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Federal Reserve Board
(72 results)-
White Papers
Effects Of Liquidity On The Nondefault Component Of Corporate Yield Spreads: Evidence From Intraday Transactions Data
March 1, 2008, 12:00am PST
The author estimates the non-default component of corporate bond yield spreads and examines its relationship with bond liquidity and measures bond liquidity using intraday transactions data and...
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White Papers
The High-Frequency Impact Of News On Long-Term Yields And Forward Rates: Is It Real?
August 11, 2008, 12:00am PDT
This paper uses high-frequency intradaily data to estimate the effects of macroeconomic news announcements on yields and forward rates on nominal and index-linked bonds, and on inflation...
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White Papers
Estimating The Common Trend Rate Of Inflation For Consumer Prices And Consumer Prices Excluding Food And Energy Prices
July 16, 2008, 12:00am PDT
Core inflation is often defined as the trend rate of change in overall prices. The rate of change in consumer prices excluding food and energy prices, perhaps smoothed over several quarters, is a...
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White Papers
Temporal Risk Aversion And Asset Prices
July 1, 2008, 12:00am PDT
Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may …nd...
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White Papers
Does Distance Matter In Banking?
July 10, 2008, 12:00am PDT
Deregulation and technological change have reduced the transactions costs that led to the dominance of local financial service suppliers, leading some to question if distance still matters in...
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White Papers
Consumer Switching Costs And Firm Pricing: Evidence From Bank Pricing Of Deposit Accounts
May 12, 2008, 12:00am PDT
This paper employs extensive information on bank deposit rates and county migration patterns to test for pricing relationships implied by the existence of switching costs. While these...
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White Papers
Zero Bound, Option-Implied PDFs, And Term Structure Models
June 19, 2008, 12:00am PDT
It is well known, at least since Breeden and Litzenberger (1978), that options at a broad range of strikes can provide information about the whole risk-neutral distribution of the underlying...
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White Papers
Tips From TIPS: The Informational Content Of Treasury Inflation-Protected Security Prices
February 27, 2008, 12:00am PST
The author examines the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. The empirical results...
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White Papers
Subprime Mortgages: What, Where, And To Whom?
June 1, 2008, 12:00am PDT
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In outer step one draws realizations of all risk factors up to horizon, and in inner step one re-prices...
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White Papers
Market Conditions And Hedge Fund Survival
December 1, 2007, 12:00am PST
As the hedge fund industry has grown, there has been increased concern that, during sharp market moves, hedge fund failures could exacerbate the deterioration in financial conditions and deepen a...
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White Papers
Lifecycle Dynamics Of Income Uncertainty And Consumption
May 20, 2008, 12:00am PDT
Uninsurable income risk is often cited as an explanation for empirical deviations from the Lifecycle/Permanent-Income Hypothesis such as the observation that the lifecycle profile of mean...
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White Papers
Starting Small And Ending Big - The Effect Of Monetary Incentives On Response Rates In The 2003 Survey Of Small Business Finances
May 8, 2008, 12:00am PDT
In 2003, the Survey of Small Business Finances (SSBF), conducted by the Federal Reserve Board, implemented the use of incentives to increase response rates. This study examines the effects of some...
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White Papers
Term Premiums And Inflation Uncertainty: Empirical Evidence From An International Panel Dataset
May 1, 2008, 12:00am PDT
Nominal yield curves nearly always slope up, implying that investors demand positive risk premia- or term premia-to induce them to hold long-term nominal bonds. Moreover the available evidence...
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White Papers
The Effect Of Taxation On Lifecycle Labor Supply: Results From A Quasi-Experiment
September 1, 2007, 12:00am PDT
In predicting the magnitude of the labor supply response to taxation, the standard lifecycle labor supply model distinguishes between unanticipated and anticipated changes in the after-tax return...
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White Papers
Are Long-Run Inflation Expectations Anchored More Firmly In The Euro Area Than In The United States?
September 27, 2007, 12:00am PDT
This paper compares the recent evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters....
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White Papers
The Two-Period Rational Inattention Model: Accelerations And Analyses
February 15, 2008, 12:00am PST
The Rational Inattention (RI) paradigm introduced in Sims (2003) began the examination of information-processing-constrained economic agents with a model in which agents have quadratic utility and...
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White Papers
Nested Simulation In Portfolio Risk Measurement
April 8, 2008, 12:00am PDT
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In outer step one draws realizations of all risk factors up to horizon, and in inner step one re-prices...
