Supervisory Research and Analysis Working Papers

From Federal Reserve Bank of Boston
Contact information at EDIRC.
Bibliographic data for series maintained by Catherine Spozio ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

SRA 24-02: Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network

Tomohiro Ando, Jushan Bai, Lina Lu and Cindy M. Vojtech

24-01: Managing Risk in Cards Portfolios: Risk Appetite and Limits

Tiffany Eder, Claire Labonne, Caitlin O'Loughlin and Krish Sharma

SRA 23-02: Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?

Kenechukwu Anadu, Pablo D. Azar, Catherine Huang, Marco Cipriani, Thomas Eisenbach, Gabriele La Spada, Mattia Landoni, Marco Macchiavelli, Antoine Malfroy-Camine and J. Christina Wang

SRA 23-01: Non-Bank Financial Institutions and Banks’ Fire-Sale Vulnerabilities

Nicola Cetorelli, Mattia Landoni and Lina Lu

RPA 19-2: Reach for Yield by U.S. Public Pension Funds

Kenechukwu Anadu, James Bohn, Lina Lu, Matthew Pritsker and Andrei Zlate

RPA 19-1: Variable Annuities: Underlying Risks and Sensitivities

Imad Chahboun and Nathaniel Hoover

RPA 18-5: Monetary Policy Divergence and Net Capital Flows: Accounting for Endogenous Policy Responses

Jonathan Davis and Andrei Zlate

RPA 18-4: The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin

RPA 18-3: Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015

Silvia Gabrieli and Claire Labonne

RPA 18-2: Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models

Kunpeng Li, Qi Li and Lina Lu

RPA 18-1: Optimal Delegation Under Unknown Bias: The Role of Concavity

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

Kenechukwu Anadu and Viktoria Baklanova

RPA 17-4: Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction

Matthew Pritsker

RPA 17-3: Simultaneous Spatial Panel Data Models with Common Shocks

Lina Lu

RPA 17-2: International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals?

Shaghil Ahmed, Brahima Coulibaly and Andrei Zlate

RPA 17-1: Estimating Loss Given Default from CDS under Weak Identification

Lily Liu

RPA 16-4: Liquidity Shocks, Dollar Funding Costs, and the Bank Lending Channel during the European Sovereign Crisis

Ricardo Correa, Horacio Sapriza and Andrei Zlate

RPA 16-3: Offshoring, Low-skilled Immigration, and Labor Market Polarization

Federico Mandelman and Andrei Zlate

RPA 16-2: Opacity and Disclosure in Short-Term Wholesale Funding Markets

Michal Kowalik

RPA 16-1: Offshore Production and Business Cycle Dynamics with Heterogeneous Firms

Andrei Zlate

RPA 15-2: Cross-Sectional Factor Dynamics and Momentum Returns

Doron Avramov and Satadru Hore

RPA 15-1: Macroprudential Policy: Case Study from a Tabletop Exercise

Tobias Adrian, Patrick de Fontnouvelle, Emily Yang and Andrei Zlate

RPA 12-5: Bank deregulation and racial inequality in America

Ross Levine, Alexey Levkov and Yona Rubinstein

RPA 12-4: Knightian uncertainty and interbank lending

Matthew Pritsker

RPA 12-3: The stability of prime money market mutual funds: sponsor support from 2007 to 2011

Kenechukwu 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

Martin Goetz

QAU12-1: Evaluating the impact of fair value accounting on financial institutions: implications for accounting standards setting and bank supervision

Sanders Shaffer

QAU10-7: Branching of banks and union decline

Alexey Levkov

QAU10-6: Financing constraints and unemployment: evidence from the Great Recession

Burcu Duygan-Bump, Alexey Levkov and Judit Montoriol-Garriga

QAU10-5: Risk, returns, and multinational production

Jose Fillat and Stefania Garetto

QAU10-4: Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system

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

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

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

Sanders Shaffer

QAU09-5: Your house or your credit card, which would you choose?: personal delinquency tradeoffs and precautionary liquidity motives

Ethan Cohen-Cole and Jonathan Morse

QAU09-4: A question of liquidity: the great banking run of 2008?

Judit Montoriol-Garriga and Evan G. Sekeris

QAU09-3: Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique

Todd Prono

QAU09-2: Forgive and forget: who gets credit after bankruptcy and why?

Ethan Cohen-Cole, Burcu Duygan-Bump and Judit Montoriol-Garriga

QAU09-1: The option value of consumer bankruptcy

Ethan Cohen-Cole

QAU08-7: The balance sheet channel

Ethan Cohen-Cole and Enrique Martínez García

QAU08-6: Household bankruptcy decision: the role of social stigma vs. information sharing

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”

Ethan Cohen-Cole, Burcu Duygan-Bump, Jose Fillat and Judit Montoriol-Garriga

QAU08-4: GARCH-based identification and estimation of triangular systems

Todd Prono

QAU08-3: Household debt repayment behaviour: what role do institutions play?

Burcu Duygan-Bump and Charles Grant

QAU08-2: Is obesity contagious?: social networks vs. environmental factors in the obesity epidemic

Ethan Cohen-Cole and Jason Fletcher

QAU08-1: Credit card redlining

Ethan Cohen-Cole

QAU07-8: Loss distribution estimation, external data and model averaging

Ethan Cohen-Cole and Todd Prono

QAU07-7: Demonstration effects in preventive care

Ritesh Banerjee, Ethan Cohen-Cole and Giulio Zanella

QAU07-6: Information diffusion based explanations of asset pricing anomalies

Athanasios Bolmatis and Evan G. Sekeris

QAU07-5: Asset liquidity, debt valuation and credit risk

Ethan Cohen-Cole

QAU07-4: Unpacking social interactions

Ethan Cohen-Cole and Giulio Zanella

QAU07-3: Model uncertainty and the deterrent effect of capital punishment

Ethan Cohen-Cole, Steven Durlauf, Jeffrey Fagan and Daniel Nagin