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strategic planning and analysis
(867 results)-
White Papers
Housing And The Monetary Transmission Mechanism
Aug 2007
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...
Provided by Federal Reserve Board
-
White Papers
Stock Market Participation, Portfolio Choice And Pensions Over The Life-Cycle
Nov 2008
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...
Provided by Federal Reserve Board
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White Papers
The Past, Present, And Future Of Subprime Mortgages
Nov 2008
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...
Provided by Federal Reserve Board
-
White Papers
The Rigidity Of Choice. Lifecycle Savings With Information-Processing Limits
Oct 2008
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...
Provided by Federal Reserve Board
-
White Papers
The Rise In Mortgage Defaults
Nov 2008
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...
Provided by Federal Reserve Board
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White Papers
The Incentives Of Mortgage Servicers: Myths And Realities
Oct 2008
As foreclosure initiations have soared over the past couple of years, many have questioned whether mortgage servicers have the right incentives to work out troubled subprime mortgages so that...
Provided by Federal Reserve Board
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White Papers
The Use Of Alternative Employment Arrangements By Small Businesses
Sep 2008
According to the CPS, employees in alternative work arrangements make up over 10 percent of U.S. workers. Because of the pervasiveness of these types of arrangements, it is important to understand...
Provided by Federal Reserve Board
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White Papers
Lowering The Anchor: How The Bank Of England's Inflation-Targeting Policies Have Shaped Inflation Expectations And Perceptions Of Inflation Risk
Aug 2008
Inflation targeting as practiced by the Bank of England has undergone several changes since its adoption in 1992, including redefinition of the goal, measures to increase transparency and the...
Provided by Federal Reserve Board
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White Papers
Distress In The Financial Sector And Economic Activity
Oct 2008
This paper explores the relationship between the health of the financial sector and the rest of the economy. The author develops an indicator of financial sector health using a distance-to-default...
Provided by Federal Reserve Board
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White Papers
Borrowing From Yourself: 401(K) Loans And Household Balance Sheets
Aug 2008
Over the last two decades, 401(k) accounts have become the dominant form of retirement plan for American workers, covering 65 million people and representing $2.4 trillion in assets in 2005 (U.S....
Provided by Federal Reserve Board
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White Papers
Effects Of Liquidity On The Nondefault Component Of Corporate Yield Spreads: Evidence From Intraday Transactions Data
Mar 2008
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...
Provided by Federal Reserve Board
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White Papers
The High-Frequency Impact Of News On Long-Term Yields And Forward Rates: Is It Real?
Aug 2008
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...
Provided by Federal Reserve Board
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White Papers
Estimating The Common Trend Rate Of Inflation For Consumer Prices And Consumer Prices Excluding Food And Energy Prices
Jul 2008
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...
Provided by Federal Reserve Board
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White Papers
Temporal Risk Aversion And Asset Prices
Jul 2008
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...
Provided by Federal Reserve Board
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White Papers
Consumer Switching Costs And Firm Pricing: Evidence From Bank Pricing Of Deposit Accounts
May 2008
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...
Provided by Federal Reserve Board
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White Papers
Zero Bound, Option-Implied PDFs, And Term Structure Models
Jun 2008
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...
Provided by Federal Reserve Board
-
White Papers
Tips From TIPS: The Informational Content Of Treasury Inflation-Protected Security Prices
Feb 2008
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...
Provided by Federal Reserve Board
-
White Papers
Subprime Mortgages: What, Where, And To Whom?
Jun 2008
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
-
White Papers
Market Conditions And Hedge Fund Survival
Dec 2007
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...
Provided by Federal Reserve Board
-
White Papers
Lifecycle Dynamics Of Income Uncertainty And Consumption
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
Starting Small And Ending Big - The Effect Of Monetary Incentives On Response Rates In The 2003 Survey Of Small Business Finances
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
Term Premiums And Inflation Uncertainty: Empirical Evidence From An International Panel Dataset
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
The Effect Of Taxation On Lifecycle Labor Supply: Results From A Quasi-Experiment
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
Are Long-Run Inflation Expectations Anchored More Firmly In The Euro Area Than In The United States?
Sep 2007
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....
