Working Papers

From Federal Reserve Bank of Philadelphia
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11-46: Large capital infusions, investor reactions, and the return and risk performance of financial institutions over the business cycle and recent finanical crisis

Elyas Elyasiani, Loretta Mester and Michael S. Pagano

11-45: On the network topology of variance decompositions: Measuring the connectedness of financial firms

Francis Diebold and Kamil Yilmaz

11-44: Declining labor turnover and turbulence

Shigeru Fujita

11-43: Soverign risk and the effects of fiscal retrenchment in deep recessions

Giancarlo Corsetti, Keith Kuester, Andre Meier and Gernot Müller

11-42: The agglomeration of R&D labs

Gerald Carlino, Jake Carr, Robert Hunt and Tony E. Smith

11-41: Improving GDP measurement: a forecast combination perspective

S. Boragan Aruoba, Francis Diebold, Jeremy J. Nalewaik, Frank Schorfheide and Dongho Song

11-40: Do Phillips curves conditionally help to forecast inflation?

Michael Dotsey, Shigeru Fujita and Tom Stark

11-39: Rising indebtedness and temptation: a welfare analysis

Makoto Nakajima

11-38: Portage and path dependence

Hoyt Bleakley and Jeffrey Lin

11-37: How much did banks pay to become too-big-to-fail and to become systematically important?

Elijah Brewer and Julapa Jagtiani

11-36: Trading dynamics in decentralized markets with adverse selection

Braz Camargo and Benjamin Lester

11-35: Dealing with consumer default: bankruptcy vs. garnishment

Satyajit Chatterjee and Grey Gordon

11-34: Can oil prices forecast exchange rates?

Domenico Ferraro, Kenneth Rogoff and Barbara Rossi

11-33: Maturity, indebtedness, and default risk

Satyajit Chatterjee and Burcu Eyigungor

11-32: Fiscal volatility shocks and economic activity

Jesus Fernandez-Villaverde, Pablo Guerron, Keith Kuester and Juan F Rubio-Ramirez

11-31: Out-of-sample forecast tests robust to the choice of window size

Atsushi Inoue and Barbara Rossi

11-30: Collateral damage: Sizing and assessing the subprime CDO crisis

Lawrence R. Cordell, Yilin Huang and Meredith Williams

11-29: On the implementation of Markov-perfect monetary policy

Michael Dotsey and Andreas Hornstein

11-28: Optimal monetary policy in a model of money and credit

Pedro Gomis-Porqueras and Daniel Sanches

11-27: Who said large banks don't experience scale economies? Evidence from a risk-return-driven cost function

Joseph Hughes and Loretta Mester

11-26: A quantitative analysis of the U.S. housing and mortgage markets and the foreclosure crisis

Satyajit Chatterjee and Burcu Eyigungor

11-25: Real-time data and fiscal policy analysis: a survey of the literature

Jacopo Cimadomo

11-24: Core measures of inflation as predictors of total inflation

Theodore M. Crone, N. Neil K. Khettry, Loretta Mester and Jason A. Novak

11-23: The dynamics of public investment under persistent electoral advantage

Marina Azzimonti

11-22: The trust preferred CDO market: from start to (expected) finish

Lawrence R. Cordell, Michael Hopkins and Yilin Huang

11-21: Partisan cycles and the consumption volatility puzzle

Marina Azzimonti and Matthew Talbert

11-20: Inference for VARs identified with sign restrictions

Eleonora Granziera, Mihye Lee, Hyungsik Moon and Frank Schorfheide

11-19: Establishment heterogeneity, exporter dynamics, and the effects of trade liberalization

George Alessandria and Horag Choi

11-18: Private equity premium in a general equilibrium model of uninsurable investment risk

Francisco Covas and Shigeru Fujita

11-17: Limited and varying consumer attention: evidence from shocks to the salience of bank overdraft fees

Victor Stango and Jonathan Zinman

11-16: The long and large decline in state employment growth volatility

Gerald Carlino, Robert H. DeFina and Keith Sill

11-15: Home equity withdrawal in retirement

Makoto Nakajima and Irina Telyukova

11-14: Bankruptcy: is it enough to forgive or must we also forget?

Ronel Elul and Piero Gottardi

11-13: Credit cycle and adverse selection effects in consumer credit markets -- evidence from the HELOC market

Paul S. Calem, Matthew Cannon and Leonard Nakamura

11-12: Subprime mortgages and the housing bubble

Jan Brueckner, Paul S. Calem and Leonard Nakamura

11-11: Is technology-enhanced credit counseling as effective as in-person delivery?

John Barron and Michael E. Staten

11-10: UK World War I and interwar data for business cycle and growth analysis

James Nason and Shaun Vahey

11-9: Floats, pegs and the transmission of fiscal policy

Giancarlo Corsetti, Keith Kuester and Gernot Müller

11-8: A quantitative analysis of unemployment benefit extensions

Makoto Nakajima

11-7: Estimation and evaluation of DSGE models: progress and challenges

Frank Schorfheide

11-6: U.S. trade and inventory dynamics

George Alessandria, Joseph Kaboski and Virgiliu Midrigan

11-5: Evaluating DSGE model forecasts of comovements

Edward Herbst and Frank Schorfheide

11-4: Optimal monetary policy in a model of money and credit

Pedro Gomis-Porqueras and Daniel Sanches

11-3: Strategic default on first and second lien mortgages during the financial crisis

Julapa Jagtiani and William Lang

11-2: A dynamic model of unsecured credit

Daniel Sanches

11-1: Lessons from the latest data on U.S. productivity

Jan Jacobs and Simon van Norden

10-37: Consumption and time use over the life cycle

Michael Dotsey, Wenli Li and Fang Yang

10-36: Market run-ups, market freezes, and leverage

Philip Bond and Yaron Leitner

10-35: Effects of extended unemployment insurance benefits: evidence from the monthly CPS

Shigeru Fujita

10-34: An empirical analysis of on-the-job search and job-to-job transitions

Shigeru Fujita