Details about Arturo Estrella

Access statistics for papers by Arturo Estrella.

Last updated 2021-04-08. Update your information in the RePEc Author Service.

Short-id: pes29

Working Papers

2018

1. Risk-Taking Channel of Monetary Policy
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   See also Journal Article Risk‐taking channel of monetary policy, Financial Management, Financial Management Association International (2019) View citations (12) (2019)

2010

2. Monetary cycles, financial cycles, and the business cycle
   Staff Reports, Federal Reserve Bank of New York View citations (30)

2009

3. Monetary tightening cycles and the predictability of economic activity
   Staff Reports, Federal Reserve Bank of New York View citations (2)
   See also Journal Article Monetary tightening cycles and the predictability of economic activity, Economics Letters, Elsevier (2008) View citations (27) (2008)

2007

4. Extracting business cycle fluctuations: what do time series filters really do?
   Staff Reports, Federal Reserve Bank of New York View citations (4)
5. Generalized canonical regression
   Staff Reports, Federal Reserve Bank of New York

2005

6. One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory
   Staff Reports, Federal Reserve Bank of New York View citations (4)

2000

7. How stable is the predictive power of the yield curve? evidence from Germany and the United States
   Staff Reports, Federal Reserve Bank of New York View citations (61)
   See also Journal Article How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States, The Review of Economics and Statistics, MIT Press (2003) View citations (192) (2003)
8. Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   Also in Research Paper, Federal Reserve Bank of New York (1998) View citations (61)
   See also Chapter Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty, NBER Chapters, National Bureau of Economic Research, Inc (1999) View citations (80) (1999)

1999

9. Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (46)
   Also in Working Papers, Federal Reserve Bank of Boston (1999) View citations (57)

1998

10. Consistent covariance matrix estimation in probit models with autocorrelated errors
    Staff Reports, Federal Reserve Bank of New York View citations (27)

1997

11. A new measure of fit for equations with dichotomous dependent variables
    Research Paper, Federal Reserve Bank of New York View citations (11)
    See also Journal Article A New Measure of Fit for Equations with Dichotomous Dependent Variables, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (211) (1998)
12. Aggregate supply and demand shocks: a natural rate approach
    Research Paper, Federal Reserve Bank of New York View citations (5)
13. Why do interest rates predict macro outcomes?: A unified theory of inflation, output, interest and policy
    Research Paper, Federal Reserve Bank of New York View citations (6)

1996

14. Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article Is there a role for monetary aggregates in the conduct of monetary policy?, Journal of Monetary Economics, Elsevier (1997) View citations (206) (1997)
15. Predicting U.S. recessions: financial variables as leading indicators
    Research Paper, Federal Reserve Bank of New York View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (14)
    See also Journal Article Predicting U.S. Recessions: Financial Variables As Leading Indicators, The Review of Economics and Statistics, MIT Press (1998) View citations (452) (1998)

1995

16. Taylor, Black and Scholes: series approximations and risk management pitfalls
    Research Paper, Federal Reserve Bank of New York View citations (9)
17. The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (52)
    Also in Research Paper, Federal Reserve Bank of New York (1995) View citations (54)

1994

18. Options positions: risk management and capital requirements
    Research Paper, Federal Reserve Bank of New York View citations (3)

1990

19. Corporate leverage and taxes in the U.S. economy
    Research Paper, Federal Reserve Bank of New York
    See also Book Corporate leverage and taxes in the U.S. economy, Monograph, Federal Reserve Bank of New York (1990) (1990)

1989

20. The implicit liabilities of the Pension Benefit Guaranty Corporation
    Research Paper, Federal Reserve Bank of New York
21. The term structure as a predictor of real economic activity
    Research Paper, Federal Reserve Bank of New York View citations (31)
    See also Journal Article The Term Structure as a Predictor of Real Economic Activity, Journal of Finance, American Finance Association (1991) View citations (922) (1991)

1988

22. Interest rate swaps: an alternative explanation
    Research Paper, Federal Reserve Bank of New York View citations (13)

1983

23. Average Marginal Tax Rates U.S. Household Interest and Dividend Income 1954-80
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

Journal Articles

2019

1. Risk‐taking channel of monetary policy
   Financial Management, 2019, 48, (3), 725-738 View citations (12)
   See also Working Paper Risk-Taking Channel of Monetary Policy, CEPR Discussion Papers (2018) View citations (6) (2018)

2015

2. THE PRICE PUZZLE AND VAR IDENTIFICATION
   Macroeconomic Dynamics, 2015, 19, (8), 1880-1887 View citations (20)
3. Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor
   Journal of Economic and Financial Studies (JEFS), 2015, 3, (5), 19-32 View citations (2)

2012

4. Sovereign and Banking Sector Debt: Interconnections through Guarantees
   OECD Journal: Financial Market Trends, 2012, 2011, (2), 21-45 View citations (5)

