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strategic planning and analysis
(867 results)-
White Papers
Monetary Policy And The Financing Of Firms
Aug 2009
During financial crises, credit conditions tend to worsen for all agents in the economy. In the press, there are frequent calls for a looser monetary policy stance, on the grounds that this helps...
Provided by Banco de Portugal
-
White Papers
Money Is An Experience Good: Competition And Trust In The Private Provision Of Money
Aug 2009
The author studies the interplay between competition and trust as efficiency-enhancing mechanisms in the private provision of money. With commitment, trust is automatically achieved and...
Provided by Banco de Portugal
-
White Papers
The Dynamic Effects Of Shocks To Wages And Prices In The United States And The Euro Area
Jul 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The...
Provided by Banco de Portugal
-
White Papers
Credit Risk And Capital Requirements For The Portuguese Banking System
May 2009
In this paper, an assessment of the impact of Basel II capital requirement rules driven by credit risk of non-financial firms is performed. Intervals of variation for the risk drivers are...
Provided by Banco de Portugal
-
White Papers
Elusive Counter-Cyclicality And Deliberate Opportunism? Fiscal Policy From Plans To Final Outcomes
Apr 2009
Drawing on the European Commission's Autumn forecasts, the author estimate fiscal reaction functions with four different information sets, ranging from budget plans to final outcomes. The author...
Provided by Banco de Portugal
-
White Papers
The Interest Rate Pass-Through Of The Portuguese Banking System: Characterization And Determinants
Apr 2009
Using micro level data, this work characterizes the interest rate pass-through in loan and deposit retail rates of the Portuguese banking system. It concludes that the long-run impact of a change...
Provided by Banco de Portugal
-
White Papers
International Comovement Of Stock Market Returns: A Wavelet Analysis
Mar 2009
The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, the author...
Provided by Banco de Portugal
-
White Papers
The Monetary Transmission Mechanism For A Small Open Economy In A Monetary Union
Feb 2009
This paper develops a stylized model of a small open economy integrated in a monetary union. Since the small country trades with countries inside and outside of the monetary union there are three...
Provided by Banco de Portugal
-
White Papers
Finite Sample Performance Of Frequency And Time Domain Tests For Seasonal Fractional Integration
Jan 2009
Seasonal movements are considered to be an important component of many time-series in econometric modeling and forecasting exercises. For most economic and financial variables, seasonal patterns...
Provided by Banco de Portugal
-
White Papers
Inflation Expectations In The Euro Area: Are Consumers Rational?
Dec 2008
In this paper, the author proposes a quantitative measure for inflation expectations based on consumer survey data. Thereafter, the author proceeds to testing the rationality assumption. This...
Provided by Banco de Portugal
-
White Papers
Analysis Of The Predictors Of Default For Portuguese Firms
Dec 2008
The concept of credit risk plays a central role in the development of the financial system and credit risk assessment is indispensable for its stability. A notable step in the attempts to...
Provided by Banco de Portugal
-
White Papers
Forecasting Investment: A Fishing Contest Using Survey Data
Oct 2008
This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a "Fishing contest", where...
Provided by Banco de Portugal
-
White Papers
Wage And Price Dynamics In Portugal
Sep 2008
This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted...
Provided by Banco de Portugal
-
White Papers
Statistical Arbitrage With Default And Collateral
Jun 2008
It is very well known that default is a real and important fact in the economy. One way to get protection against default is to require collateral, as happens in the Collateralized Mortgages...
Provided by Banco de Portugal
-
White Papers
The Effects Of Low-Cost Countries On Portuguese Manufacturing Import Prices
Mar 2008
This paper estimates the direct effect of low-cost countries on Portuguese manufacturing import prices, using detailed data both by product and by geographical market for the period 1997- 2006....
Provided by Banco de Portugal
-
White Papers
The Determinants Of Portuguese Banks? Capital Buffers
Jan 2008
The purpose of the present paper is to shed some light on why Portuguese banks hold significant capital buffers above the required regulatory minimum, through the estimation of a dynamic panel...
Provided by Banco de Portugal
-
White Papers
Household Wealth In Portugal: Revised Series
Sep 2008
Household wealth can play an important role in modeling households' consumption/savings decisions. Permanent income and life-cycle theories of consumer, for instance, predict a relationship...
Provided by Banco de Portugal
-
White Papers
Is Time Ripe For Price Level Path Stability?
