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Economic Research


Working Papers Archives

2014

The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities
Manuel Adelino, W. Scott Frame, and Kristopher S. Gerardi
Working Paper 2014-4 (April)
How did the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac influence the risk characteristics and prices of deals involving subprime private-label mortgage-backed securities? The authors find that mortgage pools involving the GSEs performed better during the financial crisis than similar pools without the GSEs' involvement.

 

Trimmed-Mean Inflation Statistics: Just Hit the One in the Middle
Brent Meyer and Guhan Venkatu
Working Paper 2014-3 (March)
Investigating trimmed-means inflation measures, the authors explore whether a particular measure dominates the median consumer price index. Using an equality of prediction test, they find that a large swath of trimmed means have statistically indistinguishable performance.

 

Human Capital Dynamics and the U.S. Labor Market
Lei Fang and Jun Nie
Working Paper 2014-2 (February)
The authors explore the impact of shocks, unemployment insurance, and human capital dynamics on the unemployment rate in the Great Recession. They emphasize the importance of workers' and firms' endogenous responses to these factors.

 

Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
Jonas E. Arias, Juan F. Rubio-Ramírez, and Daniel F. Waggoner
Working Paper 2014-1 (February)
Some recent research shows that optimism shocks are an important source of business cycle fluctuations and deficit-financed tax cuts are better than deficit-financed spending for increasing output. The authors' new methodology does not support these results.

2013

Estimating the Holdout Problem in Land Assembly
Chris Cunningham
Working Paper 2013-19 (December)
The author looks at the effect on land prices when various parcels of land are sought for redevelopment purposes. He finds that land bought in the process of assembling property for redevelopment commands an 18 percent premium, though this premium falls with a parcel's relative size in the assemblage.

 

High-Growth Firms in Georgia
Taelim Choi, John C. Robertson, and Anil Rupasingha
Working Paper 2013-20 (December)
Looking at high-growth firms in Georgia, the authors find that a small number of firms make a disproportionately large contribution to overall job creation. But the number and impact of these high-growth firms have declined during the last decade.

 

Do Homeowners Associations Mitigate or Aggravate Negative Spillovers from Neighboring Homeowner Distress?
Ron Cheung, Chris Cunningham, and Rachel Meltzer
Working Paper 2013-18 (December)
The authors look at how property prices respond to homeowner distress and foreclosure when the properties belong to a homeowners association (HOA). They find that properties in HOAs can be less affected by more distressed neighbor homes compared with non-HOA properties.

 

Labor Market Polarization and International Macroeconomic Dynamics
Federico S. Mandelman
Working Paper 2013-17 (December)
Assessing the polarization of the U.S. labor market, the author demonstrates that different skill groups experienced varying rates of change in their share of employment during each of the last three decades. The proposed model rationalizes these employment trends.

 

Measuring Capital Adequacy Supervisory Stress Tests in a Basel World
Larry D. Wall
Working Paper 2013-15 (December)
The author discusses a variety of ways that stress tests could be used to mitigate weaknesses in the Basel capital ratios but notes the tests' effectiveness in practice depends in large part upon supervisory discretion.

 

The Adoption of Stress Testing: Why the Basel Capital Measures Were Not Enough
Larry D. Wall
Working Paper 2013-14 (December)
The author argues that the 2009 stress tests helped restore credibility in bank's capital by addressing concerns about overstated asset—and equity—values in the Basel ratios.

 

Flexible Prices, Labor Market Frictions, and the Response of Employment to Technology Shocks
Federico S. Mandelman and Francesco Zanetti
Working Paper 2013-16 (December)
Examining the assertion that a positive technology shock leads to a decline in labor inputs, the authors develop a flexible price model that allows frictions in the labor market to generate a negative employment response to a technology shock. They conclude that these frictions account for the fall in labor inputs.

 

Small and Orthodox Fiscal Multipliers at the Zero Lower Bound
R. Anton Braun, Lena Mareen Körber, and Yuichiro Waki
Working Paper 2013-13 (December)
What are the effects of higher government purchases on output in a liquidity trap? An emerging consensus is that the government purchase output multiplier is well above one in New Keynesian models. The authors find instead that it is generally close to or even less than one.

 

Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices
Nikolay Gospodinov and Ibrahim Jamali
Working Paper 2013-12 (November)
The authors examine the effect of monetary policy on energy and metal prices. They find that the positions of futures traders are the channel through which monetary policy shocks are propagated to commodity price changes.

 

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
Nikolay Gospodinov and Serena Ng
Working Paper 2013-11 (November)
The authors consider estimation of non-invertible moving average models with non-Gaussian errors. In the application considered, they show overwhelming evidence of non-invertibility in certain portfolio returns.

 

Entry, Exit, and the Determinants of Market Structure
Timothy Dunne, Shawn D. Klimek, Mark J. Roberts, and Daniel Yi Xu
Working Paper 2013-10 (October)
The authors examine firm dynamics and competition in two health-service industries. Using information on underserved markets, the study examines alternative subsidies to influence provider participation.

 

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2013-9 (October)
The authors propose a linear asset pricing model selection procedure that restores standard inference and is effective in eliminating factors that do not improve the model's pricing ability. They use simulations and empirical applications to demonstrate the practical relevance of their analysis.

 

A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
Hirbod Assa, Amal Dabbous, and Nikolay Gospodinov
Working Paper 2013-8 (September)
The authors incorporate a staggered price feature into the standard speculative storage model and assess its effects on the time series properties of commodity prices. The estimation results lend empirical support to the possibility of staggered prices.

 

Optimal Fiscal Policy with Recursive Preferences
Anastasios G. Karantounias
Working Paper 2013-7 (September)
Examining optimal capital and labor income taxation in a business cycle model where attitude towards risk is distinct from attitude towards time, the author finds that it is no longer optimal to make the welfare cost of distortionary taxation constant over states and dates. His finding significantly alters standard taxation prescriptions.

 

Land Prices and Unemployment
Zheng Liu, Jianjun Miao, and Tao Zha
Working Paper 2013-6 (September)
Integrating the housing market and the labor market in a dynamic general equilibrium model, the authors find that a 10 percent drop in land price leads to a 0.34 percentage point increase in the unemployment rate.

 

A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
Nikolay Gospodinov and Damba Lkhagvasuren
Working Paper 2013-5 (September)
The authors propose a method for approximating vector autoregressions by finite-state Markov chains. Their proposed method tends to outperform the existing methods for approximating highly persistent multivariate processes.

 

Unemployment, Negative Equity, and Strategic Default
Kristopher Gerardi, Kyle F. Herkenhoff, Lee E. Ohanian, and Paul S. Willen
Working Paper 2013-4 (August)
Although job loss and negative equity both loom large in a homeowner's decision to default, the authors use household-level data to find that a household's employment status is the strongest predictor of defaults. They also find that the vast majority of homeowners who default do not have enough liquid assets to make a single monthly mortgage payment, which calls into question the significance of strategic default in the mortgage market.

 

Even One Is Too Much: The Economic Consequences of Being a Smoker
Julie L. Hotchkiss and M. Melinda Pitts
Working Paper 2013-3 (July)
That smoking leads to lower wages is well established, but what factors are behind this negative relationship? Examining the wage gap between smokers and nonsmokers, the authors find that productivity is not the biggest factor hindering smokers' lagging wages. Rather, other characteristics smokers bring to the market play a larger role.

 

Old, Sick, Alone, and Poor: A Welfare Analysis of Old-Age Social Insurance Programs
R. Anton Braun, Karen A. Kopecky, and Tatyana Koreshkova
Working Paper 2013-2 (July)
Do Social Security, Medicaid and other means-tested social insurance programs benefit retirees? The authors find that means-tested social insurance programs enhance welfare by providing the aged with insurance against medical expense risks such as nursing home stays. When these programs are available, the authors find there is no need for Social Security.

 

Perturbation Methods for Markov-Switching DSGE Models
Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha
Working Paper 2013-1 (March)
The authors develop a methodology for constructing approximations to Markov-switching models and identify the bottleneck of obtaining all approximated solutions. Application to different models illustrates its feasibility and practicality.

2012

Housing Wealth and Wage Bargaining
Chris Cunningham and Robert R. Reed
Working Paper 2012-20
December 2012
Examining the relationship between housing equity and wage earnings and using data from the American Housing Survey, the authors show that workers with underwater mortgages who fear default will settle for lower wages.

 

Home Production Technology and Time Allocation: Empirics, Theory, and Implications
Lei Fang and Guozhong Zhu
Working Paper 2012-19
December 2012
Using a model of time allocation that emphasizes the role of home production technology, the authors study the effects of proportional tax and lump-sum transfer on time allocation and labor supply.

 

Analytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2012-18 (November)
Building on the seminal work of Hansen and Jagannathan (1997), the authors analyze the benefits and costs of using the HJ-distance with a no-arbitrage constraint to rank asset pricing models.

 

Robust Inference in Linear Asset Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2012-17 (November)
Using a novel model selection procedure that is robust to fixed misspecification and weak identification, the authors find that only the market factor and the book-to-market factor of Fama and French (1993) are important in explaining the cross-sectional differences in U.S. equity returns.

 

Wages and Unemployment across Business Cycles: A High-Frequency Investigation
Lei Fang and Pedro Silos
Working Paper 2012-16 (October)
Investigating the change in wages associated with a spell of unemployment, the authors find that the degree of wage rigidity varies across recessions; wage changes pre- and post-unemployment are sometimes procyclical and sometimes countercyclical.

 

Comparative Advantage and Risk Premia in Labor Markets
German Cubas and Pedro Silos
Working Paper 2012-15 (October)
Examining the association between earnings risk and the level of earnings across 21 industries, the authors find that the positive association between permanent risk and earnings is compensation for risk, but selection is responsible for the observed relationship between temporary risk and the level of earnings.

 

The Bank of Amsterdam through the Lens of Monetary Competition
Stephen Quinn and William Roberds
Working Paper 2012-14 (September)
In 1683 the Bank of Amsterdam introduced a form of irredeemable money. The authors argue that this new form of money flourished because it could compete with coin as a store of value and medium of exchange.

 

The Safety and Soundness Effects of Bank M&A in the EU
Jens Hagendorff, Maria J. Nieto, and Larry D. Wall
Working Paper 2012-13 (September)
Studying European bank mergers and acquisitions, the authors find that the acquirer and target become financially stronger if the acquirer's home country supervision is stronger than the target's.

 

The Devil's in the Tail: Residential Mortgage Finance and the U.S. Treasury
W. Scott Frame, Larry D. Wall, and Lawrence J. White
Working Paper 2012-12 (August)
What form the U.S. government's role in the housing finance market should take is a matter of robust debate. The authors provide a critical assessment of the various types of policy proposals that have been offered to further the conversation.

