Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
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2015-90: Interconnectedness in the Interbank Market

Celso Brunetti, Jeffrey Harris, Shawn Mankad and George Michailidis

2015-89: Identification and Estimation of Risk Aversion in First Price Auctions With Unobserved Auction Heterogeneity

Serafin J. Grundl and Yu Zhu

2015-88: Fewer Vacants, Fewer Crimes? Impacts of Neighborhood Revitalization Policies on Crime

Alvaro Cortes, Jenny Schuetz and Jonathan Spader

2015-87: The Equity Premium, Long-Run Risk, & Optimal Monetary Policy

Anthony M. Diercks

2015-86: Comparing Micro and Macro Sources for Household Accounts in the United States: Evidence from the Survey of Consumer Finances

Lisa Dettling, Sebastian Devlin-Foltz, Jacob Krimmel, Sarah Pack and Jeffrey Thompson

2015-85: How Did Young Firms Fare During the Great Recession? Evidence from the Kauffman Firm Survey

Tiantian Yang and Rebecca Zarutskie

2015-84: Large-Scale Buy-to-Rent Investors in the Single-Family Housing Market: The Emergence of a New Asset Class?

James Mills, Raven S. Molloy and Rebecca Zarutskie

2015-83: Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say \"Usually Not\"

Andrew C. Chang and Phillip Li

2015-82: An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve

Jean Bonaldi, Ali Hortacsu and Zhaogang Song

2015-81: Credit Scores and Committed Relationships

Jane K. Dokko, Jessica Hayes and Geng Li

2015-80: Venture Capital and the Performance of Incumbents

Timothy E. Dore

2015-79: The Role of Dispersed Information in Pricing Default: Evidence from the Great Recession

Emanuele Brancati and Marco Macchiavelli

2015-78: Optimal Monetary and Macroprudential Policies: Gains and Pitfalls in a Model of Financial Intermediation

Michael Kiley and Jae Sim

2015-77: What Can the Data Tell Us About the Equilibrium Real Interest Rate?

Michael Kiley

2015-76: Updating the Racial Wealth Gap

Gustavo Suarez and Jeffrey Thompson

2015-75: Does Salient Financial Information Affect Academic Performance and Borrowing Behavior among College Students?

Maximilian Schmeiser, Christiana Stoddard and Carly Urban

2015-74: Forecasting with Sufficient Dimension Reductions

Alessandro Barbarino and Efstathia Bura

2015-73: End of the Line: Behavior of HELOC Borrowers Facing Payment Changes

Kathleen W. Johnson and Robert F. Sarama

2015-72: Reconciling Full-Cost and Marginal-Cost Pricing

Jacob P. Gramlich and Korok Ray

2015-71: The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives

Yang-Ho Park

2015-70: How House Price Dynamics and Credit Constraints affect the Equity Extraction of Senior Homeowners

Samuel Dodini, Donald Haurin, Stephanie Moulton and Maximilian Schmeiser

2015-69: Prices for Communications Equipment: Rewriting the Record

David Byrne and Carol Corrado

2015-68: Risk Taking and Low Longer-term Interest Rates: Evidence from the U.S. Syndicated Loan Market

Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs

2015-67: Innovation, investor sentiment, and firm-level experimentation

Sirio Aramonte

2015-66: Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models

Antonello D'Agostino, Domenico Giannone, Michele Lenza and Michele Modugno

2015-65: Stock Market Investment: The Role of Human Capital

Kartik Athreya, Felicia Ionescu and Urvi Neelakantan

2015-64: Nominal Rigidities and the Term Structures of Equity and Bond Returns

Pier dup Lopez, David Lopez-Salido and Francisco Vazquez-Grande

2015-63: Aggregate Consequences of Dynamic Credit Relationships

Stephane Verani

2015-62: The Accuracy of Forecasts Prepared for the Federal Open Market Committee

Andrew C. Chang and Tyler J. Hanson

2015-61: Income and Earnings Mobility in U.S. Tax Data

Jeff Larrimore, Jacob Mortenson and David Splinter

2015-60: FOMC Responses to Calls for Transparency

Miguel Acosta

2015-59: Mapping Heat in the U.S. Financial System

David Aikman, Michael Kiley, Seung Jung Lee, Michael Palumbo and Missaka Warusawitharana

2015-58: Changes in the Distribution of After-Tax Wealth: Has Income Tax Policy Increased Wealth Inequality?

