Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
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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

174: The structure of corporate ownership in Japan

Stephen D. Prowse

173: Accounting for prediction variance in event studies

Sally M. Davies

172: Debt and employment volatility over the business cycle

Steven Sharpe

171: Debt maturity and the back-to-the-wall theory of corporate finance

George W. Fenn and Steven Sharpe

170: Projections of health care expenditures as a share of GNP: actuarial and economic approaches

Mark J. Warshawsky

169: The functional relationship between prices and market concentration: the case of the banking industry

Timothy Hannan

168: Does consumer sentiment affect household spending? If so why?

Christopher Carroll, Jeffrey Fuhrer and David Wilcox

167: More on the international similarity of interindustry wage differentials: evidence from the Federal Republic of Germany and the U.S

Jean Helwege and Joachim Wagner

166: Noise traders, excess volatility, and securities transaction tax

Paul Kupiec

165: Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform

Paul Kupiec

164: Prudential margin policy in a futures-style settlement system

George W. Fenn and Paul Kupiec

163: Empirical relationships between the total industrial production index and its diffusion indexes

James E. Kennedy

162: Corporate medium-term notes

Leland Crabbe

161: Cyclical patterns in the variance of economic activity

Mark W. French and Daniel Sichel

160: Changes in the cost of equity capital for bank holding companies and the effects on raising capital

James A. Berkovec and J. Nellie Liang

159: The term structure of interest rates over the business cycle

Pamela Labadie

158: The effects of closure policies on bank risk-taking

Sally M. Davies and Douglas A. McManus

157: The Globex trading system

Patricia A. White

156: The impact of liabilities for retiree health benefits on share prices

H. Fred Mittelstaedt and Mark J. Warshawsky

155: Callable corporate bonds: a vanishing breed

Leland Crabbe

154: Monetary policy and credit conditions: evidence from the composition of external finance

Anil Kashyap, Jeremy Stein and David Wilcox

153: Sourcing externalities

Eric Bartelsman, Ricardo Caballero and Richard Lyons

152: A new test for mean reversion in stock prices

Greg Duffee

151: Measurement and efficiency issues in commercial banking

Allen Berger and David B. Humphrey

150: Market-based deposit insurance premiums: an evaluation

Kathleen A. Kuester and James M. O'Brien

149: The characteristics of home mortgage debt, 1970-89: trends and implications

Jack Goodman, Yana Hudson and Scott Yermish

148: Prediction techniques for Box-Cox regression models

Sean Collins

147: Inferring market power from time-series data: the case of the banking firm

Timothy Hannan and J. Nellie Liang

146: Equity underwriting risk

J. Nellie Liang and James M. O'Brien

145: Financial accounting for pensions: measures of funding status

Mark J. Warshawsky

144: Some problems with identification in parametric models

J. S. Mehta, P. A. V. B. Swamy and Peter von zur Muehlen

143: A test of the theory of optimal taxation for the United States: 1870-1989

Gregory Hess

142: Are tax rates too volatile? An application of volatility tests to United States tax rates: 1870-1989

Gregory Hess

141: Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach

Allan Brunner and Gregory Hess

140: Conditional asymmetries in real GNP: a semi-nonparametric approach

Allan Brunner

139: Trends and random walks in macroeconomic time series: a re-examination

Glenn Rudebusch

138: Switching costs, market concentration, and prices: the theory and its empirical implications in the bank deposit market

Steven Sharpe

137: Interest rate spreads, credit constraints and investment fluctuations: an empirical investigation

Mark Gertler, Robert Hubbard and Anil Kashyap