 

A Closer Look at Nonparticipants During and After the Great Recession
Julie L. Hotchkiss, M. Melinda Pitts, and Fernando Rios-Avila
Working Paper 2012-10 (August)
Around the 2008 recession, people increasingly gave"schooling" and "other" as reasons for leaving the labor market. Using matched individual-level data, the authors examine the reasons behind this shift and its implications for the labor force.

 

Bayesian Semiparametric Multivariate GARCH Modeling
Mark J. Jensen and John M. Maheu
Working Paper 2012-9 (July)
Examining comovements in asset returns, the authors propose a flexible Bayesian nonparametric distribution for asset returns that can capture general forms of asymmetry, thick tails, and correlations.

 

Foreclosure Externalities: Some New Evidence
Kristopher Gerardi, Eric Rosenblatt, Paul S. Willen, and Vincent W. Yao
Working Paper 2012-11 (August)
Although all distressed properties have negative effects on nearby properties' values, the authors find that the magnitude of the effects is economically small, peaks prior to the property's completion of the foreclosure process, and goes to zero about a year after a new owner buys the property from the bank.

 

Responding to a Shadow Banking Crisis: The Lessons of 1763
Stephen Quinn and William Roberds
Working Paper 2012-8 (June)
A European financial crisis in 1763 had notable parallels with the recent financial crisis. Examining data and circumstances from the eighteenth century crisis, the authors provide contrasts with the events of late 2008.

 

Why Did So Many People Make So Many Ex Post Bad Decisions? The Causes of the Foreclosure Crisis
Christopher L. Foote, Kristopher S. Gerardi, and Paul S. Willen
Working Paper 2012-7 (May)
The choices made by homeowners and financial institutions prior to the financial crisis didn't seem so bad at the time, but in hindsight they proved disastrous. New Atlanta Fed research looks at what led to some of these decisions and how policymakers should address them in the future.

 

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Mark J. Jensen and John M. Maheu
Working Paper 2012-6 (April)
The authors develop a novel way to model the correlation between returns and volatility, enabling them to examine how volatility responds to unexpected market movement.

 

Some Unpleasant Properties of Log-Linearized Solutions When the Nominal Rate Is Zero
R. Anton Braun, Lena Mareen Körber, and Yuichiro Waki
Working Paper 2012-5a (Revised September 2012)
The authors examine the nonlinearity created by a zero lower bound on the nominal interest rate. They demonstrate that the log-linearized equilibrium conditions can give an incorrect classification of the types of zero-bound equilibria that can arise in the true economy.

 

The Wage Impact of Undocumented Workers
Julie L. Hotchkiss, Myriam Quispe-Agnoli, and Fernando Rios-Avila
Working Paper 2012-4 (March)
Using data from Georgia, the authors find that earnings of a documented worker employed by a firm that hires undocumented workers are marginally lower than if he or she were employed by a firm that does not hire undocumented workers.

 

Does Employing Undocumented Workers Give Firms a Competitive Advantage?
J. David Brown, Julie L. Hotchkiss, and Myriam Quispe-Agnoli
Working Paper 2012-2a (Revised November 2012)
The authors find that a firm not employing undocumented workers is at a competitive disadvantage, especially if its rivals do. However, they also determine that the impact of employing undocumented workers varies across sectors and with the skill level of the workers, among other factors.

 

Human Capital Portfolios
Pedro Silos and Eric Smith
Working Paper 2012-3 (February)
The authors assess the trade-off between diversification and specialization in portfolios of skills when there is uncertainty about occupational fit. Forced specialization decreases income growth but also decreases inequality.

 

Making the Case for a Low Intertemporal Elasticity of Substitution
R. Anton Braun and Tomoyuki Nakajima
Working Paper 2012-1 (January)
The responsiveness of consumption growth to changes in expected interest rates plays a central role in dynamic decision making. The authors provide some new evidence that this elasticity is small.

2011

Do Borrower Rights Improve Borrower Outcomes? Evidence from the Foreclosure Process
Kristopher Gerardi, Lauren Lambie-Hanson, and Paul S. Willen
Working Paper 2011-16a (Revised August 2012)
The authors examine the effects of giving additional rights to borrowers to see if foreclosures can be reduced or workouts accomplished. They find that these rights can extend the foreclosure timeline but generally do not lead to better borrower outcomes.

 

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
Mardi Dungey, Gerald P. Dwyer, and Thomas Flavin
Working Paper 2011-15 (November)
Examining how risk in securitized financial products is evaluated, the authors explore factors affecting collateralized debt obligations based on subprime mortgages. They also examine effects of the financial turmoil in the recent financial crisis.

 

Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis
R. Anton Braun and Tomoyuki Nakajima
Working Paper 2011-13 (November)
Why hasn't higher government indebtedness increased bond yields in Japan and the United States? We show that short-selling constraints and leverage delay the response of yields to an increased risk of a future sovereign debt crisis.

 

Impact of the Business Environment on Output and Productivity in Africa
El-hadj Bah and Lei Fang
Working Paper 2011-14 (November)
Assessing the business environment in 30 sub-Saharan African countries, the authors find that the poor business environment can account for 67 percent of the variation in income per worker in those countries relative to the United States.

 

Reexamining the Empirical Relation between Loan Risk and Collateral: The Roles of Collateral Characteristics and Types
Allen N. Berger, W. Scott Frame, and Vasso Ioannidou
Working Paper 2011-12 (September)
The authors reexamine the empirical relation between loan risk and collateral. Their results suggest that conflicting results in the literature might be attributable to the use of samples with different economic characteristics or types of collateral.

 

Land-Price Dynamics and Macroeconomic Fluctuations
Zheng Liu, Pengfei Wang, and Tao Zha
Working Paper 2011-11 (July)
Examining the broad impact of land-price dynamics on the macroeconomy, the authors develop a mechanism that demonstrates how macroeconomic fluctuations are amplified and propagated through the joint dynamics of land prices and business investment.

 

New Keynesian Dynamics in a Low Interest Rate Environment
R. Anton Braun and Lena Mareen Körber
Working Paper 2011-10 (May)
Recent research has found that fiscal policy works differently when the nominal interest rate is zero. Increasing government purchases is more effective in stimulating economic activity while lowering labor taxes may actually reduce employment and output. This paper finds that that these results are not empirically relevant.

 

Accounting for the Cyclical Dynamics of Income Shares
Enchuan Shao and Pedro Silos
Working Paper 2011-9 (March)
Macroeconomics lacks models that mimic the dynamics of aggregate income shares observed in the data. Introducing costly entry of firms in a model of aggregate fluctuations with frictional labor markets can replicate many of the income shares' time series facts.

 

Uninsured Countercyclical Risk: An Aggregation Result and Application to Optimal Monetary Policy
R. Anton Braun and Tomoyuki Nakajima
Working Paper 2011-4 (March)
The authors consider an incomplete-markets economy with capital accumulation and endogenous labor supply and provide conditions under which stabilizing the price level is the optimal monetary policy.

 

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2011-8 (March)
The authors present a general statistical framework for the estimation, testing, and comparison of asset pricing models based on the Hansen-Jagannathan distance measure. The new asymptotic tests enjoy excellent finite-sample properties.

 

Monetary and Exchange Rate Policy under Remittance Fluctuations
Federico S. Mandelman
Working Paper 2011-7 (March)
Using data for the Philippines, the author analyzes the role of monetary and exchange rate policy in a small open economy subject to sizable trend and cyclical remittance fluctuations.

 

Price Discrimination and Business-Cycle Risk
Marco Cornia, Kristopher S. Gerardi, and Adam Hale Shapiro
Working Paper 2011-3 (March)
Analyzing price discrimination in the airline industry, the authors examine seventeen years of data and find that price dispersion is procyclical. They suggest that the impact on firms' ability to price-discriminate results in additional profit risk.

 

To Work or Not to Work: The Economics of a Mother's Dilemma
Julie L. Hotchkiss, M. Melinda Pitts, and Mary Beth Walker
Working Paper 2011-2 (March)
In determining a woman's decision whether to reenter the labor force after the birth of a child, the authors find that both the direct and opportunity labor market costs of exiting the workforce figure prominently in the decision.

 

Creating an EU-Level Supervisor for Cross-Border Banking Groups: Issues Raised by the U.S. Experience with Dual Banking
Larry D. Wall, María J. Nieto, and David Mayes
Working Paper 2011-6 (March)
Some propose supplementing national supervision of banks in the European Union with an EU-level supervisor for cross-border groups. This proposal is examined by the authors through the prism of the experience in the United States with dual banking.

 

Measuring the Welfare Gain from Personal Computers: A Macroeconomic Approach
Karen A. Kopecky and Jeremy Greenwood
Working Paper 2011-5 (March)
The authors measure the welfare gain from the introduction of and price decline in personal computers, determining the gain to be in the range of 2 percent to 3 percent of consumption expenditure.

 

A Decomposition of the Black-White Differential in Birth Outcomes
M. Melinda Pitts, Mary Beth Walker, and Brian S. Armour
Working Paper 2011-1 (March)
The authors examine racial disparities in birth outcomes, finding that marriage rates, father's characteristics, and prenatal care contribute to racial differences in birth outcomes such as preterm birth and low birth weight.

2010

Confronting Model Misspecification in Macroeconomics
Daniel F. Waggoner and Tao Zha
Working Paper 2010-18a (Revised February 2012)
The authors propose a framework for merging multiple models, incorporating uncertainty about both models and parameters. Their merged model alters the inferences about structural parameters and impulse responses.

 

The Impact of Medical and Nursing Home Expenses and Social Insurance
Karen A. Kopecky and Tatyana Koreshkova
Working Paper 2010-19 (December)
The authors examine old-age health expenses, calibrating their model to the United States, and find that nursing home expenses play a significant role in the savings of the wealthy and on aggregate.

 

How Amsterdam Got Fiat Money
Stephen Quinn and William Roberds
Working Paper 2010-17 (December)
The authors analyze a fiat money regime that was introduced by the Bank of Amsterdam in 1683. Reconstructing the bank's balance sheets, they describe how fiat money affected the bank's monetary and credit policies.

 

Entry Cost, Financial Friction, and Cross-Country Differences in Income and TFP
Lei Fang
Working Paper 2010-16 (September)
Using a model calibrated to establishment-level statistics in the United States, the author finds that financial friction amplifies the effects of entry cost on cross-country differences in income and TFP.

 

Investment-Specific Technology Shocks and International Business Cycles: An Empirical Assessment
Federico S. Mandelman, Pau Rabanal, Juan F. Rubio-Ramírez, and Diego Vilán
Working Paper 2010-3a (Revised September 2010)
This paper shows that while a thoughtful calibration of investment-specific technology shocks is useful to address several existent puzzles in the open macro literature, the actual estimated shocks are powerless to explain any of them.

 

The Effect of Social Entitlement Programs on Private Transfers: New Evidence of Crowding Out
Kristopher Gerardi and Yuping Tsai
Working Paper 2010-15 (September)
Studying the introduction of a Taiwanese social security program, the authors find that the probability of an adult child providing monetary transfers to his or her parents decreases substantially if the parents receive public assistance.