W. Looney and Kevin B. Moore

2015-57: Consumer Spending and Fiscal Consolidation: Evidence from a Housing Tax Experiment

Paolo Surico and Riccardo Trezzi

2015-56: Identification of First-Price Auctions With Biased Beliefs

Serafin J. Grundl and Yu Zhu

2015-55: Un-Networking: The Evolution of Networks in the Federal Funds Market

Daniel Beltran, Valentin Bolotnyy and Elizabeth Klee

2015-54: A margin call gone wrong: Credit, stock prices, and Germany's Black Friday 1927

Stefan Gissler

2015-53: Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals

Geert Bekaert and Eric Engstrom

2015-52: The Cyclicality of Sales, Regular and Effective Prices: Comment

Etienne Gagnon, David Lopez-Salido and Jason Sockin

2015-51: Modelling Dependence in High Dimensions with Factor Copulas

Dong Hwan Oh and Andrew Patton

2015-50: High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Dong Hwan Oh and Andrew Patton

2015-49: Heterogeneity in Economic Shocks and Household Spending

Sebastian Devlin-Foltz and John Edward Sabelhaus

2015-48: Monetary Policy, Hot Housing Markets and Leverage

Christoph T. Ungerer

2015-47: Monetary Policy 101: A Primer on the Fed's Changing Approach to Policy Implementation

Jane E. Ihrig, Ellen Meade and Gretchen Weinbach

2015-46: Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega

2015-45: Inflation Expectations and Monetary Policy Design: Evidence from the Laboratory

Damjan Pfajfar and Blaž Žakelj

2015-44: Macroeconomic Effects of Banking Sector Losses across Structural Models

Francisco Covas, John Driscoll, Luca Guerrieri, Matteo Iacoviello, Mohammad Jahan-Parvar, Michael Kiley, Albert Queraltó and Jae Sim

2015-43: Slow capital, fast prices: Shocks to funding liquidity and stock price reversals

Stefan Gissler

2015-42: The Passthrough of Labor Costs to Price Inflation

Ekaterina V. Peneva and Jeremy B. Rudd

2015-41: The Income-Achievement Gap and Adult Outcome Inequality

Eric Nielsen

2015-40: Achievement Gap Estimates and Deviations from Cardinal Comparability

Eric Nielsen

2015-39: Small Businesses and Small Business Finance during the Financial Crisis and the Great Recession: New Evidence From the Survey of Consumer Finances

Arthur B. Kennickell, Myron L. Kwast and Jonathan Pogach

2015-38: Optimal Government Spending at the Zero Lower Bound: A Non-Ricardian Analysis

Taisuke Nakata

2015-37: Balance-Sheet Households and Fiscal Stimulus: Lessons from the Payroll Tax Cut and Its Expiration

Claudia Sahm, Matthew Shapiro and Joel Slemrod

2015-36: Dividend Taxes and Stock Volatility

Erin E. Syron Ferris

2015-35: Are Survey Expectations Theory-Consistent? The Role of Central Bank Communication and News

Lena Dräger, Michael Lamla and Damjan Pfajfar

2015-34: On Default and Uniqueness of Monetary Equilibria

Li Lin, Dimitrios Tsomocos and Alexandros Vardoulakis

2015-33: Ambiguity in Securitization Markets

Alyssa G. Anderson

2015-32: Self-fulfilling Runs: Evidence from the U.S. Life Insurance Industry

Nathan Foley-Fisher, Borghan Nezami Narajabad and Stephane Verani

2015-31: Secondary Market Liquidity and the Optimal Capital Structure

David Arseneau, David E. Rappoport and Alexandros Vardoulakis

2015-30: Measuring Income and Wealth at the Top Using Administrative and Survey Data

Jesse Bricker, Alice Henriques Volz, Jacob Krimmel and John Edward Sabelhaus

2015-29: Inflation Expectations and Recovery from the Depression in 1933: Evidence from the Narrative Record

Andrew Jalil and Gisela Rua

2015-28: Credit-Market Sentiment and the Business Cycle

David Lopez-Salido, Jeremy Stein and Egon Zakrajšek

2015-27: An agency problem in the MBS market and the solicited refinancing channel of large-scale asset purchases

John Kandrac and Bernd Schlusche

2015-26: Derivatives Pricing under Bilateral Counterparty Risk

Samim Ghamami

2015-25: The Effect of Shocks to College Revenues on For-Profit Enrollment: Spillover from the Public Sector

Sarena Goodman and Alice Henriques Volz

2015-24: Are the Borrowing Costs of Large Financial Firms Unusual?

