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Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
Contact information at EDIRC.

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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
136: Evidence on q and investment for Japanese firms
Takeo Hoshi and Anil Kashyap
135: Production and inventory control at the General Motors Corporation during the 1920s and 1930s
Anil Kashyap and David Wilcox
134: The role of banks in reducing financial distress in Japan
Takeo Hoshi, Anil Kashyap and David Scharfstein
133: A securities transactions tax: beyond the rhetoric, what can we really say?
Greg Duffee, Paul Kupiec and Patricia A. White
132: Efficient computation of stochastic coefficients models
I-Lok Chang, Charles Hallahan and P. A. V. B. Swamy
131: Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities
Paul Kupiec
130: Who invented local power analysis?
Douglas A. McManus
129: Effects of using dependent and independent differences in tests of random walk models against regression models
M. W. Leslie Chandrakantha, J. S. Mehta and P. A. V. B. Swamy
128: Is it possible to find an econometric law that works well in explanation and prediction? The case of Australian money demand
P. A. V. B. Swamy and George Tavlas
127: Animal spirits, margin requirements, and stock price volatility
Paul Kupiec and Steven Sharpe
126: Here's looking at you: modelling and policy use of auction price expectations
Flint Brayton, William Kan, Peter Tinsley and Peter von zur Muehlen
125: Asset prices and the conduct of monetary policy: proceedings of the Monetary Affairs Workshop
Richard D. Porter
124: Internal net worth and the investment process: an application to U.S. agriculture
Robert Hubbard and Anil Kashyap
123: Demographics and household savings
Arthur B. Kennickell
122: R&D spending and manufacturing productivity: an empirical analysis
Eric Bartelsman
121: Federally sponsored R&D and productivity growth
Eric Bartelsman
120: Optimal interest rate rules with information from money and auction markets
Peter von zur Muehlen
119: On the power of Dickey-Fuller tests against fractional alternatives
Francis Diebold and Glenn Rudebusch
118: Predicting inflation with commodity prices
Peter von zur Muehlen
117: Sticky inflation and interest rate rules with auction prices
Peter von zur Muehlen
116: Differences in the measurement of wealth, wealth inequality, and wealth composition obtained from alternative U.S. wealth surveys
F. Juster and Kathleen A. Kuester
115: The importance of market psychology in the determination of stock market volatility
Greg Duffee
114: Debt, liquidity constraints, and corporate investment: evidence from panel data
Toni Whited
113: U.S. corporate leverage: developments in 1987 and 1988
Ben Bernanke, John Campbell and Toni Whited
112: Sticky prices: new evidence from retail catalogs
Anil Kashyap
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