 

Expected Returns to Stock Investments by Angel Investors in Groups
Ramon P. DeGennaro and Gerald P. Dwyer
Working Paper 2010-14 (August)
Angel investors fund thousands of entrepreneurial projects annually. The authors' estimates indicate that the expected return for doing so is about 70 percent per year, compensating for the substantial risk.

 

Fixed-Term and Permanent Employment Contracts: Theory and Evidence
Shutao Cao, Enchuan Shao, and Pedro Silos
Working Paper 2010-13 (August)
The authors provide a theory of why firms offer both employment contracts with high job protection and contracts with no protection. Using that theory, they find that increasing firing costs can increase wage inequality.

 

Decomposing the Education Wage Gap: Everything but the Kitchen Sink
Julie L. Hotchkiss and Menbere Shiferaw
Working Paper 2010-12 (August)
The wage gap between high school and college graduates began widening dramatically in the 1980s and 1990s. Using multiple data sources, the authors examine the source of this gap.

 

Further Results on the Limiting Distribution of GMM Sample Moment Conditions
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2010-11 (July)
Extending Hansen (1982), the authors provide new results on the limiting behavior of linear combinations of generalized method of moments (GMM) sample moment conditions and demonstrate the statistical properties of the proposed asymptotic approximation using simulation.

 

Financial Literacy and Subprime Mortgage Delinquency: Evidence from a Survey Matched to Administrative Data
Kristopher Gerardi, Lorenz Goette, and Stephan Meier
Working Paper 2010-10 (April)
The working paper investigates whether certain aspects of borrowers' financial literacy, namely numerical ability and economic knowledge, may have played a role in the subprime mortgage crisis.

 

Prudential Discipline for Financial Firms: Micro, Macro, and Market Structures
Larry D. Wall
Working Paper 2010-9 (March)
The author discusses ways to strengthen micro- and macroprudential supervision and restore credible market discipline in the wake of the breakdowns in the prudential discipline that led to the recent global financial crisis.

 

What Explains Differences in Foreclosure Rates? A Response to Piskorski, Seru, and Vig
Manuel Adelino, Kristopher Gerardi, and Paul Willen
Working Paper 2010-8 (March)
Responding to earlier research, the authors find that early payment defaults are not a valid way of studying foreclosure rates and that using modification rates of delinquent mortgages allows better study of renegotiation activity.

 

The Information Revolution and Small Business Lending: The Missing Evidence
Robert DeYoung, W. Scott Frame, Dennis Glennon, and Peter Nigro
Working Paper 2010-7 (March)
The authors provide empirical confirmation for the widely accepted conjecture that information technology was the primary driver of small business borrower-lender distances in recent years.

 

Tests of Ex Ante versus Ex Post Theories of Collateral Using Private and Public Information
Allen N. Berger, W. Scott Frame, and Vasso Ioannidou
Working Paper 2010-6 (March)
The authors study the role of collateral in loan contracting using unique credit registry data that allow for the identification of effects attributable to different collateral theories.

 

What Do Premiums Paid for Bank M&As Reflect? The Case of the European Union
Jens Hagendorff, Ignacio Hernando, Maria J. Nieto, and Larry D. Wall
Working Paper 2010-5 (March)
Studying European bank mergers between 1997 and 2007, the authors find that stricter bank regulation and stronger deposit insurance schemes lower the takeover premiums acquiring banks pay.

 

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint
Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
Working Paper 2010-4 (March)
The author discusses ways to strengthen micro- and macroprudential supervision and restore credible market discipline in the wake of the breakdowns in the prudential discipline that led to the recent global financial crisis.

 

Assessing the Impact of Education and Marriage on Labor Market Exit Decisions of Women
Julie L. Hotchkiss, M. Melinda Pitts, and Mary Beth Walker
Working Paper 2010-2 (February)
Investigating women's decision to exit the labor market upon the birth of a child, the authors determine exit rates among single, less educated women are consistent with change in overall female labor force participation.

 

Do Credit Constraints Amplify Macroeconomic Fluctuations?
Zheng Liu, Pengfei Wang, and Tao Zha
Working Paper 2010-1 (February)
Combining two key features into a dynamic stochastic general equilibrium model, the authors are able to generate an empirically important mechanism that explains the persistent comovements between housing prices and business investment.

2009

Employer Monopsony Power in the Labor Market for Undocumented Workers
Julie L. Hotchkiss and Myriam Quispe-Agnoli
Working Paper 2009-14d (Revised March 2012)

 

Managing Pessimistic Expectations and Fiscal Policy
Anastasios G. Karantounias
Working Paper 2009-29a (Revised March 2012)

 

Inflation and Monetary Regimes
Gerald P. Dwyer and Mark Fisher
Working Paper 2009-26 (September)
Published in Journal of International Money and Finance, November 2009

 

Job Search with Bidder Memories
Carlos Carrillo-Tudela, Guido Menzio, and Eric Smith
Working Paper 2009-28 (October)

 

Price Distributions and Competition
Ken Burdett and Eric Smith
Working Paper 2009-27 (October)

 

Decomposing the Foreclosure Crisis: House Price Depreciation versus Bad Underwriting
Kristopher Gerardi, Adam Hale Shapiro, and Paul S. Willen
Working Paper 2009-25 (September)

 

Overborrowing and Systemic Externalities in the Business Cycle
Javier Bianchi
Working Paper 2009-24 (September)

 

Cointegrated TFP Processes and International Business Cycles
Pau Rabanal, Juan F. Rubio-Ramirez, and Vicente Tuesta
Working Paper 2009-23 (September)

 

Wage Dispersion and Wage Dynamics within and across Firms
Carlos Carrillo-Tudela and Eric Smith
Working Paper 2009-22 (September)

 

Sector-Specific Human Capital and the Distribution of Earnings
Eric Smith
Working Paper 2009-21 (September)

 

Why Don't Lenders Renegotiate More Home Mortgages? Redefaults, Self-Cures, and Securitization
Manuel Adelino, Kristopher Gerardi, and Paul S. Willen
Working Paper 2009-17a (Revised April 2010)

 

Who Supports Portable Assessment Caps?: The Role of Lock-Ins, Tax Share, and Mobility
Ron Cheung and Chris Cunningham
Working Paper 2009-19a (Revised October 2010)

 

The Financial Crisis of 2008 in Fixed Income Markets
Gerald P. Dwyer and Paula Tkac
Working Paper 2009-20 (August)
Published in Journal of International Money and Finance, December 2009

 

U.K. World War I and Interwar Data for Business Cycle and Growth Analysis
James M. Nason and Shaun P. Vahey
Working Paper 2009-18 (August)

 

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
Takashi Kano and James M. Nason
Working Paper 2009-16 (July)

 

Reducing Foreclosures: No Easy Answers
Christopher Foote, Kristopher Gerardi, Lorenz Goette, and Paul Willen
Working Paper 2009-15 (May)

 

The 2008 Federal Intervention to Stabilize Fannie Mae and Freddie Mac
W. Scott Frame
Working Paper 2009-13 (April)
Published in Journal of Applied Finance, Fall/Winter 2008

 

Entry Barriers, Competition, and Technology Adoption
Lei Fang
Working Paper 2009-8 (March)

 

Product Market Regulation and Market Work: A Benchmark Analysis
Lei Fang and Richard Rogerson
Working Paper 2009-7 (March)

 

Decomposing Changes in the Aggregate Labor Force Participation Rate
Julie L. Hotchkiss
Working Paper 2009-6a (Revised July)

 

A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas
Raymond Kan and Cesare Robotti
Working Paper 2009-12 (March)

 

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Raymond Kan, Cesare Robotti, and Jay Shanken
Working Paper 2009-11 (March)

 

Technological Change, Financial Innovation, and Diffusion in Banking
W. Scott Frame and Lawrence J. White
Working Paper 2009-10 (March)

 

Understanding Markov-Switching Rational Expectations Models
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
Working Paper 2009-5 (March)
Published in Journal of Economic Theory, September 2009

 

The Surprising Use of Credit Scoring in Small Business Lending by Community Banks and the Attendant Effects on Credit Availability and Risk
Allen N. Berger, Adrian M. Cowan, and W. Scott Frame
Working Paper 2009-9 (March 2009)

 

Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach
Zheng Liu, Daniel F. Waggoner, and Tao Zha
Working Paper 2009-3a (Revised October 2010)

 

The Federal Home Loan Bank System: The Lender of Next-to-Last Resort?
Adam Ashcraft, Morten L. Bech, and W. Scott Frame
Working Paper 2009-4 (February)
Forthcoming in Journal of Money, Credit and Banking

 

Making Sense of the Subprime Crisis
Kristopher S. Gerardi, Andreas Lehnert, Shane M. Sherland, and Paul S. Willen
Working Paper 2009-2 (February)
Published in Brookings Papers on Economic Activity, Fall 2008

 

Subprime Mortgages, Foreclosures, and Urban Neighborhoods
Kristopher S. Gerardi and Paul S. Willen
Working Paper 2009-1 (February)

2008

Undocumented Worker Employment and Firm Survivability
J. David Brown, Julie L. Hotchkiss, and Myriam Quispe-Agnoli
Working Paper 2008-28 (December)

 

Bank Capital Ratios across Countries: Why Do They Vary?
Elijah Brewer III, George G. Kaufman, and Larry D. Wall
Working Paper 2008-27 (December)
Published in Journal of Financial Services Research, December 2008

 

Determinants of Domestic and Cross-Border Bank Acquisitions in the European Union
Ignacio Hernando, María J. Nieto, and Larry D. Wall
Working Paper 2008-26 (December)
Published in Journal of Banking and Finance, June 2009

 

Immigration, Remittances, and Business Cycles
Federico S. Mandelman and Andrei Zlate
Working Paper 2008-25b (Revised February 2012)

 

Elimination of Gender-Related Employment Disparities through Statistical Process Control
Mary E. Graham and Julie L. Hotchkiss
Working Paper 2008-24 (October)

 

Minimal State Variable Solutions to Markov-Switching Rational Expectations Models
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
Working Paper 2008-23a (Revised September 2010)

 

Returns to Investors in Stocks in New Industries
Gerald P. Dwyer Jr. and Cora Barnhart
Working Paper 2008-21 (September)

 

Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
Juan F. Rubio-Ramírez, Daniel F.Waggoner, and Tao Zha
Working Paper 2008-18 (September)

 

Data Breaches and Identity Theft
William Roberds and Stacey L. Schreft
Working Paper 2008-22 (September)
Published in Journal of Monetary Economics, October 2009

 

Learning, Adaptive Expectations, and Technology Shocks
Kevin X.D. Huang, Zheng Liu, and Tao Zha
Working Paper 2008-20 (September)
Published in Economic Journal, March 2009

 

Generalizing the Taylor Principle: Comment
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
Working Paper 2008-19 (September)
Published in American Economic Review, March 2010

 

Firm Entry and Labor Market Dynamics
Enchuan Shao and Pedro Silos
Working Paper 2008-17 (August)

