Finance and Economics Discussion Series

From Board of Governors of the Federal Reserve System (U.S.)
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2016-031: FHA, Fannie Mae, Freddie Mac, and the Great Recession

Wayne Passmore and Shane Sherlund

2016-030: Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions

Zheng Sun, Ashley W. Wang and Lu Zheng

2016-029: Banking Consolidation and Small Firm Financing for Research and Development

Andrew C. Chang

2016-028: State Capacity and Public Goods: Institutional Change, Human Capital, and Growth in Early Modern Germany

Jeremiah E. Dittmar and Ralf R. Meisenzahl

2016-027: From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Mathias S. Kruttli

2016-026: Bank regulation under fire sale externalities

Gazi Kara and S. Mehmet Ozsoy

2016-025: The Impact of Unconventional Monetary Policy on Firm Financing Constraints: Evidence from the Maturity Extension Program

Nathan Foley-Fisher, Rodney Ramcharan and Edison Yu

2016-024: Non-Stationary Dynamic Factor Models for Large Datasets

Matteo Barigozzi, Marco Lippi and Matteo Luciani

2016-023: Modelling Overnight RRP Participation

Alyssa G. Anderson and Jeff W. Huther

2016-022: Time-varying Volatility and the Power Law Distribution of Stock Returns

Missaka Warusawitharana

2016-021: What are the Perceived Barriers to Homeownership for Young Adults?

Samuel Dodini, Jeff Larrimore and Jenny Schuetz

2016-020: Does Zoning Help or Hinder Transit-Oriented (Re)Development?

Genevieve Giuliano, Jenny Schuetz and Eun Jin Shin

2016-019: The Role of Learning for Asset Prices and Business Cycles

Fabian Winkler

2016-018: Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Matteo Barigozzi, Marco Lippi and Matteo Luciani

2016-17: Does the United States have a Productivity Slowdown or a Measurement Problem

David Byrne, John Fernald and Marshall B. Reinsdorf

2016-16: Federal Reserve Board Statistical Releases: a Publications History

Sian L. Seldin

2016-15: Understanding Declining Fluidity in the U.S. Labor Market

Raven S. Molloy, Christopher Smith, Riccardo Trezzi and Abigail Wozniak

2016-14: Deadlines and Matching

Garth Baughman

2016-13: Fiscal Stimulus and Firms: A Tale of Two Recessions

Christine L. Dobridge

2016-12: Heterogeneity and Unemployment Dynamics

Hie Joo Ahn and James Hamilton

2016-11: Measuring the Natural Rate of Interest Redux

Thomas Laubach and John Williams

2016-10: Student Loans and Homeownership

Alvaro Mezza, Daniel R. Ringo, Shane Sherlund and Kamila Sommer

2016-9: The Risky Steady State and the Interest Rate Lower Bound

Timothy S. Hills, Taisuke Nakata and Sebastian Schmidt

2016-8: Policy Externalities and Banking Integration

Michael Smolyansky

2016-7: Interpreting Shocks to the Relative Price of Investment with a Two-Sector Model

Luca Guerrieri, Dale Henderson and Jinill Kim

2016-6: To Cut or Not to Cut? On the Impact of Corporate Taxes on Employment and Income

Alexander Ljungqvist and Michael Smolyansky

2016-5: The Resolution of a Systemically Important Insurance Company during the Great Depression

Jonathan Rose

2016-4: Is Los Angeles Becoming Transit Oriented?

Genevieve Giuliano, Jenny Schuetz and Eun Jin Shin

2016-3: Can a Bank Run Be Stopped? Government Guarantees and the Run on Continental Illinois

Mark Carlson and Jonathan Rose

2016-2: Predicting Operational Loss Exposure Using Past Losses

Filippo Curti and Marco Migueis

2016-001r1: Downward Nominal Wage Rigidity in the United States During and After the Great Recession

Bruce Fallick, Daniel Villar Vallenas and William Wascher

2015-119: Un-Fortunate Sons: Effects of the Vietnam Draft Lottery on the Next Generation's Labor Market

Sarena Goodman and Adam Isen

2015-118: Do long-haul truckers undervalue future fuel savings?

Jacob Adenbaum, Adam Copeland and John Stevens

2015-117: Taxing Capital? The Importance of How Human Capital is Accumulated

William Peterman

2015-116: Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach

Mark Bognanni and Edward Herbst

2015-115: Does Realized Volatility Help Bond Yield Density Prediction?

Minchul Shin and Molin Zhong

2015-114: The Dynamics of Adjustable-Rate Subprime Mortgage Default: A Structural Estimation

Hanming Fang, You Suk Kim and Wenli Li

2015-113: Does Exporting Improve Matching? Evidence from French Employer-Employee Data

Matilde Bombardini, Gianluca Orefice and Maria D. Tito

2015-112: Credit Risk, Liquidity and Lies

Thomas King and Kurt Lewis

2015-111: Old-Fashioned Deposit Runs

Jonathan Rose

2015-110: Risky Mortgages, Bank Leverage and Credit Policy

Francesco Ferrante

2015-109: Welfare Evaluation in a Heterogeneous Agent Model: How Representative is the CES Representative Consumer?

Maria D. Tito

2015-108: Every Little Bit Counts: The Impact of High-speed Internet on the Transition to College

Lisa Dettling, Sarena Goodman and Jonathan Smith

2015-107: Financial Incentives, Hospital Care, and Health Outcomes: Evidence from Fair Pricing Laws

Michael M. Batty and Benedic N. Ippolito

2015-106: How Much Are Car Purchases Driven by Home Equity Withdrawal?

Brett McCully, Karen Pence and Daniel J. Vine

2015-105: Measuring Ambiguity Aversion

A. Gallant, Mohammad Jahan-Parvar and Hening Liu

2015-104: Information Disclosures, Default Risk, and Bank Value

Ilknur Zer

2015-103: Information, Contract Design, and Unsecured Credit Supply: Evidence from Credit Card Mailings

Song Han, Benjamin Keys and Geng Li

2015-102: Measurement Error in Macroeconomic Data and Economics Research: Data Revisions, Gross Domestic Product, and Gross Domestic Income

Andrew C. Chang and Phillip Li

2015-101: Advertising and Risk Selection in Health Insurance Markets

Naoki Aizawa and You Suk Kim

2015-100: Nowcasting Indonesia

Matteo Luciani, Madhavi Pundit, Arief Ramayandi and Giovanni Veronese

2015-99: Monetary Policy, Incomplete Information, and the Zero Lower Bound

Christopher Gust, Benjamin K. Johannsen and David Lopez-Salido

2015-98: A Trillion Dollar Question: What Predicts Student Loan Delinquencies?

Alvaro Mezza and Kamila Sommer

2015-97: Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps

Xin Huang

2015-96: Demand Shock, Liquidity Management, and Firm Growth during the Financial Crisis

Vojislav Maksimovic, Mandy Tham and Youngsuk Yook

2015-95: Term Structure of Interest Rates with Short-run and Long-run Risks

Olesya Grishchenko, Zhaogang Song and Hao Zhou

2015-94: Input Linkages and the Transmission of Shocks: Firm-Level Evidence from the 2011 Tohōku Earthquake

Christoph Boehm, Aaron Flaaen and Nitya Pandalai-Nayar

2015-93: Regime-Switching Models for Estimating Inflation Uncertainty

Jeremy J. Nalewaik

2015-92: A Historical Welfare Analysis of Social Security: Whom Did the Program Benefit?

William Peterman and Kamila Sommer

2015-91: Financial Stress and Equilibrium Dynamics in Money Markets

Zeynep Senyuz and Emre Yoldas

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