likely to extend job search in the local labor market for homeowners whose home value has declined, I focus on differences in unemployment duration between homeowners and renters across geographic areas differentiated by the severity of the decline in home prices. The empirical analyses rely on microdata from the monthly Current Population Survey (CPS) files and on an econometric method that enables the estimation of individual and aggregate covariate effects on unemployment durations using repeated cross-section data. I do not uncover systematic evidence to support the house-lock hypothesis. Published by Elsevier B.V. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Valletta, RG (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM rob.valletta@sf.frb.org NR 35 TC 3 Z9 3 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 EI 1879-1034 J9 LABOUR ECON JI Labour Econ. PD DEC PY 2013 VL 25 SI SI BP 86 EP 97 DI 10.1016/j.labeco.2013.04.002 PG 12 WC Economics SC Business & Economics GA 261SM UT WOS:000327684900008 ER PT J AU Glick, R Hutchison, M AF Glick, Reuven Hutchison, Michael TI China's financial linkages with Asia and the global financial crisis SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Asset market linkages; Cross-country financial links; Equity finance; Bonds; Asia; China ID INTEGRATION; PARITY AB This paper presents empirical evidence on asset market linkages between China and Asia and how these linkages have shifted during and after the global financial crisis of 2008-2009. We find only weak cross-country linkages in longer-term interest rates, but much stronger linkages in equity markets. This finding is consistent with the greater development and liberalization of equity markets relative to bond markets in China, as well as increasing business and trade linkages in the region. We also find that the strength of the correlation of equity prices changes between China and other Asia countries increased markedly during the crisis and has remained high in recent years. We attribute this development to greater "attentiveness" of international investors to China's role as a source and destination of equity finance during the crisis rather than to any greater financial deepening and liberalization, as China did not implement any major policy measures during this period. By contrast, the transmission of U.S. equity returns to Asian countries decreased after the crisis. (C) 2013 Elsevier Ltd. All rights reserved. C1 [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Hutchison, Michael] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM reuven.glick@sf.frb.org NR 26 TC 4 Z9 4 U1 2 U2 23 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2013 VL 39 SI SI BP 186 EP 206 DI 10.1016/j.jimonfin.2013.06.025 PG 21 WC Business, Finance SC Business & Economics GA 256CG UT WOS:000327286700009 ER PT J AU Jorda, O Schularick, M Taylor, AM AF Jorda, Oscar Schularick, Moritz Taylor, Alan M. TI When Credit Bites Back SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE leverage; booms; recessions; financial crises; business cycles; local projections ID FINANCIAL CRISES; BUSINESS CYCLES; DEBT-DEFLATION; LEVERAGE; BOOMS AB Using data on 14 advanced countries between 1870 and 2008 we document two key facts of the modern business cycle: relative to typical recessions, financial crisis recessions are costlier, and more credit-intensive expansions tend to be followed by deeper recessions (in financial crises or otherwise) and slower recoveries. We use local projection methods to condition on a broad set of macro-economic controls to study how past credit accumulation impacts key macro-economic variables such as output, investment, lending, interest rates, and inflation. The facts that we uncover lend support to the idea that financial factors play an important role in the modern business cycle. C1 [Jorda, Oscar; Taylor, Alan M.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar] Univ Calif Davis, Davis, CA 95616 USA. [Schularick, Moritz] Univ Bonn, Bonn, Germany. [Taylor, Alan M.] NBER, Cambridge, MA 02138 USA. RP Jorda, O (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM oscar.jorda@sf.frb.org; moritz.schularick@uni-bonn.de; amtaylor@ucdavis.edu NR 41 TC 34 Z9 34 U1 3 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2013 VL 45 SU 2 BP 3 EP 28 DI 10.1111/jmcb.12069 PG 26 WC Business, Finance; Economics SC Business & Economics GA 255KH UT WOS:000327237300002 ER PT J AU Kollmann, R AF Kollmann, Robert TI Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial crisis; global banking; real activity; investment; Bayesian econometrics ID DSGE MODEL; FISCAL-POLICY; US; PROPAGATION; LIQUIDITY; FRICTIONS; CREDIT; CRISIS; TRADE AB This paper estimates a two-country model with a global bank, using U.S. and euro area (EA) data. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for U.S. real activity. Banking shocks account for about 2-5% of the unconditional variance of U.S. GDP and for 3-14% of the variance of EA GDP. During the 2007-09 recession, banking shocks accounted for about 15% of the fall in U.S. and EA GDP, and for more than a third of the fall in EA investment and employment. C1 [Kollmann, Robert] Univ Libre Brussels, SBS EM, Brussels, Belgium. [Kollmann, Robert] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. [Kollmann, Robert] Univ Paris Est, Paris, France. RP Kollmann, R (reprint author), Univ Libre Brussels, SBS EM, Brussels, Belgium. EM robert_kollmann@yahoo.com NR 64 TC 16 Z9 16 U1 3 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2013 VL 45 SU 2 BP 159 EP 195 DI 10.1111/jmcb.12074 PG 37 WC Business, Finance; Economics SC Business & Economics GA 255KH UT WOS:000327237300007 ER PT J AU Kitsul, Y Wright, JH AF Kitsul, Yuriy Wright, Jonathan H. TI The economics of options-implied inflation probability density functions SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Inflation; Floors and caps; Derivatives; Forward martingale measure; Physical measure ID MONETARY-POLICY; YIELD CURVE; EXPECTATIONS; PRICE; MARKETS AB Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these probability density functions respond to news announcements and find that the implied odds of deflation are sensitive to certain macroeconomic news releases. We also estimate empirical pricing kernels using these option prices along with time series models fitted to inflation. The options-implied densities assign considerably more mass to extreme inflation outcomes (either deflation or high inflation) than do their time series counterparts. This yields a U-shaped empirical pricing kernel, with investors having high marginal utility in states of the world characterized by either deflation or high inflation. (C) 2013 Elsevier B.V. All rights reserved. C1 [Kitsul, Yuriy] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. [Wright, Jonathan H.] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. RP Wright, JH (reprint author), Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. EM yuriy.kitsul@frb.gov; wrightj@jhu.edu NR 35 TC 10 Z9 10 U1 1 U2 15 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD DEC PY 2013 VL 110 IS 3 BP 696 EP 711 DI 10.1016/j.jfineco.2013.08.013 PG 16 WC Business, Finance; Economics SC Business & Economics GA 252FX UT WOS:000326991600011 ER PT J AU Turner, C Tamura, R Mulholland, SE AF Turner, Chad Tamura, Robert Mulholland, Sean E. TI How important are human capital, physical capital and total factor productivity for determining state economic growth in the United States, 1840-2000? SO JOURNAL OF ECONOMIC GROWTH LA English DT Article DE State physical capital; Human capital; Land; Economic growth ID INTERNATIONAL COMPARISONS; EDUCATIONAL-ATTAINMENT; REGIONAL CONVERGENCE; AMERICAN STATES; INVESTMENT; AGRICULTURE; ERADICATION; PERSPECTIVE; COUNTRIES; RETURNS AB This paper introduces new data on state-level physical capital by sector and land in the farm sector for the states of the United States from 1840 to 2000. These data are incorporated into aggregate accounting exercises with the aim of comparing cross-state results to those found in cross-country samples. Our aggregate results agree closely with the cross-country literature: input accumulation accounts for most of output growth, between three-fifths and three-quarters, but variation in the growth of TFP accounts for about three-quarters of the variation in the growth rate of output per worker. In convergence accounting, convergence of log TFP accounts for about seventy percent of the observed convergence in log output per worker. C1 [Turner, Chad] Texas A&M Univ, Dept Decis Sci & Econ, Corpus Christi, TX USA. [Tamura, Robert] Clemson Univ, Dept Econ, Clemson, SC 29631 USA. [Tamura, Robert] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Mulholland, Sean E.] Stonehill Coll, Dept Econ, Easton, MA USA. RP Tamura, R (reprint author), Clemson Univ, Dept Econ, Clemson, SC 29631 USA. EM chad.turner@tamucc.edu; rtamura@clemson.edu; smulholland@stonehill.edu NR 60 TC 5 Z9 5 U1 5 U2 39 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1381-4338 EI 1573-7020 J9 J ECON GROWTH JI J. Econ. Growth PD DEC PY 2013 VL 18 IS 4 BP 319 EP 371 DI 10.1007/s10887-013-9090-4 PG 53 WC Economics SC Business & Economics GA 248KT UT WOS:000326699100001 ER PT J AU Ergashev, B Mittnik, S Sekeris, E AF Ergashev, Bakhodir Mittnik, Stefan Sekeris, Evan TI A Bayesian approach to extreme value estimation in operational risk modeling SO JOURNAL OF OPERATIONAL RISK LA English DT Article ID GENERALIZED PARETO DISTRIBUTION; STABLE INDEX-ALPHA AB We propose a new approach for estimating operational risk models under the loss distribution approach from historically observed losses. Our method is based on extreme value theory and, being Bayesian in nature, allows us to incorporate other external information about the unknown parameters by use of expert opinions via elicitation or external data sources. This additional information can play a crucial role in reducing the statistical uncertainty about both parameter and capital estimates in situations where observed data is insufficient to accurately estimate the tail behavior of the loss distribution. Challenges of and strategies for formulating suitable priors are discussed. A simulation study demonstrates the performance of the new approach. C1 [Ergashev, Bakhodir] Fed Reserve Bank Richmond, Charlotte Off, Charlotte, NC 28230 USA. [Mittnik, Stefan] Univ Munich, Dept Stat, D-80799 Munich, Germany. [Mittnik, Stefan] Univ Munich, Ctr Quantitat Risk Anal, D-80799 Munich, Germany. [Sekeris, Evan] Aon, Columbia, MD 21046 USA. RP Ergashev, B (reprint author), Fed Reserve Bank Richmond, Charlotte Off, POB 30248, Charlotte, NC 28230 USA. EM bakhodir.ergashev@rich.frb.org; finmetrics@stat.uni-muenchen.de; evangelos.sekeris@aon.com NR 33 TC 3 Z9 3 U1 0 U2 1 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6740 EI 1755-2710 J9 J OPER RISK JI J. Oper. Risk. PD WIN PY 2013 VL 8 IS 4 SI SI BP 55 EP 81 PG 27 WC Business, Finance SC Business & Economics GA AW1GN UT WOS:000346038400005 ER PT J AU Boldrin, M Levine, DK AF Boldrin, Michele Levine, David K. TI The Case Against Patents SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID INTELLECTUAL PROPERTY; INNOVATION; COMPETITION; PROTECTION; ECONOMICS C1 [Boldrin, Michele; Levine, David K.] Washington Univ, St Louis, MO 63130 USA. [Boldrin, Michele; Levine, David K.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Boldrin, M (reprint author), Washington Univ, St Louis, MO 63130 USA. EM mboldrin@artsci.wustl.edu; david@dklevine.com NR 48 TC 39 Z9 40 U1 3 U2 102 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD WIN PY 2013 VL 27 IS 1 BP 3 EP 22 DI 10.1257/jep.27.1.3 PG 20 WC Economics SC Business & Economics GA 087YE UT WOS:000314799800001 ER PT J AU Anderson, RG AF Anderson, Richard G. TI Registration and Replication: A Comment SO POLITICAL ANALYSIS LA English DT Editorial Material C1 [Anderson, Richard G.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Anderson, Richard G.] Univ Sheffield, Sch Management, Sheffield, S Yorkshire, England. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. EM randerson@stls.frb.org NR 8 TC 2 Z9 2 U1 0 U2 6 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1047-1987 J9 POLIT ANAL JI Polit. Anal. PD WIN PY 2013 VL 21 IS 1 BP 38 EP 39 DI 10.1093/pan/mps034 PG 2 WC Political Science SC Government & Law GA 072DV UT WOS:000313650100003 ER PT J AU Hotchkiss, JL Quispe-Agnoli, M AF Hotchkiss, Julie L. Quispe-Agnoli, Myriam TI The Expected Impact of State Immigration Legislation on Labor Market Outcomes SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID EMPLOYER-EMPLOYEE DATA; UNDOCUMENTED WORKERS; MEXICAN MIGRANTS; UNITED-STATES; EARNINGS; WAGE; GENDER; MOBILITY; LEGAL; DISCRIMINATION AB In response to the dramatic rise in the number of unauthorized immigrants to the United States, every state has passed some form of immigration legislation. These laws appear to be predicated on a belief that unauthorized immigrants impose greater costs than benefits to state and local communities, including the labor market. The purpose of this paper is to examine some evidence on what workers should expect if the immigration legislation is successful in eliminating undocumented workers from states' labor markets. (C) 2012 by the Association for Public Policy Analysis and Management. C1 [Hotchkiss, Julie L.; Quispe-Agnoli, Myriam] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Georgia State Univ, Andrew Young Sch Policy Studies, Atlanta, GA 30303 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St, Atlanta, GA 30309 USA. NR 86 TC 7 Z9 7 U1 1 U2 99 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD WIN PY 2013 VL 32 IS 1 BP 34 EP + DI 10.1002/pam.21664 PG 41 WC Economics; Public Administration SC Business & Economics; Public Administration GA 063KB UT WOS:000312995700004 ER PT J AU Collins, JM Schmeiser, MD AF Collins, J. Michael Schmeiser, Maximilian D. TI The Effects of Foreclosure Counseling for Distressed Homeowners SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID PROPERTY-VALUES; MORTGAGE; BORROWERS; CONSEQUENCES; EDUCATION; PROMISE AB In the face of the housing market downturn of the late 2000s, policymakers promoted third-party mortgage default counseling as a way to help people at risk of losing their homes to avoid foreclosure. Using a unique data set of monthly loan payments remitted to investors combined with administrative data from a national counseling agency, this study estimates the effects of default counseling on the probability that troubled mortgage borrowers will lose their homes to foreclosure. Borrowers are actually more likely to miss loan payments after receiving counseling, but the probability of losing a home to foreclosure drops after counseling, suggesting that counseling policies may be beneficial during housing crises. C1 [Collins, J. Michael] Univ Wisconsin, Dept Consumer Sci, Madison, WI 53706 USA. [Collins, J. Michael] Univ Wisconsin, Ctr Financial Secur, Madison, WI 53706 USA. [Schmeiser, Maximilian D.] Fed Reserve Board, Washington, DC 20551 USA. RP Collins, JM (reprint author), Univ Wisconsin, Dept Consumer Sci, 1300 Linden Dr, Madison, WI 53706 USA. NR 39 TC 11 Z9 11 U1 2 U2 56 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD WIN PY 2013 VL 32 IS 1 BP 83 EP 106 DI 10.1002/pam.21670 PG 24 WC Economics; Public Administration SC Business & Economics; Public Administration GA 063KB UT WOS:000312995700006 ER PT J AU Akinci, O AF Akinci, Oezge TI Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Global financial risk; Country risk premium; International business cycles; Small open economy ID REAL BUSINESS CYCLES; SMALL OPEN-ECONOMY; EXTERNAL SHOCKS; EXCHANGE-RATES; LATIN-AMERICA; PANEL-DATA; MODELS; SOVEREIGN; DEFAULT; POLICY AB This paper uses a panel structural vector autoregressive (VAR) model to investigate the extent to which global financial conditions, i.e., a global risk-free interest rate and global financial risk, and country spreads contribute to macroeconomic fluctuations in emerging countries. The main findings are: (1) global financial risk shocks explain about 20% of movements both in the country spread and in the aggregate activity in emerging economies. (2) The contribution of global risk-free interest rate shocks to macroeconomic fluctuations in emerging economies is negligible. Its role, which was emphasized in the literature, is taken up by global financial risk shocks. (3) Country spread shocks explain about 15 percent of the business cycles in emerging economies. (4) Interdependence between economic activity and the country spread is a key mechanism through which global financial shocks are transmitted to emerging economies. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Akinci, O (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ozge.akinci@frb.gov NR 32 TC 4 Z9 4 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2013 VL 91 IS 2 BP 358 EP 371 DI 10.1016/j.jinteco.2013.07.005 PG 14 WC Economics SC Business & Economics GA 283TB UT WOS:000329268800014 ER PT J AU Cunningham, C Reed, RR AF Cunningham, Chris Reed, Robert R. TI Negative equity and wages SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Negative equity; Wages; Mortgage default; Housing; Mobility ID AMERICAN HOUSING SURVEY; HOUSEHOLD MOBILITY; VALUES AB We examine the relationship between housing equity and wage earnings using nine waves of the national American Housing Survey from 1985 to 2003. Employing a rich set of time and place controls, a synthetic mortgage instrumental variable strategy, and a first difference estimator we find that people underwater on their mortgage command a significantly lower wage than other homeowners. The finding survives a number of robustness checks for reverse causality and unobserved heterogeneity. We also explore other determinants of "house lock" including loss aversion, a low existing mortgage interest rate and property tax assessment caps, but do not find these factors mitigate the effect of negative equity on wages. (C) 2013 Elsevier B.V. All rights reserved. C1 [Cunningham, Chris] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Reed, Robert R.] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA. RP Cunningham, C (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM chris.cunningham@atl.frb.org; rreed@cba.ua.edu NR 20 TC 2 Z9 2 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD NOV PY 2013 VL 43 IS 6 BP 841 EP 849 DI 10.1016/j.regsciurbeco.2013.08.005 PG 9 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 280EF UT WOS:000329010800001 ER PT J AU Di, WH Eckel, C Murdoch, J AF Di, Wenhua Eckel, Catherine Murdoch, James TI Introduction to special issue on behavioral consumer finance SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Editorial Material ID ECONOMICS C1 [Di, Wenhua] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Eckel, Catherine] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA. [Murdoch, James] Sch Econ Polit & Policy Studies, Econ Program, Richardson, TX 75080 USA. RP Eckel, C (reprint author), Texas A&M Univ, Dept Econ, TAMU 4228, College Stn, TX 77843 USA. EM wenhua.di@dal.frb.org; ceckel@tamu.edu; Murdoch@utdallas.edu OI Eckel, Catherine/0000-0003-1583-5214 NR 21 TC 1 Z9 1 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD NOV PY 2013 VL 95 BP 126 EP 129 DI 10.1016/j.jebo.2013.09.001 PG 4 WC Economics SC Business & Economics GA 263SO UT WOS:000327828500008 ER PT J AU Richter, FGC Craig, BR AF Richter, Francisca G. -C. Craig, Ben R. TI Lending patterns in poor neighborhoods SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Subprime lending; Spatial panel; Aggregate data ID SOCIAL INTERACTIONS AB Concentrated poverty has been said to impose a double burden on those that confront it. In addition to an individual's own financial constraints, institutions and social networks of poor neighborhoods can further limit access to quality services and resources for those that live there. This study contributes to the characterization of subprime lending in poor neighborhoods by including a spatial dimension to the analysis, in an attempt to capture social - endogenous and exogenous interaction - effects differences in poor and less poor neighborhoods. The analysis is applied to 2004-2006 census tract level data in Cuyahoga County, home to Cleveland, OH, a region that features urban neighborhoods highly segregated by income and race. The patterns found in poor neighborhoods suggest stronger social effects inducing subprime lending in comparison to less poor neighborhoods. (C) 2013 Elsevier B.V. All rights reserved. C1 [Richter, Francisca G. -C.; Craig, Ben R.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Richter, FGC (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM francisca.g.richter@clev.frb.org; ben.r.craig@clev.frb.org NR 20 TC 2 Z9 2 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD NOV PY 2013 VL 95 BP 197 EP 206 DI 10.1016/j.jebo.2013.03.005 PG 10 WC Economics SC Business & Economics GA 263SO UT WOS:000327828500014 ER PT J AU Nelson, E AF Nelson, Edward TI Friedman's monetary economics in practice SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Milton Friedman; Financial crisis; Monetary aggregates; Credit ID DEPOSIT INSURANCE; GREAT-DEPRESSION; CENTRAL BANKING; POLICY; MONEY; LIQUIDITY; RESERVES; MARKETS; DEMAND; RUNS AB This paper views the policy response to the recent financial crisis from the perspective of Milton Friedman's monetary economics. Five major aspects of the policy response were: 1) discount window lending was provided broadly to the financial system, at rates that were low in relation to the market rates prevailing before the crisis; 2) the Federal Reserve's holdings of government securities were adjusted with the aim of putting downward pressure on the path of several important interest rates for a given path of short-term rates; 3) deposit insurance was extended, helping to insulate the money stock from credit market disruption; 4) the commercial banking system received assistance via a recapitalization program, while existing equity holders bore losses; and 5) an interest-on-reserves system was introduced. These five elements of the policy response were in keeping with those that would arise from Friedman's framework, while a number of the five departed appreciably from other prominent benchmarks (such as the Bagehot prescription for discount rate policy, and New Keynesian approaches to stabilization policy). One notable part of the policy response, the TALF initiative, drew largely on frameworks other than Friedman's. But, in important respects, the overall monetary and financial policy response to the crisis can be viewed as Friedman's monetary economics in practice. Published by Elsevier Ltd. C1 Fed Reserve Board, Washington, DC USA. RP Nelson, E (reprint author), Fed Reserve Board, Washington, DC USA. EM edward.nelson@frb.gov NR 127 TC 1 Z9 1 U1 7 U2 22 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2013 VL 38 SI SI BP 59 EP 83 DI 10.1016/j.jimonfin.2013.05.005 PG 25 WC Business, Finance SC Business & Economics GA 254MO UT WOS:000327170000005 ER PT J AU Armantier, O Holt, CA Plott, CR AF Armantier, Olivier Holt, Charles A. Plott, Charles R. TI A Procurement Auction for Toxic Assets with Asymmetric Information SO AMERICAN ECONOMIC JOURNAL-MICROECONOMICS LA English DT Article ID DESIGN AB The proposed 2008 TARP auction was intended to remove "toxic" assets from portfolios of financially stressed banks. The Treasury selected a design whereby bids to sell different securities would be normalized by "reference prices" that reflect relative value estimates. We conduct a series of experiments indicating that a simple Reference Price Auction can be an effective mechanism for avoiding serious effects of adverse selection and strategic bid manipulation, even with inaccurate reference prices. Beyond the TARP auction, our results are relevant to various multi-object auctions with value heterogeneity. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Holt, Charles A.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [Plott, Charles R.] CALTECH, Div Humanities & Social Sci, Pasadena, CA 91125 USA. RP Armantier, O (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM olast1@gmail.com; holt@virginia.edu; cplott@hss.caltech.edu NR 21 TC 0 Z9 0 U1 1 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7669 EI 1945-7685 J9 AM ECON J-MICROECON JI Am. Econ. J.-Microecon. PD NOV PY 2013 VL 5 IS 4 BP 142 EP 162 DI 10.1257/mic.5.4.142 PG 21 WC Economics SC Business & Economics GA 246BW UT WOS:000326512600006 ER PT J AU Kandrac, J AF Kandrac, John TI Have Federal Reserve MBS purchases affected market functioning? SO ECONOMICS LETTERS LA English DT Article DE LSAP; Quantitative easing; Monetary policy; MBS; Market functioning; Open market operations ID PROGRAM AB Beginning in October 2011, the Federal Reserve began ongoing purchases of Mortgage Backed Securities (MBS). I test the extent to which these purchases were associated with disruptions in indicators of market functioning by using daily data on Federal Reserve MBS purchase operations. I find that two separate proxies for market functioning show adverse responses to Federal Reserve purchases that appear to be most closely linked to the additional open-ended MBS purchase program announced in September 2012. However, the magnitude of the disruption in market functioning appears to be quite modest. (C) 2013 Elsevier B.V. All rights reserved. C1 Board Governors Fed Reserve, Div Monetary Affairs, Washington, DC 20551 USA. RP Kandrac, J (reprint author), Board Governors Fed Reserve, Div Monetary Affairs, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM john.p.kandrac@frb.gov NR 4 TC 1 Z9 1 U1 2 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD NOV PY 2013 VL 121 IS 2 BP 188 EP 191 DI 10.1016/j.econlet.2013.08.011 PG 4 WC Economics SC Business & Economics GA 247JR UT WOS:000326614200012 ER PT J AU Kandrac, J Schlusche, B AF Kandrac, John Schlusche, Bernd TI Flow effects of large-scale asset purchases SO ECONOMICS LETTERS LA English DT Article DE LSAP; Quantitative easing; Open market operations; Liquidity; Monetary policy ID POLICY AB How large-scale asset purchase (LSAP) programs affect financial markets is an important question for policy makers that face the zero lower bound. While so-called "stock effects" - that is, persistent shifts in asset prices observed as the result of an LSAP program - are relatively well documented in the literature, there has been little study of "flow effects" that may occur at the time of LSAP transactions. Using security-level transaction data related to four distinct programs over a period of roughly four years, we test for the presence of flow effects in both price and liquidity of Treasury securities. We show that flow effects in security prices were present during early ISAPs by the Federal Reserve, but they were of little economic significance. Alternatively, we find no evidence for systematic liquidity flow effects in any of the LSAP programs. (C) 2013 Elsevier B.V. All rights reserved. C1 [Kandrac, John; Schlusche, Bernd] Board Governors Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. RP Kandrac, J (reprint author), Board Governors Fed Reserve Syst, Div Monetary Affairs, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM john.p.kandrac@frb.gov; bernd.schlusche@frb.gov NR 10 TC 1 Z9 1 U1 2 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD NOV PY 2013 VL 121 IS 2 BP 330 EP 335 DI 10.1016/j.econlet.2013.09.003 PG 6 WC Economics SC Business & Economics GA 247JR UT WOS:000326614200045 ER PT J AU Aramonte, S Rodriguez, MD Wu, J AF Aramonte, Sirio Rodriguez, Marius del Giudice Wu, Jason TI Dynamic factor Value-at-Risk for large heteroskedastic portfolios SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Risk management; Value-at-Risk; Dynamic factor models ID APPROXIMATE FACTOR MODELS; GENERALIZED ARCH; NUMBER; REGRESSION AB We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatility and correlations by bringing together the established historical simulation framework and recent contributions to the dynamic factor models literature. We find that the proposed methodology performs well relative to widely used VaR methodologies, and is a significant improvement from a computational point of view. (C) 2013 Elsevier B.V. All rights reserved. C1 [Aramonte, Sirio; Wu, Jason] Fed Reserve Board, Washington, DC 20551 USA. [Rodriguez, Marius del Giudice] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Wu, J (reprint author), Fed Reserve Board, 20th & C St, Washington, DC 20551 USA. EM jason.j.wu@frb.gov NR 39 TC 1 Z9 1 U1 3 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2013 VL 37 IS 11 BP 4299 EP 4309 DI 10.1016/j.jbankfin.2013.07.038 PG 11 WC Business, Finance; Economics SC Business & Economics GA 242BJ UT WOS:000326212100023 ER PT J AU Cipriani, M Gardenal, G Guarino, A AF Cipriani, Marco Gardenal, Gloria Guarino, Antonio TI Financial contagion in the laboratory: The cross-market rebalancing channel SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Financial contagion; Rebalancing channel; Laboratory experiment ID MODEL AB We present the results of the first experimental study of financial markets contagion. We develop a model of financial contagion amenable to be tested in the laboratory. In the model, contagion happens because of cross-market rebalancing, a channel for transmission of shocks across markets first studied by Kodres and Pritsker (2002). Theory predicts that, because of portfolio rebalancing, a negative shock in one market transmits itself to the others, as investors adjust their portfolio allocations. The theory is supported by the experimental results. The price observed in the laboratory is close to that predicted by theory, and strong contagion effects are observed. The results are robust across different market structures. Moreover, as theory predicts, lower asymmetric information in a ("developed") financial market increases the contagion effects in ("emerging") markets. (C) 2013 Published by Elsevier B.V. C1 [Cipriani, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Gardenal, Gloria] Univ Venice Ca Foscari, Dept Management, Venice, Italy. [Guarino, Antonio] UCL, Dept Econ, London, England. RP Guarino, A (reprint author), UCL, Dept Econ, London, England. EM marco.cipriani@ny.fed.org; ggardenal@unive.it; a.guarino@ucl.ac.uk OI Gardenal, Gloria/0000-0001-8635-7964 NR 11 TC 3 Z9 3 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2013 VL 37 IS 11 BP 4310 EP 4326 DI 10.1016/j.jbankfin.2013.06.005 PG 17 WC Business, Finance; Economics SC Business & Economics GA 242BJ UT WOS:000326212100024 ER PT J AU Oet, MV Bianco, T Gramlich, D Ong, SJ AF Oet, Mikhail V. Bianco, Timothy Gramlich, Dieter Ong, Stephen J. TI SAFE: An early warning system for systemic banking risk SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 24th Australasian Finance and Banking Conference CY DEC, 2011 CL UNSW, Inst Global Finance, Sydney, AUSTRALIA SP UNSW, Sch Banking & Finance, Reserve Bank Australia, Australian Securities Exchange, BlackRock HO UNSW, Inst Global Finance DE Systemic risk; Early warning system; Financial stress index; Microprudential; Macroprudential; Liquidity feedback ID CRISES; LIQUIDITY AB This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk that incorporates the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the financial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifications that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifications for verification and adjustment of supervisory actions. This paper highlights the application of these models to stress testing and policy. (C) 2013 Elsevier B.V. All rights reserved. C1 [Oet, Mikhail V.; Bianco, Timothy; Ong, Stephen J.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Oet, Mikhail V.] Case Western Reserve Univ, Cleveland, OH 44106 USA. RP Oet, MV (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. EM mikhail.v.oet@clev.frb.org; timothy.bianco@clev.frb.org; gramlich@dhbw-heidenheim.de; stephen.ong@clev.frb.org NR 56 TC 3 Z9 3 U1 2 U2 28 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2013 VL 37 IS 11 BP 4510 EP 4533 DI 10.1016/j.jbankfin.2013.02.016 PG 24 WC Business, Finance; Economics SC Business & Economics GA 242BJ UT WOS:000326212100038 ER PT J AU Munnell, AH Rutledge, MS AF Munnell, Alicia H. Rutledge, Matthew S. TI The Effects of the Great Recession on the Retirement Security of Older Workers SO ANNALS OF THE AMERICAN ACADEMY OF POLITICAL AND SOCIAL SCIENCE LA English DT Article DE older workers; retirement security; Social Security; labor force participation; pensions; interest rates; home equity ID DISPLACED WORKERS; SOCIAL-SECURITY; EARNINGS; LOSSES; PLANS AB The Great Recession had a profound effect on the retirement security of older Americans, and the slow recovery from the downturn will have a lasting impact on their quality of life. The nature of today's retirement system left older households exposed to the collapse in the equity and housing markets and induced many to plan for a later retirement. More late-career workers experienced job loss than in previous recessions, often with long jobless spells, encouraging a record number of early Social Security retirement claims and disability applications. Going forward, workers who lost a job can expect lower earnings and more instability and, potentially, poorer health. Even households that avoided job loss will have less money available for spending in retirement due to low interest rates and reduced home values. These findings emphasize the importance of Social Security as income insurance and the need for a more robust retirement income system. C1 [Munnell, Alicia H.; Rutledge, Matthew S.] Boston Coll, Ctr Retirement Res, Chestnut Hill, MA 02167 USA. [Rutledge, Matthew S.] Fed Reserve Bank Boston, Boston, MA USA. RP Munnell, AH (reprint author), Boston Coll, Ctr Retirement Res, Chestnut Hill, MA 02167 USA. NR 30 TC 2 Z9 2 U1 2 U2 15 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0002-7162 EI 1552-3349 J9 ANN AM ACAD POLIT SS JI Ann. Am. Acad. Polit. Soc. Sci. PD NOV PY 2013 VL 650 IS 1 BP 124 EP 142 DI 10.1177/0002716213499535 PG 19 WC Political Science; Social Sciences, Interdisciplinary SC Government & Law; Social Sciences - Other Topics GA 242IX UT WOS:000326234000006 ER PT J AU An, XD Deng, YH Nichols, JB Sanders, AB AF An, Xudong Deng, Yongheng Nichols, Joseph B. Sanders, Anthony B. TI Local Traits and Securitized Commercial Mortgage Default SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Default risk; CMBS loan; Local trait; Hazard model ID UNITED-STATES; RISK; PREPAYMENT; BIAS; TERMINATION; LOANS; MODEL AB We expand on the standard commercial mortgage default model and create a new model by looking beyond the usual factors of option value, insolvency, property type, region, originator type, state foreclosure laws and macroeconomic measures. The new model incorporates measures of local economic conditions, specifically MSA-level commercial property market conditions, county level unemployment, and local home price appreciation. We estimate our new model using a dataset containing the performance histories of over 30,000 CMBS loans that were originated between 1998 and 2012. We find that those local trait variables affect the default rate of CMBS loans significantly and provide improved explanatory power over the standard model. We further explore the impact of local home price measures by comparing the explanatory power of lagged and contemporaneous home price indexes, comparing the power of home price indexes at the state, county, and zip-code level, examining the interaction of home price indexes with commercial property type, looking at the impact of home price indexes over time, and at the impact of introducing local commercial land price indexes. We find that local residential house price-related measures provide a high quality and high frequency signal of local market conditions. C1 [An, Xudong] San Diego State Univ, Coll Business Adm, Dept Finance, San Diego, CA 92182 USA. [Deng, Yongheng] Natl Univ Singapore, Inst Real Estate Studies, Singapore 119613, Singapore. [Nichols, Joseph B.] Fed Reserve, Washington, DC 20551 USA. [Sanders, Anthony B.] George Mason Univ, Sch Management, Fairfax, VA 22030 USA. RP An, XD (reprint author), San Diego State Univ, Coll Business Adm, Dept Finance, 5500 Campanile Dr, San Diego, CA 92182 USA. EM xan@mail.sdsu.edu; ydeng@nus.edu.sg; joseph.b.nichols@frb.gov; asander7@gmu.edu RI Deng, Yongheng/A-4272-2010 OI Deng, Yongheng/0000-0002-4438-5171 NR 30 TC 2 Z9 2 U1 2 U2 17 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD NOV PY 2013 VL 47 IS 4 BP 787 EP 813 DI 10.1007/s11146-013-9431-2 PG 27 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 238TB UT WOS:000325971200009 ER PT J AU Hafer, RW Wheelock, DC AF Hafer, R. W. Wheelock, David C. TI Darryl Francis and the Making of Monetary Policy, 1966-1975 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Darryl Francis was president of the Federal Reserve Bank of St. Louis from 1966 to 1975. Throughout those years he was a leading critic of U.S. monetary policy. Francis argued in policy meetings and public venues that monetary policy should focus on maintaining a stable price level. In contrast, most policymakers at the time believed it possible to exploit a trade-off between unemployment and inflation. While Francis attributed inflation directly to excessive growth of the money stock, other policymakers blamed labor and product market failures, fiscal policy, and commodity price shocks. Francis argued that inflation could not be controlled except by limiting the growth of monetary aggregates; other policymakers promoted price controls or other schemes. Francis favored maintaining a stable money stock growth rate at a time when monetary policy was widely interpreted as involving the manipulation of interest rates. Reviewing the debates between Francis and his Federal Reserve colleagues improves our understanding of the reasons behind the Fed's monetary policy actions at the time and illuminates how policy views evolved within the System toward accepting price level stability as the paramount, long-run objective for monetary policy. C1 [Hafer, R. W.] So Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA. [Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Hafer, RW (reprint author), So Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 29 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 469 EP 485 PG 17 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600004 ER PT J AU Lindsey, DE Orphanides, A Rasche, RH AF Lindsey, David E. Orphanides, Athanasios Rasche, Robert H. TI The Reform of October 1979: How It Happened and Why SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY RULES; INFLATION AB This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively on contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism; new, neo, or old-fashioned Keynesianism; nominal income targeting; and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates yet be politically acceptable, and convince financial market participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. C1 [Lindsey, David E.; Orphanides, Athanasios] Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. [Rasche, Robert H.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Lindsey, DE (reprint author), Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. NR 80 TC 1 Z9 1 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 487 EP 541 PG 55 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600005 ER PT J AU King, RG Wolman, AL AF King, Robert G. Wolman, Alexander L. TI Inflation Targeting in a St. Louis Model of the 21st Century SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article C1 [King, Robert G.] Univ Virginia, Charlottesville, VA 22903 USA. [Wolman, Alexander L.] Fed Reserve Bank Richmond, Richmond, VA USA. RP King, RG (reprint author), Univ Virginia, Charlottesville, VA 22903 USA. NR 42 TC 0 Z9 0 U1 1 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 543 EP 573 PG 31 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600006 ER PT J AU Walsh, CE AF Walsh, Carl E. TI Announcements and the Role of Policy Guidance SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PUBLIC INFORMATION; MONETARY-POLICY; SOCIAL VALUE; TRANSPARENCY; INFLATION AB By providing guidance about future economic developments, central banks can affect private sector expectations and decisions. This can improve welfare by reducing private sector forecast errors, but it can also magnify the impact of noise in central bank forecasts. I employ a model of heterogeneous information to compare outcomes under opaque and transparent monetary policies. While better central bank information is always welfare improving, more central bank information may not be. C1 [Walsh, Carl E.] Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. RP Walsh, CE (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 33 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 575 EP 600 PG 26 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600007 ER PT J AU Poole, W AF Poole, William TI The GSEs: Where Do We Stand? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID GOVERNMENT C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. NR 14 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 601 EP 611 PG 11 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600008 ER PT J AU Bullard, L AF Bullard, Lames TI Seven Faces of "The Peril" SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIQUIDITY TRAPS; TAYLOR RULES; POLICY AB In this paper the author discusses the possibility that the U.S. economy may become enmeshed in a Japanese-style deflationary outcome within the next several years. To frame the discussion, the author relies on an analysis that emphasizes two possible long-run steady states for the economy: one that is consistent with monetary policy as it has typically been implemented in the United States in recent years and one that is consistent with the low nominal interest rate, deflationary regime observed in Japan during the same period. The data considered seem to be quite consistent with the two steady-state possibilities. The author describes and critiques seven stories that are told in monetary policy circles regarding this analysis and emphasizes two main conclusions: (i) The Federal Open Market Committee's "extended period" language may be increasing the probability of a Japanese-style outcome for the United States and (ii), on balance, the U.S. quantitative easing program offers the best tool to avoid such an outcome. C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Bullard, L (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. NR 19 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2013 VL 95 IS 6 SI SI BP 613 EP 628 PG 16 WC Business, Finance; Economics SC Business & Economics GA AQ8GF UT WOS:000343061600009 ER PT J AU Gu, C Mattesini, F Monnet, C Wright, R AF Gu, Chao Mattesini, Fabrizio Monnet, Cyril Wright, Randall TI Endogenous Credit Cycles SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID SUNSPOT EQUILIBRIA; FLUCTUATIONS; MODEL; DEBT; LIQUIDITY; DYNAMICS; MARKETS; BUBBLES; DEFAULT; MONEY AB This paper studies models of credit with limited commitment and, therefore, endogenous debt limits. There are multiple stationary equilibria plus nonstationary equilibria in which credit conditions change simply because of beliefs. There can be equilibria in which debt limits display deterministic cyclic or chaotic dynamics, as well as stochastic (sunspot) equilibria in which they fluctuate randomly, even though fundamentals are deterministic and time invariant. Examples and applications are discussed. We also consider different mechanisms for determining the terms of trade and compare the setup to other credit models in the literature. C1 [Gu, Chao] Univ Missouri Columbia, Columbia, MO 65211 USA. [Mattesini, Fabrizio] Univ Roma Tor Vergata, Rome, Italy. [Monnet, Cyril] Univ Bern, CH-3012 Bern, Switzerland. [Monnet, Cyril] Study Ctr Gerzensee, Zurich, Switzerland. [Wright, Randall] Univ Wisconsin Madison, Fed Reserve Bank Minneapolis, Fed Reserve Bank Chicago, Madison, WI USA. [Wright, Randall] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Gu, C (reprint author), Univ Missouri Columbia, Columbia, MO 65211 USA. NR 33 TC 13 Z9 13 U1 1 U2 19 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2013 VL 121 IS 5 BP 940 EP 965 DI 10.1086/673472 PG 26 WC Economics SC Business & Economics GA 301OU UT WOS:000330542600004 ER PT J AU Arzaghi, M Rupasingha, A AF Arzaghi, Mohammad Rupasingha, Anil TI MIGRATION AS A WAY TO DIVERSIFY: EVIDENCE FROM RURAL TO URBAN MIGRATION IN THE US SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID UNITED-STATES; AMENITIES; POPULATION; MODELS; LABOR; REDISTRIBUTION; DETERMINANTS; MIGRANTS; DISTANCE; REPEAT AB This paper extends the utility maximization model of migration by introducing income and unemployment-related uncertainties as determinants of utility, and analyzes the effects of the informational advantages of migrants. The paper maintains that migration would expand an individual's economic choices and opportunities and allow diversification. Consequently, diversification advantages influence the location decisions of migrants, an effect captured by the correlation of incomes at the origin and potential destinations. We use the discrete choice model based on random utility maximization as the framework for our empirical investigation of migration from the United States rural to urban counties. This paper takes advantage of an equivalent relation between the conditional logit model and Poisson regression to study the migration decisions using aggregate data among a large set of spatial alternatives. The results show that the diversification concerns have significant effects on location decisions of the rural-urban migrants in the United States. C1 [Arzaghi, Mohammad] Amer Univ Sharjah, Dept Econ, Sharjah 26666, U Arab Emirates. [Rupasingha, Anil] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Arzaghi, M (reprint author), Amer Univ Sharjah, Dept Econ, Sharjah 26666, U Arab Emirates. EM marzaghi@aus.edu; anil.rupasingha@atl.frb.org NR 53 TC 8 Z9 8 U1 3 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 EI 1467-9787 J9 J REGIONAL SCI JI J. Reg. Sci. PD OCT PY 2013 VL 53 IS 4 BP 690 EP 711 DI 10.1111/jors.12055 PG 22 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 296MJ UT WOS:000330188900007 ER PT J AU Kurmann, A Otrok, C AF Kurmann, Andre Otrok, Christopher TI News Shocks and the Slope of the Term Structure of Interest Rates SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID TREASURY YIELD CURVE; BUSINESS CYCLES; MONETARY-POLICY; BOND YIELDS; US; GROWTH C1 [Kurmann, Andre] Fed Reserve Board, Washington, DC 20551 USA. [Otrok, Christopher] Univ Missouri, Dept Econ, Columbia, MO 65211 USA. [Otrok, Christopher] Fed Reserve Bank St Louis, St Louis, France. RP Kurmann, A (reprint author), Fed Reserve Board, 20th & C St NW,Mail Stop 77, Washington, DC 20551 USA. EM andre.kurmann@frb.gov; otrokc@missouri.edu NR 50 TC 9 Z9 9 U1 0 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2013 VL 103 IS 6 BP 2612 EP 2632 DI 10.1257/aer.103.6.2612 PG 21 WC Economics SC Business & Economics GA 266WG UT WOS:000328054000019 ER PT J AU Hughes, JP Mester, LJ AF Hughes, Joseph P. Mester, Loretta J. TI Who said large banks don't experience scale economies? Evidence from a risk-return-driven cost function SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Banking; Production; Risk; Scale economies; Too big to fail ID IDEAL DEMAND SYSTEM; MANAGEMENT AB The Great Recession focused attention on large financial institutions and systemic risk. We investigate whether large size provides any cost advantages to the economy and, if so, whether these cost advantages are due to technological scale economies or too-big-to-fail subsidies. Estimating scale economies is made more complex by risk-taking. Better diversification resulting from larger scale generates scale economies but also incentives to take more risk. When this additional risk-taking adds to cost, it can obscure the underlying scale economies and engender misleading econometric estimates of them. Using data pre- and post-crisis, we estimate scale economies using two production models. The standard model ignores endogenous risk-taking and finds little evidence of scale economies. The model accounting for managerial risk preferences and endogenous risk-taking finds large scale economies, which are not driven by too-big-to-fail considerations. We evaluate the costs and competitive implications of breaking up the largest banks into smaller banks. (C) 2013 Elsevier Inc. All rights reserved. C1 [Hughes, Joseph P.] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Mester, Loretta J.] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. RP Hughes, JP (reprint author), Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. EM jphughes@rci.rutgers.edu; Loretta.Mester@phil.frb.org NR 28 TC 22 Z9 22 U1 2 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2013 VL 22 IS 4 BP 559 EP 585 DI 10.1016/j.jfi.2013.06.004 PG 27 WC Business, Finance SC Business & Economics GA 264ZA UT WOS:000327918300003 ER PT J AU Carlson, M Shan, H Warusawitharana, M AF Carlson, Mark Shan, Hui Warusawitharana, Missaka TI Capital ratios and bank lending: A matched bank approach SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Regulatory capital; Bank capital; Bank lending ID MONETARY-POLICY; UNITED-STATES; REQUIREMENTS; MANAGEMENT; BEHAVIOR; CHANNEL; CREDIT; CRISIS; CRUNCH AB This paper examines the impact of bank capital ratios on bank lending by comparing differences in loan growth to differences in capital ratios at sets of banks that are matched based on geographic area as well as size and various business characteristics. We argue that such comparisons are most effective at controlling for local loan demand and other environmental factors. For comparison we also control for local factors using MSA fixed effects. We find, based on data from 2001 to 2011, that the relationship between capital ratios and bank lending was significant during and shortly following the recent financial crisis but not at other times. We find that the relationship between capital ratios and loan growth is stronger for banks where loans are contracting than where loans are expanding. We also show that the elasticity of bank lending with respect to capital ratios is higher when capital ratios are relatively low, suggesting that the effect of capital ratio on bank lending is nonlinear. In addition, we present findings on the relationship between bank capital and lending by bank size and loan type. Published by Elsevier Inc. C1 [Carlson, Mark; Warusawitharana, Missaka] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Shan, Hui] Goldman Sachs, New York, NY USA. RP Carlson, M (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM mark.a.carlson@frb.gov; huishan79@gmail.com; missaka.n.warusawitharana@frb.-gov NR 40 TC 9 Z9 9 U1 4 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2013 VL 22 IS 4 BP 663 EP 687 DI 10.1016/j.jfi.2013.06.003 PG 25 WC Business, Finance SC Business & Economics GA 264ZA UT WOS:000327918300008 ER PT J AU Mitchener, KJ Richardson, G AF Mitchener, Kris James Richardson, Gary TI Does "skin in the game" reduce risk taking? Leverage, liability and the long-run consequences of new deal banking reforms SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE Risk Taking; Incentives; Double Liability; Contingent Liability; Leverage; Great Depression; New Deal; Banking Act of 1935; Glass-Steagall Act ID LAGGED DEPENDENT-VARIABLES; DEPOSIT INSURANCE; GREAT-DEPRESSION; SUPERVISION; OWNERSHIP; MODELS AB This essay examines how the Banking Acts of the 1933 and 1935 and related New Deal legislation influenced risk taking in the financial sector of the U.S. economy. The analysis focuses on contingent liability of bank owners for losses incurred by their firms and how the elimination of this liability influenced leverage and lending by commercial banks. Using a new panel data set, we find contingent liability reduced risk taking. In states with contingent liability, banks used less leverage and converted each dollar of capital into fewer loans, and thus could survive larger loan losses (as a fraction of their portfolio) than banks in limited liability states. In states with limited liability, banks took on more leverage and risk, particularly in states that required banks with limited liability to join the Federal Deposit Insurance Corporation. In the long run, the New Deal replaced a regime of contingent liability with deposit insurance, stricter balance sheet regulation, and increased capital requirements, shifting the onus of risk management from bankers to state and federal regulators. (C) 2013 Elsevier Inc. All rights reserved. C1 [Mitchener, Kris James] Univ Warwick, Coventry CV4 7AL, W Midlands, England. [Mitchener, Kris James] NBER, Cambridge, MA 02138 USA. [Richardson, Gary] UC Irvine, Dept Econ, Irvine, CA USA. [Richardson, Gary] Fed Reserve Bank Richmond, Richmond, VA USA. RP Mitchener, KJ (reprint author), Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England. EM k.j.mitchener@warwick.ac.uk; garyr@uci.edu NR 41 TC 3 Z9 3 U1 1 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0014-4983 EI 1090-2457 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD OCT PY 2013 VL 50 IS 4 SI SI BP 508 EP 525 DI 10.1016/j.eeh.2013.06.002 PG 18 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 255HE UT WOS:000327229200004 ER PT J AU Rose, JD Snowden, KA AF Rose, Jonathan D. Snowden, Kenneth A. TI The New Deal and the origins of the modern American real estate loan contract SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE Real estate finance; Mortgage loan contracts; Building and loan associations; New Deal; Great Depression ID MORTGAGE AB The fully amortized mortgage loan contract is an important instance of financial innovation in the U.S. residential mortgage market. We examine the adoption of this contract from the 1880s to the 1930s by building and loan (B&L) associations, the nation's most important institutional home mortgage lenders at the time. A chain of complementary innovations by B&Ls gradually reduced the costs of adopting amortization, supporting moderate use by the 1920s. During the crisis of the 1930s, the poor performance of the traditional B&L loan contract radically increased the benefit of adoption, as borrowers demanded the new contract. The adoption examined here occurred primarily in the conventional loan market because B&Ls, unlike other lenders, generally avoided the use of the new Federal Housing Administration insurance program. The New Deal may have had more impact through new federal savings and loan charters, which incorporated many of the complementary innovations that supported the new form of lending. Published by Elsevier Inc. C1 [Rose, Jonathan D.] Fed Reserve Board Governors, Washington, DC 20551 USA. [Snowden, Kenneth A.] Univ N Carolina, Bolan Sch Business & Econ, Greensboro, NC 27402 USA. [Snowden, Kenneth A.] NBER, Cambridge, MA 02138 USA. RP Rose, JD (reprint author), Fed Reserve Board Governors, 20th & C Sts NW, Washington, DC 20551 USA. EM jonathan.d.rose@frb.gov; snowden@uncg.edu NR 31 TC 2 Z9 2 U1 2 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0014-4983 EI 1090-2457 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD OCT PY 2013 VL 50 IS 4 SI SI BP 548 EP 566 DI 10.1016/j.eeh.2013.06.001 PG 19 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 255HE UT WOS:000327229200006 ER PT J AU Adelino, M Gerardi, K Willen, PS AF Adelino, Manuel Gerardi, Kristopher Willen, Paul S. TI Why don't Lenders renegotiate more home mortgages? Redefaults, self-cures and securitization SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Securitization; Mortgage; Foreclosure; Renegotiation; Asymmetric information ID DEBT; DEFAULT AB A leading explanation for the lack of widespread mortgage renegotiation is the existence of frictions in the mortgage securitization process. This paper finds similarly small renegotiation rates for securitized loans and loans held on banks' balance sheets that become seriously delinquent, in particular during the early part of the financial crisis. We argue that information issues endemic to home mortgages, where lenders negotiate with large numbers of borrowers, lead to barriers in renegotiation. Consistent with the theory, renegotiation rates are strongly negatively correlated with the degree of informational asymmetries between borrowers and lenders over the course of the crisis. (C) 2013 Elsevier B.V. All rights reserved. C1 [Adelino, Manuel] Duke Univ, Dukes Fuqua Sch Business, Durham, NC 27708 USA. [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. [Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Willen, Paul S.] Fed Reserve Bank Boston, NBER, Boston, MA 02210 USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Kristopher.Gerardi@atl.frb.org; Paul.Willen@bos.frb.org; manuel.adelino@duke.edu RI Adelino, Manuel/G-9938-2014 OI Adelino, Manuel/0000-0002-6308-8930 NR 32 TC 22 Z9 22 U1 3 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2013 VL 60 IS 7 BP 835 EP 853 DI 10.1016/j.jmoneco.2013.08.002 PG 19 WC Business, Finance; Economics SC Business & Economics GA 259ZQ UT WOS:000327565200006 ER PT J AU Edgerton, J AF Edgerton, Jesse TI Four facts about dividend payouts and the 2003 tax cut SO INTERNATIONAL TAX AND PUBLIC FINANCE LA English DT Article DE Taxes; Payout policy; Dividends; Share repurchases ID CORPORATE-TAXATION; EARNINGS; POLICY; REPURCHASES; PREFERENCES; INCENTIVES; FIRM AB Recent literature has claimed that the 2003 U.S. dividend tax cut caused a large increase in aggregate dividend payouts. I document four simple facts that call this claim into question. First, the post-tax cut increase in dividend payouts coincided with a surge in corporate profits, such that the dividend payout ratio did not rise. Second, share repurchases increased even more rapidly than dividend payouts. Third, dividend payouts by Real Estate Investment Trusts also rose sharply, even though they did not qualify for reduced taxation. Finally, the stock market was forecasting an increase in dividend initiations by mid-2002, before the tax cut had been proposed. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Edgerton, J (reprint author), Fed Reserve Board, 20th St & C St NW, Washington, DC 20551 USA. EM jesse.j.edgerton@frb.gov NR 22 TC 3 Z9 3 U1 2 U2 16 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-5940 EI 1573-6970 J9 INT TAX PUBLIC FINAN JI Int. Tax Public Financ. PD OCT PY 2013 VL 20 IS 5 BP 769 EP 784 DI 10.1007/s10797-012-9242-z PG 16 WC Economics SC Business & Economics GA 240PS UT WOS:000326110000003 ER PT J AU Ennis, HM Weinberg, JA AF Ennis, Huberto M. Weinberg, John A. TI Over-the-counter loans, adverse selection, and stigma in the interbank market SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Discount window; Signaling; Search; Bargaining; Private information; Banking ID FEDERAL-FUNDS MARKET; DISCOUNT WINDOW; MONETARY-POLICY; ASSET MARKETS; LIQUIDITY; MODEL; RELUCTANCE; BORROW; SYSTEM AB We study a model of interbank credit where physical and informational frictions limit the opportunities for intertemporal trade among banks and outside investors. Banks obtain loans in an over-the-counter market (involving search, bilateral matching, and negotiations over the terms of the loan) and hold assets of heterogeneous quality that in turn determine their ability to repay those loans. When asset quality is not observable by outside investors, information about the actions taken by a bank in the loan market may influence prices in the asset market. In particular, under some conditions, borrowing from the central bank can be regarded as a negative signal about the quality of the borrower's assets and banks may be willing to borrow in the market at rates higher than the one offered by the central bank. (c) 2012 Elsevier Inc. All rights reserved. C1 [Ennis, Huberto M.; Weinberg, John A.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. EM huberto.ennis@rich.frb.org NR 35 TC 11 Z9 11 U1 0 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2013 VL 16 IS 4 BP 601 EP 616 DI 10.1016/j.red.2012.09.005 PG 16 WC Economics SC Business & Economics GA 235PS UT WOS:000325733800003 ER PT J AU Pintus, PA Wen, Y AF Pintus, Patrick A. Wen, Yi TI Leveraged borrowing and boom-bust cycles SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Asset bubble; Investment boom; Borrowing constraints; Multiplier-accelerator; Elastic credit supply; Habit formation ID BUSINESS-CYCLE; HABIT FORMATION; CREDIT CYCLES; AGENCY COSTS; NET WORTH; FLUCTUATIONS; GROWTH AB Investment booms and asset "bubbles" are often the consequence of heavily leveraged borrowing and speculations of persistent growth in asset demand. We show theoretically that dynamic interactions between elastic credit supply (due to leveraged borrowing) and persistent credit demand (due to consumption habit) can generate a multiplier-accelerator mechanism that transforms a one-time productivity or financial shock into large and long-lasting boom-bust cycles. The predictions are consistent with the basic features of investment booms and the consequent asset-market crashes led by credit expansions. (c) 2012 Elsevier Inc. All rights reserved. C1 [Pintus, Patrick A.] Aix Marseille Univ, Aix Marseille Sch Eco, Marseille, France. [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. RP Pintus, PA (reprint author), Aix Marseille Univ, Aix Marseille Sch Eco, Marseille, France. EM patrick.pintus@univ-amu.fr RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 34 TC 3 Z9 3 U1 1 U2 18 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2013 VL 16 IS 4 BP 617 EP 633 DI 10.1016/j.red.2012.09.006 PG 17 WC Economics SC Business & Economics GA 235PS UT WOS:000325733800004 ER PT J AU Shao, EC Silos, P AF Shao, Enchuan Silos, Pedro TI Entry costs and labor market dynamics SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Entry costs; Search and matching; Unemployment; Aggregate fluctuations ID CYCLICAL BEHAVIOR; MONOPOLISTIC COMPETITION; EQUILIBRIUM UNEMPLOYMENT; BUSINESS CYCLES; SEARCH; FLUCTUATIONS; PROPAGATION; VACANCIES; MODELS AB We study the cyclical dynamics of the value of a vacant position in labor markets characterized by search and matching frictions. We present a model of aggregate fluctuations in which firms face sunk costs to enter the production process. Our specification of sunk costs gives rise to a countercyclical value of a vacancy. We find that this overlooked object has important quantitative implications for the study of labor markets and business cycles. It affects the cyclical dynamics of the surplus division between workers and firms, and provides a better characterization of the movements in income shares over recessions and expansions. Understanding movements in the value of a vacant position helps to link the dynamics of income shares with recent volatility puzzles found in models of search and matching in labor markets. (C) 2013 Elsevier B.V All rights reserved. C1 [Shao, Enchuan] Bank Canada, Ottawa, ON K1A 0G9, Canada. [Silos, Pedro] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM eshao@bank-banque-canada.ca; Pedro.Silos@atl.frb.org NR 22 TC 2 Z9 2 U1 0 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD OCT PY 2013 VL 63 BP 243 EP 255 DI 10.1016/j.euroecorev.2013.07.009 PG 13 WC Economics SC Business & Economics GA 225PJ UT WOS:000324974500014 ER PT J AU Cooper, D AF Cooper, Daniel TI HOUSE PRICE FLUCTUATIONS: THE ROLE OF HOUSING WEALTH AS BORROWING COLLATERAL SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID LIQUIDITY CONSTRAINTS; MICRO DATA; CONSUMPTION AB Rising house prices affect household spending by either loosening a household's lifetime budget constraint (pure wealth effect) or the household's borrowing constraint so that consumption rises toward the level implied by the consumption Euler equation (borrowing collateral effect). The empirical findings in this paper are consistent with house price appreciation affecting household spending through the borrowing collateral channel and not the pure wealth effect channel. The consumption of potentially borrowing constrained households increases between $0.06 and $0.18 per dollar increase in their housing equity, while the consumption of unconstrained households is little changed. C1 Fed Reserve Bank Boston, Boston, MA USA. RP Cooper, D (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 29 TC 6 Z9 6 U1 1 U2 16 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD OCT PY 2013 VL 95 IS 4 BP 1183 EP 1197 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 227WT UT WOS:000325147100007 ER PT J AU Leduc, S Sill, K AF Leduc, Sylvain Sill, Keith TI EXPECTATIONS AND ECONOMIC FLUCTUATIONS: AN ANALYSIS USING SURVEY DATA SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS-CYCLE; NEWS AB Using survey-based measures of future U.S. economic activity from the Livingston Survey and the Survey of Professional Forecasters, we study how changes in expectations and their interaction with monetary policy contribute to fluctuations in macroeconomic aggregates. We find that changes in expected future economic activity are a quantitatively important driver of economic fluctuations: a perception that good times are ahead typically leads to a significant rise in current measures of economic activity and inflation. We also find that the short-term interest rate rises in response to expectations of good times as monetary policy tightens. C1 [Leduc, Sylvain] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sill, Keith] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Leduc, S (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 19 TC 10 Z9 10 U1 0 U2 4 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD OCT PY 2013 VL 95 IS 4 BP 1352 EP 1367 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 227WT UT WOS:000325147100018 ER PT J AU Adrian, T Crump, RK Moench, E AF Adrian, Tobias Crump, Richard K. Moench, Emanuel TI Pricing the term structure with linear regressions SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Term structure of interest rates; Fama-MacBeth regressions; Dynamic asset pricing estimation; Empirical finance ID BOND RISK PREMIA; STRUCTURE MODELS; YIELD CURVE; TESTS AB We show how to price the time series and cross section of the term structure of interest rate using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generates similar in-sample term premium dynamics. Our regression approach can also incorporate unspanned factors and allows estimation of term structure models without observing a zero-coupon yield curve. (c) 2013 Elsevier B.V. All rights reserved. C1 [Adrian, Tobias; Crump, Richard K.; Moench, Emanuel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; richard.crump@ny.frb.org; emanuel.moench@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 30 TC 19 Z9 21 U1 6 U2 40 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD OCT PY 2013 VL 110 IS 1 BP 110 EP 138 DI 10.1016/j.jfineco.2013.04.009 PG 29 WC Business, Finance; Economics SC Business & Economics GA 222IE UT WOS:000324723600006 ER PT J AU Desai, CA Elliehausen, G Steinbuks, J AF Desai, Chintal A. Elliehausen, Gregory Steinbuks, Jevgenijs TI Effects of Bankruptcy Exemptions and Foreclosure Laws on Mortgage Default and Foreclosure Rates SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Bankruptcy exemptions; Foreclosure laws; Mortgage defaults; Foreclosures ID PERSONAL BANKRUPTCY; MARKET; CREDIT; LOANS; HOME; TERMINATIONS; DELINQUENCY; CONSTRAINTS; EXERCISE; CHOICE AB This study analyzes the effects of state bankruptcy asset exemptions and foreclosure laws on mortgage default and foreclosure rates across different segments of the mortgage market. We found that the effects of these legal provisions are larger for subprime than for prime mortgages and larger for adjustable rate mortgages than for fixed rate mortgages. These results demonstrate that the effect of variation in bankruptcy exemptions and foreclosure laws is most pronounced in the most risky segments of the mortgage market, which are those that have been most affected by the continuing housing slump in the United States. C1 [Desai, Chintal A.] Univ Texas Pan Amer, Edinburg, TX 78541 USA. [Elliehausen, Gregory] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Steinbuks, Jevgenijs] Purdue Univ, W Lafayette, IN 47907 USA. RP Steinbuks, J (reprint author), Purdue Univ, W Lafayette, IN 47907 USA. EM jsteinbu@purdue.edu NR 44 TC 4 Z9 4 U1 0 U2 11 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD OCT PY 2013 VL 47 IS 3 BP 391 EP 415 DI 10.1007/s11146-012-9366-z PG 25 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 221CO UT WOS:000324635200001 ER PT J AU Humphrey, DB Hunt, R AF Humphrey, David B. Hunt, Robert TI Cost Savings from Check 21 Electronic Payment Legislation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE electronic payments; Check 21; checks ID ECONOMIES; SCALE AB Electronic payment legislation permitted an initially paper substitute digital image of a check, and later the electronic digital image of a check, to be processed and presented for payment on a same-day basis. By shifting to electronic collection and presentment, Federal Reserve per item check processing costs fell by over 70%, reducing estimated overall U.S. payment system costs by $1.16 billion in 2010. Payment collection times and associated float fell dramatically for collecting banks and payees with consequent additional savings in firm working capital costs of perhaps $1.37 billion and indebted consumer benefits of $0.64 billion. C1 [Humphrey, David B.] Florida State Univ, Dept Finance, Tallahassee, FL 32306 USA. [Hunt, Robert] Fed Reserve Bank Philadelphia, Payment Cards Ctr, Philadelphia, PA USA. RP Humphrey, DB (reprint author), Florida State Univ, Dept Finance, Tallahassee, FL 32306 USA. EM dhumphrey@cob.fsu.edu; Bob.Hunt@phil.frb.org NR 8 TC 0 Z9 0 U1 0 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2013 VL 45 IS 7 BP 1415 EP 1429 DI 10.1111/jmcb.12057 PG 15 WC Business, Finance; Economics SC Business & Economics GA 213NP UT WOS:000324064700008 ER PT J AU Rich, R Tracy, J AF Rich, Robert Tracy, Joseph TI Early Contract Renegotiation: An Analysis of US Labor Contracts, 1970--1995 SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID DURATION; LENGTH; DETERMINANTS; UNCERTAINTY; AGREEMENTS; INFLATION; DESIGN; DEBT AB This article examines the ex post flexibility of US labor contracts during the 1970--95 period by investigating whether unanticipated changes in inflation increase the likelihood of a contract being renegotiated prior to its expiration. We find empirical support for this hypothesis. Specifically, our results indicate that renegotiations are triggered principally by large and infrequent price shocks of either sign. When combined with evidence that ex ante contract durations are shorter during episodes of increased inflation uncertainty, our results suggest that these contracts are flexible both ex ante and ex post to changes in the evolution of inflation. C1 [Rich, Robert; Tracy, Joseph] Fed Reserve Bank New York, New York, NY USA. RP Tracy, J (reprint author), Fed Reserve Bank New York, New York, NY USA. EM joseph.tracy@ny.frb.org NR 28 TC 0 Z9 0 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X EI 1537-5307 J9 J LABOR ECON JI J. Labor Econ. PD OCT 1 PY 2013 VL 31 IS 4 BP 825 EP 842 DI 10.1086/669965 PG 18 WC Economics; Industrial Relations & Labor SC Business & Economics GA 216UL UT WOS:000324310300005 ER PT J AU Neely, CJ Weller, PA AF Neely, Christopher J. Weller, Paul A. TI Lessons from the evolution of foreign exchange trading strategies SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Exchange rate; Technical analysis; Technical trading; Carry trade; Efficient markets hypothesis; Adaptive markets hypothesis ID ADAPTIVE MARKETS HYPOTHESIS; COVERED INTEREST ARBITRAGE; TECHNICAL ANALYSIS; CURRENCY MARKETS; RULE PROFITS; UNEXPLOITED PROFITS; INTERVENTION; PERFORMANCE; EFFICIENCY; BOOTSTRAP AB The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and emerging markets, the carry trade, and US equities. The results show that a backtesting procedure to choose optimal portfolios improves upon the performance of nonadaptive rules. We also find that forex trading alone dramatically outperforms the S&P 500, with much larger Sharpe ratios over the whole sample, but there is little gain to coordinating forex and equity strategies, which explains why practitioners consider these tools separately. Forex trading returns dip significantly in the 1990s but recover by the end of the decade and have been markedly superior to an equity position since 1998. Overall, trading rule returns still exist in forex markets-with substantial stability in the types of rules-though they have migrated to emerging markets to a considerable degree. (C) 2013 Elsevier B.V. All rights reserved. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Weller, Paul A.] Univ Iowa, Iowa City, IA USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Box 442, St Louis, MO 63166 USA. EM neely@stls.frb.org; Paul-Weller@uiowa.edu RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 42 TC 9 Z9 9 U1 2 U2 42 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2013 VL 37 IS 10 BP 3783 EP 3798 DI 10.1016/j.jbankfin.2013.05.029 PG 16 WC Business, Finance; Economics SC Business & Economics GA 210DL UT WOS:000323809400005 ER PT J AU Smith, MM Wackes, J Smith, TE AF Smith, Marvin M. Wackes, John Smith, Tony E. TI A note on alternative financial service providers and the spatial void hypothesis SO ANNALS OF REGIONAL SCIENCE LA English DT Article AB Many consumers use alternative financial service providers (AFSPs)-such as check cashing outlets, payday lenders, and pawnshops-to conduct some of their financial transactions. However, the fees for these services tend to be higher than those charged at mainstream financial institutions. One rationale why consumers continue to patronize them is that AFSPs serve the financial needs of patrons by filling a void created by the absence of traditional financial institutions-known as the spatial void hypothesis. Two studies have tested the spatial void hypothesis and reached opposing conclusions. While the most recent inquiry used alternative statistical methods to find support for the spatial void hypothesis in the counties investigated, questions arise as to its applicability to other geographical areas. This study applies the alternative methodology to examine the spatial void hypothesis in selected counties in the states of New Jersey and Delaware. It formulates appropriate null hypotheses of "indistinguishability" and tests these hypotheses by Monte Carlo methods and finds further support for the spatial void hypothesis. C1 [Smith, Marvin M.; Wackes, John] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Smith, Tony E.] Univ Penn, Philadelphia, PA 19104 USA. RP Smith, MM (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM marty.smith@phil.frb.org NR 11 TC 1 Z9 1 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD OCT PY 2013 VL 51 IS 2 BP 575 EP 591 DI 10.1007/s00168-012-0549-6 PG 17 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 203IH UT WOS:000323285000013 ER PT J AU Elsby, MWL Hobijn, B Sahin, A AF Elsby, Michael W. L. Hobijn, Bart Sahin, Ayseguel TI The Decline of the US Labor Share SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article AB Over the past quarter century, labor's share of income in the United States has trended downward, reaching its lowest level in the postwar period after the Great Recession. A detailed examination of the magnitude, determinants, and implications of this decline delivers five conclusions. First, about a third of the decline in the published labor share appears to be an artifact of statistical procedures used to impute the labor income of the self-employed that underlies the headline measure. Second, movements in labor's share are not solely a feature of recent U.S. history: The relative stability of the aggregate labor share prior to the 1980s in fact veiled substantial, though offsetting, movements in labor shares within industries. By contrast, the recent decline has been dominated by the trade and manufacturing sectors. Third, U.S. data provide limited support for neoclassical explanations based on the substitution of capital for (unskilled) labor to exploit technical change embodied in new capital goods. Fourth, prima facie evidence for institutional explanations based on the decline in unionization is inconclusive. Finally, our analysis identifies offshoring of the labor-intensive component of the U.S. supply chain as a leading potential explanation of the decline in the U.S. labor share over the past 25 years. C1 [Elsby, Michael W. L.] Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Elsby, MWL (reprint author), Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. NR 5 TC 17 Z9 17 U1 1 U2 15 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2013 BP 1 EP 63 PG 63 WC Economics SC Business & Economics GA AG1WC UT WOS:000335205900001 ER PT J AU Arcaya, M Glymour, MM Chakrabarti, P Christakis, NA Kawachi, I Subramanian, SV AF Arcaya, Mariana Glymour, M. Maria Chakrabarti, Prabal Christakis, Nicholas A. Kawachi, Ichiro Subramanian, S. V. TI Effects of Proximate Foreclosed Properties on Individuals' Weight Gain in Massachusetts, 1987-2008 SO AMERICAN JOURNAL OF PUBLIC HEALTH LA English DT Article ID REDUCED PHYSICAL-ACTIVITY; HEALTH; OBESITY; DISORDER; CHILDREN; PEOPLE; SAFETY; HOME AB Objectives. We assessed the extent to which living near foreclosed properties is associated with individuals' subsequent weight gain. Methods. We linked health and address information on 2068 Framingham Offspring Cohort members (7830 assessments) across 5 waves (1987-2008) to records of all Massachusetts foreclosures during that period. We used counts of lender-owned foreclosed properties within 100 meters of participants' homes to predict body mass index (BMI; defined as weight in kilograms divided by the square of height in meters) and the odds of being overweight (BMI 25), adjusted for individual and area-level covariates. Results. Mean BMI increased from 26.6 in 1987-1991 to 28.5 in 2005-2008; overweight prevalence increased from 59.0% to 71.3%. Foreclosures were within 100 meters of 159 (7.8%) participants' homes on 187 occasions (1.8%), in 42 municipalities (21%). For each additional foreclosure, BMI increased by 0.20 units (95% confidence interval [CI] = 0.03, 0.36), and the odds ratio for being overweight associated with proximity to a foreclosure was 1.77 (95% CI = 1.02, 3.05). Conclusions. We found a robust association between living near foreclosures and BMI, suggesting that neighbors' foreclosures may spur weight gain. C1 [Arcaya, Mariana; Glymour, M. Maria; Kawachi, Ichiro; Subramanian, S. V.] Harvard Univ, Sch Publ Hlth, Dept Soc Human Dev & Hlth, Boston, MA 02115 USA. [Chakrabarti, Prabal] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Christakis, Nicholas A.] Harvard Univ, Sch Med, Dept Hlth Care Policy, Boston, MA 02115 USA. RP Arcaya, M (reprint author), 677 Huntington Ave, Boston, MA 02115 USA. EM marcaya@hsph.harvard.edu FU National Cancer Institute's joint Harvard School of Public Health-Dana Farber Cancer Institute Educational Program in Cancer Prevention Research; National Institutes of Health (NIH) [3R25CA057711-18S1]; NIH Initiative for Maximizing Student Diversity at the Harvard School of Public Health [5R25GM055353]; National Institute on Aging [P01-AG031093]; Robert Wood Johnson Investigator Award in Health Policy; National Heart, Lung, and Blood Institute (NHLBI); Boston University [N01-HC-25195] FX M. Arcaya was supported as a predoctoral fellow by the National Cancer Institute's joint Harvard School of Public Health-Dana Farber Cancer Institute Educational Program in Cancer Prevention Research, supported by the National Institutes of Health (NIH; grant 3R25CA057711-18S1) and the NIH Initiative for Maximizing Student Diversity at the Harvard School of Public Health (grant 5R25GM055353). N. A. Christakis is supported by from the National Institute on Aging (award P01-AG031093). S. V. Subramanian is supported by the Robert Wood Johnson Investigator Award in Health Policy. The Framingham Heart Study is conducted and supported by the National Heart, Lung, and Blood Institute (NHLBI) in collaboration with Boston University (contract N01-HC-25195). NR 46 TC 15 Z9 15 U1 0 U2 5 PU AMER PUBLIC HEALTH ASSOC INC PI WASHINGTON PA 800 I STREET, NW, WASHINGTON, DC 20001-3710 USA SN 0090-0036 EI 1541-0048 J9 AM J PUBLIC HEALTH JI Am. J. Public Health PD SEP PY 2013 VL 103 IS 9 BP E50 EP E56 DI 10.2105/AJPH.2013.301460 PG 7 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA AA3NB UT WOS:000330998200013 PM 23865706 ER PT J AU Brevoort, KP Avery, RB Canner, GB AF Brevoort, Kenneth P. Avery, Robert B. Canner, Glenn B. TI Credit Where None Is Due? Authorized-User Account Status and Piggybacking Credit SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID INFORMATION; MARKETS AB "Piggybacking credit" is a new practice that helps consumers improve their credit scores by paying to become "authorized users" on established accounts. Authorized users are not liable for paying an account, but because of Regulation B (which implements the 1974 Equal Credit Opportunity Act), the account's history factors into their credit scores. As a result piggybacking can be used to manipulate the signal of creditworthiness that scores provide and may help borrowers obtain credit for which they would not have otherwise qualified. This article investigates the policy questions raised by piggybacking. First, we evaluate whether the credit history disparities that motivated these provisions of Regulation B have persisted since they were written. Then, we assess the potential for score improvement through piggybacking. Finally, we evaluate the likely score effects of allowing credit scoring models to exclude authorized-user accounts, the most widely proposed policy response to the emergence of piggybacking. C1 [Brevoort, Kenneth P.] Consumer Financial Protect Bur, Washington, DC 20552 USA. [Canner, Glenn B.] Fed Reserve Board, Washington, DC USA. RP Brevoort, KP (reprint author), Consumer Financial Protect Bur, Washington, DC 20552 USA. EM kenneth.brevoort@cfpb.gov; robert.avery@fhfa.gov; gcanner@frb.gov NR 28 TC 0 Z9 0 U1 1 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 EI 1745-6606 J9 J CONSUM AFF JI J. Consum. Aff. PD FAL PY 2013 VL 47 IS 3 BP 518 EP 547 DI 10.1111/joca.12020 PG 30 WC Business; Economics SC Business & Economics GA AA2VQ UT WOS:000330952700006 ER PT J AU Dunne, T Klimek, SD Roberts, MJ Xu, DY AF Dunne, Timothy Klimek, Shawn D. Roberts, Mark J. Xu, Daniel Yi TI Entry, exit, and the determinants of market structure SO RAND JOURNAL OF ECONOMICS LA English DT Article ID INDUSTRY; COMPETITION; MODELS; AREAS; GAMES; CARE AB This article estimates a dynamic, structural model of entry and exit for two US service industries: dentists and chiropractors. Entry costs faced by potential entrants, fixed costs faced by incumbent producers, and the toughness of short-run price competition are important determinants of long-run firm values, firm turnover, and market structure. In the dentist industry entry costs were subsidized in geographic markets designated as Health Professional Shortage Areas (HPSA) and the estimated mean entry cost is 11 percent lower in these markets. Using simulations, we find that entry cost subsidies are less expensive per additional firm than fixed cost subsidies. C1 [Dunne, Timothy] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Roberts, Mark J.] Penn State Univ, University Pk, PA 16802 USA. [Xu, Daniel Yi] Duke Univ, Durham, NC 27706 USA. RP Dunne, T (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM tim.dunne@atl.frb.org; shawn.d.klimek@census.gov; mroberts@psu.ed; daniel.xu@duke.edu NR 29 TC 9 Z9 9 U1 3 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0741-6261 EI 1756-2171 J9 RAND J ECON JI Rand J. Econ. PD SEP PY 2013 VL 44 IS 3 BP 462 EP 487 DI 10.1111/1756-2171.12027 PG 26 WC Economics SC Business & Economics GA 269CR UT WOS:000328218700004 ER PT J AU Bernanke, BS AF Bernanke, Ben S. TI A Century of US Central Banking: Goals, Frameworks, Accountability SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID MONEY SUPPLY RULE; MONETARY-POLICY; RATIONAL-EXPECTATIONS; MACROECONOMIC STABILITY; ECONOMIC-ACTIVITY; INFLATION; VOLATILITY; CONTRACTS; PRICES C1 Board Governors Fed Reserve Syst, Washington, DC USA. RP Bernanke, BS (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. NR 62 TC 5 Z9 5 U1 3 U2 18 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 EI 1944-7965 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2013 VL 27 IS 4 BP 3 EP 16 DI 10.1257/jep.27.4.3 PG 14 WC Economics SC Business & Economics GA 258HD UT WOS:000327449100001 ER PT J AU Boldrin, M Levine, DK AF Boldrin, Michele Levine, David K. TI Response from Michele Boldrin and David K. Levine SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Letter ID PROPERTY-RIGHTS C1 [Boldrin, Michele; Levine, David K.] Washington Univ, St Louis, MO 63130 USA. [Boldrin, Michele; Levine, David K.