Oct 2007
In this paper, the author provides a critical and selective survey of arguments relevant for the assessment of the case for price level path stability (PLPS). Using a standard hybrid new Keynesian...
Provided by Banco de Portugal
-
White Papers
Inflation (Mis)perceptions In The Euro Area
Oct 2007
There has been a growing interest on inflation perceptions in the euro area, in particular, following the euro cash changeover. It has been pointed out that a gap emerged between observed and...
Provided by Banco de Portugal
-
White Papers
Nominal Debt As A Burden On Monetary Policy
Nov 2007
The author characterizes the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency,...
Provided by Banco de Portugal
-
White Papers
Now Is The Winter Of Our Discontent
Mar 2008
If one subscribes to the notion of economic cycles as seasons, then people are in a period of deep economic winter. Ideally, people would all be able to manage the businesses to the rhythm of long...
Provided by iOctane
-
White Papers
What It Takes To Build a Business Today
Aug 2010
Too many times the tail is wagging the dog. The business is pushing the executive team around, and the solutions are either "Work faster" or "identify a problem and fix it". It is not uncommon for...
Provided by Reynolds Consulting
-
White Papers
Exchange Rates Dependence: What Drives It?
Mar 2009
Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, the author...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Fragility Of Sensitivity Analysis: An Encompassing Perspective
Nov 2008
Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Testing The Expectations Hypothesis When Interest Rates Are Near Integrated
Oct 2008
Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, the authors test the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Interpreting Long-Horizon Estimates In Predictive Regressions
Apr 2008
This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability,...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
An Analysis Of Government Guarantees And The Functioning Of Asset-Backed Securities Markets
Sep 2010
Mortgage securitization has been tried several times in the United States and each time it has failed amid a credit bust. In what is now a familiar recurring history, during the credit boom,...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Information Content Of High-Frequency Data For Estimating Equity Return Models And Forecasting Risk
Jul 2010
The author demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Fiscal Policy In The United States: Automatic Stabilizers, Discretionary Fiscal Policy Actions, And The Economy
Jun 2010
This paper examines the effects of the economy on the government budget as well as the effects of the budget on the economy. First, the author provides measures of the effects of automatic...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
A Semiparametric Characterization Of Income Uncertainty Over The Life Cycle
Jul 2010
Income uncertainty plays an important role in household decisions regarding consumption, saving, and investment. First, in the presence of incomplete financial markets, households facing...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Exports, Borders, Distance, And Plant Size
May 2010
The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. The author examines this fact using...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Granularity Adjustment For Mark-To-Market Credit Risk Models
Jun 2010
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Depth Of Negative Equity And Mortgage Default Decisions
May 2010
A central question in the literature on mortgage default is at what point underwater homeowners walk away from their homes even if they can afford to pay. The author studies borrowers from...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Industry Evidence On The Effects Of Government Spending
Feb 2010
This paper investigates industry-level effects of government purchases in order to shed light on the transmission mechanism for government spending on the aggregate economy. The author begins by...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
How Has The Monetary Transmission Mechanism Evolved Over Time?
Apr 2010
The author discusses the evolution in macroeconomic thought on the monetary policy transmission mechanism and present related empirical evidence. The core channels of policy transmission - the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Credit Market Consequences Of Job Displacement
Mar 2010
This paper demonstrates the important role of job displacement in the household bankruptcy decision. The author develops a dynamic, forward-looking model of unemployment and bankruptcy where...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Financial Market Shocks During The Great Depression
Oct 2009
This paper examines the effect of shocks observed in financial markets on output and employment during the Great Depression. The author presents three main findings. First, an adverse financial...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Structural Shocks And The Comovements Between Output And Interest Rates
Feb 2010
Stylized facts on U.S. output and interest rates have so far proved hard to match with DSGE models. But model predictions hinge on the joint specification of economic structure and a set of...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
General-Equilibrium Effects Of Investment Tax Incentives
Feb 2010
The past two U.S. recessions have seen the enactment of sizeable fiscal stimulus packages. In each case, these packages have included significant provisions for temporary partial expensing...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Real-Time Model Uncertainty In The United States: 'Robust' policies put to the test
Nov 2009
The author studies 46 vintages of FRB/US, the principal macro model used by Federal Re-serve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty, also the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Testing The Expectations Hypothesis When Interest Rates Are Near Integrated
Oct 2008
Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, the authors test the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Fragility Of Sensitivity Analysis: An Encompassing Perspective
Nov 2008
Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Exchange Rates Dependence: What Drives It?
