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Found 510 resources         Showing items 1 to 25 :   Page [1] 2 3 4 .... 21 -

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   FEDS 2019-054: Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
Federal Reserve - Working Paper
16-Jul-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019054

Mathias S. Kruttli, Brigitte Roth Tran, and Sumudu W. Watugala | We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market re....
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   FEDS 2019-055: Measuring the Liquidity Profile of Mutual Funds
Federal Reserve - Working Paper
18-Jul-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019055

Sirio Aramonte, Chiara Scotti, and Ilknur Zer | We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes aro....
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   FEDS 2019-010: Lifecycle Patterns of Saving and Wealth Accumulation(Revised)
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019010

Laura J. Feiveson and John Sabelhaus | Empirical analysis of U.S. income, saving and wealth dynamics is constrained by a lack of high-quality and comprehensive household-level panel data. This paper uses a pseudo-p....
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   FEDS 2018-042: The Money View Versus the Credit View(Revised)
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2018.htm#2018042

Sarah S. Baker, David López-Salido, and Edward Nelson | We evaluate the relative merits of the "money view" and "credit view" as accounts of macroeconomic outcomes. We first lay out core elements of the m....
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   FEDS 2019-056: Regulating Financial Networks Under Uncertainty
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019056

Carlos Ramírez | I study the problem of regulating a network of interdependent financial institutions that is prone to contagion when there is uncertainty regarding its precise structure. I show that such uncertainty reduces the scope for welfare-impr....
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   FEDS 2019-057: From Transactions Data to Economic Statistics: Constructing Real-time, High-frequency, Geographic Measures of Consumer Spending
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019057

Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Cla....
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   FEDS 2019-058: Transparency and collateral: the design of CCPs' loss allocation rules
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019058

Gaetano Antinolfi, Francesca Carapella, and Francesco Carli | This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts in which an assessment of counterparty risk is crucial for efficiency. T....
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   FEDS 2019-059: Variance Disparity and Market Frictions
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019059

Yang-Ho Park | This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, esp....
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   FEDS 2019-060: A Simple Model of Voluntary Reserve Targets with Tolerance Bands
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019060

Garth Baughman and Francesca Carapella | This note presents a simplifed version of the model of voluntary reserve targets (VRT) developed in Baughman and Carapella (forthcoming), with a Walrasian interbank marke....
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   FEDS 2018-064: Measuring Aggregate Housing Wealth: New Insights from Machine Learning(Revised)
Federal Reserve - Working Paper
2-Aug-2019
https://www.federalreserve.gov/econres/feds/2018.htm#2018064

Joshua H. Gallin, Raven Molloy, Eric Nielsen, Paul Smith, and Kamila Sommer | We construct a new....
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   IFDP 2019-1254: Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets
Federal Reserve - Working Paper
6-Aug-2019
https://www.federalreserve.gov/econres/ifdp/2019.htm#20191254

Ozge Akinci and Albert Queralto | We use a two-country New Keynesian model with financial frictions and dollar debt in balance sheets to investigate the foreign effects of U.S. monetary policy. Financial amplification works through an endogenous deviation f....
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   FEDS 2019-061: CECL and the Credit Cycle
Federal Reserve - Working Paper
8-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019061

Bert Loudis and Ben Ranish | We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending over the economic cycle. In particular, if the CECL standard had always been in place, we estimate that lending wou....
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   FEDS 2019-062: Parental Proximity and Earnings After Job Displacements
Federal Reserve - Working Paper
9-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019062

Patrick Coate, Pawel Krolikowski, and Mike Zabek | The earnings of young adults who live in the same neighborhoods as their parents completely recover after a job displacement, unlike the earnings of young adults who live farther away, which permanently decline.....
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   FEDS 2019-063: Exporters of Services: A Look at U.S. Exporters outside of the Manufacturing Sector
Federal Reserve - Working Paper
9-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019063

Maria D. Tito | Using transaction data for the U.S., this paper presents a series of stylized facts on exporters in services industries. We find that most of the basic facts on manufacturing exporters extend to the services sectors with three important differe....
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   FEDS 2019-064: Monetary Policy and Bank Equity Values in a Time of Low and Negative Interest Rates
Federal Reserve - Working Paper
9-Aug-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019064

