Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
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72: Tolerance-width groupings for editing banking deposits data: an analysis of variance of variances

Laura L. Bauer and David A. Pierce

71: A theory of credit rationing and the maturity structure of debt

Steven Sharpe

69: Microeconomic sources of beta risk instability

Paul Kupiec

68: Systematic risk, market structure and entry barriers

J. Nellie Liang and John Wolken

67: Bank equity values, bank risk, and the implied market values of banks' assets and liabilities

Kathleen A. Kuester and James M. O'Brien

66: Capital structure, bankruptcy costs, and firm-specific human capital

Jean Helwege

65: Loan commitments and bank risk exposure

Robert B. Avery and Allen Berger

64: Returns to bidders and targets in the acquisition process: evidence from the banking industry

Timothy Hannan and John Wolken

63: The impact of bank regulatory requirements on large corporate lending

Timothy Hannan

62: A survey of exchange-traded basket instruments

Paul Kupiec

61: The simple microanalytics of payments system risk

Matthew D. Gelfand and David E. Lindsey

60: Discrimination in consumer lending

Gregory E. Elliehausen and Edward C. Lawrence

59: Price rigidity and market structure: theory and evidence from the banking industry

Allen Berger and Timothy Hannan

58: The adequacy of funding of private defined benefit pension plans

Mark J. Warshawsky

57: Is consumption too smooth? Long memory and the Deaton paradox

Francis Diebold and Glenn Rudebusch

56: The use of survey data in forecasting business fixed investments

Jane Haltmaier

55: Forecasting Australian monetary aggregates

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

54: Underpricing of seasoned issues: the case of U.S. Treasury bills

Paul A. Spindt and Richard W. Stolz

53: Initial margin requirements and stock returns volatility: another look

Paul Kupiec

52: Market structure and the nature of price rigidity: evidence from the market for consumer deposits

David Neumark and Steven Sharpe

51: Collateral, loan quality, and bank risk

Allen Berger and Gregory Udell

50: After-hours stock prices and post-crash hangovers

David Neumark, Peter Tinsley and Suzanne Tosini

49: Unit roots in economic time series: a selective survey

Francis Diebold and Marc Nerlove

48: Deposit pricing, bank market structure, and welfare with cost- minimizing consumers

William C. Whitesell

47: Wage indexation in a multisector economy

John Duca and David VanHoose

46: The stochastic coefficients approach to econometric modeling, part III: estimation, stability testing, and prediction

Roger K. Conway, Michael R. LeBlanc and P. A. V. B. Swamy

45: The algebra of I (1)

Clive Granger and Jeffrey J. Hallman

44: Loan commitments and optimal monetary policy

John Duca and David VanHoose

42: Conditional heteroskedasticity in the market

Francis Diebold, Jong Im and C. Jevons Lee

41: Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function

Francis Diebold

40: Ex ante turning point forecasting with the composite leading index

Francis Diebold and Glenn Rudebusch

39: Bringing new issues to market: a theory of underwriting

Lawrence M. Benveniste and Paul A. Spindt

38: Determinants of household check writing: the impacts of the use of electronic banking services and alternative pricing of checking services

Neil B. Murphy

37: Imperfect information, adverse selection and interest rate sluggishness in the pricing of bank credit cards

J. Michael Woolley

36: Loan commitments and bank risk exposure

Robert B. Avery and Allen Berger

35: Risk-based capital and off-balance sheet activities

Robert B. Avery and Allen Berger

34: Market failure and resource use: economic incentives to use different payment instruments

Allen Berger and David B. Humphrey

33: Efficiency and equity of a gasoline tax increase

Mark W. French

32: Efficiency wages, inter-industry wage differentials, and the returns to ability

McKinley Blackburn and David Neumark

31: "Animal Spirits" in consumer expectations: filtering the information in consumer survey expectations

Jeffrey Fuhrer

30: The stochastic coefficients approach to econometric modeling, part II: description and motivation

Roger K. Conway, Michael R. LeBlanc and P. A. V. B. Swamy

29: Does marriage really make men more productive?

