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Details about Jose A. Lopez

E-mail:
Homepage:http://www.frbsf.org/econrsrch/economists/jlopez.html
Workplace:Economic Research, Federal Reserve Bank of San Francisco, (more information at EDIRC)

Access statistics for papers by Jose A. Lopez.

Last updated 2014-03-26. Update your information in the RePEc Author Service.

Short-id: plo1


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Working Papers

2014

  1. Can spanned term structure factors drive stochastic yield volatility?
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)

2013

  1. A probability-based stress test of Federal Reserve assets and income
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads
  2. Upstream product market regulations, ICT, R&D and productivity
    Working papers, Banque de France Downloads

2012

  1. Pricing deflation risk with U.S. Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (5)

2011

  1. Extracting deflation probability forecasts from Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (4)
    See also Journal Article in International Journal of Central Banking (2012)

2010

  1. Bond currency denomination and the yen carry trade
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads
  2. How Does Competition Impact Bank Risk-Taking?
    Banco de España Working Papers, Banco de España Downloads View citations (12)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) Downloads View citations (29)

2009

  1. Do central bank liquidity facilities affect interbank lending rates?
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (47)
  2. EAD calibration for corporate credit lines
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (2)
  3. Foreign entry into underwriting services: evidence from Japan's "Big Bang" deregulation
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)

2008

  1. Empirical analysis of corporate credit lines
    Banco de España Working Papers, Banco de España Downloads View citations (4)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) Downloads View citations (8)

    See also Journal Article in Review of Financial Studies (2009)
  2. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (9)
    See also Journal Article in Journal of Money, Credit and Banking (2010)

2007

  1. Competition and risk taking by Spanish banks
    Proceedings, Federal Reserve Bank of Chicago
  2. Determinants of access to external finance: evidence from Spanish firms
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (2)

2006

  1. Foreign bank lending and bond underwriting in Japan during the lost decade
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2005

  1. Alternative measures of the Federal Reserve banks' cost of equity capital
    Public Policy Discussion Paper, Federal Reserve Bank of Boston Downloads View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2006)
  2. Empirical analysis of the average asset correlation for real estate investment trusts
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2009)

2004

  1. Evaluating interest rate covariance models within a value-at-risk framework
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads
  2. Using securities market information for bank supervisory monitoring
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
    See also Journal Article in International Journal of Central Banking (2008)

2003

  1. Does regional economic performance affect bank health? New analysis of an old question
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
  2. Forecasting supervisory ratings using securities market information
    Proceedings, Federal Reserve Bank of Chicago

2002

  1. Financial structure and macroeconomic performance over the short and long run
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (8)
  2. The empirical relationship between average asset correlation, firm probability of default and asset size
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
    See also Journal Article in Journal of Financial Intermediation (2004)

2001

  1. Incorporating equity market information into supervisory monitoring models
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (3)
    See also Journal Article in Journal of Money, Credit and Banking (2004)
  2. The Federal Reserve banks' imputed cost of equity capital
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)

2000

  1. Evaluating covariance matrix forecasts in a value-at-risk framework
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
  2. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (3)
    Also in Research Paper, Federal Reserve Bank of New York (1997) Downloads View citations (1)

1999

  1. Evaluating credit risk models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2000)
  2. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (6)
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1999) Downloads View citations (2)

1998

  1. Methods for evaluating value-at-risk estimates
    Research Paper, Federal Reserve Bank of New York Downloads View citations (9)
    See also Journal Article in Economic Review (1999)

1997

  1. Regulatory evaluation of value-at-risk models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (16)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996) Downloads View citations (1)
    Research Paper, Federal Reserve Bank of New York (1997) Downloads View citations (3)

1996

  1. Exchange rate cointegration across central bank regime shifts
    Research Paper, Federal Reserve Bank of New York Downloads View citations (6)
  2. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (148)
    Also in Research Paper, Federal Reserve Bank of New York (1995) Downloads View citations (32)

1995

  1. Evaluating the predictive accuracy of volatility models
    Research Paper, Federal Reserve Bank of New York Downloads View citations (8)
    See also Journal Article in Journal of Forecasting (2001)
  2. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York Downloads View citations (35)
    Also in Home Pages, University of Pennsylvania Downloads View citations (17)

Journal Articles

2014

  1. Stress testing the Fed
    FRBSF Economic Letter, 2014 Downloads

2013

  1. How does competition affect bank risk-taking?
    Journal of Financial Stability, 2013, 9, (2), 185-195 Downloads View citations (5)

2012

  1. Extracting Deflation Probability Forecasts from Treasury Yields
    International Journal of Central Banking, 2012, 8, (4), 21-60 Downloads
    See also Working Paper (2011)

2010

  1. Challenges in economic capital modeling
    FRBSF Economic Letter, 2010, (jun21) Downloads
  2. Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
    Journal of Money, Credit and Banking, 2010, 42, (s1), 143-178 Downloads View citations (20)
    Also in Proceedings, 2009, (Jan) (2009) Downloads View citations (22)

    See also Working Paper (2008)

2009

  1. Do supervisory rating standards change over time?
    Economic Review, 2009, 13-24 Downloads View citations (5)
  2. Empirical Analysis of Corporate Credit Lines
    Review of Financial Studies, 2009, 22, (12), 5069-5098 Downloads View citations (13)
    See also Working Paper (2008)
  3. Empirical analysis of the average asset correlation for real estate investment trusts
    Quantitative Finance, 2009, 9, (2), 217-229 Downloads View citations (1)
    See also Working Paper (2005)
  4. Gauging aggregate credit market conditions
    FRBSF Economic Letter, 2009, (oct19) Downloads