 

Exchange Rates and Fundamentals: A Generalization
James M. Nason and John H. Rogers
Working Paper 2008-16 (June)

 

Bayesian Semiparametric Stochastic Volatility Modeling
Mark J. Jensen and John M. Maheu
Working Paper 2008-15 (June)

 

Financial and Real Integration
Scott L. Baier and Gerald P. Dwyer Jr.
Working Paper 2008-14 (May)

 

Issues in Central Bank Finance and Independence
Peter Stella and Åke Lonnberg
Working Paper 2008-13 (May)

 

Productivity, Energy Prices, and the Great Moderation: A New Link
Rajeev Dhawan, Karsten Jeske, and Pedro Silos
Working Paper 2008-11 (March)

 

Remittances, Exchange Rate Regimes, and the Dutch Disease: A Panel Data Analysis
Emmanuel K.K. Lartey, Federico S. Mandelman, and Pablo A. Acosta
Working Paper 2008-12 (March)
Published in Journal of International Economics, September 2009

 

The Exact Distribution of the Hansen-Jagannathan Bound
Raymond Kan and Cesare Robotti
Working Paper 2008-9 (February)

 

Technology Shocks, Employment, and Labor Market Frictions
Federico S. Mandelman and Francesco Zanetti
Working Paper 2008-10 (February)

 

Working with Children? The Probability of Mothers Exiting the Workforce at Time of Birth
Julie L. Hotchkiss, M. Melinda Pitts, and Mary Beth Walker
Working Paper 2008-8 (February)

 

The Labor Market Experience and Impact of Undocumented Workers
Julie L. Hotchkiss and Myriam Quispe-Agnoli
Working Paper 2008-7c (Revised June)

 

The Tax Treatment of Homeowners and Landlords and the Progressivity of Income Taxation
Matthew Chambers, Carlos Garriga, and Don Schlagenhauf
Working Paper 2008-6 (February)

 

On Policy Interactions among Nations: When Do Cooperation and Commitment Matter?
Hubert Kempf and Leopold von Thadden
Working Paper 2008-5 (February)

 

Comments on Jeske and Krueger's "Housing and the Macroeconomy: The Role of Implicit Guarantees for Government Sponsored Enterprises"
Brian Peterson
Working Paper 2008-3 (February)

 

Comments on Piazzesi and Schneider's "Bond Positions, Expectations, and the Yield Curve"
Jon Faust
Working Paper 2008-4 (February)

 

Bond Positions, Expectations, and the Yield Curve
Monika Piazzesi and Martin Schneider
Working Paper 2008-2 (January)

 

Great Moderations and U.S. Interest Rates: Unconditional Evidence
James M. Nason and Gregor W. Smith
Working Paper 2008-1a (Revised May)

2007

Assessing the Welfare Impact of the 2001 Tax Reform on Dual-Earner Families
Julie L. Hotchkiss and Robert E. Moore
Working Paper 2007-27 (December)

 

Optimal Fiscal Feedback on Debt in an Economy with Nominal Rigidities
Tatiana Kirsanova and Simon Wren-Lewis
Working Paper 2007-26 (December)

 

Optimal Simple and Implementable Monetary and Fiscal Rules
Stephanie Schmitt-Grohé and Martín Uribe
Working Paper 2007-24 (December)
Published in Journal of Monetary Economics, September 2007

 

Equilibrium Mortgage Choice and Housing Tenure Decisions with Refinancing
Matthew S. Chambers, Carlos Garriga, and Don Schlagenhauf
Working Paper 2007-25 (December)

 

Asymmetric Expectation Effects of Regime Shifts and the Great Moderation
Zheng Liu, Daniel F. Waggoner, and Tao Zha
Working Paper 2007-23 (October)

 

A Discrete Choice Model of Dividend Reinvestment Plans: Classification and Prediction
Thomas P. Boehm and Ramon P. DeGennaro
Working Paper 2007-22 (October)

 

Accounting for Changes in the Homeownership Rate
Matthew Chambers, Carlos Garriga, and Don E. Schlagenhauf
Working Paper 2007-21 (September)
Published in International Economic Review, August 2009

 

Cigarette Smoking and Food Insecurity among Low-Income Families in the United States, 2001
Brian S. Armour, M. Melinda Pitts, and Chung-won Lee
Working Paper 2007-19 (August)

 

What Determines the Output Drop after an Energy Price Increase: Household or Firm Energy Share?
Rajeev Dhawan and Karsten Jeske
Working Paper 2007-20 (August)
Published in Economics Letters, December 2008

 

Does Disability Explain State-Level Differences in the Quality of Medicare Beneficiary Hospital Inpatient Care?
Brian S. Armour and M. Melinda Pitts
Working Paper 2007-18 (August)

 

Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition
W. Scott Frame, Diana Hancock, and Wayne Passmore
Working Paper 2007-17 (July)

 

Evidence of Demand Factors in the Determination of the Labor Market Intermittency Penalty
Julie L. Hotchkiss and M. Melinda Pitts
Working Paper 2007-16 (July)

 

Commercial Lending Distance and Historically Underserved Areas
Robert DeYoung, W. Scott Frame, Dennis Glennon, Daniel P. McMillen, and Peter J. Nigro
Working Paper 2007-11a (Revised July 2007)
Published in Journal of Economics and Business, January-February 2008

 

Microentrepreneurship and the Business Cycle: Is Self-Employment a Desired Outcome?
Federico S. Mandelman and Gabriel V. Montes Rojas
Working Paper 2007-15 (July)
Forthcoming in World Development

 

U.S. Tax Policy and Health Insurance Demand: Can a Regressive Policy Improve Welfare?
Karsten Jeske and Sagiri Kitao
Working Paper 2007-13 (July)
Published in Journal of Monetary Economics, March 2009

 

Taylor Rules with Headline Inflation: A Bad Idea
Rajeev Dhawan and Karsten Jeske
Working Paper 2007-14 (July)

 

Understanding the New Keynesian Model When Monetary Policy Switches Regimes
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
Working Paper 2007-12 (July)

 

Multiple Safety Net Regulators and Agency Problems in the European Union: Is Prompt Corrective Action Partly the Solution?
David G. Mayes, María J. Nieto, and Larry Wall
Working Paper 2007-9 (May)

 

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Alastair Hall, Atsushi Inoue, James M. Nason, and Barbara Rossi
Working Paper 2007-10a (Revised October 2008)

 

Remittances and the Dutch Disease
Pablo A. Acosta, Emmanuel K.K. Lartey, and Federico S. Mandelman
Working Paper 2007-8a (Revised August 2009)
Published in Journal of International Economics, September 2009

 

Simple versus Optimal Rules as Guides to Policy
William A. Brock, Steven N. Durlauf, James M. Nason, and Giacomo Rondina
Working Paper 2007-7 (April)
Published in Journal of Monetary Economics, July 2007

 

Corporate Social Responsibility and Shareholder's Value: An Event Study Analysis
Leonardo Becchetti, Rocco Ciciretti, and Iftekhar Hasan
Working Paper 2007-6 (April)

 

Uninsurable Individual Risk and the Cyclical Behavior of Unemployment and Vacancies
Enchuan Shao and Pedro Silos
Working Paper 2007-5 (February)

 

Model Comparison Using the Hansen-Jagannathan Distance
Raymond Kan and Cesare Robotti
Working Paper 2007-4 (February)
Published in Review of Financial Studies, September 2009

 

The Role of Labor Market Intermittency in Explaining Gender Wage Differentials
Julie L. Hotchkiss and M. Melinda Pitts
Working Paper 2007-1 (February)
Published in American Economic Review Papers and Proceedings, May 2007

 

The McKenna Rule and U.K. World War I Finance
James M. Nason and Shaun P. Vahey
Working Paper 2007-3 (February)
Published in American Economic Review, May 2007

 

Does Geography Matter to Bondholders?
Bill Francis, Iftekhar Hasan, and Maya Waisman
Working Paper 2007-2 (February)

2006

Why Do Borrowers Pledge Collateral? New Empirical Evidence on the Role of Asymmetric Information
Allen N. Berger, Marco A. Espinosa-Vega, W. Scott Frame, and Nathan H. Miller
Working Paper 2006-29a (Revised July 2007)
Forthcoming in Journal of Financial Intermediation

 

When Target CEOs Contract with Acquirers: Evidence from Bank Mergers and Acquisitions
Elijah Brewer III, William E. Jackson III, and Larry D. Wall
Working Paper 2006-28 (December)

 

Preconditions for a Successful Implementation of Supervisors' Prompt Corrective Action: Is There a Case for a Banking Standard in the European Union?
María J. Nieto and Larry D. Wall
Working Paper 2006-27 (December)

 

Why Do Banks Promise to Pay Par on Demand?
Gerald P. Dwyer Jr. and Margarita Samartín
Working Paper 2006-26 (November)
Published in Journal of Financial Stability, June 2009

 

Methods for Inference in Large Multiple-Equation Markov-Switching Models
Christopher A. Sims, Daniel F. Waggoner, and Tao Zha
Working Paper 2006-22 (November)
Published in Journal of Econometrics, October 2008

 

Credit and the No-Surcharge Rule
Cyril Monnet and William Roberds
Working Paper 2006-25 (November)

 

The Predictive Power of the Senior Loan Officer Survey: Do Lending Officers Know Anything Special?
Thomas J. Cunningham
Working Paper 2006-24 (November)

 

The Conquest of South American Inflation
Thomas Sargent, Noah Williams, and Tao Zha
Working Paper 2006-20 (November)
Published in Journal of Political Economy, April 2009

 

Business Cycles: A Role for Imperfect Competition in the Banking System
Federico S. Mandelman
Working Paper 2006-21 (November)

 

Indeterminacy in a Forward-Looking Regime-Switching Model
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
Working Paper 2006-19a (Revised September 2007)

 

Home Country versus Cross-Border Negative Externalities in Large Banking Organization Failures and How to Avoid Them
Robert A. Eisenbeis
Working Paper 2006-18 (October)
Published in International Financial Instability: Global Banking and National Regulation, 2007

 

Business Cycles and Monetary Regimes in Emerging Economies: A Role for a Monopolistic Banking Sector
Federico S. Mandelman
Working Paper 2006-17b (Revised November 2009)
Forthcoming, in the Journal of International Economics

 

Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)
Marco Del Negro and Frank Schorfheide
Working Paper 2006-16 (October)
Published in Journal of Monetary Economics, October 2008

 

Cross-Border Banking: Challenges for Deposit Insurance and Financial Stability in the European Union
Robert A. Eisenbeis and George G. Kaufman
Working Paper 2006-15a (Revised January 2007)

 

Crude Substitution: The Cyclical Dynamics of Oil Prices and the College Premium
Linnea Polgreen and Pedro Silos
Working Paper 2006-14a (Revised August 2008)
Published in Journal of Monetary Economics, April 2009

 