Mar 2009
Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, the author...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
What It Takes To Build a Business Today
Aug 2010
Too many times the tail is wagging the dog. The business is pushing the executive team around, and the solutions are either "Work faster" or "identify a problem and fix it". It is not uncommon for...
Provided by Reynolds Consulting
-
White Papers
Now Is The Winter Of Our Discontent
Mar 2008
If one subscribes to the notion of economic cycles as seasons, then people are in a period of deep economic winter. Ideally, people would all be able to manage the businesses to the rhythm of long...
Provided by iOctane
-
White Papers
Nominal Debt As A Burden On Monetary Policy
Nov 2007
The author characterizes the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency,...
Provided by Banco de Portugal
-
White Papers
Inflation (Mis)perceptions In The Euro Area
Oct 2007
There has been a growing interest on inflation perceptions in the euro area, in particular, following the euro cash changeover. It has been pointed out that a gap emerged between observed and...
Provided by Banco de Portugal
-
White Papers
Is Time Ripe For Price Level Path Stability?
Oct 2007
In this paper, the author provides a critical and selective survey of arguments relevant for the assessment of the case for price level path stability (PLPS). Using a standard hybrid new Keynesian...
Provided by Banco de Portugal
-
White Papers
Household Wealth In Portugal: Revised Series
Sep 2008
Household wealth can play an important role in modeling households' consumption/savings decisions. Permanent income and life-cycle theories of consumer, for instance, predict a relationship...
Provided by Banco de Portugal
-
White Papers
The Determinants Of Portuguese Banks? Capital Buffers
Jan 2008
The purpose of the present paper is to shed some light on why Portuguese banks hold significant capital buffers above the required regulatory minimum, through the estimation of a dynamic panel...
Provided by Banco de Portugal
-
White Papers
The Effects Of Low-Cost Countries On Portuguese Manufacturing Import Prices
Mar 2008
This paper estimates the direct effect of low-cost countries on Portuguese manufacturing import prices, using detailed data both by product and by geographical market for the period 1997- 2006....
Provided by Banco de Portugal
-
White Papers
Statistical Arbitrage With Default And Collateral
Jun 2008
It is very well known that default is a real and important fact in the economy. One way to get protection against default is to require collateral, as happens in the Collateralized Mortgages...
Provided by Banco de Portugal
-
White Papers
Wage And Price Dynamics In Portugal
Sep 2008
This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted...
Provided by Banco de Portugal
-
White Papers
Forecasting Investment: A Fishing Contest Using Survey Data
Oct 2008
This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a "Fishing contest", where...
Provided by Banco de Portugal
-
White Papers
Analysis Of The Predictors Of Default For Portuguese Firms
Dec 2008
The concept of credit risk plays a central role in the development of the financial system and credit risk assessment is indispensable for its stability. A notable step in the attempts to...
Provided by Banco de Portugal
-
White Papers
Inflation Expectations In The Euro Area: Are Consumers Rational?
Dec 2008
In this paper, the author proposes a quantitative measure for inflation expectations based on consumer survey data. Thereafter, the author proceeds to testing the rationality assumption. This...
Provided by Banco de Portugal
-
White Papers
Finite Sample Performance Of Frequency And Time Domain Tests For Seasonal Fractional Integration
Jan 2009
Seasonal movements are considered to be an important component of many time-series in econometric modeling and forecasting exercises. For most economic and financial variables, seasonal patterns...
Provided by Banco de Portugal
-
White Papers
The Monetary Transmission Mechanism For A Small Open Economy In A Monetary Union
Feb 2009
This paper develops a stylized model of a small open economy integrated in a monetary union. Since the small country trades with countries inside and outside of the monetary union there are three...
Provided by Banco de Portugal
-
White Papers
International Comovement Of Stock Market Returns: A Wavelet Analysis
Mar 2009
The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, the author...
Provided by Banco de Portugal
-
White Papers
The Interest Rate Pass-Through Of The Portuguese Banking System: Characterization And Determinants
Apr 2009
Using micro level data, this work characterizes the interest rate pass-through in loan and deposit retail rates of the Portuguese banking system. It concludes that the long-run impact of a change...
