Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
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94-15: Estimating the interest rate sensitivity of liquid retail deposit values

James M. O'Brien, Athanasios Orphanides and David H. Small

94-14: Avoiding runs in money market mutual funds: have regulatory reforms reduced the potential for a crash?

Sean Collins and Phillip R. Mack

94-13: Plant shutdowns, compositional effects, and procyclical labor productivity: the stylized facts for auto assembly plants

Ana Aizcorbe

94-12: The effects of general inflation and idiosyncratic cost shocks on within-commodity price dispersion: evidence from microdata

J. Joseph Beaulieu and Joe P. Mattey

94-11: A general method of deriving the efficiencies of banks from a profit function

Jalal Akhavein, P. A. V. B. Swamy and Stephen B. Taubman

94-10: Health insurance and precautionary saving

Martha Starr

94-9: The existence and impact of destabilizing positive feedback traders: evidence from the S&P 500 Index futures market

Laura E. Kodres

94-8: Taxation and intergenerational transfers with family size heterogeneity: do parents with more children prefer higher taxes?

Gregory Hess and Athanasios Orphanides

94-7: Downsizing and productivity growth: myth or reality?

Martin N. Baily, Eric Bartelsman and John Haltiwanger

94-6: Rents and quasi-rents in the wage structure: evidence from hostile takeovers

David Neumark and Steven Sharpe

94-5: Capital market imperfections and the incentive to lease

Hien H. Nguyen and Steven Sharpe

94-4: Debt maturity choice and risk-free assets: the \"clientele effect\" and the commercial paper market

Calvin Schnure

94-3: Judging instrument relevance in instrumental variables estimation

Alastair Hall, Glenn Rudebusch and David Wilcox

94-2: The relationship between capital and earnings in banking

Allen Berger

94-1: Productivity dynamics: U.S. manufacturing plants, 1972-1986

Eric Bartelsman and Phoebus J. Dhrymes

93-42: The empirical properties of a monetary aggregates that adds bond and stock funds to M2

Athanasios Orphanides, Brian K. Reid and David H. Small

93-41: Did risk-based capital allocate bank credit and cause a credit crunch in the U.S.?

Allen Berger and Gregory Udell

93-40: Selection in failed bank auction prices: an econometric model of FDIC resolutions

James A. Berkovec and J. Nellie Liang

93-39: Bank commercial lending and the influence of thrift competition

Timothy Hannan and J. Nellie Liang

93-38: An efficiency model of deposit pricing and rate rigidity

Wayne Passmore and Roger Sparks

93-37: When are thrifts closed? An agency-theoretic model

Rebel Cole

93-36: What goes up must come down? Asymmetries and persistence in bank deposit interest rates

Richard Rosen

93-35: Asymmetric-information and principal-agent problems as sources of value in FSLIC-assisted acquisitions of insolvent thrifts

Rebel Cole, Robert Eisenbeis and Joseph A. McKenzie

93-34: Thrift asset-class returns and the efficient diversification of thrift institution portfolios

Rebel Cole and Joseph A. McKenzie

93-33: High real interest rates in the aftermath of disinflation: actual or expected?

Graciela Kaminsky and Leonardo Leiderman

93-32: Techniques for estimating dynamic comovement with an application to common international output fluctuations

Sharon Kozicki

93-31: Some monetary policy implications of safety and soundness reforms

James A. Clouse

93-30: Do consumers pay for one-stop banking? Evidence from a non-standard revenue function

Allen Berger, David B. Humphrey and Lawrence B. Pulley

93-29: Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model

Kenneth West and David Wilcox

93-28: Joint seasonal adjustment of economic time series

Eric Bartelsman and William P. Cleveland

93-27: The performance of S&P500 futures product margins under the span margining system

Paul Kupiec

93-26: Alternative tests of agency theories of callable corporate bonds

Leland Crabbe and Jean Helwege

93-25: Exchange rate episodes and the passthrough of exchange rates to import prices

P. A. V. B. Swamy and Stephan S. Thurman

93-24: Identifying monetary policy with a model of the federal funds rate

Wilbur Coleman, Christian Gilles and Pamela Labadie

93-23: Stochastic bubbles in Markov economies

Christian Gilles and Stephen LeRoy

93-22: Interest rate policies for price stability

Flint Brayton and Peter Tinsley

93-21: Fitting both data and theories: polynomial adjustment costs and error- correction decision rules

Peter Tinsley

93-20: Separating the likelihood and timing of bank failure

Rebel Cole and Jeffery W. Gunther

93-19: On the efficacy of a portfolio approach to margin setting in a futures- style settlement system

Paul Kupiec

93-18: Using efficiency measures to distinguish among alternative explanations of the structure-performance relationship in banking

Allen Berger and Timothy Hannan

93-17: Inflation persistence

Jeffrey Fuhrer and George R. Moore

93-16: Monetary policy and the behavior of long-term real interest rates

Jeffrey Fuhrer and George R. Moore

93-15: Optimal consumption dynamics with non-concave habit forming utility

Athanasios Orphanides and David Zervos

93-14: Random coefficient models: theory and applications

P. A. V. B. Swamy and George Tavlas

93-13: Utilizing cross-sectional evidence in modeling aggregate time series: consumer durables with fixed costs of adjustment

J. Joseph Beaulieu

93-12: Optimal durable and nondurable consumption with transactions costs

J. Joseph Beaulieu

93-11: Estimating the linear-quadratic inventory model: maximum likelihood versus generalized method of moments

Jeffrey Fuhrer, George R. Moore and Scott Schuh

93-10: Financial market imperfections, firm leverage and the cyclicality of employment

Steven Sharpe

93-9: Lines of credit, collateral, and relationship lending in small firm finance

Allen Berger and Gregory Udell

93-8: Is there a bank credit channel for monetary policy?