Smoking: Taxing Health and Social Security
Brian S. Armour and M. Melinda Pitts
Working Paper 2006-12 (September)
Published in FRB Atlanta Economic Review, Third Quarter 2007

 

An Economic Explanation of the Early Bank of Amsterdam, Debasement, Bills of Exchange, and the Emergence of the First Central Bank
Stephen Quinn and William Roberds
Working Paper 2006-13 (September)
Published in The Origins and Development of Financial Markets and Institutions: From the Seventeenth Century to the Present, 2009

 

The Long-Run Fisher Effect: Can It Be Tested?
Mark J. Jensen
Working Paper 2006-11 (August)
Published in Journal of Money, Credit and Banking, February 2009

 

Energy Price Shocks and the Macroeconomy: The Role of Consumer Durables
Rajeev Dhawan and Karsten Jeske
Working Paper 2006-9 (August)
Published in Journal of Money, Credit and Banking, October 2008

 

Specification Tests of Asset Pricing Models Using Excess Returns
Raymond Kan and Cesare Robotti
Working Paper 2006-10 (August)
Published in Journal of Empirical Finance, December 2008

 

Liquidity Creation without a Lender of Last Resort: Clearinghouse Loan Certificates in the Banking Panic of 1907
Ellis W. Tallman and Jon R. Moen
Working Paper 2006-23b (Revised October 2007)

 

Asymmetric Labor Force Participation Decisions over the Business Cycle: Evidence from U.S. Microdata
Julie L. Hotchkiss and John C. Robertson
Working Paper 2006-8 (July)

 

Welfare Recipiency, Job Separation Outcomes, and Postseparation Earnings: Insight from Linked Personnel and State Administrative Data
Jill Marie Gunderson and Julie L. Hotchkiss
Working Paper 2006-7 (May)
Forthcoming in Contemporary Economic Policy

 

The Origins of Bubbles in Laboratory Asset Markets
Lucy F. Ackert, Narat Charupat, Richard Deaves, and Brian D. Kluger
Working Paper 2006-6 (May)

 

Bank Relationships and Small Firms’ Financial Performance
Annalisa Castelli, Gerald P. Dwyer Jr., and Iftekhar Hasan
Working Paper 2006-5 (May)

 

Interwar U.K. Unemployment: The Benjamin and Kochin Hypothesis or the Legacy of “Just” Taxes?
James M. Nason and Shaun P. Vahey
Working Paper 2006-4 (May)

 

Transparency, Expectations, and Forecasts
Andrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao Zha
Working Paper 2006-3 (April)
Published in FRB Atlanta Economic Review, First Quarter 2006

 

An Analysis of the Systemic Risks Posed by Fannie Mae and Freddie Mac and an Evaluation of the Policy Options for Reducing Those Risks
Robert A. Eisenbeis, W. Scott Frame, and Larry D. Wall
Working Paper 2006-2 (April)
Published in Journal of Financial Services Research, June 2007

 

The Push-Pull Effects of the Information Technology Boom and Bust: Insight from Matched Employer-Employee Data
Julie L. Hotchkiss, M. Melinda Pitts, and John C. Robertson
Working Paper 2006-1 (February)
Published in Economic Development Quarterly, August 2008

2005

SBA Guaranteed Lending and Local Economic Growth
Ben R. Craig, William E. Jackson III, and James B. Thomson
Working Paper 2005-28 (December)
Published in Journal of Small Business Management, January 2007

 

Debt, Hedging, and Human Capital
Stephen D. Smith and Larry D. Wall
Working Paper 2005-30 (December)

 

The Price of Corporate Social Responsibility: The Case of Black Economic Empowerment Transactions in South Africa
William E. Jackson III, Todd M. Alessandri, and Sylvia Sloan Black
Working Paper 2005-29 (December)

 

Monetary Policy Analysis with Potentially Misspecified Models
Marco Del Negro and Frank Schorfheide
Working Paper 2005-26 (December)
Published in American Economic Review, September 2009

 

Markov-Switching Structural Vector Autoregressions: Theory and Application
Juan Francisco Rubio-Ramírez, Daniel Waggoner, and Tao Zha
Working Paper 2005-27 (December)

 

Housing Tenure and Wealth Distribution in Life-Cycle Economies
Pedro Silos
Working Paper 2005-25 (October)
Published in B.E. Journal of Macroeconomics, 2007

 

Monetary Policy and the House Price Boom across U.S. States
Marco Del Negro and Christopher Otrok
Working Paper 2005-24 (October)
Published in Journal of Monetary Economics, October 2007

 

Trade, Gravity, and Sudden Stops: On How Commercial Trade Can Increase the Stability of Capital Flows
Eduardo A. Cavallo
Working Paper 2005-23a (Revised December 2005)

 

Freshman Learning Communities, College Performance, and Retention
Julie L. Hotchkiss, Robert E. Moore, and M. Melinda Pitts
Working Paper 2005-22 (September)
Published in Education Economics, June 2006

 

Housing, Portfolio Choice, and the Macroeconomy
Pedro Silos
Working Paper 2005-21 (August)
Published in Journal of Economic Dynamics and Control, August 2007

 

Capital-Skill Complementarity and Inequality: A Sensitivity Analysis
Linnea Polgreen and Pedro Silos
Working Paper 2005-20 (August)
Published in Review of Economic Dynamics, April 2008

 

Credit and Identity Theft
Charles M. Kahn and William Roberds
Working Paper 2005-19 (August)
Published in Journal of Monetary Economics, March 2008

 

What’s Up with the Decline in Female Labor Force Participation?
Julie L. Hotchkiss
Working Paper 2005-18 (August)
Published in Federal Reserve Bank of Atlanta Economic Review 2006 Q1 as “Changes in Behavioral and Characteristic Determination of Female Labor Force Participation”

 

When the Shoe Is on the Other Foot: Experimental Evidence on Evaluation Disparities
Lucy F. Ackert, Bryan K. Church, and Gerald P. Dwyer
Working Paper 2005-17 (August)
Published in Public Finance Review, March 2007

 

The Big Problem of Large Bills: The Bank of Amsterdam and the Origins of Central Banking
Stephen Quinn and William Roberds
Working Paper 2005-16 (August)

 

Housing and the Macroeconomy: The Role of Implicit Guarantees for Government-Sponsored Enterprises
Karsten Jeske and Dirk Krueger
Working Paper 2005-15 (August)

 

Health Insurance and Tax Policy
Karsten Jeske and Sagiri Kitao
Working Paper 2005-14 (August)

 

Asset-Pricing Models and Economic Risk Premia: A Decomposition
Pierluigi Balduzzi and Cesare Robotti
Working Paper 2005-13 (July)

 

Market Imperfections
Ramon P. DeGennaro
Working Paper 2005-12 (July)
Published in Journal of Financial Transformation, 2005

 

Earnings on the Information Technology Rollercoaster: Insight from Matched Employer-Employee Data
Julie L. Hotchkiss, M. Melinda Pitts, and John C. Robertson
Working Paper 2005-11 (June)
Published in Southern Economic Journal, October 2006

 

Small Business Credit Scoring and Credit Availability
Allen N. Berger and W. Scott Frame
Working Paper 2005-10 (May)
Published inJournal of Small Business Management, January 2007

 

Fiscal Policy and Minimum Wage for Redistribution: An Equivalence Result
Arantza Gorostiaga and Juan Francisco Rubio-Ramírez
Working Paper 2005-8 (May)
Published in Economics Bulletin, 2008

 

A, B, C’s (and D’s) for Understanding VARs
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramírez, and Thomas Sargent
Working Paper 2005-9 (May)

 

The Model Confidence Set
Peter Reinhard Hansen, Asger Lunde, and James M. Nason
Working Paper 2005-7a (Revised June 2009)

 

Hedging, Financing, and Investment Decisions: A Simultaneous Equations Framework
Chen-Miao Lin and Stephen D. Smith
Working Paper 2005-5 (March)
Published in Financial Review, May 2007

 

Aggregate Unemployment in Krusell and Smith’s Economy: A Note
Marco Del Negro
Working Paper 2005-6 (March)

 

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models
Pierluigi Balduzzi and Cesare Robotti
Working Paper 2005-4 (February)
Published in Journal of Business and Economic Statistics, July 2008

 

Do Free Trade Agreements Actually Increase Members’ International Trade?
Scott L. Baier and Jeffrey H. Bergstrand
Working Paper 2005-3 (February)
Published in Journal of International Economics, March 2007

 

Identifying the New Keynesian Phillips Curve
James M. Nason and Gregor W. Smith
Working Paper 2005-1a (Revised November 2006)
Published in Journal of Applied Econometrics, August 2008

 

Testing the Significance of Calendar Effects
Peter Reinhard Hansen, Asger Lunde, and James M. Nason
Working Paper 2005-2 (January)

2004

Policy Predictions If the Model Doesn’t Fit
Marco Del Negro and Frank Schorfheide
Working Paper 2004-38 (December)
Published in Journal of the European Economic Association, May 2005

 

On the Fit and Forecasting Performance of New Keynesian Models
Marco Del Negro, Frank Schorfheide, Frank Smets, and Raf Wouters
Working Paper 2004-37 (December)

 

Investment Opportunity Set, Product Mix, and the Relationship between Bank CEO Compensation and Risk-Taking
Elijah Brewer III, William Curt Hunter, and William E. Jackson III
Working Paper 2004-36 (December)

 

The “Risk-Adjusted” Price-Concentration Relationship in Banking
Elijah Brewer III and William E. Jackson III
Working Paper 2004-35 (December)
Published in Journal of Banking and Finance, March 2006

 

Human Capital and Economic Development
Robert Tamura
Working Paper 2004-34 (December)
Published in Journal of Development Economics, February 2006 

 

Tax Policy Design in the Presence of Social Preferences: Some Experimental Evidence
Lucy F. Ackert, Jorge Martinez-Vazquez, and Mark Rider
Working Paper 2004-33 (December)
Also available as Andrew Young School of Policy Studies, Georgia State University, International Studies Program Working Paper 04-25

 

Debt Maturity, Risk, and Asymmetric Information
Allen N. Berger, Marco A. Espinosa-Vega, W. Scott Frame, and Nathan H. Miller
Working Paper 2004-32 (December)
Also available as Federal Reserve System Board of Governors Finance and Economics Discussion Series, No. 2004-60
Published in Journal of Finance, December 2005

 

On the Solution of the Growth Model with Investment-Specific Technological Change
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez
Working Paper 2004-39 (December)
Forthcoming in Applied Economic Letters

 

Income and Education of the States of the United States: 1840–2000
Scott Baier, Sean Mulholland, Chad Turner, and Robert Tamura
Working Paper 2004-31 (November)

 

Optimal Minimum Wage in a Competitive Economy
Arantza Gorostiaga and Juan Francisco Rubio-Ramírez
Working Paper 2004-30 (November)

 

The Role of Social Capital in the Remittance Decisions of Mexican Migrants from 1969 to 2000
Kasey Q. Maggard
Working Paper 2004-29 (November)

