Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
Contact information at EDIRC.
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2001-63: The effect of market size structure on competition: the case of small business lending

Allen Berger, Richard Rosen and Gregory Udell

2001-62: Monetary policy rules, macroeconomic stability and inflation: a view from the trenches

Athanasios Orphanides

2001-61: Measurement error in the consumer price index: where do we stand?

David E. Lebow and Jeremy B. Rudd

2001-60: Risk-based capital requirements for mortgage loans

Paul S. Calem and Michael LaCour-Little

2001-59: Linear data transformations used in economics

Darrel Cohen

2001-58: Implications of habit formation for optimal monetary policy

Jeffery D. Amato and Thomas Laubach

2001-57: Who benefits from a bull market? an analysis of employee stock option grants and stock prices

J. Nellie Liang and Scott Weisbenner

2001-56: Measuring the natural rate of interest

Thomas Laubach and John Williams

2001-55: Monetary policy in a changing world: rising role of expectations and the anticipation effect

Selva Demiralp

2001-54: Data uncertainty and the role of money as an information variable for monetary policy

Günter Coenen, Andrew Levin and Volker Wieland

2001-53: Measuring equilibrium real interest rates: what can we learn from yields on indexed bonds?

Antulio Bomfim

2001-52: Do provisional estimates of output miss economic turning points?

Karen E. Dynan and Douglas Elmendorf

2001-51: Are branch banks better survivors? Evidence from the Depression era

Mark Carlson

2001-50: Understanding credit derivatives and their potential to synthesize riskless assets

Antulio Bomfim

2001-49: Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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

Seth B. Carpenter, William C. Whitesell and Egon Zakrajšek

2001-47: Sacrifice ratios and monetary policy credibility: do smaller budget deficits, inflation-indexed debt, and inflation targets lower disinflation costs?

J. Benson Durham

2001-46: Term structure of interest rates with regime shifts

Ravi Bansal and Hao Zhou

2001-45: Imperfect credibility and inflation persistence

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

Mark W. French

2001-43: The competitive implications of multimarket bank branching

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

J. Benson Durham

2001-41: An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy

Michael Kiley

2001-40: Optimal investment with fixed refinancing costs

Jason Cummins and Ingmar Nyman

2001-39: The performance of forecast-based monetary policy rules under model uncertainty

Andrew Levin, Volker Wieland and John Williams

2001-38: To surcharge or not to surcharge: an empirical investigation of ATM pricing

Timothy Hannan, Elizabeth K. Kiser, James McAndrews and Robin A. Prager

2001-37: Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates

Gurdip Bakshi, Dilip B. Madan and Frank X. Zhang

2001-36: Small business credit availability and relationship lending: the importance of bank organizational structure

Allen Berger and Gregory Udell

2001-35: The effects of dynamic changes in bank competition on the supply of small business credit

Allen Berger, Lawrence G. Goldberg and Lawrence White

2001-34: The ability of banks to lend to informationally opaque small businesses

Allen Berger, Leora Klapper and Gregory Udell

2001-33: Systemic risk and financial consolidation: are they related?

Gianni De Nicolo and Myron L. Kwast

2001-32: Reexamining stock valuation and inflation: the implications of analysts' earnings forecasts

Steven Sharpe

2001-31: How accurate are Value-at-Risk models at commercial banks?

Jeremy Berkowitz and James M. O'Brien

2001-30: New tests of the New-Keynesian Phillips curve

Jeremy B. Rudd and Karl Whelan

2001-29: Production synergies, technology adoption, unemployment, and wages

Gwen Eudey and Miguel Molico

2001-28: Jump-diffusion term structure and Ito conditional moment generator

Hao Zhou

2001-27: The hidden dangers of historical simulation

Matthew Pritsker

2001-26: GSEs, mortgage rates, and the long-run effects of mortgage securitization

Jamie Ingpen, Wayne Passmore and Roger Sparks

2001-25: Employment persistence

Charles Fleischman and Joshua H. Gallin

2001-24: Anticipations of monetary policy in financial markets

Joe Lange, Brian P. Sack and William C. Whitesell

2001-23: Does stock market wealth matter for consumption?

Karen E. Dynan and Dean M. Maki

2001-22: Using subordinated debt to monitor bank holding companies: is it feasible?

Diana Hancock and Myron L. Kwast

2001-21: Disentangling the wealth effect: a cohort analysis of household saving in the 1990s

Dean M. Maki and Michael G. Palumbo

2001-20: The production-side approach to estimating embodied technological change

Plutarchos Sakellaris and Daniel Wilson

2001-19: Looking ahead: young men, wage growth, and labor market participation

Stephanie Aaronson

2001-18: The importance of employer-to-employer flows in the U.S. labor market

Bruce Fallick and Charles Fleischman

2001-17: Incorporating event risk into value-at-risk

Michael S. Gibson

2001-16: Market definition in banking: recent evidence

Dean F. Amel and Martha Starr

2001-15: Investigating the sources of default risk: lessons from empirically evaluating credit risk models

Gurdip Bakshi, Dilip B. Madan and Frank X. Zhang

2001-14: Measuring the reaction of monetary policy to the stock market

Roberto Rigobon and Brian P. Sack

2001-13: How well does the New Keynesian sticky-price model fit the data?