Stephen Oliner and Glenn Rudebusch

93-7: Evidence on the role of cash flow for investment

Simon Gilchrist and Charles P. Himmelberg

93-6: The cyclical behavior of short term business lending: implications for financial propagation mechanisms

Mark Gertler and Simon Gilchrist

93-5: The role of credit market imperfections in the monetary transmission mechanism: arguments and evidence

Mark Gertler and Simon Gilchrist

93-4: Monetary policy, business cycles and the behavior of small manufacturing firms

Mark Gertler and Simon Gilchrist

93-3: Are shocks to labor demand transitory or persistent? Evidence from labor flows and wages

Martha Starr

93-2: Forecast-heterogeneity in the business cycle: small deviations from rationality, large dynamic effects

Antulio Bomfim

93-1: Does foreign exchange intervention signal future monetary policy?

Graciela Kaminsky and Karen Lewis

89-97: On the use of variance ratios in the analysis of nonstationary time series

M. S. Leslie Chandrakantha, J. S. Mehta and P. A. V. B. Swamy

216: Rational addiction with learning and regret

Athanasios Orphanides and David Zervos

215: Corporate control, portfolio choice, and the decline of banking

Gary Gorton and Richard Rosen

214: Clearance and settlement of mortgage-backed securities through the Participants Trust Company

Jeff Stehm

213: The influence of risk-adjusted capital regulations on asset allocation by savings and loans

Wayne Passmore

212: On the ramifications of a securities transaction tax for the function and efficiency of capital markets

Paul Kupiec

211: Bank efficiency derived from a profit function

Allen Berger, Diana Hancock and David B. Humphrey

210: A dynamic model of entry and performance in the U.S. banking industry

Dean F. Amel and J. Nellie Liang

209: The continuing weakness in the M2

Joshua N. Feinman and Richard D. Porter

208: A causal relationship between stock returns and volume

Rochelle L. Antoniewicz

207: Determinants of savings and loan failure rates: estimates of a time- varying proportional hazard function

Jean Helwege

206: Effects of risk on the demand for oil inventories

Mark W. French

205: Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers

Antulio Bomfim and Francis Diebold

204: An analysis of the implementation of prompt corrective action

David S. Jones and Kathleen Kuester King

203: Megamergers in banking and the use of cost efficiency as an antitrust defense

Allen Berger and David B. Humphrey

202: Value of latent information: alternative event study methods

Sankarshan Acharya

201: Diversification and risk in banking: evidence from ex post returns

Patrick H. McAllister and Douglas A. McManus

200: Yields and tax rates on corporate, municipal and industrial bonds: testing market integration and the Miller hypothesis with micro-data

Leland Crabbe and Christopher M. Turner

199: The effect of SEC amendments to rule 2A-7 on the commercial paper market

Leland Crabbe and Mitchell A. Post

198: Circumstances on which different criteria of estimation can be applied to estimate policy effects

J. S. Mehta, Rao N. Singamesetti and P. A. V. B. Swamy

197: Hostile takeovers and expropriation of extramarginal wages: a test

David Neumark and Steven Sharpe

196: Dividend-price ratios and expected inflation: is there more to the story than the proxy effect?

Paul Kupiec

195: Labor hoarding when unemployment is a worker discipline device

Athanasios Orphanides

194: The timing of stabilizations

Athanasios Orphanides

193: The uncertain unit root in real GNP

Glenn Rudebusch

192: Trading volume and return reversals

Greg Duffee

191: Reexamining the relationship between stock returns and stock return volatility

Greg Duffee

190: Theory and evidence on reform of the Treasury's auction procedures

Vincent Reinhart

189: A market evaluation of the risk-based capital standards for the U.S. financial system

Lawrence R. Cordell and Kathleen Kuester King

188: 'Distribution free' estimates of efficiency of the U.S. banking industry and tests of the standard distributional assumptions

Allen Berger

187: Market power and the pricing of mortgage securitization

John L. Goodman and Wayne Passmore

186: Floating ceilings on deposit interest rates

Patrick H. McAllister

185: The effect of a rating change on commercial paper outstandings

Leland Crabbe and Mitchell A. Post

184: Estimates of the effect of FAS 106 on corporate earnings

Carrie Cristea, H. Fred Mittelstaedt and Mark J. Warshawsky

183: Consumer switching costs, market structure and prices: the theory and its application in the bank deposit market

Steven Sharpe

182: Factors contributing to rapid growth in national expenditures on health care

Mark J. Warshawsky

181: Securitization, risk, and the liquidity problem in banking

Allen Berger and Gregory Udell

180: Debt buybacks signal sovereign countries' creditworthiness: theory and tests

Sankarshan Acharya

179: Maximizing the market value of a firm to choose dynamic policies for managerial hiring, compensation, firing and tenuring

Sankarshan Acharya

178: Efficient resolution of moral hazard via capital market: monitoring banks

Sankarshan Acharya

177: Value of double leverage, bank holding companies and capital regulation

Sankarshan Acharya

176: The profit-concentration relationship in banking

Allen Berger

175: Can retail depositories fund mortgages profitably?

Wayne Passmore