Miguel Ampudia and Skander J. Van den Heuvel | Does banks' exposure to interest rate risk change when interest rates are very low or even negative? Using a high-frequency event study methodology and intraday data, we find that the effect of surprise ....
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   FEDS 2019-044: Mixed Signals: Investment Distortions with Adverse Selection
Federal Reserve - Working Paper
21-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019044

R. Matthew Darst and Ehraz Refayet | We study how adverse selection distorts equilibrium investment allocations in a Walrasian credit market with two-sided heterogeneity. Representative investor and partial equilibrium economies are special cases where investmen....
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   FEDS 2019-045: How does the interaction of macroprudential and monetary policies affect cross-border bank lending?
Federal Reserve - Working Paper
21-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019045

Előd Takáts and Judit Temesvary | We combine a rarely accessed BIS database on bilateral cross-border lending flows with cross-country data on macroprudential regulations. We study the interaction between the monetary policy of major international c....
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   FEDS 2019-046: The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom
Federal Reserve - Working Paper
21-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019046

James A. Kahn and Benjamin S. Kay | We provide new evidence that credit supply shifts contributed to the U.S. subprime mortgage boom and bust. We collect original data on both government and private mortgage insurance premiums from 1999-2016, and document th....
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   FEDS 2019-047: Leveraged Bank Loan versus High Yield Bond Mutual Funds
Federal Reserve - Working Paper
21-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019047

Ayelen Banegas and Jessica Goldenring | Since the financial crisis, the markets for Bank Loan (BL) and High Yield Bond (HYB) mutual funds (MFs) have grown significantly, with assets under management increasing from $19 billion and $75 billion to close to $11....
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   FEDS 2019-048: Reach for Yield by U.S. Public Pension Funds
Federal Reserve - Working Paper
25-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019048

Lina Lu, Matthew Pritsker, Andrei Zlate, Ken Anadu, and James Bohn | This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds’ risk-taking behavior, we first present a simple theoretical model relating r....
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   FEDS 2019-049: Accounting for Innovations in Consumer Digital Services: IT still matters
Federal Reserve - Working Paper
26-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019049

David M. Byrne and Carol Corrado | This paper develops a framework for measuring digital services in the face of ongoing innovations in the delivery of content to consumers. We capture what Brynjolfsson and Saunders (2009) call "free goods" as the capital ser....
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   FEDS 2018-020: The Effect of the Current Expected Credit Loss Standard (CECL) on the Timing and Comparability of Reserves(Revised)
Federal Reserve - Working Paper
28-Jun-2019
https://www.federalreserve.gov/econres/feds/2018.htm#2018020

Sarah Chae, Robert F. Sarama, Cindy M. Vojtech, and James Wang | CECL, the new credit loss provisioning standard, is intended to promote proactive provisioning as loan loss res....
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   FEDS 2019-043: A Unified Measure of Fed Monetary Policy Shocks(Revised)
Federal Reserve - Working Paper
5-Jun-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019043

Chunya Bu, John Rogers, and Wenbin Wu | Identification of Fed monetary policy shocks is complex, in light of the distinct policymaking regimes before, during, and after the ZLB period of December 2008 to December 2015. We develop a heteroscedasticity-based pa....
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   IFDP 2019-1250: Every Cloud has a Silver Lining: Cleansing Effects of the Portuguese Financial Crisis
Federal Reserve - Working Paper
6-Jun-2019
https://www.federalreserve.gov/econres/ifdp/2019.htm#20191250

Daniel Dias and Carlos Robalo Marques | Using firm-level data, this paper shows that the Portuguese financial crisis was a period of intensified productivity-enhancing reallocation. Aggregate productivity gains, both in manufacturing and services, came from rel....
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   FEDS 2019-031: Understanding Bank and Nonbank Credit Cycles: A Structural Exploration
Federal Reserve - Working Paper
3-May-2019
https://www.federalreserve.gov/econres/feds/2019.htm#2019031

C. Bora Durdu and Molin Zhong | We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that allows for bank and nonbank financial intermediation. We posit economy-wid....
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Found 510 resources         Showing items 1 to 25 :   Page [1] 2 3 4 .... 21 -
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