John Roberts

2001-12: The effect of past and future economic fundamentals on spending and pricing behavior in the FRB/US macroeconomic model

Peter von zur Muehlen

2001-11: Optimal portfolio allocation in a world without Treasury securities

Antulio Bomfim

2001-10: The Pavlovian response of term rates to Fed announcements

Selva Demiralp and Oscar Jorda

2001-09: A primer on the economics and time series econometrics of wealth effects

Morris Davis and Michael Palumbo

2001-08: Estimates of the productivity trend using time-varying parameter techniques

John Roberts

2001-07: Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan

Simon Gilchrist and John Williams

2001-06: Production function estimation with industry capacity data

Plutarchos Sakellaris

2001-05: Patterns of plant adjustment

Plutarchos Sakellaris

2001-04: A two-sector approach to modeling U.S. NIPA data

Karl Whelan

2001-03: The effects of geographic expansion on bank efficiency

Allen Berger and Robert DeYoung

2001-02: Activist vs. non-activist monetary policy: optimal rules under extreme uncertainty

Peter von zur Muehlen

2001-01: NAIRU uncertainty and nonlinear policy rules

Laurence H. Meyer, Eric Swanson and Volker Wieland

2000-53: Estimating the value and interest rate risk of interest-bearing transactions deposits

James M. O'Brien

2000-52: Do the rich save more?

Karen E. Dynan, Jonathan Skinner and Stephen Zeldes

2000-51: Monetary policy when the nominal short-term interest rate is zero

James A. Clouse, Dale Henderson, Athanasios Orphanides, David H. Small and Peter Tinsley

2000-50: Pre-announcement effects, news, and volatility: monetary policy and the stock market

Antulio Bomfim

2000-49: The flypaper effect unstuck: evidence on endogenous grants from the Federal Highway Aid Program

Brian Knight

2000-48: Bankruptcy in general equilibrium

Tarun Sabarwal

2000-47: Parameterizing credit risk models with rating data

Mark Carey and Mark Hrycay

2000-46: Empirical evidence on human capital spillovers

Jeremy B. Rudd

2000-45: A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model

Hao Zhou

2000-44: Credit scoring and mortgage securitization: do they lower mortgage rates?

Andrea J. Heuson, Wayne Passmore and Roger Sparks

2000-43: Factor supplies and specialization in the world economy

James Harrigan and Egon Zakrajšek

2000-42: Using Treasury STRIPS to measure the yield curve

Brian P. Sack

2000-41: An analysis of European banks SND issues and its implications for the design of a mandatory subordinated debt policy

Andrea Sironi

2000-40: Testing for market discipline in the European banking industry: evidence from subordinated debt issues

Andrea Sironi

2000-39: Did U.S. bank supervisors get tougher during the credit crunch? Did they get easier during the banking boom? Did it matter to bank lending?

Allen Berger, Margaret Kyle and Joseph M. Scalise

2000-38: Do minimum wages raise the NAIRU?

Peter Tulip

2000-37: Efficiency barriers to the consolidation of the European financial services industry

Allen Berger, Robert DeYoung and Gregory Udell

2000-36: The integration of the financial services industry: where are the efficiencies?

Allen Berger

2000-35: A guide to the use of chain aggregated NIPA data

Karl Whelan

2000-34: A quantitative defense of stabilization policy

Darrel Cohen

2000-33: Deriving inflation expectations from nominal and inflation-indexed Treasury yields

Brian P. Sack

2000-32: On signal extraction and non-certainty-equivalence in optimal monetary policy rules

Eric Swanson

2000-31: Have the doors opened wider? trends in homeownership rates by race and income

Raphael Bostic and Brian J. Surette

2000-30: A real options approach to housing investment

Chris Downing and Nancy Wallace

2000-29: Corporate share repurchases in the 1990s: what role do stock options play?

Scott Weisbenner

2000-28: Robust monetary policy with misspecified models: does model uncertainty always call for attenuated policy?

Robert Tetlow and Peter von zur Muehlen

2000-27: Has compensation become more flexible?

San Cannon, Bruce Fallick, Michael Lettau and Raven E. Saks

2000-26: Household portfolios in the United States

Carol C. Bertaut and Martha Starr

2000-25: Improving grid-based methods for estimating value at risk of fixed-income portfolios

Michael S. Gibson and Matthew Pritsker

2000-24: Microeconomic inventory adjustment: evidence from U.S. firm-level data

Jonathan McCarthy and Egon Zakrajšek

2000-23: Assessing the productivity of public capital with a locational equilibrium model

Jeremy B. Rudd

2000-22: Purchasing power parity: three stakes through the heart of the unit root null

Matthew Higgins and Egon Zakrajšek

2000-21: Does multinationality matter? Evidence of value destruction in U.S. multinational corporations

Reid W. Click and Paul Harrison

2000-20: The resurgence of growth in the late 1990s: is information technology the story?

Stephen Oliner and Daniel Sichel

2000-19: Understanding productivity: lessons from longitudinal microdata

Eric Bartelsman and Mark Doms

2000-18: Dimensions of credit risk and their relationship to economic capital requirements

Mark Carey

2000-17: Do firms share their success with workers? The response of wages to product market conditions

Marcello Estevão and Stacey Tevlin