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Details about Arturo Estrella

Workplace:Department of Economics, Rensselaer Polytechnic Institute, (more information at EDIRC)

Access statistics for papers by Arturo Estrella.

Last updated 2019-01-11. Update your information in the RePEc Author Service.

Short-id: pes29


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Working Papers

2018

  1. Risk-Taking Channel of Monetary Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2010

  1. Monetary cycles, financial cycles, and the business cycle
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (15)

2009

  1. Monetary tightening cycles and the predictability of economic activity
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article in Economics Letters (2008)

2007

  1. Extracting business cycle fluctuations: what do time series filters really do?
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
  2. Generalized canonical regression
    Staff Reports, Federal Reserve Bank of New York Downloads

2005

  1. One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)

2000

  1. 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 Downloads View citations (49)
    See also Journal Article in The Review of Economics and Statistics (2003)
  2. Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Research Paper, Federal Reserve Bank of New York (1998) Downloads View citations (49)

    See also Chapter (1999)

1999

  1. Are "deep" parameters stable? the Lucas critique as an empirical hypothesis
    Working Papers, Federal Reserve Bank of Boston Downloads View citations (47)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (15)

1998

  1. Consistent covariance matrix estimation in probit models with autocorrelated errors
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (26)

1997

  1. A new measure of fit for equations with dichotomous dependent variables
    Research Paper, Federal Reserve Bank of New York Downloads View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (1998)
  2. Aggregate supply and demand shocks: a natural rate approach
    Research Paper, Federal Reserve Bank of New York Downloads View citations (4)
  3. Why do interest rates predict macro outcomes?: A unified theory of inflation, output, interest and policy
    Research Paper, Federal Reserve Bank of New York Downloads View citations (6)

1996

  1. Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in Journal of Monetary Economics (1997)
  2. Predicting U.S. recessions: financial variables as leading indicators
    Research Paper, Federal Reserve Bank of New York Downloads View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) Downloads View citations (13)

    See also Journal Article in The Review of Economics and Statistics (1998)

1995

  1. Taylor, Black and Scholes: series approximations and risk management pitfalls
    Research Paper, Federal Reserve Bank of New York Downloads View citations (7)
  2. 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 Downloads View citations (19)
    Also in Research Paper, Federal Reserve Bank of New York (1995) Downloads View citations (43)

1994

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

1990

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

1989

  1. The implicit liabilities of the Pension Benefit Guaranty Corporation
    Research Paper, Federal Reserve Bank of New York
  2. The term structure as a predictor of real economic activity
    Research Paper, Federal Reserve Bank of New York View citations (27)
    See also Journal Article in Journal of Finance (1991)

1988

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

1983

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

Journal Articles

2015

  1. THE PRICE PUZZLE AND VAR IDENTIFICATION
    Macroeconomic Dynamics, 2015, 19, (08), 1880-1887 Downloads View citations (1)
  2. 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 Downloads

2012

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

2008

  1. Monetary tightening cycles and the predictability of economic activity
    Economics Letters, 2008, 99, (2), 260-264 Downloads View citations (16)
    See also Working Paper (2009)

2006

  1. The yield curve as a leading indicator: some practical issues
    Current Issues in Economics and Finance, 2006, 12, (Jul) Downloads View citations (54)

2005

  1. Why Does the Yield Curve Predict Output and Inflation?
    Economic Journal, 2005, 115, (505), 722-744 Downloads View citations (129)

2004

  1. Bank Capital and Risk: Is Voluntary Disclosure Enough?
    Journal of Financial Services Research, 2004, 26, (2), 145-160 Downloads View citations (9)
  2. The cyclical behavior of optimal bank capital
    Journal of Banking & Finance, 2004, 28, (6), 1469-1498 Downloads View citations (108)

2003

  1. CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS
    Econometric Theory, 2003, 19, (06), 1128-1143 Downloads View citations (22)
  2. 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 Downloads View citations (114)
    See also Working Paper (2000)
  3. Monetary Policy Shifts and the Stability of Monetary Policy Models
    The Review of Economics and Statistics, 2003, 85, (1), 94-104 Downloads View citations (88)

2002

  1. Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational-Expectations Models
    American Economic Review, 2002, 92, (4), 1013-1028 Downloads View citations (187)
  2. Securitization and the efficacy of monetary policy
    Economic Policy Review, 2002, (May), 243-255 Downloads View citations (45)

2001

  1. Mixing and matching: Prospective financial sector mergers and market valuation
    Journal of Banking & Finance, 2001, 25, (12), 2367-2392 Downloads View citations (30)

2000

  1. Capital ratios as predictors of bank failure
    Economic Policy Review, 2000, (Jul), 33-52 Downloads View citations (100)

1998

  1. A New Measure of Fit for Equations with Dichotomous Dependent Variables
    Journal of Business & Economic Statistics, 1998, 16, (2), 198-205 View citations (156)
    See also Working Paper (1997)
  2. Formulas or supervision? Remarks on the future of regulatory capital
    Economic Policy Review, 1998, (Oct), 191-200 Downloads View citations (6)
  3. Predicting U.S. Recessions: Financial Variables As Leading Indicators
    The Review of Economics and Statistics, 1998, 80, (1), 45-61 Downloads View citations (278)
    See also Working Paper (1996)
  4. The Future of Regulatory Capital: General Principles and Specific Proposals
    Swiss Journal of Economics and Statistics (SJES), 1998, 134, (IV), 599-616 Downloads View citations (1)

1997

  1. Is there a role for monetary aggregates in the conduct of monetary policy?
    Journal of Monetary Economics, 1997, 40, (2), 279-304 Downloads View citations (164)
    See also Working Paper (1996)
  2. 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 Downloads View citations (260)

1996

  1. 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 Downloads View citations (1)
  2. The yield curve as a predictor of U.S. recessions
    Current Issues in Economics and Finance, 1996, 2, (Jun) Downloads View citations (59)

1995

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

1994

  1. The price risk of options positions: measurement and capital requirements
    Quarterly Review, 1994, (Sum), 44-75 Downloads View citations (3)

1991

  1. The Term Structure as a Predictor of Real Economic Activity
    Journal of Finance, 1991, 46, (2), 555-76 Downloads View citations (651)
    See also Working Paper (1989)

1988

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

Books

1990

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

Edited books

2017

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

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 Downloads View citations (1)

1999

  1. Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty
    A chapter in Monetary Policy Rules, 1999, pp 405-436 Downloads View citations (56)
    See also Working Paper (2000)
 
Page updated 2019-07-18