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Boldrin, M (reprint author), Washington Univ, St Louis, MO 63130 USA. NR 10 TC 0 Z9 0 U1 2 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 EI 1944-7965 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2013 VL 27 IS 4 BP 224 EP 225 PG 2 WC Economics SC Business & Economics GA 258HD UT WOS:000327449100013 ER PT J AU Klier, T Linn, J AF Klier, Thomas Linn, Joshua TI Fuel prices and new vehicle fuel economy-Comparing the United States and Western Europe SO JOURNAL OF ENVIRONMENTAL ECONOMICS AND MANAGEMENT LA English DT Article DE Passenger vehicle markets; Fuel taxes; Fuel prices; Fuel economy ID TAX INCIDENCE; GASOLINE; EFFICIENCY; INTENSITY; STANDARDS; DEMAND; SALES; CARS AB Several recent papers have documented an effect of fuel prices on new vehicle fuel economy in the United States. This paper estimates the effect of fuel prices on average new vehicle fuel economy for the eight largest European markets. The analysis spans the years 2002-2007 and uses detailed vehicle registration and specification data to control for policies, consumer preferences, and other potentially confounding factors. We find fuel prices to have a statistically significant effect on average new vehicle fuel economy in Europe. The effect estimated for Europe is much smaller than comparable estimates for the United States. (C) 2013 Elsevier Inc. All rights reserved. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL USA. [Linn, Joshua] Resources Future Inc, Washington, DC 20036 USA. RP Linn, J (reprint author), Resources Future Inc, 1616 P St NW, Washington, DC 20036 USA. EM Thomas.Klier@chi.frb.org; linn@rff.org NR 25 TC 7 Z9 7 U1 0 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0095-0696 EI 1096-0449 J9 J ENVIRON ECON MANAG JI J.Environ.Econ.Manage. PD SEP PY 2013 VL 66 IS 2 BP 280 EP 300 DI 10.1016/j.jeem.2013.03.003 PG 21 WC Business; Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA 250ML UT WOS:000326856800008 ER PT J AU Pallage, S Scruggs, L Zimmermann, C AF Pallage, Stephane Scruggs, Lyle Zimmermann, Christian TI Measuring Unemployment Insurance Generosity SO POLITICAL ANALYSIS LA English DT Article ID WELFARE-STATE RETRENCHMENT; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; SOCIETIES; VACANCIES; POLITICS AB Unemployment insurance policies are multidimensional objects, with variable waiting periods, eligibility duration, benefit levels, and asset tests, making intertemporal or international comparisons very difficult. Furthermore, labor market conditions, such as the likelihood and duration of unemployment, matter when assessing the generosity of different policies. In this article, we develop a new methodology to measure the generosity of unemployment insurance programs with a single metric. We build a first model with all characteristics of the complex unemployment insurance policy. Our model features heterogeneous agents that are liquidity constrained but can self-insure. We then build a second model, similar in all aspects but one: the unemployment insurance policy is one-dimensional (no waiting periods, eligibility limits, or asset tests, but constant benefits). We then determine which level of benefits in this second model makes society indifferent between both policies. We apply this measurement strategy to the unemployment insurance program of the United Kingdom. C1 [Pallage, Stephane] Univ Quebec, Dept Sci Econ ESG, Montreal, PQ H3C 3P8, Canada. [Scruggs, Lyle] Univ Connecticut, Dept Polit Sci, Storrs, CT 06269 USA. [Scruggs, Lyle] Russell Sage Fdn, Storrs, CT 06269 USA. [Zimmermann, Christian] Fed Reserve Bank St Louis, Econ Res Div, IZA, RCEA, St Louis, MO 63166 USA. [Zimmermann, Christian] CESifo, St Louis, MO 63166 USA. RP Pallage, S (reprint author), Univ Quebec, Dept Sci Econ ESG, POB 8888 Downtown Stn, Montreal, PQ H3C 3P8, Canada. EM pallage.stephane@uqam.ca; lyle.scruggs@uconn.edu; zimmermann@stlouisfed.org RI Zimmermann, Christian/I-5760-2016; OI Zimmermann, Christian/0000-0002-6398-1411; Pallage, Stephane/0000-0003-2650-5034 NR 40 TC 2 Z9 2 U1 0 U2 5 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1047-1987 EI 1476-4989 J9 POLIT ANAL JI Polit. Anal. PD FAL PY 2013 VL 21 IS 4 BP 524 EP 549 DI 10.1093/pan/mpt011 PG 26 WC Political Science SC Government & Law GA 236EB UT WOS:000325776100008 ER PT J AU Ashcraft, A Fernandez-Val, I Lang, K AF Ashcraft, Adam Fernandez-Val, Ivan Lang, Kevin TI THE CONSEQUENCES OF TEENAGE CHILDBEARING: CONSISTENT ESTIMATES WHEN ABORTION MAKES MISCARRIAGE NON-RANDOM SO ECONOMIC JOURNAL LA English DT Article ID LABOR-MARKET CONSEQUENCES; NATURAL EXPERIMENT; PREGNANCY; MOTHERHOOD; FERTILITY; COSTS AB Miscarriage, even if biologically random, is not socially random. Willingness to abort reduces miscarriage risk. Because abortions are favourably selected among pregnant teens, those miscarrying are less favourably selected than those giving birth or aborting but more favourably selected than those giving birth. Therefore, using miscarriage as an instrument is biased towards a benign view of teen motherhood, whereas ordinary least squares (OLS) on just those giving birth or miscarrying has the opposite bias. We derive a consistent estimator that reduces to a weighted average of OLS and IV when outcomes are independent of abortion timing. Estimated effects are generally adverse but modest. C1 Fed Reserve Bank New York, New York, NY USA. Boston Univ, Boston, MA 02215 USA. NBER, Cambridge, MA 02138 USA. RP Lang, K (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM lang@bu.edu RI Fernandez-Val, Ivan/G-3455-2016; lang, kai/K-8934-2015 OI lang, kai/0000-0003-2778-8478 FU NICHD NIH HHS [R03 HD056056] NR 38 TC 20 Z9 20 U1 1 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD SEP PY 2013 VL 123 IS 571 BP 875 EP 905 DI 10.1111/ecoj.12005 PG 31 WC Economics SC Business & Economics GA 226IG UT WOS:000325028200003 PM 24443589 ER PT J AU Uy, T Yi, KM Zhang, J AF Uy, Timothy Yi, Kei-Mu Zhang, Jing TI Structural change in an open economy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Structural transformation; International trade; Sectoral labor reallocation ID GROWTH; PRODUCTIVITY; TRADE; TRANSFORMATION AB We study the importance of international trade in structural change. Our framework has both productivity and trade cost shocks, and allows for non-unitary income and substitution elasticities. We calibrate our model to investigate South Korea's structural change between 1971 and 2005. We find that the shock processes, propagated through the model's two main transmission mechanisms, non-homothetic preferences and the open economy, explain virtually all of the evolution of agriculture and services labor shares, and the rising part of the hump-shape in manufacturing. Counterfactual exercises show that the role of the open economy is quantitatively important for explaining South Korea's structural change. (C) 2013 Elsevier B.V. All rights reserved. C1 [Uy, Timothy] Univ Minnesota, Minneapolis, MN 55455 USA. [Yi, Kei-Mu] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Zhang, Jing] Univ Michigan, Fed Reserve Bank Chicago, Ann Arbor, MI 48109 USA. RP Zhang, J (reprint author), Univ Michigan, Fed Reserve Bank Chicago, Ann Arbor, MI 48109 USA. EM uyxx0005@umn.edu; Kei-Mu.Yi@mpls.frb.org; jing.zhang@chifrb.org NR 41 TC 19 Z9 19 U1 1 U2 26 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2013 VL 60 IS 6 BP 667 EP 682 DI 10.1016/j.jmoneco.2013.06.002 PG 16 WC Business, Finance; Economics SC Business & Economics GA 228OK UT WOS:000325195900004 ER PT J AU Durdu, CB Nunes, R Sapriza, H AF Durdu, C. Bora Nunes, Ricardo Sapriza, Horacio TI News and sovereign default risk in small open economies SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Sovereign default risk; News shocks; Endogenous borrowing constraints ID MARKET BUSINESS CYCLES; INTEREST-RATES; EMERGING ECONOMIES; DEBT; FLUCTUATIONS; COUNTRIES; TREND AB This paper builds a unified model of sovereign debt, default risk, and news shocks. News shocks improve the quantitative performance of the sovereign default model in a number of empirically-relevant dimensions. First, with news shocks, not all defaults occur during downturns. Second, the news shocks help account for key differences between developing and more developed economies: as the precision of news improves, the model predicts lower variability of consumption, less countercyclical trade balance and interest rate spreads, as well as a higher level of debt in line with more developed economies. Third, the model captures the hump-shaped relationship between default rates and the precision of news obtained from the data. Finally, the news shocks have a nonmonotonic effect on welfare. Published by Elsevier B.V. C1 [Durdu, C. Bora; Nunes, Ricardo; Sapriza, Horacio] Fed Reserve Board, Washington, DC 20551 USA. RP Durdu, CB (reprint author), Fed Reserve Board, Res & Stat Div, 20 & C St NW, Washington, DC 20551 USA. EM Bora.Durdu@frb.gov; Ricardo.P.Nunes@frb.gov; Horacio.Sapriza@frb.gov RI nipe, cef/A-4218-2010 NR 38 TC 5 Z9 5 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2013 VL 91 IS 1 BP 1 EP 17 DI 10.1016/j.jinteco.2013.04.002 PG 17 WC Economics SC Business & Economics GA 222GT UT WOS:000324719900001 ER PT J AU Burkhauser, RV Daly, MC Lucking, BT AF Burkhauser, Richard V. Daly, Mary C. Lucking, Brian T. TI Is Australia One Recession Away from a Disability Blowout? Lessons from Other Organisation for Economic Co-operation and Development Countries SO AUSTRALIAN ECONOMIC REVIEW LA English DT Article AB A blowout in disability-based cash transfer programmes resulted in fundamental reforms over the last decade in several Organisation for Economic Co-operation and Development countries. Similar reforms are being proposed in the United States in the wake of its disability programme growth following the Global Financial Crisis. We compare trends in US and Australian disability receipt with those of the Netherlands and Sweden and argue that Australia's current Disability Support Pension programme is vulnerable to the same forces that caused unsustainable programme growth in these countries. Absent fundamental reforms focused on return to work over benefit receipt means that Australia could be one recession away from disability benefit blowout. C1 [Burkhauser, Richard V.] Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Melbourne, Vic 3010, Australia. [Burkhauser, Richard V.] Cornell Univ, Coll Human Ecol, Dept Policy Anal & Management, Ithaca, NY 14850 USA. [Daly, Mary C.; Lucking, Brian T.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Burkhauser, RV (reprint author), Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Melbourne, Vic 3010, Australia. EM rvb1@cornell.edu RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 19 TC 2 Z9 2 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0004-9018 J9 AUST ECON REV JI Aust. Econ. Rev. PD SEP PY 2013 VL 46 IS 3 BP 357 EP 368 DI 10.1111/j.1467-8462.2013.12030.x PG 12 WC Economics SC Business & Economics GA 209AD UT WOS:000323724200010 ER PT J AU Krainer, J Wilcox, JA AF Krainer, John Wilcox, James A. TI Evidence and Implications of Regime Shifts: Time-Varying Effects of the United States and Japanese Economies on House Prices in Hawaii SO REAL ESTATE ECONOMICS LA English DT Article AB We show that local house prices may be driven almost entirely by the demands of one identifiable group for several years and then by demands of another group at other times. We present evidence that house prices in Hawaii were subject to such regime shifts. Prices responded to demands associated with U.S. incomes and wealth for most years from 1975 through 2008. For about a decade starting in the middle of the 1980s, after the Japanese yen appreciated dramatically and Japanese housing and stock market wealth soared, however, house prices in Hawaii responded to Japanese incomes and wealth. Estimated models with these regime shifts outperformed conventional, constant-coefficient models. The regime-shifting model helps explain why, when and by how much the volatility and the elasticities of house prices in Hawaii with respect to the incomes and wealth of the United States and Japan varied over time. C1 [Krainer, John] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Wilcox, James A.] Univ Calif Berkeley, Haas Sch Business, Financial Inst, Berkeley, CA 94720 USA. RP Krainer, J (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM john.krainer@sf.frb.org; jwilcox@haas.berkeley.edu NR 10 TC 0 Z9 0 U1 0 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SEP PY 2013 VL 41 IS 3 BP 449 EP 480 DI 10.1111/reec.12009 PG 32 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 217AZ UT WOS:000324330200001 ER PT J AU de Groot, O AF de Groot, Oliver TI Computing the risky steady state of DSGE models SO ECONOMICS LETTERS LA English DT Article DE Risky steady state; DSGE models; Computation ID ASSET PRICING-MODELS AB This note describes a simple procedure for solving the risky steady state in medium-scale macroeconomic models. This is the "point where agents choose to stay at a given date if they expect future risk and if the realization of shocks is 0 at this date" [Coeurdacier, N., Rey, H., Winant, P., 2011. The risky steady state. The American Economic Review 101 (3), 398-401]. This new procedure is a direct method which makes use of a second-order approximation of the macroeconomic model around its deterministic steady state, thus avoiding the need to employ an iterative algorithm to solve a fixed-point problem. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP de Groot, O (reprint author), Fed Reserve Board Governors, Div Res & Stat, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM oliver.v.degroot@frb.gov NR 6 TC 4 Z9 4 U1 2 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD SEP PY 2013 VL 120 IS 3 BP 566 EP 569 DI 10.1016/j.econlet.2013.06.025 PG 4 WC Economics SC Business & Economics GA 212PE UT WOS:000323994500048 ER PT J AU Kiley, MT AF Kiley, Michael T. TI Output gaps SO JOURNAL OF MACROECONOMICS LA English DT Article DE Business cycles; Potential output ID OPTIMAL MONETARY-POLICY; TRANSITORY COMPONENTS; POTENTIAL OUTPUT; BUSINESS-CYCLE; DSGE MODEL; FLUCTUATIONS; CONSUMPTION; PERMANENT; GROWTH; TIME AB What is the output gap? I discuss three alternative definitions: the deviation of output from its long-run stochastic trend (i.e., the "Beveridge-Nelson cycle"); the deviation of output from the level consistent with current technologies and normal utilization of capital and labor input (i.e., the "production-function approach"); and the deviation of output from "flexible-price" output (i.e., its "natural rate"). Estimates of each concept are presented from a dynamic-stochastic-general-equilibrium (DSGE) model of the U.S. economy used at the Federal Reserve Board. Four points are emphasized: The DSGE model's estimate of the gap (for each definition) is very similar to gaps from policy institutions, but the model's estimate of potential growth has a higher variance and substantially different covariance with GDP growth; the change in the Beveridge-Nelson trend covaries negatively with the change in the gap in the DSGE model, providing a structural model estimate of a controversial parameter; in this model, estimates of the natural-rate concept are similar to those based on the Beveridge-Nelson and production function approaches; and the estimate of the output gap, irrespective of definition, is closely related to unemployment fluctuations. Published by Elsevier Inc. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Kiley, MT (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM mkiley@frb.gov OI Kiley, Michael/0000-0003-0427-0131 NR 38 TC 6 Z9 7 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0164-0704 EI 1873-152X J9 J MACROECON JI J. Macroecon. PD SEP PY 2013 VL 37 BP 1 EP 18 DI 10.1016/j.jmacro.2013.04.002 PG 18 WC Economics SC Business & Economics GA 210CN UT WOS:000323807000001 ER PT J AU Balasubramanyan, L VanHoose, DD AF Balasubramanyan, Lakshmi VanHoose, David D. TI Bank balance sheet dynamics under a regulatory liquidity-coverage-ratio constraint SO JOURNAL OF MACROECONOMICS LA English DT Article DE Liquidity-coverage-ratio; Intertemporal bank model; Balance sheet dynamics ID MONETARY-POLICY; PORTFOLIO SEPARATION AB The Basel III standards include a liquidity-coverage-ratio (LCR) constraint that creates an intertemporal link between contemporaneous bank balance-sheet choices and lagged deposits. Assessing the effects of an LCR constraint for banks' optimal deposit and loan choices requires an intertemporal framework. Our analysis of a dynamic banking model shows that imposing an LCR constraint generally has theoretically ambiguous effects on the stability of banks' optimal dynamic balance-sheet paths. Even in special cases, such as a situation in which regulators prohibit banks from applying securities to fulfill the LCR constraint or in which banks simultaneously confront risk-based capital regulation while facing rigidities in their equity capital positions, optimal bank deposit paths exhibit increased intertemporal persistence but become more responsive to shocks to market interest rates. (c) 2013 Elsevier Inc. All rights reserved. C1 [Balasubramanyan, Lakshmi] Fed Reserve Bank Cleveland, Cleveland, OH USA. [VanHoose, David D.] Baylor Univ, Hankamer Sch Business, Dept Econ, Waco, TX 76798 USA. RP Balasubramanyan, L (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. EM Lakshmi.Balasubramanyan@clev.frb.org; David_VanHoose@baylor.edu NR 15 TC 4 Z9 4 U1 5 U2 27 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD SEP PY 2013 VL 37 BP 53 EP 67 DI 10.1016/j.jmacro.2013.03.003 PG 15 WC Economics SC Business & Economics GA 210CN UT WOS:000323807000004 ER PT J AU Abdymomunov, A AF Abdymomunov, Azamat TI Predicting output using the entire yield curve SO JOURNAL OF MACROECONOMICS LA English DT Article DE Yield curve; Term spread; Nelson-Seigel model; Forecasting ID TERM STRUCTURE; ECONOMIC-ACTIVITY; INTEREST-RATES; UNITED-STATES; GROWTH; US; RECESSIONS; INFLATION; FORECASTS; VARIABLES AB Many papers find that the term spread of the term structure of government bond yields can predict future output growth. This paper extends that literature by exploiting information in the entire term structure of interest rates. I apply a dynamic version of the Nelson-Siegel yield curve model to jointly model real GDP growth and yield factors. I find that the dynamic yield curve model produces better out-of-sample forecasts of real GDP than those generated by the traditional term spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the term spread model. While I confirm the importance of the term spread as a predictor of future output, there is also a gain from using information in the curvature factor. (c) 2013 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Charlotte, NC 28202 USA. RP Abdymomunov, A (reprint author), Fed Reserve Bank Richmond, 530 East Trade St, Charlotte, NC 28202 USA. EM azamat.abdymomunov@rich.frb.org NR 32 TC 3 Z9 3 U1 2 U2 15 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD SEP PY 2013 VL 37 BP 333 EP 344 DI 10.1016/j.jmacro.2013.05.002 PG 12 WC Economics SC Business & Economics GA 210CN UT WOS:000323807000022 ER PT J AU Monticini, A Thornton, DL AF Monticini, Andrea Thornton, Daniel L. TI The effect of underreporting on LIBOR rates SO JOURNAL OF MACROECONOMICS LA English DT Article DE LIBOR rate; Default risk; Structural breaks ID MODELS AB On May 29, 2008, the Wall Street Journal reported that several large international banks were reporting unjustifiably low LIBOR rates. Since then two large banks, Barclays and UBS, have paid significant fines for manipulating their LIBOR rates, and additional banks are expected to be fined. This paper investigates whether the underreporting of LIBOR rates by some banks significantly affected the reported LIBOR rate by testing whether there was a significant change in the relationship between the LIBOR rate and another rate that reflects the default risk of banks. (c) 2013 Elsevier Inc. All rights reserved. C1 [Monticini, Andrea] Catholic Univ, I-20123 Milan, Italy. [Thornton, Daniel L.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Monticini, A (reprint author), Catholic Univ, Largo Gemelli 1, I-20123 Milan, Italy. EM andrea.monticini@gmail.it OI MONTICINI, Andrea/0000-0002-4439-0595 NR 7 TC 9 Z9 9 U1 1 U2 11 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD SEP PY 2013 VL 37 BP 345 EP 348 DI 10.1016/j.jmacro.2013.02.002 PG 4 WC Economics SC Business & Economics GA 210CN UT WOS:000323807000023 ER PT J AU Valletta, RG AF Valletta, Robert G. TI The Redistribution Recession SO SOCIAL SCIENCE JOURNAL LA English DT Book Review C1 [Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Valletta, RG (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM rob.valletta@sf.frb.org NR 1 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0362-3319 J9 SOC SCI J JI Soc. Sci. J. PD SEP PY 2013 VL 50 IS 3 BP 386 EP 387 DI 10.1016/j.soscij.2013.06.004 PG 2 WC Social Sciences, Interdisciplinary SC Social Sciences - Other Topics GA 204XI UT WOS:000323404200014 ER PT J AU Canas, J Coronado, R Gilmer, RW Saucedo, E AF Canas, Jesus Coronado, Roberto Gilmer, Robert W. Saucedo, Eduardo TI The Impact of the Maquiladora Industry on U.S. Border Cities SO GROWTH AND CHANGE LA English DT Article ID US-MEXICO BORDER; INTEGRATION; TECHNOLOGY; CHINA AB For decades, the maquiladora industry has been a major economic engine along the U.S.-Mexico border. Since the 1970s, researchers have analyzed how the maquiladora industry affects cities along both sides of the border. Hanson produced the first comprehensive study on the impact of the maquiladoras on U.S. border cities, considering the effects of in-bond plants on both employment and wages. His estimates became useful rules of thumb for the entire U.S.-Mexico border; however, they have become dated. Using Hanson's framework, we estimate the maquiladora industry impact on U.S. border cities from 1990 to 2006. We find that a 10 percent increase in maquiladora production leads to a 0.5 to 0.9 percent increase in employment. We also find large differences among individual border cities. Furthermore, we estimate the cross-border maquiladora impacts before and after 2001 when border security begins to rise, and the global low-wage competition intensified after China joined the World Trade Organization. Empirical results indicate that U.S. border cities are less responsive to growth in maquiladora production from 2001 to 2006 than in the earlier period; however, when looking into specific sectors, we find that U.S. border city employment in service sectors is more responsive post-2001. C1 [Canas, Jesus; Coronado, Roberto] Fed Reserve Bank Dallas, El Paso, TX USA. [Gilmer, Robert W.] Univ Houston, Bauer Coll Business, Inst Reg Forecasting, Houston, TX USA. [Saucedo, Eduardo] Univ Texas Pan Amer, Dept Econ & Finance, Edinburg, TX 78541 USA. RP Canas, J (reprint author), Fed Reserve Bank Dallas, El Paso, TX USA. EM jesus.canas@dal.frb.org; roberto.coronado@dal.frb.org; bill.gilmer@dal.frb.org; eduardo2@nmsu.edu RI Saucedo, Eduardo/B-2244-2015 NR 41 TC 1 Z9 1 U1 1 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0017-4815 J9 GROWTH CHANGE JI Growth Change PD SEP PY 2013 VL 44 IS 3 BP 415 EP 442 DI 10.1111/grow.12014 PG 28 WC Planning & Development SC Public Administration GA 204OH UT WOS:000323376500002 ER PT J AU Koech, J Wynne, MA AF Koech, Janet Wynne, Mark A. TI Core Import Price Inflation in the United States SO OPEN ECONOMIES REVIEW LA English DT Article DE Inflation forecasting; Trimmed mean inflation; Limited influence estimators; Core import prices; Core inflation AB The cross-section distribution of U.S. import prices exhibits some of the fat-tailed characteristics that are well documented for the cross-section distribution of U.S. consumer prices. This suggests that limited-influence estimators of core import price inflation might outperform headline or traditional measures of core import price inflation. We examine whether limited influence estimators of core import price inflation help forecast overall import price inflation. They do not. However, limited influence estimators of core import price inflation do seem to have some predictive power for headline consumer price inflation in the medium term. C1 [Koech, Janet; Wynne, Mark A.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Koech, J (reprint author), Fed Reserve Bank Dallas, Res Dept, 2201 North Pearl St, Dallas, TX 75201 USA. EM janet.koech@dal.frb.org; mark.a.wynne@dal.frb.org NR 13 TC 1 Z9 1 U1 0 U2 2 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 J9 OPEN ECON REV JI Open Econ. Rev. PD SEP PY 2013 VL 24 IS 4 BP 717 EP 730 DI 10.1007/s11079-012-9264-2 PG 14 WC Economics SC Business & Economics GA 195YY UT WOS:000322741100007 ER PT J AU Boshara, R AF Boshara, Ray TI Restoring Household Financial Stability after the Great Recession: Why Household Balance Sheets Matter Introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, Ctr Household Financial Stabil, St Louis, MO 63102 USA. RP Boshara, R (reprint author), Fed Reserve Bank St Louis, Ctr Household Financial Stabil, St Louis, MO 63102 USA. NR 0 TC 0 Z9 0 U1 0 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2013 VL 95 IS 5 BP III EP IV PG 2 WC Business, Finance; Economics SC Business & Economics GA AQ8GE UT WOS:000343061500001 ER PT J AU Emmons, WR Noeth, BJ AF Emmons, William R. Noeth, Bryan J. TI Economic Vulnerability and Financial Fragility SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID WEALTH; RISK AB Unfortunately, many families with the greatest exposure to the economic dislocations of the recent recession also had very risky balance sheets beforehand that were characterized by low levels of liquid assets, high portfolio concentrations in housing, and relatively high balance-sheet leverage. The authors argue that economic vulnerability and risky balance sheets are correlated because they derive from common factors. These factors include a low stock of human capital, inexperience (relative youth), and, in some cases, the legacy of discrimination in housing, education, and employment. Innate cognitive ability interacts with formal education and on-the-job experience to build human capital, while the legacy of discrimination may attenuate the translation of cognitive ability and education into human capital. Acquiring financial knowledge of risk management also requires time and experience and is more valuable to those with high levels of human capital and savings available to invest. Given the combination of these factors, individuals and families who are young, less cognitively able, and/or members of historically disadvantaged minorities are more likely to be economically vulnerable and to hold risky balance sheets because they lack financial knowledge and experience. Moreover, balance sheets of economically vulnerable families before the recent recession were especially risky after a decade of financial liberalization and innovation that increased the access of such families to homeownership and historically high leverage. Economically vulnerable families should avoid "doubling down" with risky balance sheets to enhance their future household financial stability. C1 [Emmons, William R.; Noeth, Bryan J.] Fed Reserve Bank, St Louis, MO 63102 USA. RP Emmons, WR (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. FU Federal Reserve Bank of St. Louis; Washington University in St. Louis FX William R. Emmons is an assistant vice president and Bryan J. Noeth is a policy analyst at the Federal Reserve Bank of St. Louis. This paper was prepared for presentation at the symposium,"Restoring Household Financial Stability after the Great Recession: Why Household Balance Sheets Matter,"sponsored by the Federal Reserve Bank of St. Louis and Washington University in St. Louis, February 5-7, 2013. NR 15 TC 1 Z9 1 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2013 VL 95 IS 5 BP 361 EP 388 PG 28 WC Business, Finance; Economics SC Business & Economics GA AQ8GE UT WOS:000343061500003 ER PT J AU Craig, B Dinger, V AF Craig, Ben R. Dinger, Valeriya TI Deposit market competition, wholesale funding, and bank risk SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bank competition; Wholesale funding; Bank risk; Deposit rates ID FINANCIAL STABILITY; DISCIPLINE; BEHAVIOR; INDUSTRY; REDUCE; TESTS; POWER AB Empirical research on the effect of bank competition on bank risk has so far produced very inconclusive results. In this paper we revisit this long-standing debate and propose a new empirical approach that is concentrated on the relationship between deposit market competition and bank risk. This approach closely follows the traditional theoretical views of the competition and risk relationship and is focused on testing the classical moral hazard problem of the bank: deposit market competition raises the optimal risk choice of the bank by raising the costs of bank liabilities. Since banks can substitute between retail and wholesale funding, we relate deposit market competition to wholesale market conditions and examine their joint effect on the risk of bank assets. The analysis is based on a unique, comprehensive dataset, which combines retail deposit rate data with data on bank characteristics and data on local deposit market features for a sample of 589 US banks. Our results support the notion of a risk-enhancing effect of deposit market competition. (C) 2013 Elsevier B.V. All rights reserved. C1 [Craig, Ben R.] Fed Reserve Bank Cleveland, D-60431 Frankfurt, Germany. [Craig, Ben R.] Deutsch Bundesbank, D-60431 Frankfurt, Germany. [Dinger, Valeriya] Univ Osnabruck, D-49069 Osnabruck, Germany. [Dinger, Valeriya] Univ Leeds, Sch Business, D-49069 Osnabruck, Germany. RP Craig, B (reprint author), Fed Reserve Bank Cleveland, Wilhelm Epstein Str 14, D-60431 Frankfurt, Germany. EM ben.craig@bundesbank.de; valeriya.dinger@uni-osnabrueck.de NR 53 TC 6 Z9 6 U1 4 U2 29 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2013 VL 37 IS 9 BP 3605 EP 3622 DI 10.1016/j.jbankfin.2013.05.010 PG 18 WC Business, Finance; Economics SC Business & Economics GA 191QV UT WOS:000322428600022 ER PT J AU Warusawitharana, M AF Warusawitharana, Missaka TI The expected real return to equity SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Production-based asset pricing; Time-varying expected returns; Simulated method of moments; Aggregate earnings ID STOCK RETURNS; OPTIMAL INVESTMENT; ASSET PRICES; PREMIUM; RISK; FORECASTS; MARKET; CONSTRAINTS; EARNINGS; ECONOMY AB The expected return to equity - typically measured as a historical average - is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much lower than historical averages. This study extends the present-value approach to a dynamic optimizing framework. Given a model that captures this relationship, one can use data on dividends, earnings and valuations to infer the model-implied expected return. Using this method, the estimated expected real return to equity ranges from 4.9% to 5.6%. Furthermore, the analysis indicates that expected returns have declined by about 3 percentage points over the past 40 years. These results indicate that future returns to equity may be lower than past realized returns. Published by Elsevier B.V. C1 Fed Reserve Syst, Div Res & Stat, Board Governors, Washington, DC 20551 USA. RP Warusawitharana, M (reprint author), Fed Reserve Syst, Div Res & Stat, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM m1mnw00@frb.gov NR 49 TC 1 Z9 1 U1 1 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD SEP PY 2013 VL 37 IS 9 BP 1929 EP 1946 DI 10.1016/j.jedc.2013.04.003 PG 18 WC Economics SC Business & Economics GA 186NX UT WOS:000322052400012 ER PT J AU Jensen, MJ Maheu, JM AF Jensen, Mark J. Maheu, John M. TI Bayesian semiparametric multivariate GARCH modeling SO JOURNAL OF ECONOMETRICS LA English DT Article ID SCORING RULES; DIRICHLET; INFERENCE AB This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters into each of the components of this mixture. We discuss conjugate methods that allow for scale mixtures and nonconjugate methods which provide mixing over both the location and scale of the normal components. MCMC methods are introduced for posterior simulation and computation of the predictive density. Bayes factors and density forecasts with comparisons to GARCH models with Student-t innovations demonstrate the gains from our flexible modeling approach. (C) 2013 Elsevier B.V. All rights reserved. C1 [Jensen, Mark J.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Maheu, John M.] McMaster Univ, DeGroote Sch Business, Hamilton, ON, Canada. RP Maheu, JM (reprint author), McMaster Univ, DeGroote Sch Business, Hamilton, ON, Canada. EM Mark.Jensen@atl.frb.org; maheujm@mcmaster.ca FU SSHRC FX We are grateful to the editor Jianqing Fan and an anonymous referee for many constructive comments. We thank Anatoliy Belaygorod, Sid Chib, James MacKinnon, Bill McCausland, and Benoit Perron for helpful comments and suggestions, and for comments from both the conference participants of the European Seminar on Bayesian Econometrics 2011, CFE'11, the Seminar on Bayesian Inference in Econometrics and Statistics 2012 and the Symposium on Nonlinear Dynamics and Econometrics 2011 and the seminar participants at the University of Montreal and Queen's University. The views expressed here are ours and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Maheu is grateful to the SSHRC for financial support. NR 36 TC 8 Z9 8 U1 1 U2 20 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD SEP PY 2013 VL 176 IS 1 BP 3 EP 17 DI 10.1016/j.jeconom.2013.03.009 PG 15 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 173QA UT WOS:000321092800002 ER PT J AU Paciorek, A AF Paciorek, Andrew TI Supply constraints and housing market dynamics SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Housing supply; Regulation; House prices; Volatility; Supply lags ID CONSTRUCTION; PRICES; FUNDAMENTALS; BUBBLES; GROWTH; MODELS AB Although the volatility of house prices is often ascribed to demand-side factors, constraints on housing supply have important and little-studied implications for housing dynamics. I illustrate the strong relationship between the volatility of house prices and the regulation of new housing supply. I then employ a dynamic structural model of housing investment to investigate the mechanisms underlying this relationship. I find that supply constraints increase volatility through two channels: First, regulation lowers the elasticity of new housing supply by increasing lags in the permit process and adding to the cost of supplying new houses on the margin. Second, geographic limitations on the area available for building houses, such as steep slopes and water bodies, lead to less investment on average relative to the size of the existing housing stock, leaving less scope for the supply response to attenuate the effects of a demand shock. My estimates and simulations confirm that regulation and geographic constraints play critical and complementary roles in decreasing the responsiveness of investment to demand shocks, which in turn amplifies house price volatility. (C) 2013 Published by Elsevier Inc. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Paciorek, A (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM andrew.d.paciorek@frb.gov NR 40 TC 9 Z9 9 U1 1 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2013 VL 77 BP 11 EP 26 DI 10.1016/j.jue.2013.04.001 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 173ID UT WOS:000321071700002 ER PT J AU Curcuru, SE Thomas, CP Warnock, FE AF Curcuru, Stephanie E. Thomas, Charles P. Warnock, Francis E. TI On returns differentials SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Review DE Returns differentials; Exorbitant privilege; Income puzzle ID CURRENT ACCOUNT; IMBALANCES AB Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class decomposition into yields and capital gains, the Gourinchas and Rey (2007a) composition and return effects, and further decompositions of capital gains that focus on exchange rate effects. While each decomposition informs thinking about returns differentials, one constant is evident throughout: to date the existing differential favoring the U.S. has owed primarily to one factor, a differential in direct investment yields. We discuss how our analysis informs the income puzzle (of positive net income flows to the U.S. even as its net international investment position is negative and substantial) and the position puzzle (of a sizeable gap between the reported U.S. net international position and cumulated current account deficits), provide an initial assessment of the literature on the dynamics of returns differentials, and present a framework to guide a forward-looking view of how returns differentials might evolve in the future. (C) 2013 Elsevier Ltd. All rights reserved. C1 [Warnock, Francis E.] Univ Virginia, Darden Grad Sch Business, Charlottesville, VA 22903 USA. [Warnock, Francis E.] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin, Ireland. [Warnock, Francis E.] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Warnock, FE (reprint author), Univ Virginia, Darden Grad Sch Business, Charlottesville, VA 22903 USA. EM few9t@virginia.edu NR 39 TC 9 Z9 9 U1 1 U2 5 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD SEP PY 2013 VL 36 BP 1 EP 25 DI 10.1016/j.jimonfin.2013.02.002 PG 25 WC Business, Finance SC Business & Economics GA 165MC UT WOS:000320487000001 ER PT J AU Calem, P Covas, F Wu, J AF Calem, Paul Covas, Francisco Wu, Jason TI The Impact of the 2007 Liquidity Shock on Bank Jumbo Mortgage Lending SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; G28; securitization; jumbo lending; capital requirements; financial crisis ID SECURITIZATION; CRISIS; CRUNCH AB This paper explores the consequences of the collapse of the private-label residential mortgage-backed securities market in 2007 on banks' originations of jumbo mortgages. We show that jumbo lending declined by more at banks that were more dependent on this market and were less well capitalized. In contrast, banks that had little dependence on this market and were well capitalized increased jumbo originations. These findings highlight how dependence on the secondary market may cause amplification of financial shocks, and the potential value of capital requirements that are higher during periods of economic growth in mitigating the amplification effects. C1 [Calem, Paul] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Covas, Francisco; Wu, Jason] Fed Reserve Board, Div Monetary Affairs, Washington, DC USA. RP Calem, P (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM Paul.Calem@phil.frb.org; Francisco.B.Covas@frb.gov; Jason.J.Wu@frb.gov RI nipe, cef/A-4218-2010 NR 19 TC 3 Z9 3 U1 0 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2013 VL 45 SU 1 BP 59 EP 91 DI 10.1111/jmcb.12037 PG 33 WC Business, Finance; Economics SC Business & Economics GA AE9FI UT WOS:000334310600004 ER PT J AU Cohen, A Manuszak, MD AF Cohen, Andrew Manuszak, Mark D. TI Ratings Competition in the CMBS Market SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; G24; credit rating agencies; commercial mortgage-backed securities; structured finance ID CREDIT RATINGS; AGENCIES AB We consider the relationship between competition among credit rating agencies and the ratings of commercial mortgage-backed securities (CMBS) using data from 2002 to 2007. We characterize competition using Fitch's aggregate share of CMBS ratings and a measure of Fitch's deal-specific market share constructed as the probability of Fitch being hired for a specific transaction. Controlling for deal characteristics, we find that subordination levels were lower when Fitch's aggregate and deal-specific market shares were higher, which suggests that ratings competition yielded less stringent ratings when Fitch was a more significant competitor, although this effect dissipates when Fitch's market shares were high. C1 [Cohen, Andrew; Manuszak, Mark D.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Cohen, A (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM andrew.m.cohen@frb.gov; mark.d.manuszak@frb.gov NR 22 TC 1 Z9 1 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2013 VL 45 SU 1 BP 93 EP 119 DI 10.1111/jmcb.12040 PG 27 WC Business, Finance; Economics SC Business & Economics GA AE9FI UT WOS:000334310600005 ER PT J AU Liang, N AF Liang, Nellie TI Systemic Risk Monitoring and Financial Stability SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E58; G01; G23; G28; systemic risk; financial stability ID CRISIS AB This discussion briefly outlines key elements of a systemic risk monitor to help identify risks to financial stability. The monitor distinguishes shocks, which are varied and difficult to predict, from vulnerabilities, which can amplify shocks and lead to instability. Better data and models of amplification channels, and better communication among different authorities, are needed to be effective. C1 Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. RP Liang, N (reprint author), Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. EM Jnellie.liang@frb.gov NR 15 TC 3 Z9 3 U1 0 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2013 VL 45 SU 1 BP 129 EP 135 DI 10.1111/jmcb.12039 PG 7 WC Business, Finance; Economics SC Business & Economics GA AE9FI UT WOS:000334310600007 ER PT J AU Neuhierl, A Scherbina, A Schlusche, B AF Neuhierl, Andreas Scherbina, Anna Schlusche, Bernd TI Market Reaction to Corporate Press Releases SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID STOCK-PRICE REACTION; TRADING VOLUME; DIVIDEND ANNOUNCEMENTS; INFORMATION-CONTENT; ASYMMETRIC INFORMATION; EARNINGS ANNOUNCEMENTS; INVESTMENT DECISIONS; SHAREHOLDER WEALTH; TENDER OFFERS; RETURNS AB We classify a unique and comprehensive data set of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate strategy, customers and partners, products and services, management changes, and legal developments. Consistent with regulators' expectations, the level of informational asymmetry in the market declines following most types of press releases. At the same time, return volatility frequently increases in the post-announcement period, which we show can be attributed to higher levels of valuation uncertainty. C1 [Neuhierl, Andreas] Northwestern Univ, Kellogg Grad Sch Management, Evanston, IL 60208 USA. [Scherbina, Anna] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA. [Schlusche, Bernd] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Neuhierl, A (reprint author), Northwestern Univ, Kellogg Grad Sch Management, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM a-neuhierl@kellogg.northwestern.edu; ascherbina@ucdavis.edu; bernd.schlusche@frb.gov NR 77 TC 8 Z9 8 U1 5 U2 21 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD AUG PY 2013 VL 48 IS 4 BP 1207 EP 1240 DI 10.1017/S002210901300046X PG 34 WC Business, Finance; Economics SC Business & Economics GA 300KL UT WOS:000330462700008 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Editorial Material C1 [Veltri, Stephen C.] Ohio No Univ, Claude W Pettit Coll Law, Ada, OH USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY USA. RP Veltri, SC (reprint author), Ohio No Univ, Claude W Pettit Coll Law, Ada, OH USA. NR 49 TC 3 Z9 3 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 EI 2164-1838 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2013 VL 68 IS 4 BP 1203 EP 1226 PG 24 WC Law SC Government & Law GA 238MU UT WOS:000325952700013 ER PT J AU Levchenko, AA Zhang, J AF Levchenko, Andrei A. Zhang, Jing TI The Global Labor Market Impact of Emerging Giants: A Quantitative Assessment SO IMF ECONOMIC REVIEW LA English DT Article ID INTERNATIONAL-TRADE; COMPARATIVE ADVANTAGE; INCOME DIFFERENCES; COUNTRIES; INDUSTRIES; TARIFFS; GOODS; MODEL; EU AB This paper investigates both aggregate and distributional impacts of the trade integration of China, India, and Central and Eastern Europe in a quantitative multicountry multisector model, comparing outcomes with and without factor market frictions. Under perfect within-country factor mobility, the gains to the rest of the world from trade integration of emerging giants are 0.37 percent, ranging from -0.37 percent for Honduras to 2.28 percent for Sri Lanka. Reallocation of factors across sectors contributes relatively little to the aggregate gains, but has large distributional effects. The aggregate gains to the rest of the world are only 0.065 percentage points lower when neither capital nor labor can move across sectors within a country. On the other hand, the distributional effects of the emerging giants' trade integration are an order of magnitude larger, with changes in real factor returns ranging from -5 percent to 5 percent across sectors in most countries. The workers and capital owners in emerging giants' comparative advantage sectors such as Textiles and Wearing Apparel experience greatest losses, whereas factor owners in Printing and Medical, Precision and Optical Instruments normally gain the most. C1 [Levchenko, Andrei A.] Univ Michigan, Ann Arbor, MI 48109 USA. [Zhang, Jing] Fed Reserve Bank Chicago, Chicago, IL USA. RP Levchenko, AA (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. OI Levchenko, Andrei A/0000-0001-9087-7911 NR 55 TC 0 Z9 0 U1 1 U2 14 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD AUG PY 2013 VL 61 IS 3 BP 479 EP 519 DI 10.1057/imfer.2013.16 PG 41 WC Business, Finance; Economics SC Business & Economics GA 227ZY UT WOS:000325155600004 ER PT J AU Kriger, N AF Kriger, Norma TI Review Essay: Human Rights and the Zimbabwe Land Debate SO AFRICAN STUDIES LA English DT Review C1 [Kriger, Norma] Lib Congress, Fed Res Div, Washington, DC 20540 USA. [Kriger, Norma] Univ Johannesburg, Dept Anthropol & Dev Studies, Johannesburg, South Africa. RP Kriger, N (reprint author), Lib Congress, Fed Res Div, Washington, DC 20540 USA. EM njkriger@gmail.com NR 5 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0002-0184 J9 AFR STUD-UK JI Afr. Stud. PD AUG 1 PY 2013 VL 72 IS 2 BP 176 EP 191 DI 10.1080/00020184.2013.812885 PG 16 WC Area Studies SC Area Studies GA 212RW UT WOS:000324001500002 ER PT J AU Spiegel, MM AF Spiegel, Mark M. TI INTRODUCTION: ASIAN BUSINESS CYCLE SYNCHRONIZATION WITH THE GLOBAL ECONOMY SO PACIFIC ECONOMIC REVIEW LA English DT Editorial Material C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 2 TC 1 Z9 1 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2013 VL 18 IS 3 BP 318 EP 320 DI 10.1111/1468-0106.12027 PG 3 WC Economics SC Business & Economics GA 193WQ UT WOS:000322592600002 ER PT J AU Leduc, S Spiegel, MM AF Leduc, Sylvain Spiegel, Mark M. TI IS ASIA DECOUPLING FROM THE UNITED STATES (AGAIN)? SO PACIFIC ECONOMIC REVIEW LA English DT Article ID WORLD BUSINESS CYCLES; INTEGRATION; TRADE; SYNCHRONIZATION AB The recovery from the recent global financial crisis exhibited a decline in the synchronization of Asian output with the rest of the world. However, a simple model based on output gaps demonstrates that the decline in business cycle synchronization during the recovery from the global financial crisis was exceptionally steep by historical standards. We posit two potential reasons for this exceptionally steep decline. First, financial markets during this recovery improved from particularly distressed conditions relative to previous downturns. Second, monetary policy during the recovery from the crisis was constrained in developed economies by the zero bound, but less so in Asia. To test these potential explanations, we examine the implications of an increase in corporate bond spreads similar to that which took place during the recent European financial crisis in a three-region open-economy dynamic stochastic general equilibrium model. Our results confirm that global business cycle synchronization is reduced when zero-bound constraints across the world differ. However, we find that the impact of reduced financial contagion actually goes modestly against our predictions. C1 [Leduc, Sylvain; Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Leduc, S (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS-1130, San Francisco, CA 94105 USA. EM sylvain.leduc@sf.frb.org NR 28 TC 2 Z9 2 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2013 VL 18 IS 3 BP 345 EP 369 DI 10.1111/1468-0106.12029 PG 25 WC Economics SC Business & Economics GA 193WQ UT WOS:000322592600004 ER PT J AU Butcher, KF Kearns, C McEwan, PJ AF Butcher, Kristin F. Kearns, Caitlin McEwan, Patrick J. TI Giving Till it Helps? Alumnae Giving and Children's College Options SO RESEARCH IN HIGHER EDUCATION LA English DT Article DE Alumni giving; Selective admissions; Altruism; Women's college ID WARM-GLOW; EARNINGS; UNIVERSITIES; ECONOMICS; EDUCATION; DONATIONS; ALTRUISM; STUDENTS; QUALITY AB This paper examines whether donations to colleges and universities are partly motivated by the desire of alumni to increase their children's admissions probabilities. The paper uses data from a single-sex college, so that only alums with a daughter would evince this motive. We find that alums with a teenage daughter, as opposed to a teenage son, are more likely to make donations of at least $5,000. The same relationship is not evident for smaller donations, or when children are older than 18. Further, we find evidence that this difference in the probability of a donation by alums with teenage daughters and teenage sons does not exist when acceptance rates are higher in an earlier period. C1 [Butcher, Kristin F.] Wellesley Coll, Wellesley, MA 02481 USA. [Butcher, Kristin F.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Kearns, Caitlin] Fed Reserve Bank Chicago, Cambridge, MA USA. [McEwan, Patrick J.] Wellesley Coll, Dept Econ, Wellesley, MA 02481 USA. RP McEwan, PJ (reprint author), Wellesley Coll, Dept Econ, 106 Cent St, Wellesley, MA 02481 USA. EM pmcewan@wellesley.edu RI McEwan, Patrick/G-4547-2012 NR 30 TC 0 Z9 0 U1 0 U2 10 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0361-0365 J9 RES HIGH EDUC JI Res. High. Educ. PD AUG PY 2013 VL 54 IS 5 BP 499 EP 513 DI 10.1007/s11162-013-9284-9 PG 15 WC Education & Educational Research SC Education & Educational Research GA 190LB UT WOS:000322340400002 ER PT J AU Armantier, O Treich, N AF Armantier, Olivier Treich, Nicolas TI Eliciting beliefs: Proper scoring rules, incentives, stakes and hedging SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Belief elicitation; Scoring rules; Experimental economics ID PUBLIC-GOODS EXPERIMENTS; SUBJECTIVE PROBABILITIES; PERSONAL PROBABILITIES; RISK-AVERSION; ELICITATION; INFORMATION; PREDICTION; MARKETS; GAMES; EXPECTATIONS AB Proper Scoring Rules (PSRs) are popular incentivized mechanisms to elicit an agent's beliefs. This paper combines theory and experiment to characterize how PSRs bias reported beliefs when (i) the PSR payments are increased, (ii) the agent has a financial stake in the event she is predicting, and (iii) the agent can hedge her prediction by taking an additional action. In contrast with previous literature, the PSR biases are characterized for all PSRs and all risk averse agents. Our results reveal complex distortions of reported beliefs, thereby raising concerns about the ability of PSRs to recover truthful beliefs in general decision-making environments. (C) 2013 Elsevier B.V. All rights reserved. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Treich, Nicolas] INRA, Toulouse Sch Econ LERNA, Toulouse, France. RP Armantier, O (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM olast1@gmail.com NR 51 TC 21 Z9 21 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD AUG PY 2013 VL 62 BP 17 EP 40 DI 10.1016/j.euroecorev.2013.03.008 PG 24 WC Economics SC Business & Economics GA 187CA UT WOS:000322093200002 ER PT J AU Landry, A AF Landry, Anthony TI Borders and Big Macs SO ECONOMICS LETTERS LA English DT Article DE Border frictions; Price dispersion; Real exchange rates ID COSTS AB I provide new estimates of border frictions for 14 countries using local, national, and international Big Mac prices. I find that borders generally introduce only small price wedges, far smaller than those observed across New York City neighboring locations. (C) 2013 Elsevier B.V. All rights reserved. C1 [Landry, Anthony] Fed Reserve Bank Dallas, Dallas, TX USA. [Landry, Anthony] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Landry, A (reprint author), Univ Penn, Dept Finance, Wharton Sch, 2300 Steinberg Dietrich Hall,3620 Locust Walk, Philadelphia, PA 19104 USA. EM alandry@wharton.upenn.edu NR 7 TC 1 Z9 1 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD AUG PY 2013 VL 120 IS 2 BP 318 EP 322 DI 10.1016/j.econlet.2013.04.045 PG 5 WC Economics SC Business & Economics GA 180OL UT WOS:000321604400045 ER PT J AU Airaudo, M Cardani, R Lansing, KJ AF Airaudo, Marco Cardani, Roberta Lansing, Kevin J. TI Monetary policy and asset prices with belief-driven fluctuations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Equilibrium determinacy; Asset prices; Cost channel; Monetary policy; Heterogeneous agents ID RATE PASS-THROUGH; BUSINESS-CYCLE; COST-CHANNEL; FINANCIAL ACCELERATOR; RATIONAL-EXPECTATIONS; KEYNESIAN MODEL; AGENCY COSTS; NET WORTH; RULES; INDETERMINACY AB We present a heterogeneous agents New-Keynesian model subject to a cost channel of monetary policy transmission. Constant turnover between long-time traders and newcomers in market activities, combined with restricted trading opportunities, introduces a feedback from the stock market to real activity, making stock prices non-redundant for the business cycle. We show that strict inflation targeting can lead to equilibrium indeterminacy, even if the policy rule satisfies the Taylor principle. A belief-driven shock to stock price generates relative volatilities of key financial variables which are very close to what is observed in U.S. data. This result hints to the possibility that the financial instability witnessed since the mid-to-late 1990s was the result of waves of (rational) exuberance and pessimism in financial markets. Our analysis suggests that a mild response to stock prices in the central bank's policy rule can restore equilibrium determinacy and therefore rule out non-fundamental volatility. (C) 2013 Elsevier B.V. All rights reserved. C1 [Airaudo, Marco] Drexel Univ, Dept Econ, LeBow Coll Business, Philadelphia, PA 19146 USA. [Cardani, Roberta] Univ Parma, I-43100 Parma, Italy. [Lansing, Kevin J.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Lansing, Kevin J.] PPO FA, Norges Bank, Res Dept, N-0107 Oslo, Norway. RP Airaudo, M (reprint author), Drexel Univ, Dept Econ, LeBow Coll Business, Philadelphia, PA 19146 USA. EM ma639@drexel.edu; robertacardan@unipr.it; Kevin.J.Lansing@sf.frb.org OI CARDANI, ROBERTA/0000-0001-8892-5670 NR 86 TC 2 Z9 2 U1 1 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2013 VL 37 IS 8 SI SI BP 1453 EP 1478 DI 10.1016/j.jedc.2013.03.002 PG 26 WC Economics SC Business & Economics GA 177VJ UT WOS:000321403200004 ER PT J AU Foley-Fisher, N Guimaraes, B AF Foley-Fisher, Nathan Guimaraes, Bernardo TI US Real Interest Rates and Default Risk in Emerging Economies SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE F34; G15; real interest rates; default risk; sovereign debt; identification through heteroskedasticity ID MONETARY-POLICY; SOVEREIGN; SPREADS; IMPACT AB This paper empirically investigates the impact of changes in U.S. real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in U.S. interest rates starkly raise default risk in emerging market economies. However, the overall correlation between U.S. real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship. C1 [Foley-Fisher, Nathan] Fed Reserve Board, Int Finance Div, Washington, DC USA. [Guimaraes, Bernardo] Sao Paulo Sch Econ FGV, Sao Paulo, Brazil. RP Foley-Fisher, N (reprint author), Fed Reserve Board, Int Finance Div, Washington, DC USA. EM nathan.c.foley-fisher@frb.gov; bernardo.guimaraes@fgv.br NR 11 TC 1 Z9 1 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2013 VL 45 IS 5 BP 967 EP 975 DI 10.1111/jmcb.12033 PG 9 WC Business, Finance; Economics SC Business & Economics GA 180VW UT WOS:000321628000010 ER PT J AU Fuentes-Albero, C Melosi, L AF Fuentes-Albero, Cristina Melosi, Leonardo TI Methods for computing marginal data densities from the Gibbs output SO JOURNAL OF ECONOMETRICS LA English DT Article DE Marginal likelihood; Gibbs sampler; Time series econometrics; Bayesian econometrics; Reciprocal importance sampling ID STRUCTURAL VECTOR AUTOREGRESSIONS; STATE-SPACE MODELS; MONETARY-POLICY; MONTE-CARLO; INTEGRATION; PRIORS AB We introduce two estimators for estimating the Marginal Data Density (MDD) from the Gibbs output. Our methods are based on exploiting the analytical tractability condition, which requires that some parameter blocks can be analytically integrated out from the conditional posterior densities. This condition is satisfied by several widely used time series models. An empirical application to six-variate VAR models shows that the bias of a fully computational estimator is sufficiently large to distort the implied model rankings. One of the estimators is fast enough to make multiple computations of MDDs in densely parameterized models feasible. (C) 2013 Elsevier B.V. All rights reserved. C1 [Fuentes-Albero, Cristina] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. [Melosi, Leonardo] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Fuentes-Albero, C (reprint author), Rutgers State Univ, Dept Econ, 75 Hamilton St, New Brunswick, NJ 08901 USA. EM cfuentes@econ.rutgers.edu; lmelosi@frbchi.org NR 35 TC 2 Z9 2 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD AUG PY 2013 VL 175 IS 2 BP 132 EP 141 DI 10.1016/j.jeconom.2013.03.002 PG 10 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 155XX UT WOS:000319784800006 ER PT J AU Gerardi, K Goette, L Meier, S AF Gerardi, Kristopher Goette, Lorenz Meier, Stephan TI Numerical ability predicts mortgage default SO PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA LA English DT Article DE foreclosure; consumer finance; subprime loans; limited rationality ID FINANCE AB Unprecedented levels of US subprime mortgage defaults precipitated a severe global financial crisis in late 2008, plunging much of the industrialized world into a deep recession. However, the fundamental reasons for why US mortgages defaulted at such spectacular rates remain largely unknown. This paper presents empirical evidence showing that the ability to perform basic mathematical calculations is negatively associated with the propensity to default on one's mortgage. We measure several aspects of financial literacy and cognitive ability in a survey of subprime mortgage borrowers who took out loans in 2006 and 2007, and match them to objective, detailed administrative data on mortgage characteristics and payment histories. The relationship between numerical ability and mortgage default is robust to controlling for a broad set of sociodemographic variables, and is not driven by other aspects of cognitive ability. We find no support for the hypothesis that numerical ability impacts mortgage outcomes through the choice of the mortgage contract. Rather, our results suggest that individuals with limited numerical ability default on their mortgage due to behavior unrelated to the initial choice of their mortgage. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Goette, Lorenz] Univ Lausanne, Fac Business & Econ, Dept Econ, CH-1015 Lausanne, Switzerland. [Meier, Stephan] Columbia Univ, Grad Sch Business, New York, NY 10027 USA. RP Goette, L (reprint author), Univ Lausanne, Fac Business & Econ, Dept Econ, CH-1015 Lausanne, Switzerland. EM lorenz.goette@unil.ch RI Ramalho, Thiago/E-4525-2016 NR 27 TC 23 Z9 23 U1 0 U2 23 PU NATL ACAD SCIENCES PI WASHINGTON PA 2101 CONSTITUTION AVE NW, WASHINGTON, DC 20418 USA SN 0027-8424 J9 P NATL ACAD SCI USA JI Proc. Natl. Acad. Sci. U. S. A. PD JUL 9 PY 2013 VL 110 IS 28 BP 11267 EP 11271 DI 10.1073/pnas.1220568110 PG 5 WC Multidisciplinary Sciences SC Science & Technology - Other Topics GA 183OT UT WOS:000321827000030 PM 23798401 ER PT J AU Schmeiser, MD Seligman, JS AF Schmeiser, Maximilian D. Seligman, Jason S. TI Using the Right Yardstick: Assessing Financial Literacy Measures by Way of Financial Well-Being SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article AB Despite the proliferation of academic studies examining financial literacy and financial outcomes, no consistent definition or empirically validated measures of financial literacy exist. While a handful of questions have become the standard measures of financial literacy in previous research, little work has been done examining whether responses to these questions accurately capture underlying financial capability, or whether they causally relate to subsequent financial well-being. Taking advantage of longitudinal data from the Health and Retirement Study we examine whether some of the questions previously used as measures of financial literacy are consistent measures of financial knowledge and effective predictors of future changes in wealth. We find that respondents frequently do not consistently answer questions across survey waves and that the context in which a question is asked affects the likelihood of correctly responding. Moreover, our regression analyses suggest that correctly answering these questions, consistently or not, has little significant relationship to changes in wealth over time, and is often related to a decrease in future wealth. Our findings should give pause to researchers using the financial literacy questions examined here, particularly from cross-sectional data. C1 [Schmeiser, Maximilian D.] Fed Reserve Board, Washington, DC 20551 USA. [Seligman, Jason S.] Ohio State Univ, John Glenn Sch Publ Affairs, Columbus, OH 43210 USA. RP Schmeiser, MD (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM max.schmeiser@frb.gov; seligman.10@osu.edu RI Ramalho, Thiago/E-4525-2016 NR 18 TC 7 Z9 7 U1 2 U2 17 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 EI 1745-6606 J9 J CONSUM AFF JI J. Consum. Aff. PD JUL PY 2013 VL 47 IS 2 BP 243 EP 262 DI 10.1111/joca.12010 PG 20 WC Business; Economics SC Business & Economics GA 291TF UT WOS:000329852000003 ER PT J AU Collins, JM Schmeiser, MD Urban, C AF Collins, J. Michael Schmeiser, Maximilian D. Urban, Carly TI Protecting Minority Homeowners: Race, Foreclosure Counseling and Mortgage Modifications SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID CREDIT; DECISIONS; BORROWERS; CRISIS AB Millions of minority homeowners are at risk of losing their homes as a result of the housing crisis due to mortgage foreclosure and home repossession. One consumer-oriented policy response to this crisis is mortgage default counseling for borrowers. This study examines the rate at which minority borrowers seek default counseling and the resulting correlation between counseling and the probability that a borrower obtains a modification of his/her original mortgage contract terms. The results suggest that African Americans are more likely to be counseled, relative to Whites. However, Latinos or other non-White groups are no more or less likely to be counseled. The probability of loan modifications among counseled African Americans is also higher than other counseled borrowers. These results suggest that counseling policies and the public subsidy of default counseling may be one approach for promoting consumer financial well-being of these households, but also suggest counseling efforts might be better designed for other minority groups. These results also have implications for the application of counseling to other mortgage decisions, such as refinance. C1 [Collins, J. Michael] Univ Wisconsin, Dept Consumer Sci, Madison, WI 53706 USA. [Schmeiser, Maximilian D.] Fed Reserve Board Governors, Washington, DC USA. [Urban, Carly] Montclair State Univ, Dept Agr Econ & Econ, Montclair, NJ 07043 USA. RP Collins, JM (reprint author), Univ Wisconsin, Dept Consumer Sci, Madison, WI 53706 USA. EM jmcollins@wisc.edu; max.schmeiser@frb.gov; carly.urban@montana.edu NR 37 TC 5 Z9 5 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 EI 1745-6606 J9 J CONSUM AFF JI J. Consum. Aff. PD JUL PY 2013 VL 47 IS 2 BP 289 EP 310 DI 10.1111/joca.12006 PG 22 WC Business; Economics SC Business & Economics GA 291TF UT WOS:000329852000005 ER PT J AU Carlino, GA Inman, RP AF Carlino, Gerald A. Inman, Robert P. TI Local deficits and local jobs: Can US states stabilize their own economies? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID PANEL-DATA; SHOCKS AB Using a sample of the 48 mainland US states for the period 1973-2009, we study the ability of US states to expand their own state employment through the use of state deficit policies. The analysis allows for the facts that US states are part of a wider monetary and economic union with free factor mobility across all states and that state residents and firms may purchase goods from "neighboring" states. Those purchases may generate economic spillovers across neighbors. Estimates suggest that states can increase their own state employment by increasing their own deficits. There is evidence of spillovers to employment in neighboring states defined by common cyclical patterns among state economies. For large states, aggregate spillovers to its economic neighbors are approximately two-thirds of the large state's job growth. Because of significant spillovers and possible incentives to free-ride, there is a potential case to actively coordinate (i.e., centralize) the management of stabilization policies. Finally, the job effects of a temporary increase in state own deficits persist for at most one to two years, and there is evidence of a negative impact on state jobs when these deficits are scheduled for repayment. (c) 2013 Elsevier B.V. All rights reserved. C1 [Carlino, Gerald A.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Inman, Robert P.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Inman, RP (reprint author), Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. EM inman@wharton.upenn.edu NR 27 TC 1 Z9 1 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2013 VL 60 IS 5 BP 517 EP 530 DI 10.1016/j.jmoneco.2013.04.015 PG 14 WC Business, Finance; Economics SC Business & Economics GA 210UY UT WOS:000323861400003 ER PT J AU Altonji, JG Smith, AA Vidangos, I AF Altonji, Joseph G. Smith, Anthony A., Jr. Vidangos, Ivan TI Modeling Earnings Dynamics SO ECONOMETRICA LA English DT Article DE Wage growth; job mobility; unemployment; inequality; indirect inference ID LIFE-CYCLE EARNINGS; CONSUMPTION INEQUALITY; COVARIANCE STRUCTURE; IDIOSYNCRATIC RISK; DISPLACED WORKERS; JOB DISPLACEMENT; UNITED-STATES; WAGES RISE; HETEROGENEITY; INCOME AB In this paper, we use indirect inference to estimate a joint model of earnings, employment, job changes, wage rates, and work hours over a career. We use the model to address a number of important questions in labor economics, including the source of the experience profile of wages, the response of job changes to outside wage offers, and the effects of seniority on job changes. We also study the dynamic response of wage rates, hours, and earnings to various shocks, and measure the relative contributions of the shocks to the variance of earnings in a given year and over a lifetime. We find that human capital accounts for most of the growth of earnings over a career, although job seniority and job mobility also play significant roles. Unemployment shocks have a large impact on earnings in the short run, as well as a substantial long-term effect that operates through the wage rate. Shocks associated with job changes and unemployment make a large contribution to the variance of career earnings and operate mostly through the job-specific error components of wages and hours. C1 [Altonji, Joseph G.; Smith, Anthony A., Jr.] Yale Univ, Dept Econ, New Haven, CT 06520 USA. [Altonji, Joseph G.; Smith, Anthony A., Jr.] NBER, Cambridge, MA 02138 USA. [Vidangos, Ivan] Fed Reserve Board, Washington, DC 20551 USA. RP Altonji, JG (reprint author), Yale Univ, Dept Econ, POB 208264, New Haven, CT 06520 USA. EM joseph.altonji@yale.edu; tony.smith@yale.edu; ivan.vidangos@frb.gov FU Cowles Foundation; Economic Growth Center, Yale University; NSF [SES-0112533] FX We are grateful to Richard Blundell, Mary Daly, Rasmus Lentz, Costas Meghir, Paul Oyer, Luigi Pistaferri, and three anonymous referees for helpful discussions and suggestions, and to Lena Yemelyanov for excellent research assistance. We also thank participants in seminars at the Bank of Spain, UC Berkeley, University of British Columbia, CEMFI, University of Chicago, the Federal Reserve Bank of San Francisco, the Federal Reserve Board, Georgetown University, Harvard University, Pennsylvania State University, Princeton University, University of Rochester, Stanford University, Vanderbilt University, and Yale University, and conference sessions at the Society of Economic Dynamics (June 2005), the World Congress of the Econometric Society (August 2005), the Cowles Foundation Macro/Labor Economics Conference (May 2006), NBER (Nov. 2006), the Econometric Society Winter Meetings (January 2007), and the Society for Computational Economics (June 2008) for valuable comments. Our research has been supported by the Cowles Foundation and the Economic Growth Center, Yale University, and by NSF Grant SES-0112533 (Altonji). The views expressed in the paper are our own and not necessarily those of the Federal Reserve Board, Yale University, NBER, or other members of their staffs. We are responsible for the remaining shortcomings of the paper. NR 63 TC 16 Z9 16 U1 0 U2 24 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD JUL PY 2013 VL 81 IS 4 BP 1395 EP 1454 DI 10.3982/ECTA8415 PG 60 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 190KJ UT WOS:000322338400006 ER PT J AU Bergin, PR Glick, R Wu, JL AF Bergin, Paul R. Glick, Reuven Wu, Jyh-Lin TI THE MICRO-MACRO DISCONNECT OF PURCHASING POWER PARITY SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID CROSS-SECTION DEPENDENCE; DYNAMIC PANEL ESTIMATION; REAL EXCHANGE-RATES; PPP PUZZLE; STICKY PRICES; AGGREGATION; BIAS; LAW AB This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Error correction model estimates indicate that a different mix of shocks drives international price deviations at the microeconomic level and that dynamic adjustment works through arbitrage in the goods market rather than the foreign exchange market. When half-lives are estimated conditional on a common set of estimated macro shocks, we find that micro relative prices exhibit every bit as much persistence as aggregate real exchange rates. These results challenge theories of real exchange rate persistence based on sticky prices and heterogeneity across goods. C1 [Bergin, Paul R.] Univ Calif Davis, Davis, CA 95616 USA. [Bergin, Paul R.] NBER, Cambridge, MA 02138 USA. [Glick, Reuven] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Wu, Jyh-Lin] Natl Sun Yat Sen Univ, Kaohsiung, Taiwan. RP Bergin, PR (reprint author), Univ Calif Davis, Davis, CA 95616 USA. NR 25 TC 8 Z9 8 U1 1 U2 9 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD JUL PY 2013 VL 95 IS 3 BP 798 EP 812 DI 10.1162/REST_a_00335 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 189VJ UT WOS:000322296100006 ER PT J AU Tuzemen, D Ardic, OP Adaman, F AF Tuzemen, Didem Ardic, Oya Pinar Adaman, Fikret TI Network effects in credit market access: Evidence from Istanbul SO IKTISAT ISLETME VE FINANS LA English DT Article DE Social Networks; Credit Market Access; Turkey; Household Survey; Consumption Smoothing ID RISK-SHARING NETWORKS; SOCIAL NETWORKS; INFORMAL INSURANCE; PRIVATE TRANSFERS; URBAN HOUSEHOLDS; CONSUMPTION; ARRANGEMENTS; COUNTRIES; ADOPTION; GHANA AB Many households in developing countries often have difficulty in smoothing consumption through formal credit channels. In turn, many rely on social (informal) networks. While this topic has been explored extensively in the literature on rural areas, the urban scene remains largely uninvestigated. This paper analyzes data from an exclusively-designed survey implemented in Istanbul, Turkey, and shows that households utilize both money transfers from social (informal) networks, and credit from formal institutions when they are experiencing cash shortages. Additionally, it is observed that some households utilize their social networks to facilitate easy and/or favorable access to formal credit, which has inevitable consequences for the overall efficiency and equity of access to financial services. C1 [Tuzemen, Didem] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [Ardic, Oya Pinar] IFC, Access Finance Advisory Services, Washington, DC USA. [Adaman, Fikret] Bogazici Univ, Dept Econ, Istanbul, Turkey. RP Tuzemen, D (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. EM didem.tuzemen@kc.frb.org; oardicalper@ifc.org; adaman@boun.edu.tr NR 45 TC 0 Z9 0 U1 0 U2 15 PU BILGESEL YAYINCILIK SAN & TIC LTD PI CANKAYA PA MUSTAFA KEMAL MAH NO 6-1, ATA APT, CANKAYA, ANKARA 06550, TURKEY SN 1300-610X J9 IKTISAT ISLET FINANS JI Iktisat Islet. Finans PD JUL PY 2013 VL 28 IS 328 BP 9 EP 32 DI 10.3848/iif.2013.328.3589 PG 24 WC Business, Finance; Economics SC Business & Economics GA 187UO UT WOS:000322147200001 ER PT J AU Jorda, O Knuppel, M Marcellino, M AF Jorda, Oscar Knueppel, Malte Marcellino, Massimiliano TI Empirical simultaneous prediction regions for path-forecasts SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Path-forecast; Forecast uncertainty; Simultaneous prediction region; Scheffe's S-method; Mahalanobis distance ID BOOTSTRAP; INTERVALS; AUTOREGRESSIONS; BANDS AB This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future a path forecast. When the null model is only approximative, or completely unavailable, one cannot either derive the usual analytic expressions or resample from the null model. In this context, this paper derives a method for constructing approximate rectangular regions for simultaneous probability coverage that correct for serial correlation in the case of elliptical distributions. In both Monte Carlo studies and an empirical application to the Greenbook path-forecasts of growth and inflation, the performance of this method is compared to the performances of the Bonferroni approach and the approach which ignores simultaneity. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Jorda, Oscar] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Knueppel, Malte] Deutsch Bundesbank, D-60431 Frankfurt, Germany. [Marcellino, Massimiliano] European Univ Inst, Dept Econ, I-50133 Florence, Italy. [Marcellino, Massimiliano] Bocconi Univ, Dept Econ, I-20100 Milan, Italy. RP Marcellino, M (reprint author), European Univ Inst, Dept Econ, Via Piazzuola 43, I-50133 Florence, Italy. EM oscar.jorda@sf.frb.org; malte.knueppel@bundesbank.de; massimiliano.marcellino@eui.eu NR 26 TC 0 Z9 0 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2013 VL 29 IS 3 BP 456 EP 468 DI 10.1016/j.ijforecast.2012.12.002 PG 13 WC Economics; Management SC Business & Economics GA 187DO UT WOS:000322097300007 ER PT J AU Guerron-Quintana, P Inoue, A Kilian, L AF Guerron-Quintana, Pablo Inoue, Atsushi Kilian, Lutz TI Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes SO QUANTITATIVE ECONOMICS LA English DT Article DE DSGE models; identification; inference; confidence sets; Bayes factor; likelihood ratio; C32; C52; E30; E50 ID STATISTICAL-INFERENCE; NOMINAL RIGIDITIES; DSGE MODELS; TIME-SERIES; GMM; INSTRUMENTS; HYPOTHESIS; DENSITIES; TESTS AB A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median of the posterior distribution of the structural parameters can no longer be viewed as a consistent estimator. We propose two methods of constructing confidence intervals for structural model parameters that are asymptotically valid from a frequentist point of view regardless of the strength of identification. One involves inverting a likelihood ratio test statistic, whereas the other involves inverting a Bayes factor statistic. A simulation study shows that both methods have more accurate coverage than alternative methods of inference. An empirical study of the degree of wage and price rigidities in the U.S. economy illustrates that the data may contain useful information about structural model parameters even when these parameters are only weakly identified. C1 [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Inoue, Atsushi] N Carolina State Univ, Raleigh, NC 27695 USA. [Kilian, Lutz] Univ Michigan, Ann Arbor, MI 48109 USA. RP Guerron-Quintana, P (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM pguerron@gmail.com; atsushi@ncsu.edu; lkilian@umich.edu NR 43 TC 12 Z9 12 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2013 VL 4 IS 2 BP 197 EP 229 DI 10.3982/QE306 PG 33 WC Economics SC Business & Economics GA 181KE UT WOS:000321665700002 ER PT J AU Gourio, F AF Gourio, Francois TI Credit Risk and Disaster Risk SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID CAPITAL STRUCTURE; MACROECONOMIC CONDITIONS; INTERTEMPORAL SUBSTITUTION; RARE DISASTERS; SPREADS; FRAMEWORK; PUZZLES; PREMIUM; DEBT; CONSUMPTION AB Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and cyclicality of credit spreads, and variation in the corporate bond risk premium amplifies macroeconomic fluctuations in investment, employment, and GDP. C1 [Gourio, Francois] Boston Univ, Dept Econ, Boston, MA 02215 USA. [Gourio, Francois] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Gourio, F (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM francois.gourio@chi.frb.org NR 67 TC 11 Z9 12 U1 0 U2 16 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2013 VL 5 IS 3 BP 1 EP 34 DI 10.1257/mac.5.3.1 PG 34 WC Economics SC Business & Economics GA 173XJ UT WOS:000321115500001 ER PT J AU Bussiere, M Callegari, G Ghironi, F Sestieri, G Yamano, N AF Bussiere, Matthieu Callegari, Giovanni Ghironi, Fabio Sestieri, Giulia Yamano, Norihiko TI Estimating Trade Elasticities: Demand Composition and the Trade Collapse of 2008-2009 SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID INTERNATIONAL-TRADE; WORLD-TRADE; PRICE; SPECIALIZATION; PERSISTENCE; EXPORTS; SHOCKS; CRISIS AB This paper introduces a new empirical model of international trade flows based on an import intensity-adjusted measure of aggregate demand. We compute the import intensity of demand components by using the OECD Input-Output tables. We argue that the composition of demand plays a key role in trade dynamics because of the relatively larger movements in the most import-intensive categories of expenditure (especially investment, but also exports). We provide evidence in favor of these mechanisms for a panel of 18 OECD countries, paying particular attention to the 2008-2009 Great Trade Collapse. C1 [Bussiere, Matthieu; Sestieri, Giulia] Banque France, F-75001 Paris, France. [Callegari, Giovanni] European Cent Bank, D-60318 Frankfurt, Germany. [Ghironi, Fabio] Fed Reserve Bank Boston, Boston Coll, Dept Econ, Chestnut Hill, MA 02467 USA. [Ghironi, Fabio] NBER, Chestnut Hill, MA 02467 USA. [Yamano, Norihiko] OECD, F-75775 Paris, France. RP Bussiere, M (reprint author), Banque France, 31 Rue Croix Petits Champs, F-75001 Paris, France. EM matthieu.bus-siere@banque-france.fr; giovanni.callegari@ecb.int; fabio.ghironi@bc.edu; giulia.sestieri@banque-france.fr; norihiko.yamano@oecd.org RI Ghironi, Fabio/A-1290-2008 OI Ghironi, Fabio/0000-0002-4104-5673 NR 39 TC 16 Z9 16 U1 1 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2013 VL 5 IS 3 BP 118 EP 151 DI 10.1257/mac.5.3.118 PG 34 WC Economics SC Business & Economics GA 173XJ UT WOS:000321115500005 ER PT J AU Brown, JP Lambert, DM Florax, RJGM AF Brown, Jason P. Lambert, Dayton M. Florax, Raymond J. G. M. TI The Birth, Death, and Persistence of Firms: Creative Destruction and the Spatial Distribution of U.S. Manufacturing Establishments, 2000-2006 SO ECONOMIC GEOGRAPHY LA English DT Review DE location; location factors; manufacturing; partial adjustment model; L60; R11; R12 ID REGIONAL ADJUSTMENT MODELS; UNITED-STATES; INDUSTRIAL-LOCATION; AGGLOMERATION ECONOMIES; TECHNOLOGICAL-CHANGE; LINEAR-REGRESSION; START-UPS; DETERMINANTS; ENTRY; EXIT AB This article deals with the dynamics of the U.S. manufacturing sector, analyzing the birth, death, and ongoing existence of firms in the beginning of the twenty-first century. Schumpeter's notion of creative destruction is hypothesized to explain the spatiotemporal dynamics of the distribution of manufacturing establishments. We implemented a partial adjustment model that accounts for spillover effects between counties, unknown forms of heteroskedasticity, and spatial autocorrelation. The steady-state equilibrium birth and death rates converged to 6.8 percent and 6.1 percent per year, respectively, during the 2000-06 period. We found that firm birth and death were not decisively affected by a creative destruction process during that period, but firm birth and death positively affect the survival (or persistence) rate of single-unit manufacturing firms. C1 [Brown, Jason P.