2008

5. Monetary tightening cycles and the predictability of economic activity
   Economics Letters, 2008, 99, (2), 260-264 View citations (27)
   See also Working Paper Monetary tightening cycles and the predictability of economic activity, Staff Reports (2009) View citations (2) (2009)

2006

6. The yield curve as a leading indicator: some practical issues
   Current Issues in Economics and Finance, 2006, 12, (Jul) View citations (99)

2005

7. Why Does the Yield Curve Predict Output and Inflation?
   Economic Journal, 2005, 115, (505), 722-744 View citations (177)

2004

8. Bank Capital and Risk: Is Voluntary Disclosure Enough?
   Journal of Financial Services Research, 2004, 26, (2), 145-160 View citations (14)
9. The cyclical behavior of optimal bank capital
   Journal of Banking & Finance, 2004, 28, (6), 1469-1498 View citations (136)

2003

10. CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS
    Econometric Theory, 2003, 19, (6), 1128-1143 View citations (29)
11. How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States
    The Review of Economics and Statistics, 2003, 85, (3), 629-644 View citations (192)
    See also Working Paper How stable is the predictive power of the yield curve? evidence from Germany and the United States, Staff Reports (2000) View citations (61) (2000)
12. Monetary Policy Shifts and the Stability of Monetary Policy Models
    The Review of Economics and Statistics, 2003, 85, (1), 94-104 View citations (109)

2002

13. Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational-Expectations Models
    American Economic Review, 2002, 92, (4), 1013-1028 View citations (227)
14. Securitization and the efficacy of monetary policy
    Economic Policy Review, 2002, 8, (May), 243-255 View citations (73)

2001

15. Mixing and matching: Prospective financial sector mergers and market valuation
    Journal of Banking & Finance, 2001, 25, (12), 2367-2392 View citations (41)

2000

16. Capital ratios as predictors of bank failure
    Economic Policy Review, 2000, (Jul), 33-52 View citations (127)

1998

17. A New Measure of Fit for Equations with Dichotomous Dependent Variables
    Journal of Business & Economic Statistics, 1998, 16, (2), 198-205 View citations (211)
    See also Working Paper A new measure of fit for equations with dichotomous dependent variables, Research Paper (1997) View citations (11) (1997)
18. Formulas or supervision? Remarks on the future of regulatory capital
    Economic Policy Review, 1998, 4, (Oct), 191-200 View citations (7)
19. Predicting U.S. Recessions: Financial Variables As Leading Indicators
    The Review of Economics and Statistics, 1998, 80, (1), 45-61 View citations (452)
    See also Working Paper Predicting U.S. recessions: financial variables as leading indicators, Research Paper (1996) View citations (39) (1996)
20. The Future of Regulatory Capital: General Principles and Specific Proposals
    Swiss Journal of Economics and Statistics (SJES), 1998, 134, (IV), 599-616 View citations (1)

1997

21. Is there a role for monetary aggregates in the conduct of monetary policy?
    Journal of Monetary Economics, 1997, 40, (2), 279-304 View citations (206)
    See also Working Paper Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?, NBER Working Papers (1996) View citations (20) (1996)
22. The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank
    European Economic Review, 1997, 41, (7), 1375-1401 View citations (343)

1996

23. Comment on The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures
    Journal of Money, Credit and Banking, 1996, 28, (3), 447-51 View citations (1)
24. The yield curve as a predictor of U.S. recessions
    Current Issues in Economics and Finance, 1996, 2, (Jun) View citations (88)

1995

25. A prolegomenon to future capital requirements
    Economic Policy Review, 1995, (Jul), 1-12 View citations (12)

1994

26. The price risk of options positions: measurement and capital requirements
    Quarterly Review, 1994, 19, (Sum), 44-75 View citations (7)

1991

27. The Term Structure as a Predictor of Real Economic Activity
    Journal of Finance, 1991, 46, (2), 555-76 View citations (922)
    See also Working Paper The term structure as a predictor of real economic activity, Research Paper (1989) View citations (31) (1989)

1988

28. Consistent margin requirements: are they feasible?
    Quarterly Review, 1988, 13, (Sum), 61-79 View citations (2)
29. Estimating the funding gap of the Pension Benefit Guaranty Corporation
    Quarterly Review, 1988, 13, (Aut), 45-59

Books

1990

1. Corporate leverage and taxes in the U.S. economy
   Monograph, Federal Reserve Bank of New York
   See also Working Paper Corporate leverage and taxes in the U.S. economy, Research Paper, Federal Reserve Bank of New York (1990) (1990)

Edited books

2017

1. The Economics of Recession, vol Two volume set
   Books, Edward Elgar Publishing

Chapters

2005

1. Productivity, monetary policy and financial indicators
   A chapter in Investigating the relationship between the financial and real economy, 2005, vol. 22, pp 166-76 View citations (1)

1999

2. Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty
   A chapter in Monetary Policy Rules, 1999, pp 405-436 View citations (80)
   See also Working Paper Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty, National Bureau of Economic Research, Inc (2000) View citations (16) (2000)