Provided by Federal Reserve Board
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White Papers
Happiness Maintenance And Asset Prices
January 1, 2008, 12:00am PST
This paper constructs a simple dynamic asset pricing model which incorporates recent evidence on the influence of immediate emotions on risk preferences. Investors derive direct utility from both...
Provided by Federal Reserve Board
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White Papers
Exchange Rates, Optimal Debt Composition, And Hedging In Small Open Economies
January 1, 2008, 12:00am PST
This paper develops a model of the firm's choice between debt denominated in local currency and that denominated in foreign currency in a small open economy characterized by exchange rate risk and...
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White Papers
Expectations Of Risk And Return Among Household Investors: Are Their Sharpe Ratios Countercyclical?
January 1, 2008, 12:00am PST
Data obtained from special questions on the Michigan Survey of Consumer Attitudes over several years are used to analyze stock market beliefs and portfolio choices of household investors....
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White Papers
Corporate Hedging, Investment And Value
February 1, 2008, 12:00am PST
Despite the widespread use of derivatives by firms, and the impressive growth in the derivatives market in the last two decades, empirical evidence on the effect of derivative usage on firm value...
Provided by Federal Reserve Board
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White Papers
Lack Of Signal Error (LoSE) And Implications For OLS Regression: Measurement Error For Macro Data
October 28, 2008, 12:00am PDT
This paper proposes a simple generalization of the classical measurement error model, introducing new measurement errors that subtract signal from the true variable of interest, in addition to the...
Provided by Federal Reserve Board
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White Papers
Firm Dynamics With Infrequent Adjustment And Learning
July 1, 2008, 12:00am PDT
In recent years there has been renewed interest in explaining patterns of firm dynamics, with new longitudinal datasets confirming heterogeneities between firms of different size and age. In...
Provided by Federal Reserve Board
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White Papers
The Trajectory Of Wealth In Retirement
January 9, 2008, 12:00am PST
As the baby boomers begin to retire, a great deal remains unknown about the evolution of wealth toward the end of life. In this paper, the author develops a new measure of household resources that...
Provided by Federal Reserve Board
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White Papers
Trade Credit And International Trade During The 2008-09 Global Financial Crisis
June 11, 2011, 12:00am PDT
This paper studies the role of the credit crunch in the severe contraction of trade and economic activity at the height of the 2008-09 global financial crisis, using firm-level data from six...
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White Papers
Financial Capital And The Macroeconomy: Policy Considerations
May 5, 2011, 12:00am PDT
The authors develop a macroeconomic model in which the balance sheet/liquidity condition of financial institutions plays an important role in the determination of asset prices and economic...
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White Papers
Financial Capital And The Macroeconomy: A Quantitative Framework
May 5, 2011, 12:00am PDT
Financial intermediation transforms short-term liquid assets into long-term capital assets. As a result, risk taking, in the form of long-term commitments despite unresolved short-term funding...
Provided by Federal Reserve Board
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White Papers
The First Line Of Defense: The Discount Window During The Early Stages Of The Financial Crisis
January 25, 2011, 12:00am PST
This paper develops a theoretical model of trading in the federal funds market that captures characteristics of discount window borrowing and the federal funds market during the first year of the...
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White Papers
Cointegration Test With Stationary Covariates And The CDS-Bond Basis During The Financial Crisis
March 28, 2011, 12:00am PDT
This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliott & Jansson (2003) in the unit root testing case, stationary covariates...
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White Papers
Surveying The Aftermath Of The Storm: Changes In Family Finances From 2007 To 2009
March 1, 2011, 12:00am PST
From 2007 to 2009, wealth declined for most families across the initial 2007 wealth spectrum, and it declined very substantially for some. Yet many families saw only small changes and a...
Provided by Federal Reserve Board
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White Papers
Creating A Linchpin For Financial Data: Toward A Universal Legal Entity Identifier
January 20, 2011, 12:00am PST
The financial industry runs on information and data. Although financial data are made up of innumerable complex and idiosyncratic components, a fundamental building block for analysis is reference...
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White Papers
The Cross Section Of Money Market Fund Risks And Financial Crises
September 12, 2010, 12:00am PDT
This paper examines the relationship between Money Market Fund (MMF) risks and outcomes during crises, with a focus on the ABCP crisis in 2007 and the run on money funds in 2008. The author...