Provided by Federal Reserve Board
-
White Papers
The Two-Period Rational Inattention Model: Accelerations And Analyses
Feb 2008
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...
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
New Evidence On 401(K) Borrowing And Household Balance Sheets
Mar 2009
Despite news reports suggesting a rise in 401(k) borrowing in recent years, it's found that the share of eligible households with 401(k) loans in the 2007 Survey of Consumer Finances was about 15...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Should Risky Firms Offer Risk-Free DB Pensions?
Apr 2009
This paper develops a simple model of pension financing to study the effects of pension risk on shareholder value. In the model, firms minimize costs, total compensation must clear the labor...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Interchange Fees And Payment Card Networks: Economics, Industry Developments, And Policy Issues
May 2009
In many countries around the world, electronic card-based payments have been replacing older types of payments at a rapid rate. In the United States, use of both debit cards and credit cards has...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Whither The Liquidity Effect: The Impact Of Federal Reserve Open Market Operations In Recent Years
Jan 2009
Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
What Is The Chance That The Equity Premium Varies Over Time? Evidence From Predictive Regressions
Apr 2009
This paper examines the evidence on stock return predictability in a Bayesian setting that includes uncertainty about both the existence and strength of predictability. The author considers an...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Confidence Intervals For Long-Horizon Predictive Regressions Via Reverse Regressions
May 2009
Long-horizon predictive regressions in finance pose formidable econometric problems when estimated using the sample sizes that are typically available. A remedy that has been proposed by Hodrick...
Provided by Board of Governors of the Federal Reserve System
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White Papers
The Role Of The Securitization Process In The Expansion Of Subprime Credit
Apr 2009
The author analyzes the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and 2007. The data set allows one to link loan-level data for over 6.7...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Does Speculation Affect Spot Price Levels? The Case Of Metals With And Without Futures Markets
May 2009
This paper finds no evidence that speculative activity in futures markets for industrial metals caused higher spot prices in recent years. The empirical analysis focuses on industrial metals with...
Provided by Board of Governors of the Federal Reserve System
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White Papers
Does Tax Policy Affect Executive Compensation? Evidence From Postwar Tax Reforms
May 2009
Evidence since the 1980s suggests that the level and structure of executive compensation in U.S. public corporations are largely unresponsive to tax incentives. However, the relative tax advantage...
Provided by Board of Governors of the Federal Reserve System
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Podcasts
Challenges For Measuring Performance
Jan 2010
Sir Andrew Likierman, Professor of Management Practice in Accounting, discusses the challenges involved in accurately measuring performance.
Provided by London Business School
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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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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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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
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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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
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
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
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
-
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
-
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
-
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
-
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
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
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
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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
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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
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
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
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
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
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
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
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
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
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
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
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
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
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
Tips From TIPS: The Informational Content Of Treasury Inflation-Protected Security Prices
Feb 2008
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...
Provided by Federal Reserve Board
-
White Papers
Subprime Mortgages: What, Where, And To Whom?
Jun 2008
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
-
White Papers
Market Conditions And Hedge Fund Survival
Dec 2007
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...
Provided by Federal Reserve Board
-
White Papers
Lifecycle Dynamics Of Income Uncertainty And Consumption
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
Starting Small And Ending Big - The Effect Of Monetary Incentives On Response Rates In The 2003 Survey Of Small Business Finances
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
Term Premiums And Inflation Uncertainty: Empirical Evidence From An International Panel Dataset
May 2008
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...
Provided by Federal Reserve Board
-
White Papers
The Effect Of Taxation On Lifecycle Labor Supply: Results From A Quasi-Experiment
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
Are Long-Run Inflation Expectations Anchored More Firmly In The Euro Area Than In The United States?
Sep 2007
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....
Provided by Federal Reserve Board
-
White Papers
The Two-Period Rational Inattention Model: Accelerations And Analyses
Feb 2008
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...
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
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
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
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
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
-
Whitepapers
Capture industry white paper - banking
Sep 2012
Despite the increasing digitization of business today, paper remains the lowest common denominator for many important financial activities. Scanning to capture documents for storage is a great...
Provided by IBM
-
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
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
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
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
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
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
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
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
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
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
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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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...
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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....
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