Sanders Korenman and David Neumark

28: On a problem in identifying linear parametric models

P. A. V. B. Swamy and Peter von zur Muehlen

27: A theory of credit rationing and the maturity structure of debt

Steven Sharpe

26: Dynamic price competition and the theory of contestable markets

Sally M. Davies

25: Learning about monetary regime shifts in an overlapping wage contract model

Jeffrey Fuhrer and Mark A. Hooker

24: The use of high-frequency data in model-based forecasting at the Federal Reserve Board

Carol Corrado and Jane Haltmaier

22: Price smoothing, intermediate monetary targeting, and price level non- trend-stationarity

David VanHoose

21: Optimal monetary policy and alternative wage indexation schemes in a model with interest-sensitive labor supply

David VanHoose

20: New banking powers: a portfolio analysis of bank investment in real estate

David B. Humphrey, Myron L. Kwast, Peter Lloyd-Davies and Richard Rosen

19: On the solution of dynamic linear rational expectations models

Francis Diebold

18: On a problem in identifying linear parametric models

P. A. V. B. Swamy and Peter von zur Muehlen

17: Research and development with asymmetric firm sizes

Richard Rosen

16: Asymptotic consistency and normality of least absolute deviations applied to seemingly unrelated regression systems

Kathleen A. Kuester

15: Modeling buffer stock money - an appraisal

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

14: Combination monetary policies in a disaggregated economy with endogenous wage indexation

David VanHoose

13: Floating rate loan contracts and monetary policy

David VanHoose

12: Discount rate policy and alternative Federal Reserve operating procedures in a rational expectations setting

David VanHoose

CRE Development Potential and the Selection of Opportunity Zones

David Glancy, Robert Kurtzman and Lara Loewenstein

2002-23: The home market and the pattern of trade: round three

Thomas Holmes and John Stevens

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

Athanasios Orphanides

2000-26: Household portfolios in the United States

Carol C. Bertaut and Martha Starr

70: Asymmetric information, bank lending, and implicit contracts: a stylized model of customer relationships

Steven Sharpe

43: Borrowed reserves targeting and nominal income smoothing

David VanHoose

11: The equity premium and time-varying risk behavior

James Nason

10: Aggregate debt and wealth: the significance of the bequest motive

Mark J. Warshawsky

9: State space modeling of time series: a review essay

Francis Diebold

8: Post-deregulation deposit rate pricing: the multivariate dynamics

Francis Diebold and Steven Sharpe

7: Long memory and persistence in aggregate output

Francis Diebold and Glenn Rudebusch

6: An application of operational-subjective statistical methods to rational expectations: comment

Francis Diebold

5: Estimating time-varying parameters in a nonlinear multivariate model: inferring changes in expectation behavior over time

Jeffrey Fuhrer

4: Age heterogeneity and the Tobin effect with infinite horizons

William C. Whitesell

3: What do regressions of interest rates on deficits imply?

Bharat Kolluri, Rao N. Singamesetti and P. A. V. B. Swamy

2: The stochastic coefficients approach to econometric modeling, part 1: a critique of fixed coefficients models

Roger K. Conway, Michael R. LeBlanc and P. A. V. B. Swamy

1: Why random walk models of the term structure are hard to reject

Allen Berger and Roger Craine

Inflation Uncertainty and Endogenous Planning Horizons

Christopher Gust, Edward Herbst and David Lopez-Salido

2010-15: Real-time model uncertainty in the United States: 'Robust' policies put to the test

Robert Tetlow

2010-10: Pricing counterparty risk at the trade level and CVA allocations

Michael Pykhtin and Dan Rosen

2009-32: Improving real-time estimates of the output gap

Thomas Trimbur

2007-11: Expected stock returns and variance risk premia

Tim Bollerslev and Hao Zhou

2006-45: A quantitative comparison of sticky-price and sticky-information models of price setting

Michael Kiley

2006-05: The road to price stability

Athanasios Orphanides

2003-62: Risk-based pricing of interest rates in household loan markets

Wendy Edelberg

2002-24: Interpreting the significance of lagged interest rate in estimated monetary policy rules

William B. English, William R. Nelson and Brian P. Sack

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

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

Andrea Sironi

2000-05: Stock prices and fundamentals in a production economy

Michael Kiley

1999-39: Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence

Brian P. Sack and Volker Wieland

1998-27: Monetary policy under neoclassical and New-Keynesian Phillips Curves, with an application to price level and inflation targeting

Michael Kiley

96-45: Recent developments in bootstrapping time series

Jeremy Berkowitz and Lutz Kilian

95-48: The role of profits in wage determination: evidence from US manufacturing

Marcello Estevão and Stacey Tevlin

95-46: Product innovation and the business cycle

Boyan Jovanovic and Saul Lach

95-20: Bank capitalization, regulation, and the credit crunch: a critical review of the research findings

Steven Sharpe

95-8: Financial intermediation and monetary policy in a general equilibrium banking model

Pamela Labadie

94-19: Optimal bank portfolios and the credit crunch

Wayne Passmore and Steven Sharpe

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

Leland Crabbe and Mitchell A. Post

127: Animal spirits, margin requirements, and stock price volatility

Paul Kupiec and Steven Sharpe

104: Futures margins and stock price volatility: is there any link?

Paul Kupiec

102: Sectoral shifts and interindustry wage differentials

Jean Helwege

23: The price-concentration relationship in banking

Allen Berger and Timothy Hannan