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White Papers
The Rise In Mortgage Defaults
November 1, 2008, 12:00am PDT
The mortgage market began suffering serious problems in mid-2005. According to data from the Mortgage Bankers Association, share of mortgage loans that were "seriously delinquent" (90 days or more...
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White Papers
The Evolving Relationship Between Community Banks And Small Businesses
October 24, 2008, 12:00am PDT
The SSBFs provide extensive data on the types of financial services used by small businesses and the sources of those services. These data allow one to answer a number of interesting questions...
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White Papers
The Rigidity Of Choice. Lifecycle Savings With Information-Processing Limits
October 1, 2008, 12:00am PDT
This paper studies the implications of information-processing limits on the consumption and savings behavior of households through time. It presents a dynamic model in which consumers rationally...
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White Papers
The Past, Present, And Future Of Subprime Mortgages
November 1, 2008, 12:00am PDT
This paper models the historical default and prepayment behavior for subprime mortgages using data on securitized mortgages originated from 2000 to 2007. It's found that more recently originated...
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White Papers
Stock Market Participation, Portfolio Choice And Pensions Over The Life-Cycle
November 12, 2008, 12:00am PST
The empirical evidence on stock market participation and portfolio choice defies the predictions of standard life-cycle theory. In this paper, the author develops and estimate a model of portfolio...
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White Papers
Housing And The Monetary Transmission Mechanism
August 1, 2007, 12:00am PDT
The housing market seems to be on everybody's mind these days, and for good reason: Developments in the housing market have a major effect on economic activity. For example, as single-family...
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White Papers
An Efficiency Perspective On The Gains From Mergers And Asset Purchases
August 16, 2007, 12:00am PDT
A simple efficiency-based view states that acquisitions shift assets to more productive owners. This implies that expected returns from acquisitions increase with transaction value. The author...
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White Papers
The Rise In U.S. Household Indebtedness: Causes And Consequences
August 8, 2007, 12:00am PDT
During the past several decades in the United States, significant changes have occurred in household saving and borrowing behavior. As shown in the top panel of Figure 1, the personal saving rate...
Provided by Federal Reserve Board
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White Papers
Executive Compensation: A New View From A Long-Term Perspective 1936-2005
July 6, 2007, 12:00am PDT
The compensation paid to CEOs of large publicly-traded corporations rose dramatically during the 1980s and 1990s, stimulating much debate on the determinants of managerial pay (Murphy 1999, Hall...
Provided by Federal Reserve Board
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White Papers
News, Noise, And Estimates Of The "True" Unobserved State Of The Economy
September 18, 2007, 12:00am PDT
Which provides a better estimate of the "True" state of the U.S. economy, gross domestic product (GDP) or gross domestic income (GDI)? Past work has assumed the idiosyncratic variation in each...
Provided by Federal Reserve Board
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White Papers
The 'Elusive' Capital-User Cost Elasticity Revisited
May 15, 2009, 12:00am PDT
This paper sheds new light on the estimation of the long-run elasticity of the demand for business capital-for a measure that includes both equipment and structures-to changes in its user cost...
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White Papers
Will Monetary Policy Become More Of A Science?
September 1, 2007, 12:00am PDT
Over the past three decades, one has seen a remarkable change in the performance of monetary policy. By the end of the 1970s, inflation had risen to very high levels, with many countries in the...
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White Papers
Does Health Affect Portfolio Choice?
August 22, 2007, 12:00am PDT
Health considerations are often paramount in the decision-making of older households. A sudden stroke or a cancer diagnosis can upset a household's expectations about the future, including...
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White Papers
Cracking The Conundrum
October 4, 2007, 12:00am PDT
Between June 29, 2004 and February 2, 2005, the Federal Open Market Committee increased the target federal funds rate by 150 bps (basis points) or 1.5 percentage points. Over the same period, the...
Provided by Federal Reserve Board
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White Papers
Habit Persistence, Non-Separability Between Consumption And Leisure, Or Rule-Of-Thumb Consumers
August 1, 2007, 12:00am PDT
Research documenting violations of the permanent-income hypothesis has been a staple of applied work for nearly thirty years. As illustrated by Hall (1978), the most basic model of intertemporal...
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White Papers
Choice Of Mortgage Contracts: Evidence From The Survey Of Consumer Finances
August 30, 2007, 12:00am PDT
This paper revisits the empirical question of determinants of the choice between fixed- and adjustable-rate mortgages using more comprehensive data from the Survey of Consumer Finances (SCF) that...