Javed Ahmed, Christopher Anderson and Rebecca Zarutskie

2015-23: Wage Dispersion with Heterogeneous Wage Contracts

Cynthia Doniger

2015-22: Liquidity Windfalls: The Consequences of Repo Rehypothecation

Sebastian Infante

2015-21: A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System

Francesco Ferrante

2015-20: Downside Variance Risk Premium

Bruno Feunou, Mohammad Jahan-Parvar and Cedric Okou

2015-19: Wealth, Pensions, Debt, and Savings: Considerations for a Panel Survey

Brian Bucks and Karen Pence

2015-18: Banking panics and deflation in dynamic general equilibrium

Francesca Carapella

2015-17: Crowding Out Effects of Refinancing on New Purchase Mortgages

Steven Sharpe and Shane Sherlund

2015-16: Have Distressed Neighborhoods Recovered? Evidence from the Neighborhood Stabilization Program

Alvaro Cortes, Jenny Schuetz and Jonathan Spader

2015-15: Consumers' Attitudes and Their Inflation Expectations

Michael Ehrmann, Damjan Pfajfar and Emiliano Santoro

2015-14: Institutions and return predictability in oil-exporting countries

Sirio Aramonte, Mohammad Jahan-Parvar and Justin Shugarman

2015-13: A Global Trade Model for the Euro Area

Antonello D'Agostino, Michele Modugno and Chiara Osbat

2015-12: Inflation Dynamics During the Financial Crisis

Simon Gilchrist, Raphael Schoenle, Jae Sim and Egon Zakrajšek

2015-11: Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007-09 U.S. Financial Crisis

Mark Carlson, Burcu Duygan-Bump and William R. Nelson

2015-10: Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations

Josh Frost, Lorie Logan, Antoine Martin, Patrick E. McCabe, Fabio M. Natalucci and Julie Remache

2015-9: The Evolution of Retirement Wealth

Sebastian Devlin-Foltz, Alice Henriques Volz and John Edward Sabelhaus

2015-8: Mode effects in mixed-mode economic surveys: Insights from a randomized experiment

Joanne Hsu and Brooke H. McFall

2015-7: The Real Effects of Credit Line Drawdowns

Jose M. Berrospide and Ralf R. Meisenzahl

2015-6: The Determinants of Subprime Mortgage Performance Following a Loan Modification

Matthew B. Gross and Maximilian Schmeiser

2015-5: The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies

Eric M. Engen, Thomas Laubach and David L. Reifschneider

2015-4: Which Way to Recovery? Housing Market Outcomes and the Neighborhood Stabilization Program

Jennifer Lewis Buell, Kimberly Burnett, Larry Buron, Alvaro Cortes, Michael DiDomenico, Anna Jefferson, Christian Redfearn, Jenny Schuetz, Jonathan Spader and Stephen Whitlow

2015-3: Tradability of Output, Business Cycles, and Asset Prices

Mary Tian

2015-2: Bayesian Estimation of Time-Changed Default Intensity Models

Michael Gordy and Pawel J. Szerszen

2015-1: Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register

Rustom M. Irani and Ralf R. Meisenzahl

2014-114: Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Samim Ghamami and Bo Zhang

2014-113: Where Are All the New Banks? The Role of Regulatory Burden in New Charter Creation

Robert M. Adams and Jacob P. Gramlich

2014-112: Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?

Vincent Brousseau, Kleopatra Nikolaou and Huw Pill

2014-111: The Impact of the Small Business Lending Fund on Community Bank Lending to Small Businesses

Dean F. Amel and Traci L. Mach

2014-110: Central banks as lender of last resort: experiences during the 2007-2010 crisis and lessons for the future

Dietrich Domanski, Richhild Moessner and William R. Nelson

2014-109: Assessing the Change in Labor Market Conditions

Hess Chung, Bruce Fallick, Christopher Nekarda and David Ratner

2014-108: In Search of a Risk-free Asset

Vladimir Yankov

2014-107: Fiscal Multipliers at the Zero Lower Bound: The Role of Policy Inertia

Timothy S. Hills and Taisuke Nakata

2014-106: Are Concerns About Leveraged ETFs Overblown?

Ivan T. Ivanov and Stephen L. Lenkey

2014-105: Conservatism and Liquidity Traps

Taisuke Nakata and Sebastian Schmidt