Provided by Banco de Portugal
-
White Papers
Elusive Counter-Cyclicality And Deliberate Opportunism? Fiscal Policy From Plans To Final Outcomes
Apr 2009
Drawing on the European Commission's Autumn forecasts, the author estimate fiscal reaction functions with four different information sets, ranging from budget plans to final outcomes. The author...
Provided by Banco de Portugal
-
White Papers
Credit Risk And Capital Requirements For The Portuguese Banking System
May 2009
In this paper, an assessment of the impact of Basel II capital requirement rules driven by credit risk of non-financial firms is performed. Intervals of variation for the risk drivers are...
Provided by Banco de Portugal
-
White Papers
The Dynamic Effects Of Shocks To Wages And Prices In The United States And The Euro Area
Jul 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The...
Provided by Banco de Portugal
-
White Papers
Money Is An Experience Good: Competition And Trust In The Private Provision Of Money
Aug 2009
The author studies the interplay between competition and trust as efficiency-enhancing mechanisms in the private provision of money. With commitment, trust is automatically achieved and...
Provided by Banco de Portugal
-
White Papers
Monetary Policy And The Financing Of Firms
Aug 2009
During financial crises, credit conditions tend to worsen for all agents in the economy. In the press, there are frequent calls for a looser monetary policy stance, on the grounds that this helps...
Provided by Banco de Portugal
-
White Papers
A New Measure Of Fiscal Shocks Based On Budget Forecasts And Its Implications
Sep 2009
This paper develops a new measure of US fiscal policy shocks that intends to avoid the anticipation problem affecting conventional measures, being also arguably free from endogeneity. The shocks...
Provided by Banco de Portugal
-
White Papers
Evidence From Surveys Of Price-Setting Managers: Policy Lessons And Directions For Ongoing Research
Dec 2009
Understanding the determinants of individual price setting behavior is crucial for the formulation of monetary policy, especially in an economy experiencing ongoing structural change. These...
Provided by Banco de Portugal
-
White Papers
Financial Stability And Policy Cooperation
Jul 2010
Within the context of the Global Crisis, this paper examines the ongoing policy challenges in establishing a European framework for financial regulation and supervision. The author does so taking...
Provided by Banco de Portugal
-
White Papers
Exports, Imports And Wages: Evidence From Matched Firm-Worker-Product Panels
Feb 2010
The analysis of the effects of firm-level international trade on wages has so far focused on the role of exports, which are also typically treated as a composite good. However, the author shows in...
Provided by Banco de Portugal
-
White Papers
Expectations-Driven Cycles In The Housing Market
May 2010
This paper analyzes housing market boom-bust cycles driven by changes in households' expectations. The author explores the role of expectations not only on productivity but on several other shocks...
Provided by Banco de Portugal
-
White Papers
Counterfactual Analysis Of Bank Mergers
May 2010
Estimating the impact of bank mergers on credit granted and on interest rates requires a framework that allows to disentangle the effect of changes in market structure generated by mergers from...
Provided by Banco de Portugal
-
White Papers
Tracking The US Business Cycle With A Singular Spectrum Analysis
Jun 2010
The monitoring of economic developments is an exercise of considerable importance for policymakers, namely, central banks and fiscal authorities as well as for other economic agents such as...
Provided by Banco de Portugal
-
White Papers
Calendar Effects In Daily ATM Withdrawals
Jun 2010
This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st...
Provided by Banco de Portugal
-
White Papers
Monetary Policy Effects: Evidence From The Portuguese Flow Of Funds
Jun 2010
This paper uses a VAR approach to study the transmission of monetary policy shocks in Portugal, focusing in particular on the financial decisions of households, corporations...
Provided by Banco de Portugal
-
White Papers
Short And Long Interest Rate Targets
Jul 2010
The author shows that short and long nominal interest rates are independent monetary policy instruments. The pegging of both helps solving the problem of multiplicity that arises when only short...
Provided by Banco de Portugal
-
White Papers
The Trajectory Of Wealth In Retirement
Jan 2008
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
-
White Papers
Corporate Hedging, Investment And Value
Feb 2008
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
-
White Papers
Expectations Of Risk And Return Among Household Investors: Are Their Sharpe Ratios Countercyclical?
Jan 2008
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....
Provided by Federal Reserve Board
-
White Papers
Exchange Rates, Optimal Debt Composition, And Hedging In Small Open Economies
Jan 2008
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...