 

Trading Institutions and Price Discovery: The Cash and Futures Markets for Crude Oil
Albert Ballinger, Gerald P. Dwyer Jr., and Ann B. Gillette
Working Paper 2004-28 (November)

 

Convergence Properties of the Likelihood of Computed Dynamic Models
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramírez, and Manuel Santos
Working Paper 2004-27 (November)
Published in UCLA Department of Economics, Levine’s Bibliography
Published in Econometrica , January 2006

 

Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire?
W. Scott Frame and Lawrence J. White
Working Paper 2004-26 (October)
Published in Journal of Economic Perspectives, Spring 2005

 

Employment Growth and Labor Force Participation: How Many Jobs Are Enough?
Julie L. Hotchkiss
Working Paper 2004-25 (October)
Published in Federal Reserve Bank of Atlanta Economic Review, First Quarter 2005

 

Agency Problems and Goal Conflicts
Robert A. Eisenbeis
Working Paper 2004-24 (October)

 

Shocks and Government Beliefs: The Rise and Fall of American Inflation
Thomas Sargent, Noah Williams, and Tao Zha
Working Paper 2004-22 (September)
Published as National Bureau of Economic Research Working Paper No. 10764

 

Resolving Large Financial Intermediaries: Banks Versus Housing Enterprises
Robert A. Eisenbeis, W. Scott Frame, and Larry D. Wall
Working Paper 2004-23a (Revised October)
Published in Journal of Financial Stability, April 2005

 

Understanding 401(k) Plans
Ramon P. DeGennaro and Deborah L. Murphy
Working Paper 2004-21 (September)
Published in Pensions: An International Journal, June 2004

 

Analyzing Imputed Financial Data: A New Approach to Cluster Analysis
Halima Bensmail and Ramon P. DeGennaro
Working Paper 2004-20 (September)
Published in Statistical Data Mining and Knowledge Discovery

 

Wage Gains among Job Changers across the Business Cycle:Insight from State Administrative Data
Julie L. Hotchkiss, M. Melinda Pitts, and John C. Robertson
Working Paper 2004-19 (August)

 

Money Is Privacy
Charles M. Kahn, James McAndrews, and William Roberds
Working Paper 2004-18 (August)
Published in International Economic Review, May 2005

 

Factor Returns, Institutions, and Geography: A View From Trade
Scott L. Baier, Gerald P. Dwyer Jr., and Robert Tamura
Working Paper 2004-17 (July)

 

The Impact of 9/11 on Hours of Work in the United States
Julie L. Hotchkiss and Olga Pavlova
Working Paper 2004-16a (Revised September)
Forthcoming in Applied Economics Letters

 

MCMC Method for Markov Mixture Simultaneous-Equation Models: A Note
Christopher A. Sims and Tao Zha
Working Paper 2004-15 (June)

 

Were There Regime Switches in U.S. Monetary Policy?
Christopher A. Sims and Tao Zha
Working Paper 2004-14 (June)

 

Normalization in Econometrics
James D. Hamilton, Daniel F. Waggoner, and Tao Zha
Working Paper 2004-13 (June)
Under submission at Journal of Business and Economic Statistics

 

Job Separation Behavior of Welfare Recipients: Results from a Unique Case Study
Jill Marie Gunderson and Julie L. Hotchkiss
Working Paper 2004-12 (May)
Published in Social Service Review, June 2007

 

Can Capital-Skill Complementarity Explain the Rising Skill Premium in Developing Countries?Evidence from Peru
Joy Mazumdar and Myriam Quispe-Agnoli
Working Paper 2004-11 (May)

 

What Are the Consequences of an Amnesty for Undocumented Immigrants?
Pia M. Orrenius and Madeline Zavodny
Working Paper 2004-10 (May)
Published in Georgetown Public Policy Review, Spring 2004

 

Along the New Keynesian Phillips Curve with Nominal and Real Rigidities
James M. Nason and George A. Slotsve
Working Paper 2004-9 (April)

 

Winter Blues and Time Variation in the Price of Risk
Ian Garrett, Mark Kamstra, and Lisa Kramer
Working Paper 2004-8 (April)
Published in Journal of Empirical Finance, March 2005

 

Examining Contributions to Core Consumer Inflation Measures
Andrew Bauer, Nicholas Haltom, and William Peterman
Working Paper 2004-7 (April)

 

Volatility Forecasts, Trading Volume, and the ARCH versus Option-ImpliedVolatility Trade-off
Glen Donaldson and Mark Kamstra
Working Paper 2004-6 (March)
Published in Journal of Financial Research, Winter 2005

 

Common Trends and Common Cycles in Canada: Who Knew So Much Has Been Going On?
Elizabeth C. Wakerly, Byron G. Scott, and James M. Nason
Working Paper 2004-5a (Revised March 2005)
Forthcoming in Canadian Journal of Economics

 

Emerging Competition and Risk-Taking Incentives at Fannie Mae and Freddie Mac
W. Scott Frame and Lawrence J. White
Working Paper 2004-4 (February)
Forthcoming in Journal of Money, Credit and Banking as “Charter Value, Risk-Taking Incentives, and Emerging Competition for Fannie Mae and Freddie Mac”

 

Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez
Working Paper 2004-3 (February)
Published in Journal of Applied Econometrics , December 2005

 

Gender Differences in Information Technology Usage: A U.S.-Japan Comparison
Hiroshi Ono and Madeline Zavodny
Working Paper 2004-2 (January)
Forthcoming in Sociological Perspectives

 

Estimating Nonlinear Dynamic Equilibrium Economies: A Likelihood Approach
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez
Working Paper 2004-1 (January)
Published in UCLA Department of Economics, Levine’s Bibliography

2003

The Call Loan Market in the U.S. Financial System Prior to the Federal Reserve System
Jon R. Moen and Ellis W. Tallman
Working Paper 2003-43 (December)

 

New York and the Politics of Central Banks, 1781 to the Federal Reserve Act
Jon R. Moen and Ellis W. Tallman
Working Paper 2003-42 (December)

 

The Influence of Year-End Bonuses on Colorectal Cancer Screening
Brian S. Armour, Carol Friedman, M. Melinda Pitts, Jennifer Wike, Linda Alley, and Jeff Etchason
Working Paper 2003-41 (December)
Published in American Journal of Managed Care, September 2004

 

Stabilization Programs and Policy Credibility: Peru in the 1990s
Myriam Quispe-Agnoli
Working Paper 2003-40 (December)

 

Reserve Requirements, Bank Runs, and Optimal Policies in Small Open Economies
Eduardo J.J. Ganapolsky
Working Paper 2003-39 (December)

 

The Ups and Downs of Jobs in Georgia: What Can We Learn about Employment Dynamics from State Administrative Data?
Julie L. Hotchkiss, M. Melinda Pitts, and John C. Robertson
Working Paper 2003-38 (December)

 

The Economics of International Monies
Gerald P. Dwyer Jr. and James R. Lothian
Working Paper 2003-37 (December)
Published in Monetary Integration, Markets, and Regulation, 2004

 

Does Opening a Stock Exchange Increase Economic Growth?
Scott Baier, Gerald P. Dwyer Jr., and Robert Tamura
Working Paper 2003-36 (December)
Published in Journal of International Money and Finance, April 2004

 

Home Bias in Financial Markets: Robust Satisficing with Info Gaps
Yakov Ben-Haim and Karsten Jeske
Working Paper 2003-35 (December)

 

Some Results on the Solution of the Neoclassical Growth Model
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramírez
Working Paper 2003-34 (December)
Forthcoming in Journal of Economic, Dynamics and Control

 

Female Labor Force Intermittency and Current Earnings: A Switching Regression Model with Unknown Sample Selection
Julie L. Hotchkiss and M. Melinda Pitts
Working Paper 2003-33 (December)
Published in Applied Economics, March 2005

 

Using the Kalman Filter to Smooth the Shocks of a Dynamic Stochastic General Equilibrium Model
Andy Bauer, Nicolas Haltom, and Juan Francisco Rubio-Ramírez
Working Paper 2003-32 (December)
Published in Federal Reserve Bank of Atlanta Economic Review, 2005

 

Optimal Fear of Floating: The Role of Currency Mismatches and Fiscal Constraints
Eduardo J.J. Ganapolsky
Working Paper 2003-31 (October)

 

Comparing New Keynesian Models in the Euro Area: A Bayesian Approach
Pau Rabanal and Juan Francisco Rubio-Ramírez
Working Paper 2003-30a (Revised February 2005)

 

Bulk Commodities and the Liverpool and London Markets of the Mid-19th Century
James M. Nason and Donald G. Paterson
Working Paper 2003-29a (Revised March 2004)

 

Choosing the Best Volatility Models: The Model Confidence Set Approach
Peter Reinhard Hansen, Asger Lunde, and James M. Nason
Working Paper 2003-28 (October)
Published in Oxford Bulletin of Economics and Statistics, Supplement 2003
Also available as Brown University Department of Economics Working Paper No. 2003-05

 

Comparing Solution Methods for Dynamic Equilibrium Economies
S. Boragan Aruoba, Jesús Fernández-Villaverde, and Juan Francisco Rubio-Ramírez
Working Paper 2003-27 (October)
Published in UCLA Department of Economics, Levine’s Bibliography
Published in Journal of Economic Dynamics and Control, December 2005

 

Discussion of Cogley and Sargent’s “Drifts and Volatilities: Monetary Policy and Outcomes in the Post WWII U.S.”
Marco Del Negro
Working Paper 2003-26 (October)

 

Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
Timothy Cogley and Thomas J. Sargent
Working Paper 2003-25 (October)
Published in Review of Economic Dynamics, April 2005

 

Modest Policy Interventions
Eric M. Leeper and Tao Zha
Working Paper 2003-24 (October)
Published in Journal of Monetary Economics, November 2003

 

Learning and Monetary Policy Shifts
Frank Schorfheide
Working Paper 2003-23 (October)
Published in Review of Economic Dynamics, April 2005

 

Irrational Expectations and Econometric Practice Discussion of Orphanides and Williams, “Inflation Scares and Forecast-Based Monetary Policy”
Peter N. Ireland
Working Paper 2003-22 (October)

 

Inflation Scares and Forecast-Based Monetary Policy
Athanasios Orphanides and John C. Williams
Working Paper 2003-21 (October)
Also available as Federal Reserve System Board of Governors Finance and Economics Discussion Series No. 2003-41
Also available as Federal Reserve Bank of San Francisco Working Papers in Applied Economic Theory No. 2003-11
Published in Review of Economic Dynamics, April 2005

 

Did the Great Inflation Occur Despite Policymaker Commitment to a Taylor Rule?
James Bullard and Stefano Eusepi
Working Paper 2003-20 (October)
Also available as Federal Reserve Bank of St. Louis Working Paper No. 2003-013
Published in Review of Economic Dynamics, April 2005

 