2008

  1. The economics of private equity investments: symposium summary
    FRBSF Economic Letter, 2008, (feb29) Downloads
  2. Using Securities Market Information for Bank Supervisory Monitoring
    International Journal of Central Banking, 2008, 4, (1), 125-164 Downloads View citations (6)
    See also Working Paper (2004)
  3. What is liquidity risk?
    FRBSF Economic Letter, 2008, (oct24) Downloads View citations (1)

2007

  1. Concentrations in commercial real estate lending
    FRBSF Economic Letter, 2007, (jan5) Downloads
  2. Corporate access to external financing
    FRBSF Economic Letter, 2007, (oct19) Downloads
  3. Financial innovations and the real economy: conference summary
    FRBSF Economic Letter, 2007, (mar2) Downloads
  4. U.S. supervisory standards for operational risk management
    FRBSF Economic Letter, 2007, (may4) Downloads

2006

  1. Alternative measures of the Federal Reserve Banks' cost of equity capital
    Journal of Banking & Finance, 2006, 30, (6), 1687-1711 Downloads View citations (4)
    See also Working Paper (2005)
  2. What is the Federal Reserve banks' imputed cost of equity capital?
    FRBSF Economic Letter, 2006, (apr7) Downloads

2005

  1. Recent policy issues regarding credit risk transfer
    FRBSF Economic Letter, 2005, (dec2) Downloads
  2. Stress tests: useful complements to financial risk models
    FRBSF Economic Letter, 2005, (jun24) Downloads View citations (3)

2004

  1. Comment
    Journal of Business & Economic Statistics, 2004, 22, 165-169 Downloads
  2. Commentary on "Market indicators, bank fragility, and indirect market discipline"
    Economic Policy Review, 2004, (Sep), 67-71 Downloads View citations (1)
  3. Incorporating Equity Market Information into Supervisory Monitoring Models
    Journal of Money, Credit and Banking, 2004, 36, (6), 1043-67 View citations (22)
    See also Working Paper (2001)
  4. Outsourcing by financial services firms: the supervisory response
    FRBSF Economic Letter, 2004, (nov26) Downloads
  5. Policy applications of a global macroeconomic model
    FRBSF Economic Letter, 2004, (jun11) Downloads View citations (2)
  6. Supervising interest rate risk management
    FRBSF Economic Letter, 2004, (sep17) Downloads
  7. The empirical relationship between average asset correlation, firm probability of default, and asset size
    Journal of Financial Intermediation, 2004, 13, (2), 265-283 Downloads View citations (34)
    See also Working Paper (2002)

2003

  1. Disclosure as a supervisory tool: Pillar 3 of Basel II
    FRBSF Economic Letter, 2003, (aug1) Downloads
  2. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
    Economic Policy Review, 2003, (Sep), 55-81 Downloads View citations (5)
  3. How financial firms manage risk
    FRBSF Economic Letter, 2003, (feb14) Downloads
  4. How might financial market information be used for supervisory purposes?
    Economic Review, 2003, 29-45 Downloads View citations (4)
  5. Monitoring debt market information for bank supervisory purposes
    FRBSF Economic Letter, 2003, (nov28) Downloads
  6. The current strength of the U.S. banking sector
    FRBSF Economic Letter, 2003, (dec19) Downloads
  7. Using equity market information to monitor banking institutions
    FRBSF Economic Letter, 2003, (jan24) Downloads View citations (1)

2002

  1. Off-site monitoring of bank holding companies
    FRBSF Economic Letter, 2002, (may17) Downloads View citations (2)
  2. What is operational risk?
    FRBSF Economic Letter, 2002, (jan25) Downloads View citations (2)

2001

  1. Evaluating the Predictive Accuracy of Volatility Models
    Journal of Forecasting, 2001, 20, (2), 87-109 View citations (36)
    See also Working Paper (1995)
  2. Federal Reserve banks' imputed cost of equity capital
    FRBSF Economic Letter, 2001, (aug10) Downloads View citations (3)
  3. Financial instruments for mitigating credit risk
    FRBSF Economic Letter, 2001, (nov23) Downloads View citations (2)
  4. Modeling credit risk for commercial loans
    FRBSF Economic Letter, 2001, (apr.27) Downloads View citations (1)
  5. The Federal Reserve's imputed cost of equity capital: a survey
    Chicago Fed Letter, 2001, (Jul) Downloads View citations (1)

2000

  1. Evaluating credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 151-165 Downloads View citations (24)
    See also Working Paper (1999)
  2. Patterns in the foreign ownership of U.S. banking assets
    FRBSF Economic Letter, 2000, (nov.24) Downloads
  3. Volatility spillovers in the U.S. Treasury market
    FRBSF Economic Letter, 2000, (feb18) Downloads View citations (1)

1999

  1. How frequently should banks be examined?
    FRBSF Economic Letter, 1999, (feb26) Downloads View citations (1)
  2. Methods for evaluating value-at-risk estimates
    Economic Review, 1999, 3-17 Downloads View citations (37)
    Also in Economic Policy Review, 1998, (Oct), 119-124 (1998) Downloads View citations (8)

    See also Working Paper (1998)
  3. Supervisory information and the frequency of bank examinations
    Economic Policy Review, 1999, (Apr), 1-20 Downloads View citations (16)
  4. The Basel proposal for a new capital adequacy framework
    FRBSF Economic Letter, 1999, (jul30) Downloads
  5. Using CAMELS ratings to monitor bank conditions
    FRBSF Economic Letter, 1999, (jun) Downloads View citations (5)

1998

  1. How effective is lifeline banking in assisting the 'unbanked'?
    Current Issues in Economics and Finance, 1998, 4, (Jun) Downloads View citations (3)
 
Page updated 2014-08-27