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Lambert, Dayton M.] Univ Tennessee, Dept Agr & Resource Econ, Knoxville, TN 37996 USA. [Florax, Raymond J. G. M.] Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. [Florax, Raymond J. G. M.] Vrije Univ Amsterdam, Dept Spatial Econ, NL-1081 HV Amsterdam, Netherlands. [Florax, Raymond J. G. M.] Tinbergen Inst, NL-1081 HV Amsterdam, Netherlands. RP Brown, JP (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM Jason.Brown@kc.frb.org; dmlambert@tennessee.edu; rflorax@purdue.edu NR 112 TC 3 Z9 4 U1 2 U2 24 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0095 J9 ECON GEOGR JI Econ. Geogr. PD JUL PY 2013 VL 89 IS 3 BP 203 EP 226 DI 10.1111/ecge.12014 PG 24 WC Economics; Geography SC Business & Economics; Geography GA 169KV UT WOS:000320780000001 ER PT J AU Zarutskie, R AF Zarutskie, Rebecca TI Competition, financial innovation and commercial bank loan portfolios SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID INFORMATION; DISTANCE; IMPACT; SECURITIZATION; RESTRICTIONS; DEREGULATION; PERFORMANCE; ALLOCATION; EFFICIENCY; INDUSTRY AB I examine how US commercial bank loan portfolios change in response to the rise of securitization markets and banking market deregulations over 1976-2003. Banks increasingly tilt their portfolios toward real-estate-backed loans. However, there are significant differences across banks. Larger banks and younger banks disproportionately shift their lending toward real-estate-backed loans, particularly commercial real-estate-backed loans, whereas smaller banks and older banks maintain greater shares of their loan portfolios in commercial and personal loans. When larger banks make more real-estate-backed loans, they charge lower interest rates, consistent with these banks lowering the costs of lending and expanding credit for borrowers. In contrast, smaller banks charge higher interest rates, consistent with these banks restricting lending to a select group of borrowers. Published by Elsevier Inc. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Zarutskie, R (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Mailstop 97,20th & C St NW, Washington, DC 20551 USA. EM rebecca.zarutskie@frb.gov NR 34 TC 2 Z9 2 U1 1 U2 24 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2013 VL 22 IS 3 BP 373 EP 396 DI 10.1016/j.jfi.2013.02.001 PG 24 WC Business, Finance SC Business & Economics GA 163PC UT WOS:000320348400005 ER PT J AU Tutino, A AF Tutino, Antonella TI Rationally inattentive consumption choices SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Shannon's capacity; Consumption; Asymmetric response ID PERMANENT-INCOME; BUSINESS CYCLES; INFORMATION; ADJUSTMENT AB This paper analyzes how information-processing limitations affect consumption in a dynamic full-fledged non-linear quadratic Gaussian (LQG) setting. In the model, risk-averse consumers rationally choose the quantity and quality of information to process about their wealth, while constrained by a Shannon channel. The main contribution of the paper is methodological. It proposes a solution to rational inattention problems in rich theoretical environments. The main prediction of the model is that consumption responses to wealth shocks are asymmetric, with negative shocks producing faster and stronger reaction than positive shocks. The model also predicts that information-processing constraints increase persistence and volatility of consumption behavior. (C) 2012 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX USA. RP Tutino, A (reprint author), Fed Reserve Bank Dallas, 2200 Pearl Str, Dallas, TX USA. EM tutino.antonella@gmail.com NR 34 TC 6 Z9 6 U1 1 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2013 VL 16 IS 3 BP 421 EP 439 DI 10.1016/j.red.2012.03.003 PG 19 WC Economics SC Business & Economics GA 162UT UT WOS:000320292200003 ER PT J AU Karahan, F Ozkan, S AF Karahan, Fatih Ozkan, Serdar TI On the persistence of income shocks over the life cycle: Evidence, theory, and implications SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Idiosyncratic earnings risk; Incomplete markets models; Earnings persistence; Consumption insurance ID CONSUMPTION INSURANCE; COVARIANCE STRUCTURE; UNITED-STATES; EARNINGS; INEQUALITY; DYNAMICS; MOBILITY; HETEROGENEITY; MEN AB How does the persistence of earnings change over the life cycle? Do workers at different ages face the same variance of idiosyncratic earnings shocks? This paper proposes a novel specification for residual earnings that allows for an age profile in the persistence and variance of labor income shocks. We show that the statistical model is identified, and we estimate it using Panel Study of Income Dynamics data. We find that shocks to earnings are only moderately persistent (around 0.75) for young workers. Persistence rises with age, up to unity, until midway through life. The variance of persistent shocks exhibits a U-shaped profile over the life cycle (with a minimum of 0.01 and a maximum of 0.05). These results suggest that the standard specification in the literature (with age-invariant persistence and variance) cannot capture the earnings dynamics of young workers. We also argue that a calibrated job turnover model can account for these nonflat profiles. The key idea is that workers sort into better jobs and settle down as they age; in turn, magnitudes of wage growth rates decline, thereby decreasing the variance of shocks. Furthermore, the decline in job mobility results in higher persistence. Finally, we investigate the implications of age profiles for consumption-savings behavior. The welfare cost of idiosyncratic risk implied by the age-dependent income process is up to 1.6 percent of lifetime consumption lower compared with its age-invariant counterpart. This difference is mostly due to a higher degree of consumption insurance for young workers, for whom persistence is moderate. These results suggest that age profiles of persistence and variances should be taken into account when calibrating life-cycle models. Published by Elsevier Inc. C1 [Karahan, Fatih] Fed Reserve Bank New York, New York, NY 10045 USA. [Ozkan, Serdar] Fed Reserve Board, Washington, DC 20551 USA. RP Ozkan, S (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM Fatih.Karahan@ny.frb.org; Serdar.Ozkan@frb.gov OI Ozkan, Serdar/0000-0001-6364-9606 NR 39 TC 8 Z9 8 U1 1 U2 20 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2013 VL 16 IS 3 BP 452 EP 476 DI 10.1016/j.red.2012.08.001 PG 25 WC Economics SC Business & Economics GA 162UT UT WOS:000320292200005 ER PT J AU Andolfatto, D Martin, FM AF Andolfatto, David Martin, Fernando M. TI Information disclosure and exchange media SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Money; Collateral; News; Nondisclosure ID ASSET PRICES; SOCIAL VALUE; MONEY; EFFICIENCY; ECONOMY; POLICY AB When commitment is lacking, intertemporal trade is facilitated with the use of exchange media interpreted broadly to include monetary and collateral assets. We study the properties of a model commonly used to motivate monetary exchange, extended to include a physical asset whose expected short-run return is subject to a news shock, but whose expected long-run return is stable. The nondisclosure of news enhances the asset's property as an exchange medium, and generally improves social welfare. When a nondisclosure policy is infeasible, the framework admits a role for government debt, including fiat money. When lump-sum taxation is not permitted, fiat money may still improve welfare but only if its circulation is supported by a cash-in-advance constraint. Published by Elsevier Inc. C1 [Andolfatto, David; Martin, Fernando M.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Andolfatto, David; Martin, Fernando M.] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM david.andolfatto@stls.frb.org RI Martin, Fernando/I-5747-2016; Andolfatto, David/I-5738-2016 OI Martin, Fernando/0000-0001-5045-7998; Andolfatto, David/0000-0003-0703-3967 NR 20 TC 2 Z9 2 U1 1 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2013 VL 16 IS 3 BP 527 EP 539 DI 10.1016/j.red.2012.09.004 PG 13 WC Economics SC Business & Economics GA 162UT UT WOS:000320292200009 ER PT J AU Bandyopadhyay, S Bhaumik, S Wall, HJ AF Bandyopadhyay, Subhayu Bhaumik, Sumon Wall, Howard J. TI Biofuel Subsidies and International Trade SO ECONOMICS & POLITICS LA English DT Article ID ENVIRONMENT; WELFARE; GROWTH; POLICY AB This paper explores optimal biofuel subsidies in a general equilibrium trade model. The focus is on the production of biofuels such as corn-based ethanol, which diverts corn from use as food. In the small-country case, when the tax on crude is not available as a policy option, a second-best biofuel subsidy may or may not be positive. In the large-country case, the twin objectives of pollution reduction and terms-of-trade improvement justify a combination of crude tax and biofuel subsidy for the food exporter. Finally, we show that when both nations engage in biofuel policies, the terms-of-trade effects encourage the Nash equilibrium subsidy to be positive (negative) for the food exporting (importing) nation. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Bhaumik, Sumon] Aston Univ, Birmingham B4 7ET, W Midlands, England. [Wall, Howard J.] Lindenwood Univ, St Charles, MO USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM bandyopadhyay@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 25 TC 1 Z9 1 U1 4 U2 19 PU WILEY PERIODICALS, INC PI SAN FRANCISCO PA ONE MONTGOMERY ST, SUITE 1200, SAN FRANCISCO, CA 94104 USA SN 0954-1985 J9 ECON POLIT-OXFORD JI Econ. Polit. PD JUL PY 2013 VL 25 IS 2 BP 181 EP 199 DI 10.1111/ecpo.12009 PG 19 WC Economics; Political Science SC Business & Economics; Government & Law GA 159HF UT WOS:000320035800003 ER PT J AU Goetz, MR Laeven, L Levine, R AF Goetz, Martin R. Laeven, Luc Levine, Ross TI Identifying the Valuation Effects and Agency Costs of Corporate Diversification: Evidence from the Geographic Diversification of US Banks SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FRACTIONAL RESPONSE VARIABLES; INTERNAL CAPITAL-MARKETS; PRODUCT MIX ECONOMIES; INEFFICIENT INVESTMENT; FIRM VALUE; DISCOUNT; DISTANCE; INDUSTRY; DEREGULATION; PERFORMANCE AB This paper assesses the impact of the geographic diversification of bank holding company (BHC) assets across the United States on their market valuations. Using two new identification strategies based on the dynamic process of interstate bank deregulation, we find that exogenous increases in geographic diversity reduced BHC valuations. We also find that the geographic diversification of BHC assets increased insider lending and reduced loan quality. Taken together, these findings are consistent with theories predicting that geographic diversity intensifies agency problems. C1 [Goetz, Martin R.] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Laeven, Luc] Int Monetary Fund, Washington, DC 20431 USA. [Laeven, Luc] Tilburg Univ, Tilburg, Netherlands. [Levine, Ross] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. [Levine, Ross] Milken Inst, Santa Monica, CA USA. [Levine, Ross] NBER, Cambridge, MA 02138 USA. RP Goetz, MR (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM martin.goetz@bos.frb.org NR 50 TC 13 Z9 13 U1 6 U2 26 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUL PY 2013 VL 26 IS 7 BP 1787 EP 1823 DI 10.1093/rfs/hht021 PG 37 WC Business, Finance; Economics SC Business & Economics GA 156HZ UT WOS:000319814000005 ER PT J AU Dybvig, PH Liang, PJ Marshall, WJ AF Dybvig, Philip H. Liang, Pierre Jinghong Marshall, William J. TI The New Risk Management: The Good, the Bad, and the Ugly SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB In a 1997 Review article, the authors described the good, the bad, and the ugly features of what they called the new risk management, which is the use of financial derivatives to hedge risk in firms. Since the article was first published, the "new" risk management has become commonplace and indeed played a big role in the financial crisis. As a result, the original article is more relevant today than when it was first published. This updated version of the article contains the same examples and critical analysis as in the original article but includes an updated description of the accounting rules and suggestions for designing a risk management policy. C1 [Dybvig, Philip H.] Washington Univ, St Louis, MO 63130 USA. [Dybvig, Philip H.] Fed Reserve Bank St Louis, St Louis, MO USA. [Liang, Pierre Jinghong] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. [Marshall, William J.] LLC, Washington, DC USA. RP Dybvig, PH (reprint author), Washington Univ, St Louis, MO 63130 USA. RI Liang, Jinghong/D-4596-2015 OI Liang, Jinghong/0000-0002-9246-3269 FU Southwestern University of Finance and Economics in Chengdu, Sichuan, China FX Philip H. Dybvig is the Boatmen's Bancshares Professor of Banking and Finance at Washington University in St. Louis and a consultant to the Federal Reserve Bank of St. Louis. Pierre Jinghong Liang is an associate professor of accounting at Carnegie Mellon University. William J. Marshall is the president of NISA Investment Advisors, L.L.C. The authors are grateful for useful suggestions from Bill Gavin, Hong Liu, Myung-Yull Pang, Murray Weidenbaum, and Gaoqing Zhang. Philip Dybvig and Pierre hang are grateful for support from the Southwestern University of Finance and Economics in Chengdu, Sichuan, China. NR 4 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2013 VL 95 IS 4 BP 273 EP 291 PG 19 WC Business, Finance; Economics SC Business & Economics GA AQ8GD UT WOS:000343061400001 ER PT J AU Sanchez, JM Yurdagul, E AF Sanchez, Juan M. Yurdaguel, Emircan TI Why Are US Firms Holding So Much Cash? An Exploration of Cross-Sectional Variation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Currently U.S. firms hold record amounts of cash. The authors explore cross-sectional variation in cash holdings of U.S. publicly traded firms to shed light on the reasons for this recent trend. First, they identify factors that correlate with cash holdings and then examine the evolution of these factors over the past decade. Several factors, including research and development expenditures and idiosyncratic uncertainty, are important in accounting for cross-sectional differences in cash holdings. However, these factors do not increase over time as cash holdings do; thus, it seems unlikely that they underlie the increase in cash holdings. Aggregate uncertainty, however, has recently reached record levels. This uncertainty, combined with the fact that (idiosyncratic) uncertainty correlates well with cash holdings in the cross section of firms, suggests aggregate uncertainty may be an important factor accounting for the recent trend in increased cash holdings. C1 [Sanchez, Juan M.; Yurdaguel, Emircan] Fed Reserve Bank, St Louis, MO 63102 USA. [Yurdaguel, Emircan] Washington Univ, St Louis, MO 63130 USA. RP Sanchez, JM (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 12 TC 0 Z9 0 U1 1 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2013 VL 95 IS 4 BP 293 EP 325 PG 33 WC Business, Finance; Economics SC Business & Economics GA AQ8GD UT WOS:000343061400002 ER PT J AU Bandyopadhyay, S Vermann, EK AF Bandyopadhyay, Subbayu Vermann, E. Katarina TI Donor Motives for Foreign Aid SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ALLOCATION; DETERMINES; DEMOCRACY; POLITICS AB The literature on foreign aid has contributed to our understanding of the motives for developed nations to provide aid to developing nations. In this article, the authors primarily focus on donor motivation, but they also touch on the consequences of receiving aid for developing nations. They consider both the developmental and strategic aspects of giving aid. While aid in the 1960s focused more on development, recent aid has increasingly reflected strategic considerations. For example, since the terrorist attacks of September 2001, the objective of reducing terrorism has been of increasing interest among donors giving aid to developing nations. The authors explain the rationale for providing such aid. C1 [Bandyopadhyay, Subbayu; Vermann, E. Katarina] Fed Reserve Bank, St Louis, MO 63102 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 28 TC 2 Z9 2 U1 4 U2 13 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2013 VL 95 IS 4 BP 327 EP 336 PG 10 WC Business, Finance; Economics SC Business & Economics GA AQ8GD UT WOS:000343061400003 ER PT J AU Mazumder, B Davis, JMV AF Mazumder, Bhashkar Davis, Jonathan M. V. TI PARENTAL EARNINGS AND CHILDREN'S WELL-BEING: AN ANALYSIS OF THE SURVEY OF INCOME AND PROGRAM PARTICIPATION MATCHED TO SOCIAL SECURITY ADMINISTRATION EARNINGS DATA SO ECONOMIC INQUIRY LA English DT Article ID UNITED-STATES; POVERTY; MOBILITY; HEALTH AB We estimate the association between parental earnings and child well-being using data from the Survey of Income and Program Participation matched to Social Security Administration earnings records. We use very large samples on a wide variety of measures of child well-being that are also linked to long histories of parent earnings from administrative records. Consistent with previous studies, we find that the use of longer time averages of parent earnings leads to substantially higher estimated associations compared to using only a single year of parent earnings. Using 7-year time averages of parent earnings, we show, for example, that a doubling of parent earnings is associated with a reduced probability of a teenager reporting being in poor health by close to 50% and a decrease in the likelihood of a child repeating a grade by 39%. We also examine how the associations vary by the timing of when parental earnings are received during childhood. We find suggestive evidence that parental earnings received during the child's school-going years (ages 6 to 17) are more strongly associated with college enrollment and children's future earnings as adults than parent earnings received earlier or later in the child's life. (JEL J13, I1, I2) C1 [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60641 USA. [Davis, Jonathan M. V.] Irving B Harris Grad Sch Publ Policy, Chicago, IL 60637 USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60641 USA. EM bmazumder@frbchi.org; jdavis09@uchicago.edu NR 16 TC 2 Z9 2 U1 0 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2013 VL 51 IS 3 BP 1795 EP 1808 DI 10.1111/j.1465-7295.2012.00490.x PG 14 WC Economics SC Business & Economics GA 138LA UT WOS:000318508900009 ER PT J AU Koenig, EF AF Koenig, Evan F. TI Like a Good Neighbor: Monetary Policy, Financial Stability, and the Distribution of Risk SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID BUSINESS-CYCLE; SPREAD; MODEL; DEBT AB In an economy in which debt obligations are fixed in nominal terms, a monetary policy focused narrowly on controlling inflation insulates lenders from aggregate output risk, leaving borrowers as residual claimants. This concentration of risk has the potential to exacerbate the financial distress associated with adverse supply shocks. A better risk distribution is obtained if the price level is allowed to rise whenever output is unexpectedly weak. Illustrative examples are presented in which an appropriately countercyclical inflation policy exactly reproduces the risk allocation that one would observe with perfect capital markets. C1 [Koenig, Evan F.] Fed Reserve Bank Dallas, Dallas, TX USA. [Koenig, Evan F.] So Methodist Univ, Dallas, TX 75275 USA. RP Koenig, EF (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. EM Evan.F.Koenig@dal.frb.org NR 34 TC 1 Z9 1 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2013 VL 9 IS 2 SI SI BP 57 EP 82 PG 26 WC Business, Finance SC Business & Economics GA 273PH UT WOS:000328547300004 ER PT J AU Gelain, P Lansing, KJ Mendicino, C AF Gelain, Paolo Lansing, Kevin J. Mendicino, Caterina TI House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID KEYNESIAN PHILLIPS-CURVE; ESTIMATED DSGE MODEL; ADAPTIVE EXPECTATIONS; BUSINESS-CYCLE; DEBT-DEFLATION; ASSET PRICES; INFORMATION; INFLATION; US; PERSISTENCE AB Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models with fully rational expectations have difficulty producing large swings in house prices and household debt that resemble the patterns observed in many industrial countries over the past decade. We show that the introduction of simple moving-average forecast rules for a subset of agents can significantly magnify the volatility and persistence of house prices and household debt relative to an otherwise similar model with fully rational expectations. We evaluate various policy actions that might be used to dampen the resulting excess volatility, including a direct response to house-price growth or credit growth in the central bank's interest rate rule, the imposition of a more restrictive loan-to-value ratio, and the use of a modified collateral constraint that takes into account the borrower's wage income. Of these, we find that a debt-to-income type constraint is the most effective tool for dampening overall excess volatility in the model economy. While an interest rate response to house-price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility of others, particularly inflation. C1 [Gelain, Paolo; Lansing, Kevin J.] Norges Bank, Oslo, Norway. [Lansing, Kevin J.] Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org RI nipe, cef/A-4218-2010 NR 100 TC 16 Z9 16 U1 9 U2 18 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2013 VL 9 IS 2 SI SI BP 219 EP 276 PG 58 WC Business, Finance SC Business & Economics GA 273PH UT WOS:000328547300012 ER PT J AU Zafar, B AF Zafar, Basit TI College Major Choice and the Gender Gap SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID SUBJECTIVE EXPECTATIONS; SOCIAL-SECURITY; EARNINGS; PREFERENCES; STUDENTS; WOMEN; SEX; PROFESSIONALS; SEGREGATION; PERFORMANCE AB This paper studies how college majors are chosen, focusing on the underlying gender gap. I collect a data set of Northwestern University sophomores that contains their subjective expectations about choice-specific outcomes, and estimate a model where majors are chosen under uncertainty. Enjoying coursework, and gaining parents' approval are the most important determinants in the choice for both genders. However, males and females differ in their preferences in the workplace, with males caring about the pecuniary outcomes in the workplace much more than females. The gender gap is mainly due to gender differences in preferences and tastes, and not because females are underconfident about their academic ability or fear monetary discrimination. The findings in this paper make a case for policies that change attitudes toward gender roles. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. RP Zafar, B (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. EM basit.zafar@ny.frb.org NR 68 TC 27 Z9 27 U1 6 U2 50 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD SUM PY 2013 VL 48 IS 3 BP 545 EP 595 PG 51 WC Economics; Industrial Relations & Labor SC Business & Economics GA 214GU UT WOS:000324120900002 ER PT J AU Shy, O Stenbacka, R AF Shy, Oz Stenbacka, Rune TI Investment in customer recognition and information exchange SO INFORMATION ECONOMICS AND POLICY LA English DT Article DE Customer recognition; Preference recognition; Price discrimination; Exchange of information; Switching costs ID SWITCHING COSTS; PRICE-DISCRIMINATION; OLIGOPOLY; MARKETS; COMMUNICATION; COMPETITION; INCENTIVES; DISCLOSURE; FIRMS AB We investigate how costly acquisition and exchange of customer-specific information affects industry profit and consumer welfare. Consumers differ in their preferences for competing brands and in their switching costs between brands. Brand-producing firms use their acquired knowledge of customer-specific preferences to differentiate prices. We show that consumers are worse off when firms acquire information about their preferences and that information sharing between firms further reduces consumer welfare. Non-sharing of information supports a subgame perfect equilibrium that is also efficient. Finally, equilibrium investments in customer recognition may be excessive if firms bear low costs of acquiring customer-specific information. (C) 2013 Elsevier B.V. All rights reserved. C1 [Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Stenbacka, Rune] Hanken Sch Econ, Helsinki 00101, Finland. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM Oz.Shy@bos.frb.org; Rune.Stenbacka@hanken.fi RI chen, zhu/K-5923-2013 NR 31 TC 6 Z9 6 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6245 EI 1873-5975 J9 INF ECON POLICY JI Inf. Econ. Policy PD JUN PY 2013 VL 25 IS 2 BP 92 EP 106 DI 10.1016/j.infoecopol.2013.03.002 PG 15 WC Economics SC Business & Economics GA 198QV UT WOS:000322938300004 ER PT J AU Correia, I Farhi, E Nicolini, JP Teles, P AF Correia, Isabel Farhi, Emmanuel Nicolini, Juan Pablo Teles, Pedro TI Unconventional Fiscal Policy at the Zero Bound SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; PUBLIC PRODUCTION; OPTIMAL TAXATION; LIQUIDITY TRAP AB When the zero lower bound on nominal interest rates binds, monetary policy cannot provide appropriate stimulus. We show that, in the standard New Keynesian model, tax policy can deliver such stimulus at no cost and in a time-consistent manner. There is no need to use inefficient policies such as wasteful public spending or future commitments to low interest rates. (JEL E12, E43, E52, E62, H20) C1 [Correia, Isabel; Teles, Pedro] DEE, Banco Portugal, P-1150165 Lisbon, Portugal. [Correia, Isabel; Teles, Pedro] Univ Catolica Portuguesa, Barga, Portugal. [Farhi, Emmanuel] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Nicolini, Juan Pablo] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Nicolini, Juan Pablo] Univ Tella, Buenos Aires, DF, Argentina. RP Correia, I (reprint author), DEE, Banco Portugal, Rua Francisco Ribeiro 2, P-1150165 Lisbon, Portugal. EM mihcarvalho@bportugal.pt; efarhi@fas.harvard.edu; juanpa@minneapolisfed.org; pteles@ucp.pt RI nipe, cef/A-4218-2010; OI Correia, Isabel/0000-0001-5568-7055; Teles, Pedro/0000-0002-1352-4917 NR 20 TC 19 Z9 19 U1 0 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2013 VL 103 IS 4 BP 1172 EP 1211 DI 10.1257/aer.103.4.1172 PG 40 WC Economics SC Business & Economics GA 197UT UT WOS:000322877700003 ER PT J AU Yeh, AJY Lopez, JA AF Yeh, Andy J. Y. Lopez, Jose A. TI An algorithmic model for retail credit portfolio segmentation SO JOURNAL OF RISK MODEL VALIDATION LA English DT Article ID DEFAULT; PROBABILITY AB Under the new Basel bank capital framework, a bank must group its retail exposures into multiple segments with homogeneous risk characteristics. The US regulatory agencies believe that a bank may use the internal models, including the loan-level risk parameter estimates such as probability of default and loss given default, to group exposures into the resultant segments with homogeneous risk attributes. In contrast to the conventional decision tree method, we propose a new algorithmic technique for retail consumer loan portfolio segmentation. This new technique identifies the optimal number of segments, sorts the individual loan exposures into the various segments, and then leads to a greater degree of risk homogeneity in comparison with the baseline equal-bin and quantile-bin schemes. Furthermore, we analyze the Monte Carlo implied asset correlation values for the retail loan segments over time to help assess the implications for bank capital measurement. Our recommended method for retail credit portfolio segmentation results in some capital relief that serves as an incentive for the bank to invest in this alternative segmentation. This positive outcome accords with the core principle of statistical conservatism that is enshrined in the Basel regulatory requirements for bank capital measurement. C1 [Yeh, Andy J. Y.; Lopez, Jose A.] Fed Reserve Bank San Francisco, Econ Res Grp, San Francisco, CA 94105 USA. RP Yeh, AJY (reprint author), Fed Reserve Bank San Francisco, Econ Res Grp, 101 Market St, San Francisco, CA 94105 USA. EM andy.yeh@sf.frb.org; jose.a.lopez@sf.frb.org NR 35 TC 1 Z9 1 U1 2 U2 4 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1753-9579 J9 J RISK MODEL VALIDAT JI J. Risk Model Valid. PD SUM PY 2013 VL 7 IS 2 BP 61 EP 91 PG 31 WC Business, Finance SC Business & Economics GA 176ZL UT WOS:000321345200003 ER PT J AU Whitaker, S Fitzpatrick, TJ AF Whitaker, Stephan Fitzpatrick, Thomas J. TI Deconstructing distressed-property spillovers: The effects of vacant, tax-delinquent, and foreclosed properties in housing submarkets SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Vacancy Property tax delinquency; Foreclosure; Property values; Spatial Hedonic price models ID MORTGAGE FORECLOSURES; VALUES; PRICES; IMPACT; SALES AB In this empirical analysis, we estimate the impacts of property-tax delinquency, vacancy, and foreclosures on the value of neighboring homes. We demonstrate that these externalities differ in high- and low-poverty submarkets. Numerous studies have estimated the externality of foreclosures. These papers theorize that the foreclosure impact works partially through creating vacant and neglected homes. To our knowledge, this is only the second attempt to estimate the impact of vacancy itself and the first to use tax-delinquency as a measure of property neglect. We link vacancy observations from Postal Service data with property-tax delinquency and sales data from Cuyahoga County, Ohio. We find that an additional property within 500 ft that is vacant or delinquent reduces a home's selling price by 1 to 2%. In low-poverty submarkets, the negative impact of a home that is both vacant and delinquent is -4.6%. Low-poverty submarkets penalize a sale near a tax-current recent foreclosure by 4 to 8%. In high-poverty submarkets, we observe positive correlations of sale prices with vacant foreclosures. This may reflect lenders selectively foreclosing only on relatively well-maintained properties. (C) 2013 Elsevier Inc. All rights reserved. C1 [Whitaker, Stephan; Fitzpatrick, Thomas J.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Whitaker, S (reprint author), Fed Reserve Bank Cleveland, 1455 East 6th St, Cleveland, OH 44114 USA. EM stephan.whitaker@clev.frb.org; thomas.j.fitzpatrick@clev.frb.org NR 23 TC 15 Z9 15 U1 1 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2013 VL 22 IS 2 BP 79 EP 91 DI 10.1016/j.jhe.2013.04.001 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 168YX UT WOS:000320745000001 ER PT J AU Chan, SW Gedal, M Been, V Haughwout, A AF Chan, Sewin Gedal, Michael Been, Vicki Haughwout, Andrew TI The role of neighborhood characteristics in mortgage default risk: Evidence from New York City SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Mortgage; Default; Neighborhoods; Race ID PROPERTY-VALUES; LOW-INCOME; FORECLOSURES; PERFORMANCE; TERMINATION; HYBRID; CREDIT; MODELS; IMPACT; SALES AB Using a rich database of non-prime mortgages from New York City, we find that census tract level neighborhood characteristics are important predictors of default behavior, even after controlling for an extensive set of controls for loan and borrower characteristics. First, default rates increase with the rate of foreclosure notices and the number of lender-owned properties (REOs) in the tract. Second, default rates on home purchase mortgages are higher in census tracts with larger shares of black residents, regardless of the borrower's own race. We explore possible explanations for this second finding and conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are unobserved in our data. (C) 2013 Elsevier Inc. All rights reserved. C1 [Chan, Sewin; Gedal, Michael] NYU, Robert F Wagner Sch Publ Serv, New York, NY 10012 USA. [Been, Vicki] NYU, Sch Law, New York, NY 10012 USA. [Haughwout, Andrew] Fed Reserve Bank New York, New York, NY USA. RP Chan, SW (reprint author), NYU, Robert F Wagner Sch Publ Serv, 295 Lafayette St, New York, NY 10012 USA. EM sewin.chan@nyu.edu; michael.gedal@nyu.edu; vicki.been@nyu.edu; andrew.haughwout@ny.frb.org NR 46 TC 10 Z9 10 U1 0 U2 15 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2013 VL 22 IS 2 BP 100 EP 118 DI 10.1016/j.jhe.2013.03.003 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 168YX UT WOS:000320745000003 ER PT J AU Chien, Y Kim, M Song, J AF Chien, YiLi Kim, Minseong Song, Joon TI Perks in Long-term Contracts SO KOREAN ECONOMIC REVIEW LA English DT Article DE Perks; Hidden Saving; Moral Hazard; Dynamic Model; Principal-agent ID PRINCIPAL-AGENT PROBLEMS; COMPENSATION; ORGANIZATION; INFORMATION; INCENTIVES AB Perks are a commodity bundle offered by an employer to an employee. We provide two dynamic models. First, we assume non-separable utility function between effort and both of a perk good and money, extending Bennardo, Chiappori and Song (2010). There are two forces affecting the incentive compatibility constraint: higher promised utility makes the incentive compatibility constraint more binding, and if the higher promised utility is too costly then a principal may reduce the implemented effort. When the first effect is stronger than the second, the principal gives more perk good as successful outcomes accumulate. In the second model, an agent can save money privately (i.e. hidden saving), but not a perk good. Increasing monetary payment today makes it more difficult to satisfy the today's hidden saving constraint, but makes it easier to satisfy the yesterday's hidden saving constraint. When the second effect is larger than the first, the principal gives more perk as successful outcomes accumulate. C1 [Chien, YiLi] Fed Reserve Bank St Louis, St Louis, MO USA. [Kim, Minseong; Song, Joon] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea. RP Song, J (reprint author), Sungkyunkwan Univ, Dept Econ, Seoul, South Korea. EM yilichien@gmail.com; minseong@skku.edu; joonsong.econ@gmail.com NR 30 TC 0 Z9 0 U1 0 U2 3 PU KOREAN ECONOMIC ASSOCIATION PI SEOUL PA 156 JEOKSEON-DONG, GWANGHWAMUN PLATINUM BUILDING 501HO, JONGNO-GU, SEOUL, 110 052, SOUTH KOREA SN 0254-3737 J9 KOREAN ECON REV JI Korean Econ. Rev. PD SUM PY 2013 VL 29 IS 1 BP 161 EP 188 PG 28 WC Economics SC Business & Economics GA 173NA UT WOS:000321085000008 ER PT J AU Akay, O Senyuz, Z Yoldas, E AF Akay, Ozgur (Ozzy) Senyuz, Zeynep Yoldas, Emre TI Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Hedge fund; Contagion; Risk-adjusted return; Dynamic factor models; Funding liquidity; Flight to safety ID ECONOMETRIC-MODEL; BUSINESS-CYCLE; PERFORMANCE; LIQUIDITY; STRATEGY; STOCK AB We provide an empirical analysis of two important phenomena influencing the hedge fund industry-contagion and time variation in risk adjusted return (alpha)-in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in hedge fund style index returns and model its time-varying behavior using a dynamic factor framework featuring Markov regime-switching. We find that three regimes-crash, low mean and high mean-are necessary to provide a complete description of joint hedge fund return dynamics. We also document significant time variation in the alpha generating ability of all hedge fund investment styles. The period following the stock market crash of 2000 is dominated by the persistent low return state while the long bull market of 1990s is associated with the strongest performance of the industry generating high positive returns. We also investigate drivers of the regime shifts in the common latent pricing factor and find that both flight to safety and large funding liquidity shocks play an important role in explaining the abrupt shift of the common factor to the crash state. Published by Elsevier B.V. C1 [Akay, Ozgur (Ozzy)] Texas Tech Univ, Lubbock, TX 79409 USA. [Senyuz, Zeynep; Yoldas, Emre] Fed Reserve Board, Washington, DC USA. RP Yoldas, E (reprint author), Fed Reserve Board, Washington, DC USA. EM Ozzy.Akay@treasury.gov; Zeynep.Senyuz@frb.gov; Emre.Yoldas@frb.gov NR 34 TC 3 Z9 3 U1 4 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD JUN PY 2013 VL 22 BP 16 EP 29 DI 10.1016/j.jempfin.2013.02.005 PG 14 WC Business, Finance; Economics SC Business & Economics GA 165MS UT WOS:000320488600002 ER PT J AU Baele, L Londono, JM AF Baele, Lieven Londono, Juan M. TI Understanding industry betas SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Industry betas; Component models; DCC-MIDAS; Dispersion in betas; Stock return predictability; Minimum variance strategies ID GROWTH OPTIONS; BUSINESS-CYCLE; PRICE DYNAMICS; CROSS-SECTION; RISK; RETURNS; MODELS; VOLATILITY; EQUITY; HETEROSKEDASTICITY AB This paper models and explains the dynamics of market betas for 30 US industry portfolios between 1970 and 2009. We use DCC-MIDAS and kernel regression techniques as alternatives to the standard ex-post measures. We find betas to exhibit substantial persistence, time variation, ranking variability, and heterogeneity in their business cycle exposure. While we find only a limited amount of structural breaks in the betas of individual industries, we do identify a common structural break in March 1998. We propose two practical applications to understand the economic significance of these results. We find the cross-sectional dispersion in industry betas to be countercyclical and negatively related to future market returns. We also find DCC-MIDAS betas to outperform other beta measures in terms of limiting the downside risk and ex-post market exposure of a market-neutral minimum-variance strategy. (c) 2013 Elsevier B.V. All rights reserved. C1 [Baele, Lieven] Tilburg Univ, Dept Finance, CentER, NL-5000 LE Tilburg, Netherlands. [Baele, Lieven] Tilburg Univ, Netspar, NL-5000 LE Tilburg, Netherlands. [Londono, Juan M.] Fed Reserve Board, Int Finance Div, Washington, DC USA. RP Baele, L (reprint author), Tilburg Univ, Dept Finance, CentER, NL-5000 LE Tilburg, Netherlands. EM Lieven.Baele@uvt.nl; juan-miguel.londono-yarce@frb.gov NR 33 TC 1 Z9 1 U1 5 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD JUN PY 2013 VL 22 BP 30 EP 51 DI 10.1016/j.jempfin.2013.02.003 PG 22 WC Business, Finance; Economics SC Business & Economics GA 165MS UT WOS:000320488600003 ER PT J AU Coughlin, CC Novy, D AF Coughlin, Cletus C. Novy, Dennis TI Is the International Border Effect Larger than the Domestic Border Effect? Evidence from US Trade SO CESIFO ECONOMIC STUDIES LA English DT Article DE International border; intranational home bias; domestic border; gravity; trade costs; distance ID INTRANATIONAL HOME BIAS; NATIONAL BORDERS; EUROPEAN-UNION; EXPORTS; NETWORKS; GRAVITY; MATTER; PRODUCTIVITY; INTEGRATION; GEOGRAPHY AB Many studies have found that international borders represent large barriers to trade. But how do international borders compare to domestic border barriers? We investigate international and domestic border barriers in a unified framework. We consider a data set of exports from individual US states to foreign countries and combine it with trade flows between and within US states. After controlling for distance and country size, we estimate that relative to state-to-state trade, crossing an individual US state's domestic border appears to entail a larger trade barrier than crossing the international US border. Due to the absence of governmental impediments to trade within the United States, this result is surprising. We interpret it as highlighting the concentration of economic activity and trade flows at the local level. (JEL codes: F10, F15). C1 [Coughlin, Cletus C.] Fed Reserve Bank St Louis, Off President, St Louis, MO 63166 USA. [Novy, Dennis] Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England. [Novy, Dennis] Univ Warwick, Ctr Competit Adv Global Econ CAGE, Coventry CV4 7AL, W Midlands, England. RP Coughlin, CC (reprint author), Fed Reserve Bank St Louis, Off President, POB 442, St Louis, MO 63166 USA. EM coughlin@stls.frb.org; d.novy@warwick.ac.uk RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 41 TC 5 Z9 5 U1 3 U2 7 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1610-241X J9 CESIFO ECON STUD JI CESifo Econ. Stud. PD JUN PY 2013 VL 59 IS 2 BP 249 EP 276 DI 10.1093/cesifo/ifs002 PG 28 WC Economics SC Business & Economics GA 161YK UT WOS:000320230100004 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI Do vouchers lead to sorting under random private school selection? Evidence from the Milwaukee voucher program SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE Vouchers; Sorting; Cream skimming ID EDUCATIONAL VOUCHERS; PUBLIC-SCHOOLS; FINANCIAL-AID; COMPETITION; CHOICE; STRATIFICATION AB This paper analyzes the impact of voucher design on student sorting in the application and enrollment phases of parental choice. Much of the existing literature investigates the question of sorting where private schools can screen students. However, the publicly funded U.S. voucher programs require private schools to accept all students unless oversubscribed and to pick students randomly if oversubscribed. In the context of a theoretical model, this paper argues that this feature coupled with the absence of topping up of vouchers can preclude sorting by income in the application stage, although there is still sorting by ability. This design can avert sorting by ability in the enrollment stage, but revelation of new monetary costs can lead to sorting by income. Using a logit model and student level data from the Milwaukee voucher program for 1990-1994, this study finds robust evidence that this indeed has been the case in reality. (C) 2013 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org NR 29 TC 2 Z9 2 U1 2 U2 9 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 J9 ECON EDUC REV JI Econ. Educ. Rev. PD JUN PY 2013 VL 34 BP 191 EP 218 DI 10.1016/j.econedurev.2013.01.009 PG 28 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 164NW UT WOS:000320417800015 ER PT J AU Cipriani, M Giuliano, P Jeanne, O AF Cipriani, Marco Giuliano, Paola Jeanne, Olivier TI Like mother like son? Experimental evidence on the transmission of values from parents to children SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Cultural economics; Experimental economics; Cultural transmission; Economic values; Public goods game ID CULTURAL TRANSMISSION; TRUST; DYNAMICS; PREFERENCES; ALTRUISM AB This paper studies whether prosocial values are transmitted from parents to their children. We do so through an economic experiment in which children and their parents play a standard public goods game. The experimental data presents us with a surprising result. While we find significant heterogeneity in cooperative preferences in both parents and children, we cannot reject the null that the correlation between the degree of cooperation of a child and that of his or her parent is zero. That is, there is lack of evidence in our data that prosocial values are transmitted from parents to children. This finding is robust to the inclusion of demographic and socio-economic controls. Finally, parents show a significant degree of conditional cooperation, thus confirming the results of the existing experimental literature; such conditional cooperation is however absent in children. (C) 2013 Elsevier B.V. All rights reserved. C1 [Cipriani, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Giuliano, Paola] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA USA. [Jeanne, Olivier] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. RP Cipriani, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM marco.cipriani@ny.frb.org; paola.giuliano@anderson.ucla.edu; ojeanne@jhu.edu RI Giuliano, Paola/J-3159-2013 NR 35 TC 3 Z9 3 U1 2 U2 22 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD JUN PY 2013 VL 90 BP 100 EP 111 DI 10.1016/j.jebo.2013.03.002 PG 12 WC Economics SC Business & Economics GA 164MK UT WOS:000320414000007 ER PT J AU Etula, E AF Etula, Erkko TI Broker-Dealer Risk Appetite and Commodity Returns SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article DE asset pricing; financial intermediaries; commodity prices; futures markets; risk appetite; limits of arbitrage ID FUTURES MARKETS; HEDGING PRESSURE; STOCK RETURNS; ASSET PRICES; EQUILIBRIUM; PREMIA; MODEL AB This article shows that the risk-bearing capacity of U.S. securities broker-dealers is an important determinant of risk premia in commodity derivatives markets where broker-dealers serve as counterparties to producers and consumers seeking to hedge commodity price risk. I capture the limits of arbitrage that govern these transactions within a simple asset pricing model, which predicts that the price of aggregate commodity risk decreases in the relative leverage of the broker-dealer sector. This prediction receives strong empirical support in the data. Fluctuations in broker-dealer risk-bearing capacity have particularly strong forecasting power for energy returns, both in-sample and out-of-sample. C1 Fed Reserve Bank New York, New York, NY USA. RP Etula, E (reprint author), Fed Reserve Bank New York, New York, NY USA. EM etula@post.harvard.edu NR 42 TC 15 Z9 15 U1 0 U2 12 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 EI 1479-8417 J9 J FINANC ECONOMET JI J. Financ. Econom. PD SUM PY 2013 VL 11 IS 3 BP 486 EP 521 DI 10.1093/jjfinec/nbs024 PG 36 WC Business, Finance; Economics SC Business & Economics GA 164ZZ UT WOS:000320453300002 ER PT J AU Molloy, R Shan, H AF Molloy, Raven Shan, Hui TI The Postforeclosure Experience of US Households SO REAL ESTATE ECONOMICS LA English DT Article ID MORTGAGE DEFAULT AB Despite the recent flood of foreclosures on residential mortgages, little is known about what happens to borrowers' households after their mortgages have been foreclosed. We study the postforeclosure experience of U.S. households using a unique data set based on the credit reports of a large panel of individuals from 1999 to 2010. Although foreclosure considerably raises the probability of moving, the majority of postforeclosure migrants do not end up in substantially less desirable neighborhoods or more crowded living conditions. These results suggest that, on average, foreclosure does not impose an economic burden large enough to severely reduce housing consumption. C1 [Molloy, Raven] Fed Reserve Board Governors, Washington, DC 20551 USA. [Shan, Hui] Goldman Sachs, New York, NY 10282 USA. RP Molloy, R (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM raven.s.molloy@frb.gov; huishan79@gmail.com NR 32 TC 5 Z9 5 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2013 VL 41 IS 2 BP 225 EP 254 DI 10.1111/j.1540-6229.2012.00344.x PG 30 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 165HD UT WOS:000320473300001 ER PT J AU Canova, F Lopez-Salido, D Michelacci, C AF Canova, Fabio Lopez-Salido, David Michelacci, Claudio TI The Ins and Outs of Unemployment: An Analysis Conditional on Technology Shocks SO ECONOMIC JOURNAL LA English DT Article ID LONG-RUN RESTRICTIONS; AGGREGATE FLUCTUATIONS; BUSINESS-CYCLE; PRODUCTIVITY; VACANCIES; DYNAMICS; DEMAND; GROWTH; FLOWS; VARS AB We analyse how unemployment, job-finding and job-separation rates react to neutral and investment-specific technology shocks. Neutral shocks increase unemployment and explain a substantial portion of it volatility; investment-specific shocks expand employment and hours worked and contribute to hours worked volatility. Movements in the job-separation rates are responsible for the impact response of unemployment while job-finding rates for movements along its adjustment path. The evidence warns against using models with exogenous separation rates and challenges the conventional way of modelling technology shocks in search and sticky price models. C1 Fed Reserve Board, Washington, DC USA. [Michelacci, Claudio] CEMFI, Madrid 28014, Spain. RP Michelacci, C (reprint author), CEMFI, Casado del Alisal 5, Madrid 28014, Spain. EM c.michelacci@cemfi.es RI Canova, Fabio/H-3265-2015 OI Canova, Fabio/0000-0002-8782-4787 NR 56 TC 2 Z9 2 U1 0 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD JUN PY 2013 VL 123 IS 569 BP 515 EP 539 DI 10.1111/j.1468-0297.2012.02548.x PG 25 WC Economics SC Business & Economics GA 160IT UT WOS:000320113700001 ER PT J AU Duca, JV Murphy, A AF Duca, John V. Murphy, Anthony TI Would a Bagehot style corporate bond backstop have helped counter the Great Recession? SO ECONOMICS LETTERS LA English DT Article DE Corporate bond spread; Lender of last resort; Financial frictions; Great Recession AB In 2008, US corporate bond spreads almost reached Great Depression levels. The Fed was a lender of last resort in commercial paper, but not corporate bonds. The Fed's FRB/US macroeconomic model is used to simulate the effects of the Fed successfully capping the BBB-10 year Treasury spread at 100 basis points above the 1970-2006 average spread. The simulations suggest that real GDP might have been one percentage point higher and the unemployment rate one-half percentage point lower. (C) 2013 Elsevier B.V. All rights reserved, C1 [Duca, John V.; Murphy, Anthony] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. RP Murphy, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Anthony.Murphy@dal.frb.or NR 14 TC 1 Z9 1 U1 0 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUN PY 2013 VL 119 IS 3 BP 351 EP 353 DI 10.1016/j.econlet.2013.02.010 PG 3 WC Economics SC Business & Economics GA 148IS UT WOS:000319238600031 ER PT J AU Pierce, JR AF Pierce, Justin R. TI Antidumping Duties and Plant-Level Restructuring SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE Antidumping; Temporary protection; Restructuring ID PROTECTION; RESPONSES; GAP AB This paper examines the effect of antidumping duties on the restructuring activities of protected plants. Using a dataset that contains the full population of U.S. manufacturers, I find that protected plants increase their capital intensities modestly relative to unprotected plants, but only when antidumping duties have been in place for a sufficient duration. I find little effect of antidumping duties on a proxy for the skilled labor intensity of protected plants. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Pierce, JR (reprint author), Fed Reserve Syst, Board Governors, 20th St & C St NW, Washington, DC 20551 USA. EM justin.r.pierce@frb.gov NR 14 TC 0 Z9 0 U1 1 U2 9 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X J9 REV IND ORGAN JI Rev. Ind. Organ. PD JUN PY 2013 VL 42 IS 4 SI SI BP 435 EP 447 DI 10.1007/s11151-013-9386-8 PG 13 WC Economics; Management SC Business & Economics GA 151AY UT WOS:000319434200005 ER PT J AU Covitz, D Liang, N Suarez, GA AF Covitz, Daniel Liang, Nellie Suarez, Gustavo A. TI The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market SO JOURNAL OF FINANCE LA English DT Article ID BANKING PANICS; LIQUIDITY; RISK; DEPRESSION; MANAGEMENT; CONTAGION; FACILITY AB This paper documents runs on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors' degree of risk intolerance, and inform empirical predictions of recent papers on dynamic coordination failures. C1 [Covitz, Daniel; Liang, Nellie; Suarez, Gustavo A.] Fed Reserve Board, Washington, DC USA. RP Covitz, D (reprint author), Fed Reserve Board, Washington, DC USA. NR 36 TC 34 Z9 34 U1 2 U2 38 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 J9 J FINANC JI J. Financ. PD JUN PY 2013 VL 68 IS 3 BP 815 EP 848 DI 10.1111/jofi.12023 PG 34 WC Business, Finance; Economics SC Business & Economics GA 148WM UT WOS:000319279000002 ER PT J AU Banegas, A Gillen, B Timmermann, A Wermers, R AF Banegas, Ayelen Gillen, Ben Timmermann, Allan Wermers, Russ TI The cross section of conditional mutual fund performance in European stock markets SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE European equity markets; Mutual fund performance; Time-varying investment opportunities ID EMPIRICAL DECOMPOSITION; INDUSTRIAL-STRUCTURE; TRANSACTIONS COSTS; PICKING TALENT; RETURNS; STYLE; RISK; PREDICTABILITY; PERSISTENCE; EXPENSES AB This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance and that country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12-13% per year over the 1993-2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills. (C) 2013 Elsevier B.V. All rights reserved. C1 [Banegas, Ayelen] Div Monetary Affairs, Fed Reserve Board, Washington, DC 20551 USA. [Gillen, Ben] CALTECH, Pasadena, CA 91125 USA. [Timmermann, Allan] Univ Calif San Diego, Rady Sch Management, La Jolla, CA 92093 USA. [Wermers, Russ] Univ Maryland, Smith Sch Business, College Pk, MD 20742 USA. RP Wermers, R (reprint author), Univ Maryland, Smith Sch Business, College Pk, MD 20742 USA. EM rwermers@rhsmith.umd.edu NR 37 TC 12 Z9 12 U1 2 U2 25 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUN PY 2013 VL 108 IS 3 BP 699 EP 726 DI 10.1016/j.jfineco.2013.01.008 PG 28 WC Business, Finance; Economics SC Business & Economics GA 150CU UT WOS:000319368600008 ER PT J AU Jimenez, G Lopez, JA Saurina, J AF Jimenez, Gabriel Lopez, Jose A. Saurina, Jesus TI How does competition affect bank risk-taking? SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Bank competition; Franchise value; Lerner index; Credit risk; Financial stability ID MARKET POWER; CAPITAL REQUIREMENTS; INFORMATION; INDUSTRY; DEREGULATION; INSURANCE; EVOLUTION; QUALITY; IMPACT AB A common assumption in the academic literature and in the supervision of banking systems is that franchise value plays a key role in limiting bank risk-taking. As market power is the primary source of franchise value, reduced competition in banking markets has been seen as promoting banking stability. A recent paper by Martinez-Miera and Repullo (MMR, 2010) shows that a nonlinear relationship theoretically exists between bank competition and risk-taking in the loan market. We test this hypothesis using data from the Spanish banking system. After controlling for macroeconomic conditions and bank characteristics, we find support for this nonlinear relationship using standard measures of market concentration in both the loan and deposit markets. When direct measures of market power, such as Lerner indices, are used, the empirical results are more supportive of the original franchise value hypothesis, but only in the loan market. Overall, the results highlight the empirical relevance of the MMR model, even though further analysis across other banking markets is needed. Published by Elsevier B.V. C1 [Jimenez, Gabriel; Saurina, Jesus] Banco Espana, Madrid, Spain. [Lopez, Jose A.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Lopez, JA (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM gabriel.jimenez@bde.es; jose.a.lopez@sf.frb.org; jsaurina@bde.es NR 47 TC 27 Z9 27 U1 5 U2 21 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 J9 J FINANC STABIL JI J. Financ. Stab. PD JUN PY 2013 VL 9 IS 2 DI 10.1016/j.jfs.2013.02.004 PG 11 WC Business, Finance; Economics SC Business & Economics GA 146TS UT WOS:000319115700003 ER PT J AU Agarwal, S Driscoll, JC Laibson, DI AF Agarwal, Sumit Driscoll, John C. Laibson, David I. TI Optimal Mortgage Refinancing: A Closed-Form Solution SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G11; G21; mortgage; refinance; option value ID BACKED SECURITIES; INTEREST-RATES; OPTIMAL CALL; PREPAYMENT; VALUATION; DEFAULT; MODELS; MARKET AB We derive the first closed-form optimal refinancing rule: refinance when the current mortgage interest rate falls below the original rate by at least 1[phi+Wexp phi].In this formula W(.) is (the principal branch of) the Lambert W-function, =2+sigma, phi=1++/M(1),where is the real discount rate, is the expected real rate of exogenous mortgage repayment, sigma is the standard deviation of the mortgage rate, /M is the ratio of the tax-adjusted refinancing cost and the remaining mortgage value, and is the marginal tax rate. This expression is derived by solving a tractable class of refinancing problems. Our quantitative results closely match those reported by researchers using numerical methods. C1 [Agarwal, Sumit] Natl Univ Singapore, Singapore, Singapore. [Driscoll, John C.] Fed Reserve Board, San Francisco, CA USA. [Laibson, David I.] Harvard Univ, Cambridge, MA 02138 USA. [Laibson, David I.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Agarwal, S (reprint author), Natl Univ Singapore, Singapore, Singapore. EM ushakri@yahoo.com; John.C.Driscoll@frb.gov; dlaibson@harvard.edu RI Agarwal, Sumit/F-4836-2012 FU NIA NIH HHS [P01 AG005842, P30 AG034532] NR 45 TC 12 Z9 12 U1 3 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2013 VL 45 IS 4 BP 591 EP 622 DI 10.1111/jmcb.12017 PG 32 WC Business, Finance; Economics SC Business & Economics GA 147EW UT WOS:000319149500003 PM 25843977 ER PT J AU Chapman, JTE Martin, A AF Chapman, James T. E. Martin, Antoine TI Rediscounting under Aggregate Risk with Moral Hazard SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E58; G20; payment systems; money; open-market operations ID RESERVE FOLLOWING SEPTEMBER-11; PAYMENT SYSTEM DISRUPTIONS; LIQUIDITY; MODEL AB Freeman (1999) proposes a model in which discount window lending and open-market operations have different effects. This is important because in most of the literature these policies are indistinguishable. However, Freeman's argument that the central bank should absorb losses associated with default to provide risk sharing stands in stark contrast to the concern that central banks should limit their exposure to credit risk. We extend Freeman's model by introducing moral hazard. With moral hazard, the central bank should avoid absorbing losses and Freeman's argument breaks down. However, we show that policies resembling discount window lending and open-market operations can still be distinguished in this new framework. The optimal policy is for the central bank to make a restricted number of creditors compete for funds. By restricting the number of agents, the central bank can limit the moral hazard problem. By making them compete with each other, the central bank can exploit market information that reveals the state of the economy. C1 [Chapman, James T. E.] Bank Canada, Toronto, ON, Canada. [Martin, Antoine] Fed Reserve Bank New York, New York, NY USA. RP Chapman, JTE (reprint author), Bank Canada, Toronto, ON, Canada. EM jchapman@bankofcanada.ca; Antoine.Martin@ny.frb.org NR 20 TC 2 Z9 2 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2013 VL 45 IS 4 BP 651 EP 674 DI 10.1111/jmcb.12019 PG 24 WC Business, Finance; Economics SC Business & Economics GA 147EW UT WOS:000319149500005 ER PT J AU Gomis-Porqueras, P Sanches, D AF Gomis-Porqueras, Pedro Sanches, Daniel TI Optimal Monetary Policy in a Model of Money and Credit SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E4; E5; fiat money; private credit; costly record keeping; imperfect public information; optimal monetary policy ID SEARCH MODEL; PAYMENT; EXCHANGE; TAXATION AB We investigate the extent to which monetary policy can enhance the functioning of the private credit system. Specifically, we characterize the optimal return on money in the presence of credit arrangements. There is a dual role for credit: it allows buyers to trade without fiat money and also permits them to borrow against future income. However, not all traders have access to credit. As a result, there is a social role for fiat money because it allows agents to self-insure against the risk of not being able to use credit in some transactions. We consider a (nonlinear) monetary mechanism that is designed to enhance the credit system. An active monetary policy is sufficient for relaxing credit constraints. Finally, we characterize the optimal monetary policy and show that it necessarily entails a positive inflation rate. C1 [Gomis-Porqueras, Pedro] Monash Univ, Clayton, Vic 3800, Australia. [Sanches, Daniel] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Gomis-Porqueras, P (reprint author), Monash Univ, Clayton, Vic 3800, Australia. EM Pedro.Gomis@monash.edu; Daniel.Sanches@phil.frb.org NR 26 TC 5 Z9 5 U1 0 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2013 VL 45 IS 4 BP 701 EP 729 DI 10.1111/jmcb.12021 PG 29 WC Business, Finance; Economics SC Business & Economics GA 147EW UT WOS:000319149500007 ER PT J AU Orrenius, PM AF Orrenius, Pia M. TI How Do Tougher Immigration Measures Affect Unauthorized Immigrants?: Comment SO DEMOGRAPHY LA English DT Editorial Material C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Orrenius, Pia M.] IZA, Dallas, TX 75201 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Pia.Orrenius@dal.frb.org NR 6 TC 1 Z9 1 U1 1 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD JUN PY 2013 VL 50 IS 3 BP 1101 EP 1103 DI 10.1007/s13524-013-0207-3 PG 3 WC Demography SC Demography GA 142RT UT WOS:000318815500018 PM 23616195 ER PT J AU Dunn, A Liebman, E Pack, S Shapiro, AH AF Dunn, Abe Liebman, Eli Pack, Sarah Shapiro, Adam Hale TI Medical Care Price Indexes for Patients with Employer-Provided Insurance: Nationally Representative Estimates from MarketScan Data SO HEALTH SERVICES RESEARCH LA English DT Article ID SERVICES; GROWTH AB Objective Commonly observed shifts in the utilization of medical care services to treat diseases may pose problems for official price indexes at the Bureau of Labor Statistics (BLS) that do not account for service shifts. We examine how these shifts may lead to different price estimates than those observed in official price statistics at the BLS. Data Sources We use a convenience sample of enrollees with employer-provided insurance from the MarketScan database for the years 2003 to 2007. Population weights that consider the age, sex, and geographic distribution of enrollees are assigned to construct representative estimates. Study Design We compare two types of price indexes: (1) a Service Price Index (SPI) that is similar to the BLS index, which holds services fixed and measures the prices of the underlying treatments; (2) a Medical Care Expenditure Index (MCE) that measures the cost of treating diseases and allows for utilization shifts. Principal Findings Over the entire period of study the CAGR of the SPI grows 0.7 percentage points faster than the preferred MCE index. Conclusions Our findings suggest that the health component of inflation may be overstated by 0.7 percentage points per year, and real GDP growth may be understated by a similar amount. However, more work may be necessary to precisely replicate the indexes of the BLS to obtain a more accurate measure of these price differences. C1 [Dunn, Abe; Liebman, Eli; Pack, Sarah] Bur Econ Anal, Washington, DC 20230 USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dunn, A (reprint author), Bur Econ Anal, 1441 L St NW, Washington, DC 20230 USA. EM abe.dunn@bea.gov NR 15 TC 9 Z9 9 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0017-9124 J9 HEALTH SERV RES JI Health Serv. Res. PD JUN PY 2013 VL 48 IS 3 BP 1173 EP 1190 DI 10.1111/1475-6773.12008 PG 18 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA 141BR UT WOS:000318700900015 PM 23088562 ER PT J AU Klier, T Rubenstein, JM AF Klier, Thomas Rubenstein, James M. TI Restructuring of the US Auto Industry in the 2008-2009 Recession SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE auto industry; government policy; bankruptcy; recession AB After many years of declining fortunes, the Detroit Three carmakers were at risk of closure and liquidation during the severe recession of 2008-2009. Efforts by the Bush and Obama administrations to support the carmakers culminated in a government-managed reorganization of Chrysler and General Motors during 2009. As a result of the restructuring, the two carmakers emerged from bankruptcy protection with lower labor costs, higher capacity utilization, and a more concentrated geographic distribution of assembly plants. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL USA. [Rubenstein, James M.] Miami Univ, Oxford, OH 45056 USA. RP Rubenstein, JM (reprint author), Miami Univ, Dept Geog, 211 Shideler, Oxford, OH 45056 USA. EM rubensjm@miamioh.edu NR 46 TC 2 Z9 2 U1 2 U2 9 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 EI 1552-3543 J9 ECON DEV Q JI Econ. Dev. Q. PD MAY PY 2013 VL 27 IS 2 SI SI BP 144 EP 159 DI 10.1177/0891242413481243 PG 16 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 298CL UT WOS:000330301400006 ER PT J AU Owyang, MT Ramey, VA Zubairy, S AF Owyang, Michael T. Ramey, Valerie A. Zubairy, Sarah TI Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth-Century Historical Data SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 [Owyang, Michael T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Ramey, Valerie A.] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. [Zubairy, Sarah] Bank Canada, Ottawa, ON K1A OG9, Canada. RP Owyang, MT (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM michael.t.owyang@stls.frb.org; vramey@ucsd.edu; szubairy@bankofcanada.ca RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 9 TC 21 Z9 21 U1 2 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2013 VL 103 IS 3 BP 129 EP 134 DI 10.1257/aer.103.3.129 PG 6 WC Economics SC Business & Economics GA 197UN UT WOS:000322877000019 ER PT J AU Beshears, J Choi, JJ Fuster, A Laibson, D Madrian, BC AF Beshears, John Choi, James J. Fuster, Andreas Laibson, David Madrian, Brigitte C. TI What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting SO AMERICAN ECONOMIC REVIEW LA English DT Article ID NATURAL EXPECTATIONS C1 [Beshears, John] Stanford Grad Sch Business, Stanford, CA 94305 USA. [Choi, James J.] Yale Univ, Sch Management, New Haven, CT 06520 USA. [Fuster, Andreas] Fed Reserve Bank New York, New York, NY 10045 USA. [Laibson, David] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Madrian, Brigitte C.] Harvard Univ, Kennedy Sch, Cambridge, MA 02138 USA. RP Beshears, J (reprint author), Stanford Grad Sch Business, 655 Knight Way, Stanford, CA 94305 USA. EM beshears@stanford.edu; james.choi@yale.edu; andreas.fuster@ny.frb.org; dlaibson@harvard.edu; brigitte_madrian@harvard.edu RI Choi, James/D-4706-2012 FU NIA NIH HHS [R01 AG021650, P01 AG005842, P30 AG034532] NR 15 TC 4 Z9 4 U1 3 U2 21 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2013 VL 103 IS 3 BP 570 EP 574 DI 10.1257/aer.103.3.570 PG 5 WC Economics SC Business & Economics GA 197UN UT WOS:000322877000098 PM 25125700 ER PT J AU Andolfatto, D AF Andolfatto, David TI Incentive-feasible deflation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID SEARCH EQUILIBRIUM; SOCIETAL BENEFITS; ILLIQUID BONDS; FRIEDMAN RULE; MONEY; POLICY AB For competitive economies in which the real rate of return on money is too low, the standard prescription is to engineer a deflation that is, to operate monetary policy according to the Friedman rule. Implicit in this recommendation is the availability of a lump-sum tax instrument. In this paper, I view lump-sum tax obligations as a form of debt subject to default. While individuals may want to honor such obligations ex ante, a lack of commitment (the sine qua non of modern monetary theory) may prevent them from the following through on their promises ex post. When this is the case, there may exist an incentive-induced limit to deflationary policy. Published by Elsevier B.V. C1 [Andolfatto, David] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Andolfatto, David] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada. RP Andolfatto, D (reprint author), Simon Fraser Univ, Dept Econ, 8888 Univ Dr, Burnaby, BC V5A 1S6, Canada. EM david.andolfatto@stls.frb.org RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 13 TC 7 Z9 7 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2013 VL 60 IS 4 BP 383 EP 390 DI 10.1016/j.jmoneco.2013.03.002 PG 8 WC Business, Finance; Economics SC Business & Economics GA 173KM UT WOS:000321078400001 ER PT J AU Mandelman, FS AF Mandelman, Federico S. TI Monetary and exchange rate policy under remittance fluctuations SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Remittances; Small open economy; Exchange rate regimes ID REAL BUSINESS CYCLES; EQUILIBRIUM-MODELS; MEXICAN IMMIGRANTS; OPEN ECONOMIES; SHOCKS; CONSUMPTION; INSURANCE; RULES; COSTS AB Using data for the Philippines, I develop and estimate a heterogeneous agent model to analyze the role of monetary policy in a small open economy subject to sizable remittance fluctuations. I include "rule-of-thumb" households with no access to financial markets and test whether remittances are countercyclical and serve as an insurance mechanism against macroeconomic shocks. When evaluating the welfare implications of alternative monetary rules, I consider both an anticipated large secular increase in the trend growth of remittances and random cyclical fluctuations around this trend. In a purely deterministic framework, a nominal fixed exchange rate regime avoids a rapid real appreciation and performs better for recipient households facing an increasing trend for remittances. A flexible floating regime is preferred when unanticipated shocks driving the business cycle are also part of the picture. (C) 2012 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Federico.Mandelman@atl.frb.org NR 42 TC 6 Z9 6 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD MAY PY 2013 VL 102 SI SI BP 128 EP 147 DI 10.1016/j.jdeveco.2012.02.006 PG 20 WC Economics SC Business & Economics GA 151SM UT WOS:000319480500010 ER PT J AU Amiti, M Khandelwal, AK AF Amiti, Mary Khandelwal, Amit K. TI IMPORT COMPETITION AND QUALITY UPGRADING SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID TRADE LIBERALIZATION; PRODUCT QUALITY; ECONOMIC-DEVELOPMENT; INTERMEDIATE INPUTS; GROWTH; FIRMS; INNOVATION; PRICES; DIFFERENTIATION; EXPORTS AB The production of high-quality goods is often viewed as a precondition for export success and economic development. We provide the first evidence that countries' import tariffs affect the rate at which they upgrade product quality. Our analysis uses highly disaggregated data covering exports from 56 countries across 10,000 products to the United States using a novel approach to measure quality. As predicted by distance-to-the-frontier models, we find that lower tariffs are associated with quality upgrading for products close to the world quality frontier, whereas lower tariffs discourage quality upgrading for products distant from the frontier. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Khandelwal, Amit K.] Columbia Business Sch, New York, NY USA. [Khandelwal, Amit K.] NBER, Cambridge, MA 02138 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 51 TC 27 Z9 27 U1 5 U2 35 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2013 VL 95 IS 2 BP 476 EP 490 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 148GK UT WOS:000319232300010 ER PT J AU Elsby, MWL Hobijn, B Sahin, A AF Elsby, Michael W. L. Hobijn, Bart Sahin, Ayseguel TI UNEMPLOYMENT DYNAMICS IN THE OECD SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID LABOR-MARKET; CYCLICAL BEHAVIOR; JOB FLOWS; US; FLUCTUATIONS; SEPARATION; DURATION; TURNOVER; EUROPE; WORKER AB We provide a set of comparable estimates for the rates of inflow to and outflow from unemployment using publicly available data for fourteen OECD economies. Using a novel decomposition that allows for deviations of unemployment from its flow steady state, we find that fluctuations in both inflow and outflow rates contribute substantially to unemployment variation within countries. Anglo-Saxon economies exhibit approximately a 15:85 inflow-outflow split to unemployment variation, while continental European and Nordic countries display closer to a 45:55 split. In all economies, increases in inflows lead increases in unemployment, whereas outflows lag a ramp-up in unemployment. C1 [Elsby, Michael W. L.] Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. [Hobijn, Bart] Vrije Univ Amsterdam, Fed Reserve Bank San Francisco, Amsterdam, Netherlands. [Hobijn, Bart] Tinbergen Inst, Amsterdam, Netherlands. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Elsby, MWL (reprint author), Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. NR 51 TC 35 Z9 35 U1 3 U2 14 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2013 VL 95 IS 2 BP 530 EP 548 DI 10.1162/REST_a_00277 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 148GK UT WOS:000319232300014 ER PT J AU Liu, Z Wang, PF Zha, T AF Liu, Zheng Wang, Pengfei Zha, Tao TI Land-Price Dynamics and Macroeconomic Fluctuations SO ECONOMETRICA LA English DT Article DE Land prices; co-movements; competing demand for land; collateral channel; reallocation channel ID MONETARY-POLICY; BUSINESS-CYCLE; CORPORATE-INVESTMENT; UNITED-STATES; CREDIT CYCLES; DSGE APPROACH; SHOCKS; CONSEQUENCES; CONSTRAINTS; MODEL AB We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy. We develop an economic mechanism that captures the co-movements by incorporating two key features into a DSGE model: We introduce land as a collateral asset in firms' credit constraints, and we identify a shock that drives most of the observed fluctuations in land prices. Our estimates imply that these two features combine to generate an empirically important mechanism that amplifies and propagates macroeconomic fluctuations through the joint dynamics of land prices and business investment. C1 [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Wang, Pengfei] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. [Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. [Zha, Tao] NBER, Cambridge, MA 02138 USA. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM zliu001@gmail.com; pfwang@ust.hk; zmail@tzha.net OI Wang, Pengfei/0000-0002-8686-4787 FU Hong Kong Research Grant Council [643908]; National Science Foundation [1127665] FX We are grateful to four referees and the editor for instrumental comments and suggestions, which have led to a significant improvement of this paper. An earlier version of this paper was entitled "Do Credit Constraints Amplify Macroeconomic Fluctuations?" (Liu, Wang, and Zha (2009a)). For helpful discussions, we thank Susanto Basu, Larry Christiano, Russell Cooper, Morris Davis, Steve Durlauf, Marty Eichenbaum, John Fernald, Kris Gerardi, Mark Gertler, Simon Gilchrist, Mike Golosov, Pat Higgins, Matteo Iacoviello, Nobu Kiyotaki, Dirk Krueger, Junior Maih, Jim Nason, Lee Ohanian, Alberto Oritz-Bolanos, Sergio Rebelo, Richard Rogerson, Julio Rotemberg, Tom Sargent, Frank Schorfheide, Chris Sims, Mark Spiegel, Harald Uhlig, Dan Waggoner, Carl Walsh, Yi Wen, John Williams, and seminar participants at Federal Reserve Banks of Atlanta and San Francisco, the 2009 NBER Summer Workshop on Impulse and Propagation Mechanisms, University of Pennsylvania, University of Wisconsin, Georgetown University, UCLA, UCSD, UC Riverside, UC Santa Cruz, UC Davis, USC, the European University Institute, Banque de France, Bank of New Zealand Conference on Twenty Years of Inflation Targeting. We thank David Lang, Jacob Smith, and Diego Vilan for research assistance, and Anita Todd and Sam Zuckerman for editorial assistance. Wang acknowledges the financial support from Hong Kong Research Grant Council (Project 643908). Zha thanks the National Science Foundation for research support (Grant 1127665). The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Banks of Atlanta and San Francisco or the Federal Reserve System or the National Bureau of Economic Research. NR 60 TC 44 Z9 44 U1 2 U2 33 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD MAY PY 2013 VL 81 IS 3 BP 1147 EP 1184 DI 10.3982/ECTA8994 PG 38 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 146AZ UT WOS:000319062500008 ER PT J AU Mora, N AF Mora, Nada TI THE BANK LENDING CHANNEL IN A PARTIALLY DOLLARIZED ECONOMY SO JOURNAL OF APPLIED ECONOMICS LA English DT Article DE monetary policy; bank lending channel; dollarization ID MONETARY-POLICY; TRANSMISSION; MODEL AB This paper studies the transmission of monetary policy through the bank-lending channel in a partially dollarized banking system. Taking advantage of the cross-sectional and time-series variation in individual Mexican bank balance sheets, I find that the deposits and loans of banks that have a larger share of foreign currency deposits are less sensitive to domestic monetary shocks, particularly for small banks. The results also suggest that banks with a larger foreign deposit share are more sensitive to foreign (U. S.) monetary shocks and Mexican country risk. The results indicate a novel way in which monetary policy has real effects in a partially dollarized economy: Not only are banks unable to easily replace insured deposits with other sources of funds because of information frictions (the conventional bank lending channel), but they are also unable to fully offset a loss of domestic currency deposits with foreign currency deposits. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Mora, N (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM nada.mora@kc.frb.org NR 31 TC 1 Z9 1 U1 1 U2 4 PU UNIV CEMA PI BUENOS AIRES PA AV CORDOBA 374, BUENOS AIRES, C1054AAP, ARGENTINA SN 1514-0326 J9 J APPL ECON JI J. Appl. Econ. PD MAY PY 2013 VL 16 IS 1 BP 121 EP 151 PG 31 WC Economics SC Business & Economics GA 147XH UT WOS:000319203700006 ER PT J AU Balke, NS Ma, J Wohar, ME AF Balke, Nathan S. Ma, Jun Wohar, Mark E. TI The contribution of economic fundamentals to movements in exchange rates SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Bayesian analysis; Exchange rate decomposition; Monetary model; State-space model ID MONETARY MODEL; MONEY DEMAND; PARITY; FIT AB Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary fundamentals-money minus output differentials across countries-and exchange rates. We use additional data on interest rate and price differentials along with the implications of the monetary model of exchange rates to decompose exchange rate fluctuations. In general, we find that money demand shifts, along with observed monetary fundamentals, are an important contributor to exchange rate fluctuations. (C) 2012 Elsevier B.V. All rights reserved. C1 [Balke, Nathan S.] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. [Balke, Nathan S.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Ma, Jun] Univ Alabama, Culverhouse Coll Commerce & Business Adm, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA. [Wohar, Mark E.] Univ Nebraska, Dept Econ, Omaha, NE 68182 USA. RP Balke, NS (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. EM nbalke@mail.smu.edu; jma@cba.ua.edu; mwohar@mail.unomaha.edu NR 27 TC 5 Z9 5 U1 0 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2013 VL 90 IS 1 BP 1 EP 16 DI 10.1016/j.jinteco.2012.10.003 PG 16 WC Economics SC Business & Economics GA 142ZQ UT WOS:000318836500001 ER PT J AU Guerron-Quintana, PA AF Guerron-Quintana, Pablo A. TI Common and idiosyncratic disturbances in developed small open economies SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Common trends; Country-specific shocks; DSGE model; Variance decomposition; Impulse responses ID REAL EXCHANGE-RATE; WORLD BUSINESS CYCLES; DSGE MODELS; FLUCTUATIONS; SHOCKS; MULTICOUNTRY; VOLATILITY; COUNTRIES; TRADE AB Using an estimated dynamic stochastic general equilibrium model, I show that shocks to a common international stochastic trend explain on average about 10% of the variability of output in several small developed economies. These shocks explain roughly twice as much of the volatility of consumption growth as the volatility of output growth. When the model is expanded to include a common stationary productivity shock, the model attributes around 23% of the variability of output to those international common innovations. Country-specific disturbances account for the bulk of the volatility in the data. Substantial heterogeneity in the estimated parameters and stochastic processes translates into a rich array of impulse responses across countries. Published by Elsevier B.V. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Guerron-Quintana, PA (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM pablo.guerron@phil.frb.org NR 46 TC 3 Z9 3 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2013 VL 90 IS 1 BP 33 EP 49 DI 10.1016/j.jinteco.2012.10.002 PG 17 WC Economics SC Business & Economics GA 142ZQ UT WOS:000318836500003 ER PT J AU Bown, CP Crowley, MA AF Bown, Chad P. Crowley, Meredith A. TI Import protection, business cycles, and exchange rates: Evidence from the Great Recession SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Antidumping; Safeguards; Temporary trade barriers; US; EU; Macroeconomic fluctuations ID ENDOGENOUS PROTECTION; UNITED-STATES; TRADE; SALE AB This paper estimates the impact of macroeconomic fluctuations on import protection policies over 1988:Q1-2010:Q4 for five industrialized economies - the United States, European Union, Australia, Canada and South Korea. We find evidence of a strong countercyclical trade policy response in the pre-Great Recession period of 1988:Q1-2008:Q3 during which increases in domestic unemployment rates, real appreciations in bilateral exchange rates, and declines in the GDP growth rates of bilateral trading partners led to substantial increases in new temporary trade barriers. We then apply this pre-Great Recession empirical model to realized macroeconomic data from 2008:Q4 to 2010:Q4 and find that it predicts a surge of new import protection during the Great Recession - e.g., for the US and EU, the model predicts that new trade barriers would cover an additional 15 percentage points of nonoil imports, well above the baseline level of 2-3% of import coverage immediately preceding the crisis. Finally, we examine why the realized trade policy response differed from model predictions. While exchange rate movements played an important role in limiting new import protection during the Great Recession, we provide evidence of one particularly important change in trade policy responsiveness; i.e., in this period, governments refrained from imposing new temporary trade barriers against foreign trading partners experiencing their own weak or negative economic growth. (C) 2012 Elsevier B.V. All rights reserved. C1 [Bown, Chad P.] World Bank, Dev Res Grp, Trade & Int Integrat DECTI, Washington, DC 20433 USA. [Crowley, Meredith A.] Fed Reserve Bank Chicago, Econ Res, Chicago, IL 60604 USA. RP Bown, CP (reprint author), World Bank, Dev Res Grp, Trade & Int Integrat DECTI, 1818 H St NW,MSN MC3-303, Washington, DC 20433 USA. EM cbown@worldbank.org; crowley.meredith@gmail.com NR 37 TC 25 Z9 25 U1 1 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2013 VL 90 IS 1 BP 50 EP 64 DI 10.1016/j.jinteco.2012.12.001 PG 15 WC Economics SC Business & Economics GA 142ZQ UT WOS:000318836500004 ER PT J AU Gale, D Yorulmazer, T AF Gale, Douglas Yorulmazer, Tanju TI Liquidity hoarding SO THEORETICAL ECONOMICS LA English DT Article DE Interbank market; fire sale; market freeze; cash-in-the-market pricing; central bank ID INTERBANK MARKETS; FINANCIAL CRISES; BANKING; MODEL; RISK AB Costly bankruptcy and incomplete markets cause inefficient liquidity hoarding. Banks are unable to trade contingent claims to liquidity, so they raise cash by selling illiquid assets on spot markets. Such trading increases asset-price volatility and creates the incentive to hoard liquidity. Hoarding creates a second inefficiency: the aggregate level of liquidity is inefficient too. A lender of last resort can implement the constrained-efficient allocation, but only if it intervenes so aggressively that it shuts down the private provision of liquidity altogether, becoming in effect the lender of first resort. C1 [Gale, Douglas] NYU, Dept Econ, New York, NY 10003 USA. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY USA. RP Gale, D (reprint author), NYU, Dept Econ, New York, NY 10003 USA. EM douglas.gale@nyu.edu; tanju.yorulmazer@ny.frb.org OI Gale, Douglas/0000-0003-1099-7732 NR 37 TC 8 Z9 8 U1 2 U2 21 PU ECONOMETRIC SOCIETY PI NEW YORK PA NEW YORK UNIV, DEPT ECONOMICS, 19 W 4 ST, NEW YORK, NY 10012 USA SN 1933-6837 J9 THEOR ECON JI Theor. Econ. PD MAY PY 2013 VL 8 IS 2 BP 291 EP 324 DI 10.3982/TE1064 PG 34 WC Economics SC Business & Economics GA 146FY UT WOS:000319076500003 ER PT J AU Nannicini, T Stella, A Tabellini, G Troiano, U AF Nannicini, Tommaso Stella, Andrea Tabellini, Guido Troiano, Ugo TI Social Capital and Political Accountability SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID CONGRESSIONAL ELECTIONS; VOTING-BEHAVIOR; INSTITUTIONS; CORRUPTION; CULTURE; CHARGES; TRUST; WORK AB We investigate a channel through which social capital may improve economic well-being and the functioning of institutions: political accountability. The main idea is that voters who share values and beliefs that foster cooperation are more likely to vote based on criteria of social welfare rather than narrow personal interest. We frame this intuition into a simple model of political agency and take it to the data using information on the criminal prosecutions and absenteeism rates of Italian members of Parliament. Empirical evidence shows that the electoral punishment of these misbehaviors is considerably larger in districts with higher social capital. C1 [Nannicini, Tommaso; Tabellini, Guido] Bocconi Univ, Dept Econ, I-20136 Milan, Italy. [Stella, Andrea] Fed Reserve Board, Washington, DC 20551 USA. [Troiano, Ugo] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. RP Nannicini, T (reprint author), Bocconi Univ, Dept Econ, Via Rontgen 1, I-20136 Milan, Italy. EM tommaso.nannicini@unibocconi.it; andrea.stella@frb.gov; guido.tabellini@unibocconi.it; troiano@fas.harvard.edu NR 38 TC 24 Z9 25 U1 3 U2 34 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD MAY PY 2013 VL 5 IS 2 BP 222 EP 250 DI 10.1257/pol.5.2.222 PG 29 WC Economics SC Business & Economics GA 137JM UT WOS:000318431900008 ER PT J AU D'Amico, S King, TB AF D'Amico, Stefania King, Thomas B. TI Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Yield curve; Quantitative easing; LSAP; Preferred habitat; Limits of arbitrage ID SPECIAL REPO RATES; TERM STRUCTURE; OPERATION TWIST; POLICY; ARBITRAGE; LIQUIDITY; MARKET; SECURITIES; LIMITS AB The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure. Using security-level data on Treasury prices and quantities during the course of this program, we document a 'local supply' effect in the yield curve yields within a particular maturity sector responded more to changes in the amounts outstanding in that sector than to similar changes in other sectors. We find that this phenomenon was responsible for a persistent downward shift in yields averaging about 30 basis points over the course of the program (the "stock effect"). In addition, except at very long maturities, purchase operations caused an average decline in yields in the sector purchased of 3.5 basis points on the days when those operations occurred (the "flow effect"). The sensitivity of our results to security characteristics generally supports a view of segmentation or imperfect substitution within the Treasury market during this time. Published by Elsevier B.V. C1 [D'Amico, Stefania; King, Thomas B.] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP King, TB (reprint author), Fed Reserve Board, Div Monetary Affairs, 20th & C St NW, Washington, DC 20551 USA. EM thomas.king@frb.gov NR 35 TC 43 Z9 44 U1 2 U2 28 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAY PY 2013 VL 108 IS 2 BP 425 EP 448 DI 10.1016/j.jfineco.2012.11.007 PG 24 WC Business, Finance; Economics SC Business & Economics GA 136SH UT WOS:000318383200008 ER PT J AU Davis, SJ Faberman, RJ Haltiwanger, JC AF Davis, Steven J. Faberman, R. Jason Haltiwanger, John C. TI THE ESTABLISHMENT-LEVEL BEHAVIOR OF VACANCIES AND HIRING SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID EMPIRICAL-ANALYSIS; MATCHING FUNCTION; LABOR-MARKET; EQUILIBRIUM UNEMPLOYMENT; EMPLOYER SEARCH; WAGE; DURATION; DYNAMICS; DEMAND; RATES AB This paper is the first to study vacancies, hires, and vacancy yields at the establishment level in the Job Openings and Labor Turnover Survey, a large sample of US employers. To interpret the data, we develop a simple model that identifies the flow of new vacancies and the job-filling rate for vacant positions. The fill rate moves counter to aggregate employment but rises steeply with employer growth rates in the cross section. It falls with employer size, rises with worker turnover rates, and varies by a factor of four across major industry groups. We also develop evidence that the employer-level hiring technology exhibits mild increasing returns in vacancies, and that employers rely heavily on other instruments, in addition to vacancies, as they vary hires. Building from our evidence and a generalized matching function, we construct a new index of recruiting intensity (per vacancy). Recruiting intensity partly explains the recent breakdown in the standard matching function, delivers. a better-fitting empirical Beveridge curve, and accounts for a large share of fluctuations in aggregate hires. Our evidence and analysis provide useful inputs for assessing, developing, and calibrating theoretical models of search, matching, and hiring in the labor market. JEL Codes: D21, E24, J60. C1 [Davis, Steven J.] Univ Chicago, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Univ Maryland, College Pk, MD 20742 USA. RP Davis, SJ (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 49 TC 30 Z9 30 U1 1 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD MAY PY 2013 VL 128 IS 2 BP 581 EP 622 DI 10.1093/qje/qjt002 PG 42 WC Economics SC Business & Economics GA 136PU UT WOS:000318376700003 ER PT J AU James, JA McAndrews, J Weiman, DF AF James, John A. McAndrews, James Weiman, David F. TI Wall Street and Main Street: the macroeconomic consequences of New York bank suspensions, 1866-1914 SO CLIOMETRICA LA English DT Article DE Financial crises; National banking system; Panics; Payments system; Suspension of payments ID UNITED-STATES; MONETARY TRANSMISSION; PAYMENTS SYSTEM; CLEARINGHOUSES; LIQUIDITY; FAILURES; PRICES; CHECKS AB Before the formation of the Federal Reserve, banking panics were routine events in the United States. During the most severe episodes, banks in cities across the country would often suspend or restrict the par convertibility of their demand deposit liabilities. In diagnosing the causes of the Great Depression, Friedman and Schwartz famously regard these local initiatives as a second best solution, which in the absence of an effective lender of last resort would have prevented the rash of bank failures during the early 1930s and their dire monetary and real impacts. Recent research in macroeconomics though has raised the possibility that banks' suspension of payments might also have negative real effects albeit through changes in aggregate supply such as the financing of working capital. We would expect to observe these negative shocks during the pre-Fed era, because the decentralized, private interbank payments network was especially vulnerable to systemic disruptions such as suspensions by New York and other money center banks. Reports in national trade periodicals and local newspapers during suspension periods offer many accounts of factories closing because of the inability to obtain currency for weekly payrolls and "domestic exchange" to finance internal trade. We corroborate these observations with more systematic econometric evidence at the national and regional levels. Our results show that controlling for the overall contraction and bank failures, suspension periods were associated with a statistically significant and quantitatively large decline in real activity, on the order of 10-20 %. C1 [James, John A.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [McAndrews, James] Fed Reserve Bank New York, New York, NY 10045 USA. [Weiman, David F.] Barnard Coll, Dept Econ, New York, NY USA. RP James, JA (reprint author), Univ Virginia, Dept Econ, POB 400182, Charlottesville, VA 22904 USA. EM jaj8y@virginia.edu NR 81 TC 5 Z9 5 U1 2 U2 14 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1863-2505 J9 CLIOMETRICA JI Cliometrica PD MAY PY 2013 VL 7 IS 2 BP 99 EP 130 DI 10.1007/s11698-012-0083-x PG 32 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 133XO UT WOS:000318174400001 ER PT J AU Dorn, S Egger, PH AF Dorn, Sabrina Egger, Peter H. TI Fixed currency regimes and the time pattern of trade effects SO ECONOMICS LETTERS LA English DT Article DE Currency unions; Bilateral trade; Treatment effects; Stratified matching AB This paper assesses duration-specific treatment effects of fixed currency regimes on bilateral trade along a duration path of up to 25 years. We find that country-pairs with fixed exchange rate regimes trade more, but only after about 8 years. (C) 2013 Elsevier ay. All rights reserved. C1 [Dorn, Sabrina; Egger, Peter H.] ETH, KOF, CH-8092 Zurich, Switzerland. [Egger, Peter H.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Egger, PH (reprint author), ETH, KOF, Weinbergstr 35,WEH E6, CH-8092 Zurich, Switzerland. EM dorn@kof.ethz.ch; egger@kof.ethz.ch NR 8 TC 1 Z9 1 U1 0 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAY PY 2013 VL 119 IS 2 BP 120 EP 123 DI 10.1016/j.econlet.2013.01.017 PG 4 WC Economics SC Business & Economics GA 133JT UT WOS:000318135400004 ER PT J AU Owyang, MT Zubairy, S AF Owyang, Michael T. Zubairy, Sarah TI Who benefits from increased government spending? A state-level analysis SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Fiscal policy; Structural VAR; Government spending ID MONETARY-POLICY; FISCAL-POLICY; SHOCKS AB We simultaneously identify two government spending shocks: military spending shocks as defined by Ramey (2011) and federal spending shocks as defined by Perotti (2008). We analyze the effect of these shocks on state-level personal income and employment. We find regional patterns in the manner in which both shocks affect state-level variables. Moreover, we find differences in the propagation mechanisms for military versus non-military spending shocks. The former benefits economies with larger manufacturing and retail sectors and states that receive military contracts. While non-military shocks also benefit states with the proper industrial mix, they appear to stimulate economic activity in lower-income states. (C) 2013 Elsevier B.V. All rights reserved. C1 [Owyang, Michael T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Zubairy, Sarah] Bank Canada, Canadian Econ Anal, Ottawa, ON K1A 0G9, Canada. RP Zubairy, S (reprint author), Bank Canada, Canadian Econ Anal, 234 Wellington St, Ottawa, ON K1A 0G9, Canada. EM szubairy@bankofcanada.ca RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 32 TC 2 Z9 2 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAY PY 2013 VL 43 IS 3 BP 445 EP 464 DI 10.1016/j.regsciurbeco.2013.02.005 PG 20 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 134FF UT WOS:000318194900002 ER PT J AU Hunt, J Garant, JP Herman, H Munroe, DJ AF Hunt, Jennifer Garant, Jean-Philippe Herman, Hannah Munroe, David J. TI Why are women underrepresented amongst patentees? SO RESEARCH POLICY LA English DT Article DE Innovation; Patenting; Women; Science and engineering workforce ID GENDER-DIFFERENCES; SCIENCE AB We investigate women's underrepresentation among holders of commercialized patents: only 5.5% of holders of such patents are female. Using the National Survey of College Graduates 2003, we find only 7% of the gap in patenting rates is accounted for by women's lower probability of holding any science or engineering degree, because women with such a degree are scarcely more likely to patent than women without. Differences among those without a science or engineering degree account for 15%, while 78% is accounted for by differences among those with a science or engineering degree. For the latter group, we find that women's underrepresentation in engineering and in jobs involving development and design explain much of the gap. (C) 2012 Elsevier B.V. All rights reserved. C1 [Hunt, Jennifer] Rutgers State Univ, Piscataway, NJ 08855 USA. [Hunt, Jennifer] NBER, Cambridge, MA 02138 USA. [Garant, Jean-Philippe] Univ Toronto, Toronto, ON M5S 1A1, Canada. [Herman, Hannah] Fed Reserve Bank New York, New York, NY USA. [Munroe, David J.] Columbia Univ, New York, NY 10027 USA. RP Hunt, J (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. EM jennifer.hunt@rutgers.edu; jp.garant@mail.utoronto.ca; hannah.herman@ny.frb.org; djm2166@columbia.edu NR 19 TC 9 Z9 9 U1 5 U2 33 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0048-7333 J9 RES POLICY JI Res. Policy PD MAY PY 2013 VL 42 IS 4 BP 831 EP 843 DI 10.1016/j.respol.2012.11.004 PG 13 WC Management; Planning & Development SC Business & Economics; Public Administration GA 129XP UT WOS:000317877600001 ER PT J AU Cetorelli, N Peristiani, S AF Cetorelli, Nicola Peristiani, Stavros TI Prestigious stock exchanges: A network analysis of international financial centers SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference of the International-Finance-and-Banking-Society (IFABS) CY JUN 30-JUL 02, 2011 CL Univ Rome III, Fac Econom, Rome, ITALY SP Int Finance & Banking Soc, Univ Leicester, Sch Management HO Univ Rome III, Fac Econom DE Network analysis; Stock exchanges; Global equity issuance ID MARKETS; MATTERS AB In this paper, we use methods from social network analysis to assess the relative importance of financial centers around the world. Using data from virtually the entire universe of global equity activity, we present complete rankings for 45 separate locations for the period 1990-2006. Our analysis constructs a network measure of prestige based on their ability to attract global IPOs. U.S. exchanges are effectively the unique hosts for cross-border equity activity from many other locations. Moreover, they are the destination of choice for most companies coming from locations with highly prestigious exchanges. We also document the emergence of several competing stock exchanges from developed and emerging market economies. The ascent of these stock markets, however, might reflect improved conditions in a growing global market rather than a decline in the competitiveness of U.S. exchanges. (C) 2012 Elsevier B.V. All rights reserved. C1 [Cetorelli, Nicola; Peristiani, Stavros] Fed Reserve Bank New York, New York, NY 10045 USA. RP Peristiani, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM nicola.cetorelli@ny.frb.org; steve.peristiani@ny.frb.org NR 29 TC 6 Z9 6 U1 1 U2 27 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAY PY 2013 VL 37 IS 5 BP 1543 EP 1551 DI 10.1016/j.jbankfin.2012.06.011 PG 9 WC Business, Finance; Economics SC Business & Economics GA 120JW UT WOS:000317167600018 ER PT J AU Felix, RA Hines, JR AF Felix, R. Alison Hines, James R., Jr. TI Who offers tax-based business development incentives? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Business development incentives; Tax abatements; Tax credits; TIFs ID ECONOMIC-DEVELOPMENT; ENTERPRISE ZONES; MUNICIPAL ADOPTION; GROWTH; MODEL; TAXATION; COMPETITION; STATES; POLICY AB Many American communities seek to attract or retain businesses with tax abatements, tax credits, or tax increment financing of infrastructure projects (TIFs). The evidence for 1999 indicates that communities are most likely to offer one or more of these business development incentives if their residents have low incomes, if they are located close to state borders, and if their states have troubled political cultures. Ten percent greater median household income is associated with a 3.2% lower probability of offering incentives; 10% greater distance from a state border is associated with a 1.0% lower probability of offering incentives; and a 10% higher rate at which government officials are convicted of federal corruption crimes is associated with a 1.2% greater probability of offering business incentives. TIFs are the preferred incentive of communities whose residents have household incomes between $25,000 and $75,000; whereas TIFs are much less commonly offered by communities whose residents have household incomes below $25,000. The need to finance TIFs out of incremental tax revenues may make it infeasible for many of the poorest of communities to use TIFs for local business development. (C) 2013 Published by Elsevier Inc. C1 [Felix, R. Alison] Fed Reserve Bank Kansas City, Reg Affairs Dept, Denver Branch, Denver, CO 80202 USA. [Hines, James R., Jr.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Hines, James R., Jr.] NBER, Ann Arbor, MI 48109 USA. RP Hines, JR (reprint author), Univ Michigan, Dept Econ, 343 Larch Hall,611 Tappan St, Ann Arbor, MI 48109 USA. EM alison.felix@kc.frb.org; jrhines@umich.edu NR 44 TC 3 Z9 3 U1 5 U2 30 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2013 VL 75 BP 80 EP 91 DI 10.1016/j.jue.2012.12.003 PG 12 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 113DK UT WOS:000316646500007 ER PT J AU Gilbert, RA Wheelock, DC AF Gilbert, R. Alton Wheelock, David C. TI Big Banks in Small Places: Are Community Banks Being Driven Out of Rural Markets? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PROFITABILITY; COMPETITION; DISTANCE; INDUSTRY; FIRM AB The shares of total U.S. banking assets and deposits held by the very largest banking organizations have increased markedly over the past 25 years, while the shares held by small "community" banks have declined. Advances in information technology may have reduced the advantages of small scale, close proximity, and local ties that traditionally have given small, community-focused banks a competitive advantage in lending to small businesses and other "informationally opaque" borrowers. This article examines trends in deposit shares of banks of different sizes in rural U.S. counties. If the community banking model is to remain viable, it is likely to be in rural markets with (i) a relatively high percentage of informationally opaque borrowers and (ii) relatively low costs of acquiring qualitative information about potential borrowers. The authors find that rural deposit shares of both the smallest and very largest banking organizations changed little between 2001 and 2012, despite the upheavals of the financial crisis and recession, and in contrast to the 1980s and 1990s, when the shares held by the smallest banks declined markedly. The evidence suggests that well-managed community banks remain competitive, at least in rural markets, where their niche is most likely stronger than in urban markets. C1 [Gilbert, R. Alton; Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Gilbert, RA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 26 TC 1 Z9 1 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2013 VL 95 IS 3 BP 199 EP 218 PG 20 WC Business, Finance; Economics SC Business & Economics GA AQ8GC UT WOS:000343061300002 ER PT J AU Yesin, P AF Yesin, Pinar TI Foreign Currency Loans and Systemic Risk in Europe SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Foreign currency loans to the unhedged non-banking sector are remarkably prevalent in Europe and create a significant exchange-rate-induced credit risk to European banking sectors. In particular, Swiss franc (CHF) -denominated loans, popular in Eastern European countries, could trigger simultaneous bank failures if depreciation of the domestic currencies prevents unhedged borrowers from servicing the loans. Foreign currency loans thus pose a systemic risk from a "common market shock" perspective. The author uses a novel dataset of foreign-currency loans from 17 countries for 2007-11 (collected by the Swiss National Bank) and builds on the method suggested by Ranciere, Tornell, and Vamvakidis (2010) to quantify this systemic risk. The author finds that systemic risk is substantial in the non-euro area, while it is relatively low in the euro area. However, CHF-denominated loans are not the underlying source of the high systemic risk: Loans denominated in other foreign currencies (probably to a large extent in euros) contribute significantly more to the systemic risk in the non-euro area than CHF-denominated loans. Furthermore, systemic risk shows high persistence and low volatility during the sample period. The author also finds that banks in Europe have continuously held more foreign-currency-denominated assets than liabilities, indicating their awareness of the exchange-rate-induced credit risk they face. C1 [Yesin, Pinar] Univ Zurich, CH-8006 Zurich, Switzerland. RP Yesin, P (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. NR 22 TC 4 Z9 4 U1 1 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2013 VL 95 IS 3 BP 219 EP 235 PG 17 WC Business, Finance; Economics SC Business & Economics GA AQ8GC UT WOS:000343061300003 ER PT J AU Canon, ME Chen, MY Marifian, EA AF Canon, Maria E. Chen, Mingyu Marifian, Elise A. TI Labor Mismatch in the Great Recession: A Review of Indexes Using Recent US Data SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Review ID SECTORAL SHIFTS; CYCLICAL UNEMPLOYMENT; VACANCIES; WAGES AB Labor mismatch, also known as structural imbalance, can be defined as a poor match between the characteristics of unemployed workers and those required for vacant jobs. In the wake of the jobless recovery from the Great Recession, economists have sought to explain the coexistence of a high unemployment rate and increasing job openings as a mismatch phenomenon. This article reviews five studies that have contributed to the development of mismatch indexes and computes the corresponding indexes over the period May 2005 May 2012 using job vacancy data from the Conference Board Help Wanted OnLine (R) (HWOL) Data Series. For most of the indexes, mismatch increased during the Great Recession, although the indexes exhibit a range of behaviors. According to an index developed in Jackman and Roper (1987), mismatch can account for at most 2.72 percentage points of the 5.30-percentage-point increase in the unemployment rate from the beginning of the recession to the unemployment rate peak. C1 [Canon, Maria E.; Chen, Mingyu; Marifian, Elise A.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Canon, ME (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 29 TC 2 Z9 2 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2013 VL 95 IS 3 BP 237 EP 271 PG 35 WC Business, Finance; Economics SC Business & Economics GA AQ8GC UT WOS:000343061300004 ER PT J AU Elton, EJ Gruber, MJ Blake, CR Shachar, O AF Elton, Edwin J. Gruber, Martin J. Blake, Christopher R. Shachar, Or TI Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID EXPECTED STOCK RETURNS; COSTLY ARBITRAGE; TERM STRUCTURE; AFFINE MODELS; RISK PREMIA; INVESTMENT; MARKET AB This paper provides a new explanation for why closed-end bond funds coexist along with otherwise identical open-end bond funds. Closed-end bond funds offer investors the opportunity to leverage their fixed income investment at very low borrowing rates and are attractive to investors for this reason. We find that differences in leverage are reflected in the discount on closed-end bond funds in a manner consistent with the advantage of leverage. C1 [Elton, Edwin J.; Gruber, Martin J.] NYU, Stern Sch Business, New York, NY 10012 USA. [Blake, Christopher R.] Fordham Univ, Grad Sch Business Adm, New York, NY 10023 USA. [Shachar, Or] Fed Reserve Bank New York, New York, NY 10045 USA. RP Elton, EJ (reprint author), NYU, Stern Sch Business, 44 W 4th St, New York, NY 10012 USA. EM eelton@stern.nyu.edu; mgruber@stern.nyu.edu; cblake@fordham.edu; or.shachar@ny.frb.org NR 35 TC 4 Z9 4 U1 3 U2 14 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD APR PY 2013 VL 48 IS 2 BP 405 EP 425 DI 10.1017/S0022109013000136 PG 21 WC Business, Finance; Economics SC Business & Economics GA 215YR UT WOS:000324247800003 ER PT J AU Schulhofer-Wohl, S Garrido, M AF Schulhofer-Wohl, Sam Garrido, Miguel TI Do Newspapers Matter? Short-Run and Long-Run Evidence From the Closure of The Cincinnati Post SO JOURNAL OF MEDIA ECONOMICS LA English DT Article ID POLITICAL ACCOUNTABILITY; ENDORSEMENTS; COVERAGE AB The Cincinnati Post published its last edition on New Year's Eve 2007, leaving the Cincinnati Enquirer as the only daily newspaper in the market. The next year, fewer candidates ran for municipal office in the Kentucky suburbs most reliant on the Post, incumbents became more likely to win reelection, and voter turnout and campaign spending fell. These changes happened even though the Enquirer at least temporarily increased its coverage of the Post's former strongholds. Voter turnout remained depressed through 2010, nearly three years after the Post closed, but the other effects diminished with time. The authors exploited a difference-in-differences strategy and the fact that the Post's closing date was fixed 30 years in advance to rule out some noncausal explanations for their results. Although their findings are statistically imprecise, they suggest that newspaperseven underdogs such as the Post, which had a circulation of just 27,000 when it closedcan have a substantial and measurable impact on public life. C1 [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Garrido, Miguel] Bloomberg Govt, Washington, DC USA. RP Schulhofer-Wohl, S (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM wohls@minneapolisfed.org NR 33 TC 3 Z9 3 U1 2 U2 7 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0899-7764 J9 J MEDIA ECON JI J. Media Econ. PD APR 1 PY 2013 VL 26 IS 2 BP 60 EP 81 DI 10.1080/08997764.2013.785553 PG 22 WC Communication; Economics SC Communication; Business & Economics GA 150GG UT WOS:000319377600002 ER PT J AU Mitchener, KJ Wheelock, DC AF Mitchener, Kris James Wheelock, David C. TI Does the structure of banking markets affect economic growth? Evidence from US state banking markets SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE Bank regulation; Banking market concentration; Economic growth; Financial development ID FINANCIAL DEVELOPMENT; INTERNATIONAL EVIDENCE; DEPOSIT INSURANCE; BRANCH BANKING; COMPETITION; 1920S; DEPENDENCE; INDUSTRY; MATTER; INTERMEDIATION AB This paper examines the impacts of banking market structure and regulation on economic growth using new data on banking market concentration and manufacturing industry-level growth rates for U.S. states during 1899-1929-a period when the manufacturing sector was expanding rapidly and restrictive branching laws segmented the U.S. banking system geographically. Unlike studies of developing and developed countries today, we find that banking market concentration generally had a positive impact on manufacturing sector growth in the early twentieth century United States, with a somewhat stronger impact on industries with smaller establishments, lower rates of incorporation, and less reliance on bond markets (and, hence, relatively more reliance on banks). Because regulations affecting bank entry varied considerably across states and the industrial organization of the U.S. banking system differs markedly from those of other countries, we consider the impact of other aspects of banking market structure and policy on growth. Even after controlling for differences in the prevalence of branch banking, deposit insurance, and other aspects of policy and market structure, we find that market concentration boosted industrial growth. (c) 2012 Elsevier Inc. All rights reserved. C1 [Mitchener, Kris James] Santa Clara Univ, Santa Clara, CA 95053 USA. [Mitchener, Kris James] Santa Clara Univ, NBER, Dept Econ, Santa Clara, CA 95053 USA. [Wheelock, David C.] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. RP Mitchener, KJ (reprint author), Santa Clara Univ, 500 El Camino Real, Santa Clara, CA 95053 USA. EM kmitchener@scu.edu; David.C.Wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 72 TC 5 Z9 6 U1 3 U2 17 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0014-4983 EI 1090-2457 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD APR PY 2013 VL 50 IS 2 BP 161 EP 178 DI 10.1016/j.eeh.2012.09.004 PG 18 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 141SE UT WOS:000318746000001 ER PT J AU Canals-Cerda, JJ Pearcy, J AF Canals-Cerda, Jose J. Pearcy, Jason TI Arriving in Time: Estimation of English Auctions With a Stochastic Number of Bidders SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Internet markets; Online Auctions; Structural estimation ID SERVICE TIMBER SALES; ECONOMETRIC-MODELS; EBAY AUCTIONS; PRICE; IDENTIFICATION; REPUTATION; INSIGHTS; INTERNET AB We develop a new econometric approach for the estimation of second-price ascending-bid auctions with a stochastic number of bidders. Our empirical framework considers the arrival process of new bidders as well as the distribution of bidders' valuations of objects being auctioned. By observing the timing of bidder arrival, the model is identified even when the number of potential bidders is stochastic and unknown. The relevance of our approach is illustrated with an empirical application using a unique dataset of art auctions on eBay. Our results suggest a higher impact of sellers' reputation on bidders' valuations than previously reported in cross-sectional studies but the impact of reputation on bidder arrival is largely insignificant. Interestingly, a seller's reputation impacts not only the actions of the bidders but the actions of the seller as well. In particular, experience and a good reputation increase the probability of a seller posting items for sale on longer-lasting auctions, which we find increases the expected revenue for the seller. Supplementary materials for this article are available online. C1 [Canals-Cerda, Jose J.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Pearcy, Jason] Montana State Univ, Dept Agr Econ & Econ, Bozeman, MT 59717 USA. RP Canals-Cerda, JJ (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Canals-Cerda@phil.frb.org; jason.a.pearcy@gmail.com OI Pearcy, Jason/0000-0001-7645-5018 FU CARTSS (Center for Advanced Research and Teaching in the Social Sciences) small grant from the University of Colorado FX For useful comments, we thank Robert McNown, the editors Arthur Lewbel, Keisuke Hirano, and Jonathan Wright, an associate editor, two referees, and seminar participants at the University of Colorado and participants at the following conferences: Conference in Tribute to Jean-Jacques Laffont, Toulouse, May 2005; The 75th Southern Economic Association Meetings; The XXX Simposio de Analisis Economico; The Midwest Economic Association Meetings, April 2006; The Summer Meetings of the Econometric Society, June 2006; and The Midwest Econometrics Group Meetings, October 2006. Excellent editorial assistance was provided by Katrina Beck. Excellent research assistance was provided by David Donofrio, Tyson Gatto, and especially Woong Tae Chung and Kelvin Tang. We are grateful to Kristen Stein, artist and eBay power seller, for answering many questions on the functioning of eBay and on bidders' and artists' behavior. Canals-Cerda gratefully acknowledges funding from a CARTSS (Center for Advanced Research and Teaching in the Social Sciences) small grant from the University of Colorado. These are the views of the authors and should not be attributed to any other person or organization, including the Federal Reserve Bank of Philadelphia. NR 31 TC 0 Z9 0 U1 2 U2 9 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2013 VL 31 IS 2 BP 125 EP 135 DI 10.1080/07350015.2012.747825 PG 11 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 135EI UT WOS:000318269800001 ER PT J AU Buera, FJ Shin, Y AF Buera, Francisco J. Shin, Yongseok TI Financial Frictions and the Persistence of History: A Quantitative Exploration SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID ECONOMIC-GROWTH; MODEL; PRODUCTIVITY; CHINA AB We quantitatively analyze the role of financial frictions and resource misallocation in explaining development dynamics. Our model economy with financial frictions converges to the new steady state slowly after a reform triggers efficient reallocation of resources; the transition speed is half that of the conventional neoclassical model. Furthermore, in the model economy, investment rates and total factor productivity are initially low and increase over time. We present data from the so-called miracle economies on the evolution of macro aggregates, factor reallocation, and establishment size distribution that support the aggregate and micro-level implications of our theory. C1 [Buera, Francisco J.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Buera, Francisco J.; Shin, Yongseok] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Shin, Yongseok] Washington Univ, St Louis, MO 63130 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, Memphis, TN 38103 USA. RP Buera, FJ (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 45 TC 26 Z9 26 U1 3 U2 29 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD APR PY 2013 VL 121 IS 2 BP 221 EP 272 DI 10.1086/670271 PG 52 WC Economics SC Business & Economics GA 130ZR UT WOS:000317960300001 ER PT J AU Kehoe, TJ Ruhl, KJ AF Kehoe, Timothy J. Ruhl, Kim J. TI How Important Is the New Goods Margin in International Trade? SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID VARIETY; COSTS; PRODUCTIVITY; IMPACT; GAINS AB We propose amethodology for studying changes in bilateral commodity trade due to goods not exported previously or exported only in small quantities. Using a panel of 1,900 country pairs, we find that increased trade of these "least- traded goods" is an important factor in trade growth. This extensive margin accounts for 10 percent of the growth in trade for NAFTA country pairs, for example, and 26 percent in trade between the United States and Chile, China, and Korea. Looking at country pairs with no major trade policy change or structural change, however, we find little change in the extensive margin. C1 [Kehoe, Timothy J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Kehoe, Timothy J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kehoe, Timothy J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Ruhl, Kim J.] NYU, New York, NY 10003 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. OI Ruhl, Kim/0000-0002-5772-7396 NR 23 TC 33 Z9 33 U1 5 U2 30 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD APR PY 2013 VL 121 IS 2 BP 358 EP 392 DI 10.1086/670272 PG 35 WC Economics SC Business & Economics GA 130ZR UT WOS:000317960300004 ER PT J AU Guerrieri, V Hartley, D Hurst, E AF Guerrieri, Veronica Hartley, Daniel Hurst, Erik TI Endogenous gentrification and housing price dynamics SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Housing markets; Spatial equilibrium; Gentrification ID METROPOLITAN-AREA; CITY; DETERMINANTS AB In this paper, we begin by documenting substantial variation in house price growth across neighborhoods within a city during city-wide housing price booms. We then present a model which links house price movements across neighborhoods within a city and the gentrification of those neighborhoods in response to a city wide housing demand shock. A key ingredient in our model is a positive neighborhood externality: individuals like to live next to richer neighbors. This generates an equilibrium where households segregate based upon their income. In response to a city-wide demand shock, higher income residents will choose to expand their housing by migrating into the poorer neighborhoods that directly abut the initial richer neighborhoods. The in-migration of the richer residents into these border neighborhoods will bid up prices in those neighborhoods causing the original poorer residents to migrate out. We refer to this process as "endogenous gentrification". Using a variety of data sets and using Bartik variation across cities to identify city level housing demand shocks, we find strong empirical support for the model's predictions. (C) 2013 Elsevier B.V. All rights reserved. C1 [Guerrieri, Veronica; Hurst, Erik] Univ Chicago, Chicago, IL 60637 USA. [Guerrieri, Veronica; Hurst, Erik] NBER, Cambridge, MA 02138 USA. [Hartley, Daniel] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Hurst, E (reprint author), Univ Chicago, Chicago, IL 60637 USA. EM Veronica.Guerrieri@chicagobooth.edu; Daniel.Hartley@clev.frb.org; Erik.Hurst@chicagobooth.edu NR 35 TC 18 Z9 18 U1 5 U2 35 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD APR PY 2013 VL 100 BP 45 EP 60 DI 10.1016/j.jpubeco.2013.02.001 PG 16 WC Economics SC Business & Economics GA 129VD UT WOS:000317871200004 ER PT J AU Bricker, J Hanson, A AF Bricker, Jesse Hanson, Andrew TI The Impact of Early Commitment on Games Played: Evidence from College Football Recruiting SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID LEAGUE CONTRACT NEGOTIATIONS; EMPIRICAL-TEST; MODEL AB We use data on athletic scholarship acceptance decisions to show that high school football players signal their ability level by delaying commitment. Although colleges can obtain information about student athletes, National Collegiate Athletic Association regulations limit information flow, making private information an important component of the scholarship market. Using ordinary least squares, censored regression, and negative binomial estimation, we show that for a given observed ability level, committing to a scholarship offer early is associated with less playing time after acceptance. In one season and at a typical average early signing date, early-committing athletes played in 0.21 fewer games per season, or about 4% of the average number of games played. C1 [Bricker, Jesse] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. [Hanson, Andrew] Marquette Univ, Dept Econ, Milwaukee, WI 53201 USA. RP Bricker, J (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, 20th & C St NW,MS 153, Washington, DC 20551 USA. EM jesse.bricker@frb.gov; andrew.r.hanson@marquette.edu NR 16 TC 1 Z9 1 U1 1 U2 10 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD APR PY 2013 VL 79 IS 4 BP 971 EP 983 DI 10.4284/0038-4038-2010.119 PG 13 WC Economics SC Business & Economics GA 126RW UT WOS:000317639900013 ER PT J AU Bown, CP Crowley, MA AF Bown, Chad P. Crowley, Meredith A. TI Self-Enforcing Trade Agreements: Evidence from Time-Varying Trade Policy SO AMERICAN ECONOMIC REVIEW LA English DT Article ID PROTECTION; TARIFFS C1 [Bown, Chad P.] World Bank, Dev Res Grp, Washington, DC 20433 USA. [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Bown, CP (reprint author), World Bank, Dev Res Grp, 1818 H St NW,Mailstop MC3-303, Washington, DC 20433 USA. EM cbown@worldbank.org; meredith.crowley@chi.frb.org NR 26 TC 23 Z9 23 U1 1 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2013 VL 103 IS 2 BP 1071 EP 1090 DI 10.1257/aer.103.2.1071 PG 20 WC Economics SC Business & Economics GA 119OV UT WOS:000317108100017 ER PT J AU Wei, M Wright, JH AF Wei, Min Wright, Jonathan H. TI REVERSE REGRESSIONS AND LONG-HORIZON FORECASTING SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID STOCK RETURN PREDICTABILITY; ASYMPTOTIC THEORY; DIVIDEND YIELDS; EFFICIENT TESTS; TERM STRUCTURE; TIME-SERIES; RATES; HETEROSKEDASTICITY; HYPOTHESIS; INFERENCE AB Long-horizon predictive regressions in finance pose formidable econometric problems when estimated using available sample sizes. Hodrick in 1992 proposed a remedy that is based on running a reverse regression of short-horizon returns on the long-run mean of the predictor. Unfortunately, this only allows the null of no predictability to be tested, and assumes stationary regressors. In this paper, we revisit long-horizon forecasting from reverse regressions, and argue that reverse regression methods avoid serious size distortions in long-horizon predictive regressions, even when there is some predictability and/or near unit roots. Meanwhile, the reverse regression methodology has the practical advantage of being easily applicable when there are many predictors. We apply these methods to forecasting excess bond returns using the term structure of forward rates, and find that there is indeed some return forecastability. However, confidence intervals for the coefficients of the predictive regressions are about twice as wide as those obtained with the conventional approach to inference. We also include an application to forecasting excess stock returns. Copyright (c) 2011 John Wiley & Sons, Ltd. C1 [Wei, Min] Fed Reserve Board, Div Monetary Affairs, Washington, DC USA. [Wright, Jonathan H.] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. RP Wright, JH (reprint author), Johns Hopkins Univ, Dept Econ, 3400 N Charles St, Baltimore, MD 21218 USA. EM wrightj@jhu.edu NR 29 TC 2 Z9 2 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR-MAY PY 2013 VL 28 IS 3 BP 353 EP 371 DI 10.1002/jae.1274 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 116VP UT WOS:000316911500001 ER PT J AU Doh, T AF Doh, Taeyoung TI LONG-RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MONETARY-POLICY; CONSUMPTION; VOLATILITY; PREMIA; MODEL AB This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price variation. The model features EpsteinZin recursive preferences, which determine the market price of macro risk factors. Analysis of the US nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. Also, the time variation of the term premium is driven by the compensation for inflation volatility risk, which is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time-varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long-run risks literature emphasizes consumption volatility risk and ignores inflation-specific time-varying volatility. The estimation results of this paper suggest that inflation-specific volatility risk is essential for fitting the time series of the US nominal term structure data. Copyright (c) 2012 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Doh, T (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM Taeyoung.Doh@kc.frb.org NR 30 TC 2 Z9 2 U1 0 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR-MAY PY 2013 VL 28 IS 3 BP 478 EP 497 DI 10.1002/jae.2266 PG 20 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 116VP UT WOS:000316911500007 ER PT J AU De Paoli, B Zabczyky, P AF De Paoli, Bianca Zabczyky, Pawel TI Policy design in a model with swings in risk appetite SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID HABIT FORMATION; MONETARY-POLICY; EXTERNAL HABIT; ASSET PRICES; CONSUMPTION; RETURNS; JONESES; EXPLANATION; RIGIDITIES; PREMIUM AB This paper studies the policy implications of habits and cyclical changes in agents' appetite for risk-taking. To do so, it analyses the non-linear solution of a New Keynesian (NK) model, in which slow-moving habits help match the cyclical properties of risk-premia. Our findings suggest that the presence of habits and swings in risk appetite can materially affect policy prescriptions. As in Ljungqvist and Uhlig, a counter-cyclical fiscal instrument can eliminate habit-related externalities. Alternatively, monetary policy can partially curb the associated overconsumption by responding to risk premia. Specifically, periods in which risk premia are elevated (compressed) merit a looser (tighter) policy stance. However, the associated welfare gains appear quantitatively small. C1 [De Paoli, Bianca] Fed Reserve Bank New York, New York, NY 10045 USA. [Zabczyky, Pawel] European Cent Bank, D-60311 Frankfurt, Germany. RP De Paoli, B (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM bianca.depaoli@ny.frb.org NR 44 TC 0 Z9 0 U1 1 U2 14 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 EI 1464-3812 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD APR PY 2013 VL 65 SU 1 SI SI BP I146 EP I169 DI 10.1093/oep/gps050 PG 24 WC Economics SC Business & Economics GA 118FX UT WOS:000317010900007 ER PT J AU Nelson, E AF Nelson, Edward TI Key aspects of longer-term asset purchase programs in UK and US monetary policy SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID INTEREST-RATES AB This paper considers several key aspects of recent central bank purchase programs involving longer-term government securities in the United States (where the programs are termed 'large-scale asset purchases') and the United Kingdom (where the programs are labeled 'asset purchases financed by the issuance of central bank reserves', or 'quantitative easing'). Aspects of the purchase programs discussed include the scale of the programs, the historical and institutional background behind the programs, their effects on long-term interest rates and the equivalent effect expressed in terms of policy rates, and the reaction of aggregate demand to the programs. An analysis of the early stages of the economic recovery suggests that, by bolstering nominal spending and purchasing power, the asset purchases helped to secure positive real growth in the United Kingdom in 2010 in the face of adverse price-level shocks. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Nelson, E (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Edward.Nelson@frb.gov NR 64 TC 0 Z9 0 U1 2 U2 40 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD APR PY 2013 VL 65 SU 1 SI SI BP I92 EP I114 DI 10.1093/oep/gps051 PG 23 WC Economics SC Business & Economics GA 118FX UT WOS:000317010900005 ER PT J AU Justiniano, A Primiceri, GE Tambalotti, A AF Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea TI Is there a Trade-Off between Inflation and Output Stabilization? SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY; KEYNESIAN MODELS; WAGE; FLUCTUATIONS; UNCERTAINTY; RIGIDITIES; FRAMEWORK; FRICTIONS AB We find that the answer is no in an estimated DSGE model of the US economy in which exogenous movements in workers' market power are not a major driver of observed economic fluctuations. If they are, the tension between the conflicting stabilization objectives of monetary policy increases, but with negligible effects on the equilibrium behavior of the economy under optimal policy. (JEL E12, E23, E24, E31, E32, E52) C1 [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Primiceri, Giorgio E.] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Tambalotti, Andrea] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10012 USA. RP Justiniano, A (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM ajustiniano@frbchi.org; g-primiceri@northwestern.edu; Andrea.Tambalotti@ny.frb.org OI Tambalotti, Andrea/0000-0002-9323-2470 NR 48 TC 15 Z9 15 U1 0 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2013 VL 5 IS 2 BP 1 EP 31 DI 10.1257/mac.5.2.1 PG 31 WC Economics SC Business & Economics GA 115DE UT WOS:000316792000001 ER PT J AU Parro, F AF Parro, Fernando TI Capital-Skill Complementarity and the Skill Premium in a Quantitative Model of Trade SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID INTERNATIONAL-TRADE; WAGE INEQUALITY; RELATIVE WAGES; LABOR-MARKET; GRAVITY; DEMAND; GOODS; PRODUCTIVITY; TECHNOLOGY; COUNTRIES AB Technological change has reduced the relative price of capital goods. Reductions in trade costs make it cheaper to import capital goods. With capital-skill complementarity, both can increase the skill premium. I construct a general-equilibrium trade model with capital-skill complementarity to study the impact of changing worldwide trade costs and technologies on the skill premium. The impacts of trade costs and technical change are comparable, especially in developing countries, and much larger than Stolper-Samuelson effects. I find that both skilled and unskilled labor gain from trade, and that larger gains from trade are associated with larger increases in the skill premium. (JEL E22, F11, F16, J24, O33) C1 Fed Reserve Board, Washington, DC 20551 USA. RP Parro, F (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM fernando.j.parro@frb.gov NR 60 TC 13 Z9 13 U1 4 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2013 VL 5 IS 2 BP 72 EP 117 DI 10.1257/mac.5.2.72 PG 46 WC Economics SC Business & Economics GA 115DE UT WOS:000316792000003 ER PT J AU Sander, W Testa, WA AF Sander, William Testa, William A. TI Education and the location of work: a continued economic role for central cities? SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID EMPLOYMENT LOCATION; DEMAND; SEGREGATION; RESIDENCE; INCOME; MODEL; AREAS; POOR AB Using data on individuals from the 2008 American Community Survey, we examine the relationship between educational attainment and the location of jobs in fifteen large metropolitan areas in the United States. We focus on whether individuals with higher educational attainment tend to work in the central city versus the suburbs, and we do so taking into account the residential location of households (central city vs suburb). We show that central cities tend to be the work site of more highly educated workers-those with a bachelor's degree and above. Workers with less than a high school degree also tend to work in the city. Taking account of the residential location preferences of highly educated workers mildly diminishes the direct effect of higher education on city job location, but it does not negate it. In contrast, central city job opportunities for workers with less than a high school education are not so abundant; these workers tend to work in the city mostly because they also live there. C1 [Sander, William] Depaul Univ, Dept Econ, Chicago, IL 60604 USA. [Testa, William A.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Sander, W (reprint author), Depaul Univ, Dept Econ, 1 East Jackson Blvd, Chicago, IL 60604 USA. EM wsander@depaul.edu; William.Testa@chi.frb.org NR 30 TC 1 Z9 1 U1 2 U2 11 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD APR PY 2013 VL 50 IS 2 SI SI BP 577 EP 590 DI 10.1007/s00168-012-0506-4 PG 14 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 115PA UT WOS:000316823200010 ER PT J AU Bracha, A Fershtman, C AF Bracha, Anat Fershtman, Chaim TI Competitive Incentives: Working Harder or Working Smarter? SO MANAGEMENT SCIENCE LA English DT Article DE behavioral economics; individual decision making; lab experiment; competitive incentives; work effort ID GENDER-DIFFERENCES; PERFORMANCE; PRESSURE; TOURNAMENTS; CHOKING; PREFERENCES; CONTRACTS; GIRLS; BOYS AB Almost all jobs require a combination of cognitive effort and labor effort. This paper focuses on the effect that competitive incentive schemes have on the chosen combination of these two types of efforts. We use an experimental approach to show that competitive incentives may induce agents to work harder but not necessarily smarter. This effect was stronger for women. C1 [Bracha, Anat] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Fershtman, Chaim] Tel Aviv Univ, Eitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. [Fershtman, Chaim] Ctr Econ Policy Res, London EC1V 3PZ, England. [Fershtman, Chaim] Tinbergen Inst, NL-3062 PA Rotterdam, Netherlands. RP Bracha, A (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM anat.bracha@bos.frb.org; fersht@post.tau.ac.il FU Israel Science Foundation [0610114192] FX The authors thank department editor John List, the associate editor, and three anonymous referees for many valuable comments and suggestions. The authors thank Lynn Conell-Price for her excellent research assistance. The views expressed in this paper are solely those of the authors and do not reflect those of the Federal Reserve System or the Federal Reserve Bank of Boston. This work was supported by the Israel Science Foundation [Grant 0610114192]. NR 32 TC 5 Z9 5 U1 5 U2 62 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD APR PY 2013 VL 59 IS 4 BP 771 EP 781 DI 10.1287/mnsc.1120.1597 PG 11 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 120TW UT WOS:000317196900001 ER PT J AU Ono, Y Sullivan, D AF Ono, Yukako Sullivan, Daniel TI Manufacturing Plants' Use of Temporary Workers: An Analysis Using Census Microdata SO INDUSTRIAL RELATIONS LA English DT Article ID LABOR DEMAND; EMPLOYMENT; GROWTH; COSTS AB Using plant-level data from the plant capacity utilization survey, we explore how manufacturing plants' use of temporary workers is associated with the nature of their output fluctuations and other plant characteristics. We find that plants tend to use temporary workers when their output is expected to fall; this may indicate that firms use temporary workers to reduce costs associated with dismissing permanent employees. In addition, we find that plants whose future output levels are subject to greater uncertainty tend to use more temporary workers. We also examine the effects of wage and benefit levels for permanent workers, unionization rates, turnover rates, seasonal factors, and plant size and age on the use of temporary workers; based on our results, we discuss various views of why firms use temporary workers. C1 [Ono, Yukako] Keio Univ, Dept Business & Commerce, Tokyo, Japan. [Sullivan, Daniel] Fed Reserve Bank Chicago, Econ Res, Chicago, IL USA. RP Ono, Y (reprint author), Keio Univ, Dept Business & Commerce, Tokyo, Japan. EM yono@fbc.keio.ac.jp; Daniel.Sullivan@frb.chi.org NR 22 TC 3 Z9 3 U1 0 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0019-8676 J9 IND RELAT JI Ind. Relat. PD APR PY 2013 VL 52 IS 2 BP 419 EP 443 DI 10.1111/irel.12018 PG 25 WC Industrial Relations & Labor SC Business & Economics GA 112CR UT WOS:000316570100001 ER PT J AU Coulibaly, B Sapriza, H Zlate, A AF Coulibaly, Brahima Sapriza, Horacio Zlate, Andrei TI Financial frictions, trade credit, and the 2008-09 global financial crisis SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE Trade credit; 2008-09 financial crisis; Emerging Asia; International trade ID INTERNATIONAL-TRADE; PERFORMANCE; FIRMS AB This paper studies the role of the credit crunch in the severe contraction of economic activity during the 2008-09 global financial crisis, using firm-level data from six emerging Asian economies. After controlling for the effect of falling demand, we find that sales declined by less for firms with better pre-crisis financial conditions. Amid the decline in external financing opportunities, some firms relied more on trade credit from suppliers during the crisis, which allowed them to post relatively better sales. Export-intensive firms resorted less to trade credit as an alternative source of finance, which contributed to their larger declines in sales. Published by Elsevier Inc. C1 [Coulibaly, Brahima; Sapriza, Horacio; Zlate, Andrei] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Zlate, A (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 24,20th & C St NW, Washington, DC 20551 USA. EM Brahima.Coulibaly@frb.gov; Horacio.Sapriza@frb.gov; Andrei.Zlate@frb.gov NR 24 TC 8 Z9 10 U1 2 U2 25 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD APR PY 2013 VL 26 SI SI BP 25 EP 38 DI 10.1016/j.iref.2012.08.006 PG 14 WC Business, Finance; Economics SC Business & Economics GA 104ZD UT WOS:000316034500003 ER PT J AU Duygan-Bump, B Parkinson, P Rosengren, E Suarez, GA Willen, P AF Duygan-Bump, Burcu Parkinson, Patrick Rosengren, Eric Suarez, Gustavo A. Willen, Paul TI How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility SO JOURNAL OF FINANCE LA English DT Article AB The events following Lehman's failure in 2008 and the current turmoil emanating from Europe highlight the structural vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers. The Federal Reserve's response to financial disruptions in the United States importantly included the creation of liquidity facilities. Using a differences-in-differences approach, we evaluate one of the most unusual of these interventionsthe Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. We find that this facility helped stabilize asset outflows from money market funds and reduced asset-backed commercial paper yields significantly. C1 [Duygan-Bump, Burcu; Parkinson, Patrick; Suarez, Gustavo A.] Fed Reserve Board, Washington, DC USA. [Rosengren, Eric; Willen, Paul] Fed Reserve Bank Boston, Boston, MA USA. RP Duygan-Bump, B (reprint author), Fed Reserve Board, Washington, DC USA. NR 23 TC 20 Z9 20 U1 1 U2 30 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 J9 J FINANC JI J. Financ. PD APR PY 2013 VL 68 IS 2 BP 715 EP 737 DI 10.1111/jofi.12011 PG 23 WC Business, Finance; Economics SC Business & Economics GA 104CC UT WOS:000315966100009 ER PT J AU Curdia, V Finocchiaro, D AF Curdia, Vasco Finocchiaro, Dania TI Monetary regime change and business cycles SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Bayesian estimation; DSGE models; Target zone; Inflation targeting; Regime change ID OPEN-ECONOMY MODEL; EXCHANGE-RATE; DSGE MODEL; INDETERMINACY; POLICY AB This paper proposes a method to structurally estimate a model with a regime shift and evaluates the importance of acknowledging the break in the estimation. We estimate a DSGE model on Swedish data taking into account the regime change in 1993, from exchange rate targeting to inflation targeting. Ignoring the break leads to spurious estimates. Accounting for the break suggests that monetary policy reacted strongly to exchange rate movements in the first regime, and mostly to inflation in the second. The sources of business cycles and their transmission mechanism are significantly affected by the exchange rate regime. (c) 2012 Elsevier B.V. All rights reserved. C1 [Curdia, Vasco] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Curdia, V (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM vasco.curdia@sf.frb.org NR 27 TC 4 Z9 4 U1 0 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD APR PY 2013 VL 37 IS 4 BP 756 EP 773 DI 10.1016/j.jedc.2012.12.004 PG 18 WC Economics SC Business & Economics GA 091PF UT WOS:000315061600003 ER PT J AU Gu, L McNelis, PD AF Gu, Li McNelis, Paul D. TI Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market SO PACIFIC-BASIN FINANCE JOURNAL LA English DT Article DE Prediction; Bayesian forecasting; Out-of-sample Granger tests of causality; Nested models; VAR; Bayesian VAR ID TIME-SERIES MODELS; EXCHANGE-RATE; TESTS AB This paper examines financial market data to assess the likelihood of Renminbi appreciation and its implications for Chinese financial markets, given the continuing volatility of the exchange rate between the US Dollar and the Japanese Yen. Using VAR and Bayesian VAR estimation, we find that the 3-month Non-deliverable Forward premia are a key series which link Yen/Dollar volatility to financial market movements in China through speculative pressure. By contrast, the NDF market for the Korean Won, based on more flexible spot exchange market and open access by domestic banks, plays little or no role linking Yen/Dollar to domestic currency or financial markets in Korea. (C) 2012 Elsevier B.V. All rights reserved. C1 [Gu, Li] Fed Reserve Board, Div Banking Supervis & Regulat, Washington, DC 20551 USA. [McNelis, Paul D.] Fordham Univ, Dept Finance, Bronx, NY 10458 USA. RP McNelis, PD (reprint author), Fordham Univ, Dept Finance, 1790 Broadway, Bronx, NY 10458 USA. EM li.gu@frb.gov; mcnelis@fordham.edu NR 37 TC 5 Z9 5 U1 0 U2 23 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-538X EI 1879-0585 J9 PAC-BASIN FINANC J JI Pac.-Basin Financ. J. PD APR PY 2013 VL 22 BP 37 EP 49 DI 10.1016/j.pacfin.2012.09.002 PG 13 WC Business, Finance SC Business & Economics GA 088SC UT WOS:000314856400003 ER PT J AU Li, CL Wei, M AF Li, Canlin Wei, Min TI Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Programs SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID INTEREST-RATES; POLICY; DEBT; MARKET AB This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and second large-scale asset purchase programs and the maturity extension program jointly reduced the ten-year Treasury yield by about 100 basis points. C1 [Li, Canlin; Wei, Min] Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC USA. RP Li, CL (reprint author), Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC USA. EM Canlin.Li@frb.gov; Min.Wei@frb.gov NR 28 TC 15 Z9 15 U1 1 U2 4 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2013 VL 9 IS 1 SI SI BP 3 EP 39 PG 37 WC Business, Finance SC Business & Economics GA 273OZ UT WOS:000328546400002 ER PT J AU Zakrajsek, E AF Zakrajsek, Egon TI Discussion of "Monetary Policy, Macroprudential Policy, and Banking Stability: Evidence from the Euro Area" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material ID LIQUIDITY C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC USA. RP Zakrajsek, E (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC USA. EM egon.zakrajsek@frb.gov NR 20 TC 0 Z9 0 U1 0 U2 0 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2013 VL 9 IS 1 SI SI BP 171 EP 182 PG 12 WC Business, Finance SC Business & Economics GA 273OZ UT WOS:000328546400008 ER PT J AU McCabe, PE Cipriani, M Holscher, M Martin, A AF McCabe, Patrick E. Cipriani, Marco Holscher, Michael Martin, Antoine TI The Minimum Balance at Risk: A Proposal to Mitigate the Systemic Risks Posed by Money Market Funds SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article AB This paper introduces a proposal for money market fund (MMF) reform to mitigate the systemic risk and externalities that arise from the funds' vulnerability to runs and to protect shareholders who do not redeem quickly when runs occur. Our proposal would require that a small fraction of each MMF shareholder's recent balances, called the "minimum balance at risk" (MBR), be available for redemption only with a delay of 30 days. Most regular transactions in the fund would be unaffected; the requirement would only affect redemptions of the shareholder's MBR. In addition, in the rare event that a fund suffers losses, the MBRs of investors who have recently made large redemptions would absorb losses before those of nonredeeming investors. This subordination of redeeming investors' MBRs would create a disincentive to redeem if the fund is likely to have losses, but would have little effect on incentives when the risk of loss is remote. We use empirical evidence, including a novel data set from the U.S. Treasury and the U.S. Securities and Exchange Commission on MMF losses in 2008, to calibrate an MBR rule that would reduce the vulnerability of MMFs to runs. C1 [McCabe, Patrick E.] Board Governors Fed Reserve Syst, Washington, DC USA. [Cipriani, Marco; Holscher, Michael; Martin, Antoine] Fed Reserve Bank New York, New York, NY USA. RP McCabe, PE (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. NR 7 TC 2 Z9 2 U1 4 U2 10 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD SPR PY 2013 BP 211 EP 278 PG 68 WC Economics SC Business & Economics GA 252IQ UT WOS:000326998800004 ER PT J AU Lee, S Malin, BA AF Lee, Soohyung Malin, Benjamin A. TI Education's role in China's structural transformation SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE China; Returns to education; Labor reallocation; Structural transformation; Growth accounting ID ECONOMIC TRANSITION; HUKOU SYSTEM; URBAN CHINA; RETURNS; EARNINGS; PRODUCTIVITY; MIGRATION; GROWTH; REFORMS AB We explore education's role in improving the allocation of labor between China's agricultural and nonagricultural sectors and measure the portion of China's recent growth attributable to this channel. Using detailed micro-level data and an empirical model that allows for the endogenous selection of education and sector of employment, we estimate the relationship between an individual's educational attainment, sector, and income. We find that about 11% of aggregate growth in output per worker from 1978 to 2004 is accounted for by increased education, with 9% coming through the labor-reallocation channel and 2% attributable to increased within-sector human capital. (C) 2012 Elsevier B.V. All rights reserved. C1 [Lee, Soohyung] Univ Maryland, College Pk, MD 20742 USA. [Malin, Benjamin A.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Lee, S (reprint author), Univ Maryland, College Pk, MD 20742 USA. EM LeeS@econ.umd.edu; bmalin06@gmail.com NR 52 TC 1 Z9 1 U1 2 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD MAR PY 2013 VL 101 BP 148 EP 166 DI 10.1016/j.jdeveco.2012.10.006 PG 19 WC Economics SC Business & Economics GA 120HR UT WOS:000317161900012 ER PT J AU Barrow, L Brock, T Rouse, CE AF Barrow, Lisa Brock, Thomas Rouse, Cecilia Elena TI Postsecondary Education in the United States: Introducing the Issue SO FUTURE OF CHILDREN LA English DT Editorial Material C1 [Barrow, Lisa] Fed Reserve Bank Chicago, Chicago, IL USA. [Rouse, Cecilia Elena] Woodrow Wilson Sch Publ & Int Affairs, Princeton, NJ USA. [Rouse, Cecilia Elena] Princeton Univ, Princeton, NJ 08544 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 11 TC 1 Z9 1 U1 1 U2 4 PU PRINCETON UNIV PI PRINCETON PA 277 WALLACE HALL, PRINCETON, NJ 08544 USA SN 1054-8289 J9 FUTURE CHILD JI Future Child. PD SPR PY 2013 VL 23 IS 1 BP 3 EP 16 PG 14 WC Family Studies; Health Policy & Services; Social Sciences, Interdisciplinary SC Family Studies; Health Care Sciences & Services; Social Sciences - Other Topics GA 137ZN UT WOS:000318477900001 PM 25522643 ER PT J AU Armenter, R Mertens, TM AF Armenter, Roc Mertens, Thomas M. TI Fraud deterrence in dynamic Mirrleesian economies SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID COSTLY STATE VERIFICATION; OPTIMAL TAXATION; PRIVATE INFORMATION; OPTIMAL-CONTRACTS; INCOME; MARKETS; TAXES; MODEL AB Insurance schemes rely on legal consequences to deter fraud and tax evasion. This observation guides us to introduce random state verification in a dynamic economy with private information. With some probability, an agent's skill becomes known to the planner who prescribes punishments to misreporting agents. Deferring consumption can ease the provision of incentives creating a motive for subsidizing savings. In an infinite horizon economy, the constrained-efficient allocation converges to high consumption, full insurance, and no labor distortions for any positive probability of state verification. (c) 2012 Elsevier B.V. All rights reserved. C1 [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Mertens, Thomas M.] NYU, Stern Sch Business, New York, NY 10012 USA. RP Mertens, TM (reprint author), NYU, Stern Sch Business, 44 W 4th St Suite 9-73, New York, NY 10012 USA. EM roc.armenter@phil.frb.org; mertens@stern.nyu.edu NR 29 TC 1 Z9 1 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2013 VL 60 IS 2 BP 139 EP 151 DI 10.1016/j.jmoneco.2012.11.001 PG 13 WC Business, Finance; Economics SC Business & Economics GA 135YB UT WOS:000318325500001 ER PT J AU Champagne, J Kurmann, A AF Champagne, Julien Kurmann, Andre TI The great increase in relative wage volatility in the United States SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID INEQUALITY; INCENTIVES; MODERATION; PROVISION; FILTER; TRENDS; SKILL AB Over the past 25 years, real average hourly wages in the United States have become substantially more volatile relative to output. Microdata from the Current Population Survey (CPS) is used to show that this increase in relative volatility is predominantly due to increases in the relative volatility of hourly wages across different groups of workers. Compositional changes of the workforce, by contrast, account for only a small fraction of the increase in relative wage volatility. Simulations with a Dynamic Stochastic General Equilibrium (DSGE) model illustrate that the observed increase in relative wage volatility is unlikely to come from changes outside of the labor market (e.g. smaller exogenous shocks or more aggressive monetary policy). By contrast, greater flexibility in wage setting due to deunionization and a shift towards performance-pay contracts as experienced by the U.S. labor market is capable of accounting for a substantial fraction of the observed increase in relative wage volatility. Greater wage flexibility also decreases the magnitude of business cycle fluctuations, suggesting an interesting new explanation for the Great Moderation. Published by Elsevier B.V. C1 [Champagne, Julien] Univ Quebec, Montreal, PQ H3C 3P8, Canada. [Kurmann, Andre] Fed Reserve Board, Washington, DC 20551 USA. RP Kurmann, A (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM kurmann.andre@gmail.com NR 41 TC 7 Z9 7 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2013 VL 60 IS 2 BP 166 EP 183 DI 10.1016/j.jmoneco.2012.10.023 PG 18 WC Business, Finance; Economics SC Business & Economics GA 135YB UT WOS:000318325500003 ER PT J AU Iacoviello, M Pavan, M AF Iacoviello, Matteo Pavan, Marina TI Housing and debt over the life cycle and over the business cycle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID UNITED-STATES; INCOME; ACCUMULATION; TIME; HETEROGENEITY; MACROECONOMY; CONSTRAINTS; INEQUALITY; INVESTMENT; ALLOCATION AB Housing and mortgage debt are studied in a quantitative general equilibrium model. The model matches wealth distribution, age profiles of homeownership and debt, and frequency of housing adjustment. Over the cycle, the model matches the cyclicality and volatility of housing investment, and the procyclicality of debt. Higher individual income risk and lower downpayments can explain the reduced volatility of housing investment, the reduced procyclicality of debt, and part of the reduced volatility of GDP. In an experiment that mimics the Great Recession, countercyclical financial conditions can account for large drops in housing activity and debt following large negative shocks. Published by Elsevier B.V. C1 [Iacoviello, Matteo] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Pavan, Marina] Univ Jaume 1, Dept Econ, Castellon de La Plana, Spain. [Pavan, Marina] Univ Jaume 1, LEE, Castellon de La Plana, Spain. RP Iacoviello, M (reprint author), Fed Reserve Board, Div Int Finance, 20th & C St NW, Washington, DC 20551 USA. EM matteo.iacoviello@frb.gov OI Pavan, Marina/0000-0002-4313-6472 NR 46 TC 19 Z9 19 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2013 VL 60 IS 2 BP 221 EP 238 DI 10.1016/j.jmoneco.2012.10.020 PG 18 WC Business, Finance; Economics SC Business & Economics GA 135YB UT WOS:000318325500006 ER PT J AU Balasubramanyan, L Coulson, E AF Balasubramanyan, Lakshmi Coulson, Edward TI Do house prices impact business starts? SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE House prices; Business starts; Collateral channel ID WEALTH; CONSUMPTION; INVESTMENT AB At the national level, business starts and housing prices both fell dramatically over the 2007-2009 period. Using a proprietary database of business starts this paper quantitatively models the interaction between house price and business starts from 2005 to 2009. We identify the impact by exploiting the cross-sectional variation in house price changes during the period. Controlling for observable and unobservable city characteristics, we find the significance of a robust relationship between house prices and business starts depends on the size of the business starts; a robust link exists between house prices and very small business, whereas, no significant robust link is seen for large business starts. (C) 2013 Elsevier Inc. All rights reserved. C1 [Balasubramanyan, Lakshmi] Indiana State Univ, Fed Reserve Bank Cleveland, Terre Haute, IN 47809 USA. [Coulson, Edward] Penn State Univ, University Pk, PA 16802 USA. RP Balasubramanyan, L (reprint author), Indiana State Univ, Fed Reserve Bank Cleveland, Terre Haute, IN 47809 USA. EM Lakshmi.Balasubramanyan@clev.frb.org; fyj@psu.edu NR 29 TC 0 Z9 0 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD MAR PY 2013 VL 22 IS 1 BP 36 EP 44 DI 10.1016/j.jhe.2013.01.001 PG 9 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 125LD UT WOS:000317540400005 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI ACCOUNTABILITY WITH VOUCHER THREATS, RESPONSES, AND THE TEST-TAKING POPULATION: REGRESSION DISCONTINUITY EVIDENCE FROM FLORIDA SO EDUCATION FINANCE AND POLICY LA English DT Article ID SCHOOL ACCOUNTABILITY; STUDENT-ACHIEVEMENT; PUBLIC-SCHOOLS; DESIGN; IMPACT; INCENTIVES; PROGRAM AB Florida's 1999 A-plus program was a consequential accountability program that embedded vouchers in an accountability regime. Under Florida rules, scores of students in several special education (ESE) and limited English proficient (LEP) categories were not included in the computation of school grades. One might expect these rules to induce F schools (that faced stigma and threat of vouchers) to strategically classify their weaker students into these excluded categories. The interplay of these rules with those of the McKay program for disabled students, however, created an interesting divergence of incentives as far as classifications into excluded LEP and ESE were concerned. Because classifying students into ESE made them eligible for McKay vouchers that were funded by public school revenue, the McKay program acted as a strong disincentive to such classification. Using a regression discontinuity strategy, I investigate whether the differences in incentives led the F schools to exhibit different behaviors as far as classifications into excluded ESE and LEP were concerned. Indeed, I find robust evidence in favor of classification into excluded LEP in high-stakes grade 4 and entry grade 3. In contrast, I do not find evidence of classification into excluded ESE. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org NR 31 TC 3 Z9 3 U1 1 U2 6 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 1557-3060 J9 EDUC FINANC POLICY JI Educ. Financ. Policy PD SPR PY 2013 VL 8 IS 2 BP 121 EP 167 PG 47 WC Education & Educational Research SC Education & Educational Research GA 128ED UT WOS:000317751000001 ER PT J AU Blonigen, BA Liebman, BH Pierce, JR Wilson, WW AF Blonigen, Bruce A. Liebman, Benjamin H. Pierce, Justin R. Wilson, Wesley W. TI Are all trade protection policies created equal? Empirical evidence for nonequivalent market power effects of tariffs and quotas SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Market structure; Nonequivalence of tariffs and quotas; VRAs; Antidumping; Mini-mills ID VOLUNTARY EXPORT RESTRAINTS; STEEL-INDUSTRY; PRICE; PRODUCTIVITY; LAW; RESTRICTIONS; FIRMS; PANEL AB Over the past 50 years, the steel industry has been protected by a wide variety of trade policies, both tariff- and quota-based. We exploit this extensive heterogeneity in trade protection to examine the well- established theoretical literature predicting nonequivalent effects of tariffs and quotas on domestic firms' market power. Using plant-level Census Bureau data for steel plants from 1967 to 2002, we find evidence for significant market power effects for binding quota-based protection, but not tariff-based protection, particularly with respect to integrated and minimill steel producers. Our results are robust to calculation with two standard measures of market power and controlling for potential endogeneity of trade policies. (C) 2012 Elsevier B.V. All rights reserved. C1 [Blonigen, Bruce A.; Wilson, Wesley W.] 1285 Univ Oregon, Dept Econ, Eugene, OR 97401 USA. [Blonigen, Bruce A.] NBER, Cambridge, MA 02138 USA. [Liebman, Benjamin H.] St Josephs Univ, Dept Econ, Philadelphia, PA 19131 USA. [Pierce, Justin R.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Blonigen, BA (reprint author), 1285 Univ Oregon, Dept Econ, Eugene, OR 97401 USA. EM bruceb@uoregon.edu; bliebman@sju.edu; justin.r.pierce@frb.gov; wwilson@uoregon.edu NR 35 TC 5 Z9 5 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2013 VL 89 IS 2 BP 369 EP 378 DI 10.1016/j.jinteco.2012.08.009 PG 10 WC Economics SC Business & Economics GA 113DQ UT WOS:000316647100008 ER PT J AU Benigno, G Chen, HG Otrok, C Rebucci, A Young, ER AF Benigno, Gianluca Chen, Huigang Otrok, Christopher Rebucci, Alessandro Young, Eric R. TI Financial crises and macro-prudential policies SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Capital controls; Financial frictions; Macro-prudential policy; Overborrowing ID OPEN ECONOMIES; TRADE SHOCKS; TERMS; DEBT AB In this paper we study a two-sector production small open economy subject to a collateral constraint in which a financial crisis can arise endogenously and alternate with normal time periods. In this class of models, the scope for policy intervention arises because individual agents do not internalize the effects of their action on a key market price that enters the collateral constraint (i.e. there is a pecuniary externality). Our main result is that the interaction between agents' behavior in crisis and normal times is crucial for the normative implications of this class of models. In contrast to the related literature, we find that in our model economy the social planner borrows more than private agents in normal times (i.e., the economy displays "underborrowing" rather than "overborrowing" in normal times) and yet has a lower probability to enter a financial crisis. While our findings call for both ex-ante and ex-post policy interventions relative to the crisis event, our analysis shows that welfare gains of ex-post policies are much larger than those of ex-ante policies. As a result, adopting only ex ante interventions such as macro-prudential policies or capital controls may be costly in welfare terms. For example, a small macro-prudential tax on debt that lowers the probability of a crisis to zero is welfare-reducing in our model because it also lowers average consumption. (C) 2012 Elsevier B.V. All rights reserved. C1 [Benigno, Gianluca] London Sch Econ, London, England. [Otrok, Christopher] Univ Missouri, Columbia, MO 65211 USA. [Otrok, Christopher] Fed Reserve Bank St Louis, St Louis, MO USA. [Young, Eric R.] Univ Virginia, Charlottesville, VA 22903 USA. RP Benigno, G (reprint author), London Sch Econ, London, England. EM g.benigno@lse.ac.uk NR 32 TC 19 Z9 20 U1 0 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2013 VL 89 IS 2 BP 453 EP 470 DI 10.1016/j.jinteco.2012.06.002 PG 18 WC Economics SC Business & Economics GA 113DQ UT WOS:000316647100015 ER PT J AU Kalemli-Ozcan, S Papaioannou, E Perri, F AF Kalemli-Ozcan, Sebnem Papaioannou, Elias Perri, Fabrizio TI Global banks and crisis transmission SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Banking integration; Co-movement; Financial globalization; International business cycles ID FINANCIAL CONTAGION; BUSINESS CYCLES; DETERMINANTS; INTEGRATION; GLOBALIZATION; COMOVEMENT; GROWTH; DRIVES; FLOWS AB We study the effect of financial integration (through banks) on the transmission of international business cycles. In a sample of 18/20 developed countries between 1978 and 2009 we find that, in periods without financial crises, increases in bilateral banking linkages are associated with more divergent output cycles. This relation is significantly weaker during financial turmoil periods, suggesting that financial crises induce co-movement among more financially integrated countries. We also show that countries with stronger, direct and indirect, financial ties to the U.S. experienced more synchronized cycles with the U.S. during the recent 2007-2009 crisis. We then interpret these findings using a simple general equilibrium model of international business cycles with banks and shocks to banking activity. The model suggests that the relation between integration and synchronization depends on the type of shocks hitting the world economy, and that shocks to global banks played an important role in triggering and spreading the 2007-2009 crisis. (C) 2012 Elsevier B.V. All rights reserved. C1 [Kalemli-Ozcan, Sebnem] Koc Univ, Istanbul, Turkey. [Kalemli-Ozcan, Sebnem; Papaioannou, Elias] Harvard Univ, Boston, MA 02115 USA. [Papaioannou, Elias] Dartmouth Coll, Hanover, NH 03755 USA. [Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Perri, Fabrizio] Natl Bur Econ Res, Boston, MA USA. [Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Perri, Fabrizio] Ctr Econ Policy Res, London SW1Y 6LA, England. [Perri, Fabrizio] Univ Minnesota, Minneapolis, MN 55455 USA. [Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Perri, Fabrizio] Innocenzo Gasparini Inst Econ Res, Milan, Italy. RP Perri, F (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM skalemli@ku.edu.tr; papaioannou.elias@googlemail.com; fperri@umn.edu RI Papaioannou, Elias/B-6230-2014 OI Papaioannou, Elias/0000-0003-1351-285X NR 56 TC 36 Z9 37 U1 2 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2013 VL 89 IS 2 BP 495 EP 510 DI 10.1016/j.jinteco.2012.07.001 PG 16 WC Economics SC Business & Economics GA 113DQ UT WOS:000316647100018 ER EF