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Mission Statement
TechRepublic's ITPapers is the Web's largest library of free technical IT white papers, webcasts, and case studies. Covering IT categories including Data Management, IT Management, Networking, Communications, Enterprise Applications, Storage, Security and much more, TechRepublic's White Paper Directory is the best source for technical white papers and IT information.
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White Papers
Bank Core Deposits And The Mitigation Of Monetary Policy
Jan 2008
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...
Provided by Federal Reserve Board
-
White Papers
Risk And Concentration In Payment And Securities Settlement Systems
Oct 2007
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....
Provided by Federal Reserve Board
-
White Papers
The Evolution Of Household Income Volatility
Oct 2007
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...
Provided by Federal Reserve Board
-
White Papers
Hyperbolic Discounting And Uniform Savings Floors
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
Imperfect Monitoring And The Discounting Of Inside Money
May 2007
One of the fundamental questions concerning inside money is whether its issuers should be regulated and how. This paper evaluates the efficiency of one prevalent regulatory recommendation - a...
Provided by Federal Reserve Board
-
White Papers
Financial Market Perceptions Of Recession Risk
Nov 2007
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-...
Provided by Federal Reserve Board
-
White Papers
Implied Interest Rate Skew, Term Premiums, And The "Conundrum"
Sep 2007
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
-
White Papers
Habit Persistence, Non-Separability Between Consumption And Leisure, Or Rule-Of-Thumb Consumers
Aug 2007
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...
Provided by Federal Reserve Board
-
White Papers
Credit Derivatives And Risk Management
May 2007
The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A...
Provided by Federal Reserve Board
-
White Papers
Cracking The Conundrum
Oct 2007
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
-
White Papers
Will Monetary Policy Become More Of A Science?
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
The 'Elusive' Capital-User Cost Elasticity Revisited
May 2009
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...
Provided by Federal Reserve Board
-
White Papers
News, Noise, And Estimates Of The "True" Unobserved State Of The Economy
Sep 2007
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
-
White Papers
The Rise In U.S. Household Indebtedness: Causes And Consequences
Aug 2007
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
-
White Papers
An Efficiency Perspective On The Gains From Mergers And Asset Purchases
Aug 2007
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...
Provided by Federal Reserve Board
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
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
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
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 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
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
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
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
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
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
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
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
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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 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
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
-
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
An Efficiency Perspective On The Gains From Mergers And Asset Purchases
Aug 2007
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...
Provided by Federal Reserve Board
-
White Papers
The Rise In U.S. Household Indebtedness: Causes And Consequences
Aug 2007
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
-
White Papers
News, Noise, And Estimates Of The "True" Unobserved State Of The Economy
Sep 2007
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
-
White Papers
The 'Elusive' Capital-User Cost Elasticity Revisited
May 2009
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...
Provided by Federal Reserve Board
-
White Papers
Will Monetary Policy Become More Of A Science?
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
Cracking The Conundrum
Oct 2007
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
-
White Papers
Credit Derivatives And Risk Management
May 2007
The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A...
Provided by Federal Reserve Board
-
White Papers
Habit Persistence, Non-Separability Between Consumption And Leisure, Or Rule-Of-Thumb Consumers
Aug 2007
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...
Provided by Federal Reserve Board
-
White Papers
Implied Interest Rate Skew, Term Premiums, And The "Conundrum"
Sep 2007
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
-
White Papers
Financial Market Perceptions Of Recession Risk
Nov 2007
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-...
Provided by Federal Reserve Board
-
White Papers
Imperfect Monitoring And The Discounting Of Inside Money
May 2007
One of the fundamental questions concerning inside money is whether its issuers should be regulated and how. This paper evaluates the efficiency of one prevalent regulatory recommendation - a...
Provided by Federal Reserve Board
-
White Papers
Hyperbolic Discounting And Uniform Savings Floors
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
The Evolution Of Household Income Volatility
Oct 2007
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...
Provided by Federal Reserve Board
-
White Papers
Risk And Concentration In Payment And Securities Settlement Systems
Oct 2007
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....
Provided by Federal Reserve Board
-
White Papers
Risk And Concentration In Payment And Securities Settlement Systems
Oct 2007
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....
Provided by Federal Reserve Board
-
White Papers
The Evolution Of Household Income Volatility
Oct 2007
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...
Provided by Federal Reserve Board
-
White Papers
Hyperbolic Discounting And Uniform Savings Floors
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
Imperfect Monitoring And The Discounting Of Inside Money
May 2007
One of the fundamental questions concerning inside money is whether its issuers should be regulated and how. This paper evaluates the efficiency of one prevalent regulatory recommendation - a...
Provided by Federal Reserve Board
-
White Papers
Financial Market Perceptions Of Recession Risk
Nov 2007
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-...
Provided by Federal Reserve Board
-
White Papers
Implied Interest Rate Skew, Term Premiums, And The "Conundrum"
Sep 2007
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
-
White Papers
Habit Persistence, Non-Separability Between Consumption And Leisure, Or Rule-Of-Thumb Consumers
Aug 2007
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...
Provided by Federal Reserve Board
-
White Papers
Credit Derivatives And Risk Management
May 2007
The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A...
Provided by Federal Reserve Board
-
White Papers
Cracking The Conundrum
Oct 2007
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
-
White Papers
Will Monetary Policy Become More Of A Science?
Sep 2007
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...
Provided by Federal Reserve Board
-
White Papers
The 'Elusive' Capital-User Cost Elasticity Revisited
May 2009
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...
Provided by Federal Reserve Board
-
White Papers
News, Noise, And Estimates Of The "True" Unobserved State Of The Economy
Sep 2007
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
-
White Papers
The Rise In U.S. Household Indebtedness: Causes And Consequences
Aug 2007
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
-
White Papers
An Efficiency Perspective On The Gains From Mergers And Asset Purchases
Aug 2007
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...
Provided by Federal Reserve Board
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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