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Supervisory Research and Analysis Working Papers

From Federal Reserve Bank of Boston
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RPA 19-2: Reach for Yield by U.S. Public Pension Funds Downloads
Kenechukwu E. Anadu, James Bohn, Lina Lu, Matthew Pritsker and Andrei Zlate
RPA 19-1: Variable Annuities: Underlying Risks and Sensitivities Downloads
Imad Chahboun and Nathaniel Hoover
RPA 18-5: Monetary Policy Divergence and Net Capital Flows: Accounting for Endogenous Policy Responses Downloads
Jonathan Davis and Andrei Zlate
RPA 18-4: The Shift from Active to Passive Investing: Potential Risks to Financial Stability? Downloads
Kenechukwu E. Anadu, Mathias S. Kruttli, Patrick E. McCabe, Emilio Osambela and Chae Hee Shin
RPA 18-3: Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015 Downloads
Silvia Gabrieli and Claire Labonne
RPA 18-2: Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models Downloads
Kunpeng Li, Qi Li and Lina Lu
RPA 18-1: Optimal Delegation Under Unknown Bias: The Role of Concavity Downloads
Noam Tanner
RPA 17-5: The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System Downloads
Ken Anadu and Viktoria Baklanova
RPA 17-4: Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction Downloads
Matthew Pritsker
RPA 17-3: Simultaneous Spatial Panel Data Models with Common Shocks Downloads
Lina Lu
RPA 17-2: International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals? Downloads
Shaghil Ahmed, Brahima Coulibaly and Andrei Zlate
RPA 17-1: Estimating Loss Given Default from CDS under Weak Identification Downloads
Lily Liu
RPA 16-4: Liquidity Shocks, Dollar Funding Costs, and the Bank Lending Channel during the European Sovereign Crisis Downloads
Ricardo Correa, Horacio Sapriza and Andrei Zlate
RPA 16-3: Offshoring, Low-skilled Immigration, and Labor Market Polarization Downloads
Federico Mandelman and Andrei Zlate
RPA 16-2: Opacity and Disclosure in Short-Term Wholesale Funding Markets Downloads
Michal Kowalik
RPA 16-1: Offshore Production and Business Cycle Dynamics with Heterogeneous Firms Downloads
Andrei Zlate
RPA 15-2: Cross-Sectional Factor Dynamics and Momentum Returns Downloads
Doron Avramov and Satadru Hore
RPA 15-1: Macroprudential Policy: Case Study from a Tabletop Exercise Downloads
Tobias Adrian, Patrick de Fontnouvelle, Emily Yang and Andrei Zlate
RPA 12-5: Bank deregulation and racial inequality in America Downloads
Ross Levine, Alexey Levkov and Yona Rubinstein
RPA 12-4: Knightian uncertainty and interbank lending Downloads
Matthew Pritsker
RPA 12-3: The stability of prime money market mutual funds: sponsor support from 2007 to 2011 Downloads
Ken Anadu, Steffanie Brady and Nathaniel R. Cooper
QAU12-2: Bank diversification, market structure and bank risk taking: theory and evidence from U.S. commercial banks Downloads
Martin Goetz
QAU12-1: Evaluating the impact of fair value accounting on financial institutions: implications for accounting standards setting and bank supervision Downloads
Sanders Shaffer
QAU10-7: Branching of banks and union decline Downloads
Alexey Levkov
QAU10-6: Financing constraints and unemployment: evidence from the Great Recession Downloads
Burcu Duygan-Bump, Alexey Levkov and Judit Montoriol-Garriga
QAU10-5: Risk, returns, and multinational production Downloads
Jose Fillat and Stefania Garetto
QAU10-4: Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system Downloads
Jose Fillat and Judit Montoriol-Garriga
QAU10-3: How effective were the Federal Reserve emergency liquidity facilities?: evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility Downloads
Burcu Duygan-Bump, Patrick M. Parkinson, Eric Rosengren, Gustavo Suarez and Paul Willen
QAU10-2: Optimal portfolio choice with predictability in house prices and transaction costs Downloads
Stefano Corradin, Jose Fillat and Carles Vergara-Alert
QAU10-1: Fair value accounting: villain or innocent victim?: exploring the links between fair value accounting, bank regulatory capital, and the recent financial crisis Downloads
Sanders Shaffer
QAU09-5: Your house or your credit card, which would you choose?: personal delinquency tradeoffs and precautionary liquidity motives Downloads
Ethan Cohen-Cole and Jonathan Morse
QAU09-4: A question of liquidity: the great banking run of 2008? Downloads
Judit Montoriol-Garriga and Evan G. Sekeris
QAU09-3: Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique Downloads
Todd Prono
QAU09-2: Forgive and forget: who gets credit after bankruptcy and why? Downloads
Ethan Cohen-Cole, Burcu Duygan-Bump and Judit Montoriol-Garriga
QAU09-1: The option value of consumer bankruptcy Downloads
Ethan Cohen-Cole
QAU08-7: The balance sheet channel Downloads
Ethan Cohen-Cole and Enrique Martínez-García
QAU08-6: Household bankruptcy decision: the role of social stigma vs. information sharing Downloads
Ethan Cohen-Cole and Burcu Duygan-Bump
QAU08-5: Looking behind the aggregates: a reply to “Facts and Myths about the Financial Crisis of 2008” Downloads
Ethan Cohen-Cole, Burcu Duygan-Bump, Jose Fillat and Judit Montoriol-Garriga
QAU08-4: GARCH-based identification and estimation of triangular systems Downloads
Todd Prono
QAU08-3: Household debt repayment behaviour: what role do institutions play? Downloads
Burcu Duygan-Bump and Charles Grant
QAU08-2: Is obesity contagious?: social networks vs. environmental factors in the obesity epidemic Downloads
Ethan Cohen-Cole and Jason Fletcher
QAU08-1: Credit card redlining Downloads
Ethan Cohen-Cole
QAU07-8: Loss distribution estimation, external data and model averaging Downloads
Ethan Cohen-Cole and Todd Prono
QAU07-7: Demonstration effects in preventive care Downloads
Ritesh Banerjee, Ethan Cohen-Cole and Giulio Zanella
QAU07-6: Information diffusion based explanations of asset pricing anomalies Downloads
Athanasios Bolmatis and Evan G. Sekeris
QAU07-5: Asset liquidity, debt valuation and credit risk Downloads
Ethan Cohen-Cole
QAU07-4: Unpacking social interactions Downloads
Ethan Cohen-Cole and Giulio Zanella
QAU07-3: Model uncertainty and the deterrent effect of capital punishment Downloads
Ethan Cohen-Cole, Steven Durlauf, Jeffrey Fagan and Daniel Nagin
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