Provided by Federal Reserve Board
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White Papers
The Effects Of Past Entry, Market Consolidation, And Expansion By Incumbents On The Probability Of Entry
July 24, 2007, 12:00am PDT
The threat of entry is an important factor in the evaluation of the potential competitive effects of proposed mergers and acquisitions. In the evaluation of proposed bank mergers, a high...
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White Papers
Do High Debt Payments Hinder Household Consumption Smoothing?
July 1, 2007, 12:00am PDT
Over the past fifteen years, U.S. households have committed a rising share of their disposable personal income to required principal and interest payments on household debt. The direct link...
Provided by Federal Reserve Board
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White Papers
Documentation Of The Research And Statistics Divisions Estimated DSGE Model Of The U.S. Economy: 2006 Version
September 18, 2007, 12:00am PDT
This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project...
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White Papers
Reserve Requirement Systems In OECD Countries
July 23, 2007, 12:00am PDT
This paper compares the reserve requirements of OECD countries. Reserve requirements are the minimum percentages or amounts of liabilities that depository institutions are required to keep in cash...
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White Papers
Implied Interest Rate Skew, Term Premiums, And The "Conundrum"
September 25, 2007, 12:00am PDT
The skew, irrespective of the mean and variance, of investors' interest rate expectations may affect required bond yields over expected short rates. Indeed, evidence suggests that the near-term...
Provided by Federal Reserve Board
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White Papers
Financial Market Perceptions Of Recession Risk
November 6, 2007, 12:00am PST
Over the Great Moderation period in the United States, one finds that corporate credit spreads embed crucial information about the one-year-ahead probability of recession, as evidenced by both in-...
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White Papers
Hyperbolic Discounting And Uniform Savings Floors
September 11, 2007, 12:00am PDT
Previous research suggests that, in partial equilibrium, individuals whose decision-making exhibits a present-bias - such as hyperbolic discounters who tend to over-consume - will be in favor of...
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White Papers
Gauging The Uncertainty Of The Economic Outlook From Historical Forecasting Errors
November 19, 2007, 12:00am PST
Participants in meetings of the Federal Open Market Committee (FOMC) regularly produce individual projections of real activity and inflation that are published in summary form. These summaries...
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White Papers
The Evolution Of Household Income Volatility
October 1, 2007, 12:00am PDT
Using data from the PSID, one finds that household income has become noticeably more volatile during the past thirty years. One estimates that the standard deviation of percent changes in...
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White Papers
Risk And Concentration In Payment And Securities Settlement Systems
October 4, 2007, 12:00am PDT
Large value payment and securities settlement systems are important components of an economy's financial system. Many such systems are operated by central banks and are liquidity intensive....
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White Papers
Explaining A Productive Decade
August 1, 2007, 12:00am PDT
This paper analyzes the sources of U.S. productivity growth in recent years using both aggregate and industry-level data. One confirms the central role for information technology (IT) in the...
Provided by Federal Reserve Board
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White Papers
Two Pitfalls Of Linearization Methods
August 17, 2007, 12:00am PDT
This paper illustrates two types of pitfalls in using linearization methods. First, if constraints are linearized before deriving optimality conditions, the derived conditions are not correct up...
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White Papers
Bank Core Deposits And The Mitigation Of Monetary Policy
January 7, 2008, 12:00am PST
This paper considers the business strategy of some banks that provide relationship loans (where they have loan origination and monitoring advantages relative to capital markets) with core deposit...
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White Papers
Frequency Of Observation And The Estimation Of Integrated Volatility In Deep And Liquid Financial Markets
August 1, 2009, 12:00am PDT
Using two newly available ultrahigh-frequency datasets, one investigates empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating...
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White Papers
Integrating Tables and Graphs With ODS LAYOUT
March 19, 2010, 12:00am PDT
ODS layout of PDF output can arrange multiple tables and graphs on the same page, and even overlay tables onto graphs and vice versa. This can replace GREPLAY coding of multiple graphs with...
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White Papers
Constructive Data Mining: Modeling Australian Inflation
June 14, 2009, 12:00am PDT
This paper improves upon de Brouwer and Ericsson's (1998) model of Australian inflation in three directions: cointegration analysis, treatment of weak exogeneity, and model design. On the third...
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