Provided by Federal Reserve Board
-
White Papers
Happiness Maintenance And Asset Prices
Jan 2008
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
-
White Papers
The Determinants Of Portuguese Banks? Capital Buffers
Jan 2008
The purpose of the present paper is to shed some light on why Portuguese banks hold significant capital buffers above the required regulatory minimum, through the estimation of a dynamic panel...
Provided by Banco de Portugal
-
White Papers
Household Wealth In Portugal: Revised Series
Sep 2008
Household wealth can play an important role in modeling households' consumption/savings decisions. Permanent income and life-cycle theories of consumer, for instance, predict a relationship...
Provided by Banco de Portugal
-
White Papers
Is Time Ripe For Price Level Path Stability?
Oct 2007
In this paper, the author provides a critical and selective survey of arguments relevant for the assessment of the case for price level path stability (PLPS). Using a standard hybrid new Keynesian...
Provided by Banco de Portugal
-
White Papers
Inflation (Mis)perceptions In The Euro Area
Oct 2007
There has been a growing interest on inflation perceptions in the euro area, in particular, following the euro cash changeover. It has been pointed out that a gap emerged between observed and...
Provided by Banco de Portugal
-
White Papers
Nominal Debt As A Burden On Monetary Policy
Nov 2007
The author characterizes the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency,...
Provided by Banco de Portugal
-
White Papers
Now Is The Winter Of Our Discontent
Mar 2008
If one subscribes to the notion of economic cycles as seasons, then people are in a period of deep economic winter. Ideally, people would all be able to manage the businesses to the rhythm of long...
Provided by iOctane
-
White Papers
What It Takes To Build a Business Today
Aug 2010
Too many times the tail is wagging the dog. The business is pushing the executive team around, and the solutions are either "Work faster" or "identify a problem and fix it". It is not uncommon for...
Provided by Reynolds Consulting
-
White Papers
Exchange Rates Dependence: What Drives It?
Mar 2009
Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, the author...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Fragility Of Sensitivity Analysis: An Encompassing Perspective
Nov 2008
Robustness and fragility in Leamer's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Testing The Expectations Hypothesis When Interest Rates Are Near Integrated
Oct 2008
Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, the authors test the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Interpreting Long-Horizon Estimates In Predictive Regressions
Apr 2008
This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability,...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
An Analysis Of Government Guarantees And The Functioning Of Asset-Backed Securities Markets
Sep 2010
Mortgage securitization has been tried several times in the United States and each time it has failed amid a credit bust. In what is now a familiar recurring history, during the credit boom,...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Information Content Of High-Frequency Data For Estimating Equity Return Models And Forecasting Risk
Jul 2010
The author demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Fiscal Policy In The United States: Automatic Stabilizers, Discretionary Fiscal Policy Actions, And The Economy
Jun 2010
This paper examines the effects of the economy on the government budget as well as the effects of the budget on the economy. First, the author provides measures of the effects of automatic...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
A Semiparametric Characterization Of Income Uncertainty Over The Life Cycle
Jul 2010
Income uncertainty plays an important role in household decisions regarding consumption, saving, and investment. First, in the presence of incomplete financial markets, households facing...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Exports, Borders, Distance, And Plant Size
May 2010
The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. The author examines this fact using...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Granularity Adjustment For Mark-To-Market Credit Risk Models
Jun 2010
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Depth Of Negative Equity And Mortgage Default Decisions
May 2010
A central question in the literature on mortgage default is at what point underwater homeowners walk away from their homes even if they can afford to pay. The author studies borrowers from...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Industry Evidence On The Effects Of Government Spending
Feb 2010
This paper investigates industry-level effects of government purchases in order to shed light on the transmission mechanism for government spending on the aggregate economy. The author begins by...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
How Has The Monetary Transmission Mechanism Evolved Over Time?
