Finance and Economics Discussion Series

from Board of Governors of the Federal Reserve System (U.S.)
Contact information at EDIRC.
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2001-54: Data uncertainty and the role of money as an information variable for monetary policy

Günter Coenen, Andrew Theo Levin and Volker Wieland

2001-53: Measuring equilibrium real interest rates: what can we learn from yields on indexed bonds?

Antulio N. Bomfim

2001-52: Do provisional estimates of output miss economic turning points?

Karen E. Dynan and Douglas Elmendorf

2001-51: Are branch banks better survivors? Evidence from the Depression era

Mark Carlson

2001-50: Understanding credit derivatives and their potential to synthesize riskless assets

Antulio N. Bomfim

2001-49: Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Tim Bollerslev and Hao Zhou

2001-48: Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord

Seth B. Carpenter, William Whitesell and Egon Zakrajsek

2001-47: Sacrifice ratios and monetary policy credibility: do smaller budget deficits, inflation-indexed debt, and inflation targets lower disinflation costs?

J. Benson Durham

2001-46: Term structure of interest rates with regime shifts

Ravi Bansal and Hao Zhou

2001-45: Imperfect credibility and inflation persistence

Christopher John Erceg and Andrew Theo Levin

2001-44: Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework

Mark W. French

2001-43: The competitive implications of multimarket bank branching

Timothy H. Hannan and Robin A. Prager

2001-42: The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses

J. Benson Durham

2001-41: An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy

Michael Kiley

2001-40: Optimal investment with fixed refinancing costs

Jason Cummins and Ingmar Nyman

2001-39: The performance of forecast-based monetary policy rules under model uncertainty

Andrew Theo Levin, Volker Wieland and John C. Williams

2001-38: To surcharge or not to surcharge: an empirical investigation of ATM pricing

Timothy H. Hannan, Elizabeth K. Kiser, Robin A. Prager and James Joseph McAndrews

2001-37: Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates

Gurdip Bakshi, Dilip Madan and Frank Zhang

2001-36: Small business credit availability and relationship lending: the importance of bank organizational structure

Allen N. Berger and Gregory Udell

2001-35: The effects of dynamic changes in bank competition on the supply of small business credit

Allen N. Berger, Lawrence G. Goldberg and Lawrence J. White

2001-34: The ability of banks to lend to informationally opaque small businesses

Allen N. Berger, Leora F. Klapper and Gregory Udell

2001-33: Systemic risk and financial consolidation: are they related?

Gianni De Nicolo and Myron L. Kwast

2001-32: Reexamining stock valuation and inflation: the implications of analysts' earnings forecasts

Steven Sharpe

2001-31: How accurate are Value-at-Risk models at commercial banks?

Jeremy Berkowitz and James O'Brien

2001-30: New tests of the New-Keynesian Phillips Curve

Jeremy Rudd and Karl T. Whelan

2001-29: Production synergies, technology adoption, unemployment, and wages

Gwen Eudey and Miguel Molico

2001-28: Jump-diffusion term structure and Ito conditional moment generator

Hao Zhou

2001-27: The hidden dangers of historical simulation

Matthew Pritsker

2001-26: GSEs, mortgage rates, and the long-run effects of mortgage securitization

Wayne Passmore, Roger Sparks and Jamie Ingpen

2001-25: Employment persistence

Charles Fleischman and Joshua Gallin

2001-24: Anticipations of monetary policy in financial markets

Joe Lange, Brian Sack and William Whitesell

2001-23: Does stock market wealth matter for consumption?

Karen E. Dynan and Dean M. Maki

2001-22: Using subordinated debt to monitor bank holding companies: is it feasible?

Diana Hancock and Myron L. Kwast

2001-21: Disentangling the wealth effect: a cohort analysis of household saving in the 1990s

Dean M. Maki and Michael G. Palumbo

2001-20: The production-side approach to estimating embodied technological change

Plutarchos Sakellaris and Daniel Wilson

2001-19: Looking ahead: young men, wage growth, and labor market participation

Stephanie Aaronson

2001-18: The importance of employer-to-employer flows in the U.S. labor market

Bruce Fallick and Charles Fleischman

2001-17: Incorporating event risk into value-at-risk

Michael S. Gibson

2001-16: Market definition in banking: recent evidence

Dean F. Amel and Martha Starr

2001-15: Investigating the sources of default risk: lessons from empirically evaluating credit risk models

Gurdip Bakshi, Dilip Madan and Frank Zhang

2001-14: Measuring the reaction of monetary policy to the stock market

Roberto Rigobon and Brian Sack

2001-13: How well does the New Keynesian sticky-price model fit the data?

John M. Roberts

2001-12: The effect of past and future economic fundamentals on spending and pricing behavior in the FRB/US macroeconomic model

Peter von zur Muehlen

2001-11: Optimal portfolio allocation in a world without Treasury securities

Antulio N. Bomfim

2001-10: The Pavlovian response of term rates to Fed announcements

Selva Demiralp and Oscar Jorda

2001-09: A primer on the economics and time series econometrics of wealth effects

Morris Davis and Michael G. Palumbo

2001-08: Estimates of the productivity trend using time-varying parameter techniques

John M. Roberts

2001-07: Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan

Simon Gilchrist and John C. Williams

2001-06: Production function estimation with industry capacity data

Plutarchos Sakellaris

2001-05: Patterns of plant adjustment

Plutarchos Sakellaris