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Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
Contact information at EDIRC.

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2001-50: Understanding credit derivatives and their potential to synthesize riskless assets Downloads
Antulio N. Bomfim
2001-49: Estimating stochastic volatility diffusion using conditional moments of integrated volatility Downloads
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 Downloads
Seth B. Carpenter, William C. 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? Downloads
J. Benson Durham
2001-46: Term structure of interest rates with regime shifts Downloads
Ravi Bansal and Hao Zhou
2001-45: Imperfect credibility and inflation persistence Downloads
Christopher Erceg and Andrew Levin
2001-44: Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework Downloads
Mark W. French
2001-43: The competitive implications of multimarket bank branching Downloads
Timothy 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 Downloads
J. Benson Durham
2001-41: An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy Downloads
Michael Kiley
2001-40: Optimal investment with fixed refinancing costs Downloads
Jason Cummins and Ingmar Nyman
2001-39: The performance of forecast-based monetary policy rules under model uncertainty Downloads
Andrew Levin, Volker Wieland and John Williams
2001-38: To surcharge or not to surcharge: an empirical investigation of ATM pricing Downloads
Timothy Hannan, Elizabeth K. Kiser, Robin A. Prager and James McAndrews
2001-37: Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates Downloads
Gurdip Bakshi, Dilip B. Madan and Frank X. Zhang
2001-36: Small business credit availability and relationship lending: the importance of bank organizational structure Downloads
Allen Berger and Gregory Udell
2001-35: The effects of dynamic changes in bank competition on the supply of small business credit Downloads
Allen Berger, Lawrence G. Goldberg and Lawrence White
2001-34: The ability of banks to lend to informationally opaque small businesses Downloads
Allen Berger, Leora Klapper and Gregory Udell
2001-33: Systemic risk and financial consolidation: are they related? Downloads
Gianni De Nicolo and Myron L. Kwast
2001-32: Reexamining stock valuation and inflation: the implications of analysts' earnings forecasts Downloads
Steven Sharpe
2001-31: How accurate are Value-at-Risk models at commercial banks? Downloads
Jeremy Berkowitz and James M. O'Brien
2001-30: New tests of the New-Keynesian Phillips curve Downloads
Jeremy B. Rudd and Karl Whelan
2001-29: Production synergies, technology adoption, unemployment, and wages Downloads
Gwen Eudey and Miguel Molico
2001-28: Jump-diffusion term structure and Ito conditional moment generator Downloads
Hao Zhou
2001-27: The hidden dangers of historical simulation Downloads
Matthew Pritsker
2001-26: GSEs, mortgage rates, and the long-run effects of mortgage securitization Downloads
Wayne Passmore, Roger Sparks and Jamie Ingpen
2001-25: Employment persistence Downloads
Charles Fleischman and Joshua H. Gallin
2001-24: Anticipations of monetary policy in financial markets Downloads
Joe Lange, Brian P. Sack and William C. Whitesell
2001-23: Does stock market wealth matter for consumption? Downloads
Karen E. Dynan and Dean M. Maki
2001-22: Using subordinated debt to monitor bank holding companies: is it feasible? Downloads
Diana Hancock and Myron L. Kwast
2001-21: Disentangling the wealth effect: a cohort analysis of household saving in the 1990s Downloads
Dean M. Maki and Michael G. Palumbo
2001-20: The production-side approach to estimating embodied technological change Downloads
Plutarchos Sakellaris and Daniel Wilson
2001-19: Looking ahead: young men, wage growth, and labor market participation Downloads
Stephanie Aaronson
2001-18: The importance of employer-to-employer flows in the U.S. labor market Downloads
Bruce Fallick and Charles Fleischman
2001-17: Incorporating event risk into value-at-risk Downloads
Michael S. Gibson
2001-16: Market definition in banking: recent evidence Downloads
Dean F. Amel and Martha Starr
2001-15: Investigating the sources of default risk: lessons from empirically evaluating credit risk models Downloads
Gurdip Bakshi, Dilip B. Madan and Frank X. Zhang
2001-14: Measuring the reaction of monetary policy to the stock market Downloads
Roberto Rigobon and Brian P. Sack
2001-13: How well does the New Keynesian sticky-price model fit the data? Downloads
John Roberts
2001-12: The effect of past and future economic fundamentals on spending and pricing behavior in the FRB/US macroeconomic model Downloads
Peter von zur Muehlen
2001-11: Optimal portfolio allocation in a world without Treasury securities Downloads
Antulio N. Bomfim
2001-10: The Pavlovian response of term rates to Fed announcements Downloads
Selva Demiralp and Oscar Jorda
2001-09: A primer on the economics and time series econometrics of wealth effects Downloads
Morris Davis and Michael Palumbo
2001-08: Estimates of the productivity trend using time-varying parameter techniques Downloads
John Roberts
2001-07: Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan Downloads
Simon Gilchrist and John Williams
2001-06: Production function estimation with industry capacity data Downloads
Plutarchos Sakellaris
2001-05: Patterns of plant adjustment Downloads
Plutarchos Sakellaris
2001-04: A two-sector approach to modeling U.S. NIPA data Downloads
Karl Whelan
2001-03: The effects of geographic expansion on bank efficiency Downloads
Allen Berger and Robert De Young
2001-02: Activist vs. non-activist monetary policy: optimal rules under extreme uncertainty Downloads
Peter von zur Muehlen
2001-01: NAIRU uncertainty and nonlinear policy rules Downloads
Laurence H. Meyer, Eric Swanson and Volker Wieland
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