Apr 2010
The author discusses the evolution in macroeconomic thought on the monetary policy transmission mechanism and present related empirical evidence. The core channels of policy transmission - the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Credit Market Consequences Of Job Displacement
Mar 2010
This paper demonstrates the important role of job displacement in the household bankruptcy decision. The author develops a dynamic, forward-looking model of unemployment and bankruptcy where...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Financial Market Shocks During The Great Depression
Oct 2009
This paper examines the effect of shocks observed in financial markets on output and employment during the Great Depression. The author presents three main findings. First, an adverse financial...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Structural Shocks And The Comovements Between Output And Interest Rates
Feb 2010
Stylized facts on U.S. output and interest rates have so far proved hard to match with DSGE models. But model predictions hinge on the joint specification of economic structure and a set of...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
General-Equilibrium Effects Of Investment Tax Incentives
Feb 2010
The past two U.S. recessions have seen the enactment of sizeable fiscal stimulus packages. In each case, these packages have included significant provisions for temporary partial expensing...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Real-Time Model Uncertainty In The United States: 'Robust' policies put to the test
Nov 2009
The author studies 46 vintages of FRB/US, the principal macro model used by Federal Re-serve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty, also the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Mergers And Sequential Innovation: Evidence From Patent Citations
Jan 2010
An extensive literature has investigated the effect of market structure on innovation. A persistent concern is that market structure may be endogenous to innovation. Firms may choose to merge so...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Managing Beliefs About Monetary Policy Under Discretion
Aug 2009
In models of monetary policy, discretionary policymaking often lacks the ability to manage public beliefs, which explains the theoretical appeal of policy rules and commitment strategies. But as...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
The Finances Of American Households In The Past Three Recessions: Evidence From The Survey Of Consumer Finances
Dec 2009
The downturn in economic activity in the U.S. that began in December 2007 (as determined by researchers with the National Bureau of Economic Research) has been noticeably deeper and has already...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Constant Proportion Debt Obligations: A Post-Mortem Analysis Of Rating Models
Sep 2009
In its complexity and its vulnerability to market volatility, the CPDO might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Income Taxes, Compensating Differentials, And Occupational Choice: How Taxes Distort The Wage-Amenity Decision
Jan 2010
The link between taxes and occupational choices is central for understanding the welfare impacts of income taxes. Just as taxes distort the labor-leisure decision, they also distort the...
Provided by Board of Governors of the Federal Reserve System
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White Papers
A Dynamic Analysis Of Consolidation In The Broadcast Television Industry
Oct 2009
This paper estimates a dynamic oligopoly model in order to separately identify the demand-side and cost-side advantages of consolidation in the broadcast television industry. The author exploits...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Firm Volatility And Banks: Evidence From U.S. Banking Deregulation
Sep 2009
This paper exploits the staggered timing of state-level banking deregulation in the United States during the 1980s to study the causal effect of banking integration on the volatility of...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Household Response To The 2008 Tax Rebates: Survey Evidence And Aggregate Implications
Nov 2009
Only about one-fifth of respondents in the Reuters/University of Michigan survey report that the 2008 tax rebates led them to mostly increase spending, while over half said it would lead them to...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Assessing The Systemic Risk Of A Heterogeneous Portfolio Of Banks During The Recent Financial Crisis
Oct 2009
This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Designing Loan Modifications To Address The Mortgage Crisis And The Making Home Affordable Program
Oct 2009
Delinquencies on residential mortgages and home foreclosures have risen dramatically in the past couple of years. The mortgage losses triggered a broad-based financial crisis and severe recession,...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Reversing The Trend: The Recent Expansion Of The Reverse Mortgage Market
Sep 2009
Reverse mortgages allow elderly homeowners to tap into their housing wealth with-out having to sell or move out of their homes. However, very few eligible homeowners have used reverse mortgages to...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Bayesian Analysis Of Stochastic Volatility Models With Levy Jumps: Application To Risk Analysis
Jul 2009
This paper analyzes a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both....
Provided by Board of Governors of the Federal Reserve System
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Podcasts
Chris Higson - Fourth Briefing Of The 'Crisis Compendium'
Jan 2010
The School has been providing a regular commentary on the economic crisis and likely scenarios for the future. Chris Higson, Associate Professor of Accounting, provided his insights on the...
Provided by London Business School
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White Papers
The Evolution Of A Financial Crisis: Panic In The Asset-Backed Commercial Paper Market
Aug 2009
The U.S. asset-backed commercial paper (ABCP) market erupted in late summer of 2007 and played a pivotal role in the global financial crisis that would become increasingly severe. In the ABCP...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Determinants Of The Locations Of Payday Lenders, Pawnshops And Check-Cashing Outlets
Jun 2009
A large and growing number of low-to-moderate income U.S. households rely upon alternative financial service providers (AFSPs) for a variety of credit products and transaction services, including...
Provided by Board of Governors of the Federal Reserve System
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