Discussion of Preston, ?Learning about Monetary Policy Rules when Long-Horizon Expectations Matter?
Seppo Honkapohja
Working Paper 2003-19 (October)

 

Learning about Monetary Policy Rules when Long-Horizon Expectations Matter
Bruce Preston
Working Paper 2003-18 (October)

 

Discussion of Evans and Honkapohja, “Policy Interaction, Expectations, and the Liquidity Trap”
In-Koo Cho
Working Paper 2003-17 (October)

 

Policy Interaction, Expectations, and the Liquidity Trap
George W. Evans and Seppo Honkapohja
Working Paper 2003-16 (October)
Also available as C.E.P.R. Discussion Paper No. 3925
Published in Review of Economic Dynamics, April 2005

 

Money and Prices in Models of Bounded Rationality
Albert Marcet and Juan Pablo Nicolini
Working Paper 2003-15 (October)
Published in Review of Economic Dynamics, April 2005

 

Impacts of Priors on Convergence and Escapes from Nash Inflation
Thomas J. Sargent and Noah Williams
Working Paper 2003-14 (October)
Published in Review of Economic Dynamics, April 2005

 

An Experimental Examination of the House Money Effect in a Multi-Period Setting
Lucy F. Ackert, Narat Charupat, Bryan K. Church, and Richard Deaves
Working Paper 2003-13 (September)

 

What’s in a Name? An Experimental Examination of Investment Behavior
Lucy F. Ackert, Bryan K. Church, James Tompkins, and Ping Zhang
Working Paper 2003-12 (September)
Published in Review of Finance, 2005

 

Which Industries Are the Best Employers for Women? An Application of a New Equal Employment Opportunity Index
Mary E. Graham and Julie Hotchkiss
Working Paper 2003-11 (July)

 

Race, Wages, and Assimilation among Cuban Immigrants
Madeline Zavodny
Working Paper 2003-10 (July)
Published in Population Research and Policy Review, June 2003

 

Are Treasury Inflation Protected Securities Really Tax Disadvantaged?
Scott E. Hein and Jeffrey M. Mercer
Working Paper 2003-9a (Revised December 2003)

 

Firm-Level Evidence on International Stock Market Comovement
Robin Brooks and Marco Del Negro
Working Paper 2003-8 (March)
Also available as International Monetary Fund Working Paper No. 03/55
Published in Review of Finance, March 2006

 

The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects
James M. Nason and John H. Rogers
Working Paper 2003-7a (Revised October)
Also available as Federal Reserve System Board of Governors International Finance Discussion Paper No. 760
Published in Journal of International Economics, January 2006

 

Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio
Cesare Robotti
Working Paper 2003-6 (February)

 

Playing the Field: Geomagnetic Storms and the Stock Market
Anna Krivelyova and Cesare Robotti
Working Paper 2003-5b (Revised October)

 

Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium
Glen Donaldson, Mark Kamstra, and Lisa Kramer
Working Paper 2003-4 (January)

 

Does the Beige Book Move Financial Markets?
Madeline Zavodny and Donna K. Ginther
Working Paper 2003-3 (January)
Published in Southern Economic Journal, July 2005

 

Does Immigration Affect Wages? A Look at Occupation-Level Evidence
Pia M. Orrenius and Madeline Zavodny
Working Paper 2003-2a (Revised August)
Also available as Federal Reserve Bank of Dallas Working Paper No. 03-02

 

Asset Allocation and Section 529 Plans
Ramon P. DeGennaro
Working Paper 2003-1 (January)
Published in International Journal of Business, Spring 2004

2002

Payments Settlement under Limited Enforcement: Private versus Public Systems
Charles M. Kahn and William Roberds
Working Paper 2002-33 (December)

 

Redistribution and Fiscal Policy
Juan F. Rubio-Ramírez
Working Paper 2002-32a (Revised February 2003)

 

The Major Supervisory Initiatives Post-FDICIA: Are They Based on the Goals of PCA? Should They Be?
Robert A. Eisenbeis and Larry D. Wall
Working Paper 2002-31 (December)
Published in Research in Financial Services: Private and Public Policy, 2002

 

Why Choose Women’s Work If It Pays Less? A Structural Model of Occupational Choice
M. Melinda Pitts
Working Paper 2002-30 (December)
Published in Research in Labor Economics, 2003

 

Incorporating Insurance Rate Estimates and Differential Mortality into Net Marginal Social Security Tax Rate Calculations
Brian S. Armour and M. Melinda Pitts
Working Paper 2002-29 (December)
Published in Public Finance Review, November 2004

 

Forecasting Brazilian Output in the Presence of Breaks: A Comparison of Linear and Nonlinear Models
Marcelle Chauvet, Elcyon C. R. Lima, and Brisne Vasquez
Working Paper 2002-28 (December)

 

Identifying Business Cycle Turning Points in Real Time
Marcelle Chauvet and Jeremy Piger
Working Paper 2002-27 (December)
Published in Federal Reserve Bank of St. Louis Review, March–April 2003

 

Asset Prices and Informed Traders’ Abilities: Evidence from Experimental Asset Markets
Lucy F. Ackert, Bryan K. Church, and Ping Zhang
Working Paper 2002-26 (December)
Published in Accounting, Organizations and Society, October 2004

 

Circuit Breakers with Uncertainty about the Presence of Informed Agents: I Know What You Know . . . I Think
Lucy F. Ackert, Bryan K. Church, and Narayanan Jayaraman
Working Paper 2002-25 (December)
Published in Financial Markets, Institutions and Instruments, August 2005

 

Bubbles in Experimental Asset Markets: Irrational Exuberance No More
Lucy F. Ackert, Narat Charupat, Bryan K. Church, and Richard Deaves
Working Paper 2002-24 (December)

 

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Robin Brooks and Marco Del Negro
Working Paper 2002-23b (Revised May 2004)
Also available as International Monetary Fund Working Paper 05/52

 

Forecasting Using Relative Entropy
John C. Robertson, Ellis W. Tallman, and Charles H. Whiteman
Working Paper 2002-22 (November)
Published in Journal of Money, Credit, and Banking, June 2005

 

A Dynamic Model with Vertical Specialization, Credit Chains, and Incomplete Enforcement
Karsten Jeske
Working Paper 2002-21 (November)

 

Country versus Region Effects in International Stock Returns
Robin Brooks and Marco Del Negro
Working Paper 2002-20b (Revised August 2004)
Published in Journal of Portfolio Management, Summer 2005

 

Modest Policy Interventions
Eric M. Leeper and Tao Zha
Working Paper 2002-19 (November)
Published in Journal of Monetary Economics, November 2003
Also available as National Bureau of Economic Research Working Paper No. 9192

 

Subordinated Debt and Prompt Corrective Regulatory Action
Douglas D. Evanoff and Larry D. Wall
Working Paper 2002-18 (August)
Published in Research in Financial Services: Private and Public Policy

 

The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble?
Robin Brooks and Marco Del Negro
Working Paper 2002-17a (Revised September)
Published in Journal of Empirical Finance, December 2004

 

Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity
Bill Francis, Iftekhar Hasan, and Delroy Hunter
Working Paper 2002-16 (August)
Published in Journal of International Money and Finance, November 2002

 

Are Stocks in New Industries Like Lottery Tickets?
Gerald Dwyer and Cora Barnhart
Working Paper 2002-15 (August)

 

Priors from General Equilibrium Models for VARs
Marco Del Negro and Frank Schorfheide
Working Paper 2002-14a (Revised July 2003)
Published in International Economic Review, May 2004

 

Winter Blues: A SAD Stock Market Cycle
Mark Kamstra, Lisa Kramer, and Maurice Levi
Working Paper 2002-13a (Revised October 2003)
Published in American Economic Review, March 2003

 

Empirical Studies of Financial Innovation: Lots of Talk, Little Action?
W. Scott Frame and Lawrence J. White
Working Paper 2002-12 (July)
Published in Journal of Economic Literature, March 2004

 

Trade and the Skill Premium in Developing Countries: The Role of Intermediate Goods and Some Evidence from Peru
Joy Mazumdar and Myriam Quispe-Agnoli
Working Paper 2002-11 (July)

 

The Impact of Welfare Reform on Marriage and Divorce
Marianne P. Bitler, Jonah B. Gelbach, Hilary W. Hoynes, and Madeline Zavodny
Working Paper 2002-9 (June)
Published in Demography, May 2004

 

Gender and the Internet
Hiroshi Ono and Madeline Zavodny
Working Paper 2002-10 (June)
Published in Social Science Quarterly, March 2003

 

Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach
Robert Eisenbeis, Daniel Waggoner, and Tao Zha
Working Paper 2002-8a (Revised July)
Published in Business Economics, July 2002
See also:   Business Economics, January 2004 as “Evaluating Wall Street Journal Survey Forecasters:   Update”

 

International Money and Common Currencies in Historical Perspective
Gerald P. Dwyer Jr. and James R. Lothian
Working Paper 2002-7 (June)
Published in Monetary Unions and Hard Pegs: Effects on Trade, Financial Development and Stability, Oxford University Press

 

Credit Scoring and the Availability, Price, and Risk of Small Business Credit
Allen N. Berger, W. Scott Frame, and Nathan H. Miller
Working Paper 2002-6 (April)
Also available as Federal Reserve System Board of Governors Finance and Economics Discussion Series, No. 2002-26
Published in Journal of Money, Credit, and Banking, April 2005

 

Human Capital and Economic Development
Robert Tamura
Working Paper 2002-5 (April)
Published in Journal of Development Economics, February 2006

 

Nominal and Real Disturbances and Money Demand in the Chinese Hyperinflation
Ellis W. Tallman, De-piao Tang, and Ping Wang
Working Paper 2002-4 (April)
Published in Economic Inquiry, April 2003

 

Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation
Chris Stivers, Licheng Sun, and Robert Connolly
Working Paper 2002-3a (Revised September)
Published in Journal of Financial and Quantitative Analysis, March 2005

 

How Important Are Capital and Total Factor Productivity for Economic Growth?
Scott L. Baier, Gerald P. Dwyer Jr., and Robert Tamura
Working Paper 2002-2a (Revised April) 

 

Race, Internet Usage, and E-Commerce
Hiroshi Ono and Madeline Zavodny
Working Paper 2002-1 (January)
Published in Review of Black Political Economy, Winter 2003

2001

Socially Excessive Bankruptcy Costs and the Benefits of Interest Rate Ceilings on Loans
Marco A. Espinosa-Vega and Bruce D. Smith
Working Paper 2001-27 (November) 

 

The Price of Inflation and Foreign Exchange Risk in International Equity Markets
Cesare Robotti
Working Paper 2001-26 (November) 

 

Measures of the Riskiness of Banking Organizations: Subordinated Debt Yields, Risk-Based Capital, and Examination Ratings
Douglas D. Evanoff and Larry D. Wall
Working Paper 2001-25 (November)
Published in Journal of Financial Services Research, October 2001

 

Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models
Pierluigi Balduzzi and Cesare Robotti
Working Paper 2001-24 (November)

 

Comparing Dynamic Equilibrium Economies to Data: A Bayesian Approach
Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez
Working Paper 2001-23a (Revised February 2003)
Published in Journal of Econometrics, November 2004

 

Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach
Pau Rabanal and Juan F. Rubio-Ramírez
Working Paper 2001-22b (Revised February 2005)
Published in Journal of Monetary Economics, September 2005

 

Rational Exuberance: The Fundamentals of Pricing Firms, from Blue Chip to ?Dot Com?
Mark Kamstra
Working Paper 2001-21 (November) 

 

Stability of Steady States in a Model of Pleasant Monetarist Arithmetic
Marco Espinosa-Vega and Steven Russell
Working Paper 2001-20 (November)

 

Do Amnesty Programs Encourage Illegal Immigration? Evidence from the Immigration Reform and Control Act (IRCA)
Pia M. Orrenius and Madeline Zavodny
Working Paper 2001-19 (November)
Published in Demography, August 2003

 

Transferability, Finality, and Debt Settlement
Charles M. Kahn and William Roberds
Working Paper 2001-18b (Revised October 2004)

 

Permanent Income and Transitory Variation in Investment and Output
Lance A. Fisher, Hyeon-seung Huh, and Ellis W. Tallman
Working Paper 2001-17 (October)
Published in Journal of Macroeconomics, June 2003

 

Private International Debt with Risk of Repudiation
Karsten Jeske
Working Paper 2001-16a (Revised July 2005)

 

Star Power: The Effect of Morningstar Ratings on Mutual Fund Flows
Diane Del Guercio and Paula A. Tkac
Working Paper 2001-15 (August)

 

Family Structure and Sex Differences in Postdisplacement Outcomes
Daniel Rodriguez and Madeline Zavodny
Working Paper 2001-14 (July)

 

Bank Failures in Banking Panics: Risky Banks or Road Kill?
Gerald P. Dwyer Jr. and R.W. Hafer
Working Paper 2001-13 (July)
Published in Research in Banking and Finance, 2004

 

Employment of Women and Demand-Side Forces
Donna K. Ginther and Chinhui Juhn
Working Paper 2001-12 (May)
Published in Research in Labor Economics, Vol. 20, 2001

 

Sub-Debt Yield Spreads as Bank Risk Measures
Douglas D. Evanoff and Larry D. Wall
Working Paper 2001-11 (May)
Published in Journal of Banking and Finance, May 2002

 

The Effect of the Common Bond and Membership Expansion on Credit Union Risk
W. Scott Frame, Gordon V. Karels, and Christine McClatchey
Working Paper 2001-10 (April)
Published in Financial Review, November 2002

 

The Diffusion of Financial Innovations: An Examination of the Adoption of Small Business Credit Scoring by Large Banking Organizations
Jalal Akhavein, W. Scott Frame, and Lawrence J. White
Working Paper 2001-9 (April)
Also available as New York University, Leonard N. Stern School of Business, Department of Economics, Working Paper No. EC-01-08.
Published in Journal of Business, March 2005

 

A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk
Ken B. Cyree and Ramon P. DeGennaro
Working Paper 2001-8 (April)
Published in Review of Quantitative Finance and Accounting, December 2002

 

Gender Differences in Salary and Promotion for Faculty in the Humanities, 1977?95
Donna K. Ginther and Kathy J. Hayes
Working Paper 2001-7 (April)
Published in Journal of Human Resources, Winter 2003

 

The Effect of Credit Scoring on Small Business Lending in Low- and Moderate-Income Areas
W. Scott Frame, Michael Padhi, and Lynn Woosley
Working Paper 2001-6 (April)
Published in Financial Review, February 2004

 

Immediate Disclosure or Secrecy? The Release of Information in Experimental Asset Markets
Lucy F. Ackert, Bryan K. Church, and Ann B. Gillette
Working Paper 2001-5 (April)
Published in Financial Market, Institutions and Instruments, December 2004

 

Is There Discrimination in Mortgage Pricing? The Case of Overages
Harold A. Black, Thomas P. Boehm, and Ramon P. DeGennaro
Working Paper 2001-4a (Revised November)
Published in Journal of Banking and Finance, June 2003

 

Forces That Shape the Yield Curve: Parts 1 and 2
Mark Fisher
Working Paper 2001-3 (March)
Published in Federal Reserve Bank of Atlanta Economic Review, First Quarter 2001

 

Does Science Discriminate against Women? Evidence from Academia, 1973–97
Donna K. Ginther
Working Paper 2001-2 (February)

 

Self-Selection among Undocumented Immigrants from Mexico
Pia M. Orrenius and Madeline Zavodny
Working Paper 2001-1 (February)
Also available as Federal Reserve Bank of Dallas Working Paper No. 00-05
Published in Journal of Development Economics, October 2005

2000

Inflation, Trade Frictions, and Productive Activity in a Multiple-Matching Model of Money
Derek Laing, Victor E. Li, and Ping Wang
Working Paper 2000-28 (November)
Also available as Federal Reserve Bank of St. Louis Working Paper No. 98-018A

 

Asymmetric Shocks among U.S. States
Marco Del Negro
Working Paper 2000-27 (November)
Published in Journal of International Economics, March 2002

 

Has Monetary Policy Been So Bad That It Is Better to Get Rid of It? The Case of Mexico
Marco Del Negro and Francesc Obiols-Homs
Working Paper 2000-26 (November)
Published in Journal of Money, Credit, and Banking, May 2001

 

Managing the Risk of Loans with Basis Risk: Sell, Hedge, or Do Nothing?
Larry D. Wall and Milind M. Shrikhande
Working Paper 2000-25 (November)

 

Subordinated Debt and Bank Capital Reform
Douglas D. Evanoff and Larry D. Wall
Working Paper 2000-24 (November)
Published in Research and Financial Services: Private and Public Policy, Vol. 12, 2000

 

The Use of Accruals to Manage Reported Earnings: Theory and Evidence
Timothy W. Koch and Larry D. Wall
Working Paper 2000-23 (November)

 

A Theory of Transactions Privacy
Charles M. Kahn, James McAndrews, and William Roberds
Working Paper 2000-22 (November)

 

The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds versus Pension Funds
Diane Del Guercio and Paula A. Tkac
Working Paper 2000-21 (November)
Published in Journal of Financial and Quantitative Analysis, December 2002

 

Derivatives on Volatility: Some Simple Solutions Based on Observables
Steven L. Heston and Saikat Nandi
Working Paper 2000-20 (November)

 

Assessing Simple Policy Rules: A View from a Complete Macro Model
Eric M. Leeper and Tao Zha
Working Paper 2000-19 (October)
Published in Federal Reserve Bank of St. Louis Review, July–August 2001
Published in Federal Reserve Bank of Atlanta Economic Review, Fourth Quarter 2001

 

Bank Capital Structure, Regulatory Capital, and Securities Innovations
George Benston, Paul Irvine, Jim Rosenfeld, and Joseph F. Sinkey Jr.
Working Paper 2000-18 (October)

 

Government Financing in an Endogenous Growth Model with Financial Market Restrictions
Marco A. Espinosa-Vega and Chong K. Yip
Working Paper 2000-17 (October)
Published in Economic Theory, September 2002

 

Barriers to International Capital Flows: When, Why, How Big, and for Whom?
Marco A. Espinosa-Vega, Bruce D. Smith, and Chong K. Yip
Working Paper 2000-16 (October)

 

The CLS Bank: A Solution to the Risks of International Payments Settlement?
Charles M. Kahn and William Roberds
Working Paper 2000-15a (Revised November)
Published in Carnegie-Rochester Series on Public Policy, June 2001

 

Financial Matchmakers in Credit Markets with Heterogeneous Borrowers
Zsolt Becsi, Victor Li, and Ping Wang
Working Paper 2000-14 (September)
Published in Journal of Economic Dynamics and Control, August 2005

 

Does Family Structure Affect Children's Educational Outcomes?
Donna K. Ginther and Robert A. Pollak
Working Paper 2000-13a (Revised December)
Published as National Bureau of Economic Research Working Paper No. 9628
Published in Demography, No. 4, 2004

 

Determinants of Immigrant Selectivity and Skills
Madeline Zavodny
Working Paper 2000-12a (Revised May 2001)
Published in Research in Labor Economics, 2003

 

Closing the Question on the Continuation of Turn-of-the-Month Effects: Evidence from the S&P 500 Index Futures Contract
Edwin D. Maberly and Daniel F. Waggoner
Working Paper 2000-11 (August)

 

Corporate Board Composition, Protocols, and Voting Behavior: Experimental Evidence
Ann B. Gillette, Thomas H. Noe, and Michael J. Rebello
Working Paper 2000-10 (August)
Published in Journal of Finance, October 2003

 

If at First You Don't Succeed: An Experimental Investigation of the Impact of Repitition Options on Corporate Takeovers
Ann B. Gillette and Thomas H. Noe
Working Paper 2000-9 (August)
Forthcoming in Journal of Financial Studies

 

Likelihood-Preserving Normalization in Multiple Equation Models
Daniel F. Waggoner and Tao Zha
Working Paper 2000-8 (June)
Published in Journal of Econometrics, June 2003

 

Technology and Job Retention among Young Adults, 1980?98
Madeline Zavodny
Working Paper 2000-7 (June)
Published in Economic Inquiry, April 2003

 

An Analysis of Japanese Stock Return Dynamics Conditional on U.S. Monday Holiday Closures
Takato Hiraki and Edwin D. Maberly
Working Paper 2000-6 (June)
Published in International Financial Review, Vol. 4, 2003

 

A Simultaneous Equations Analysis of Analysts' Forecast Bias and Institutional Ownership
Lucy F. Ackert and George Athanassakos
Working Paper 2000-5 (March)
Published in Journal of Business Finance and Accounting, September–October 2003

 

The Effect of Medicaid Eligibility Expansions on Births
Marianne Bitler and Madeline Zavodny
Working Paper 2000-4 (March)

 

A Gibbs Simulator for Restricted VAR Models
Daniel F. Waggoner and Tao Zha
Working Paper 2000-3 (March)
Published in Journal of Economic Dynamics and Control, November 2003

 

Decentralized Production and Public Liquidity with Private Information
David C. Nachman and Stephen D. Smith
Working Paper 2000-2 (February)

 

Explaining Changes in the Age Distribution of Displaced Workers
Daniel Rodriguez and Madeline Zavodny
Working Paper 2000-1 (February)
Published in Industrial and Labor Relations Review, April 2003

1999

The Informativeness of Stochastic Frontier and Programming Frontier Efficiency Scores: Cost Efficiency and Other Measures of Bank Holding Company Performance
Robert A. Eisenbeis, Gary D. Ferrier, and Simon H. Kwan
Working Paper 99-23 (December)

 

Modest Policy Interventions
Eric M. Leeper and Tao Zha
Working Paper 99-22 (December)
Published in Journal of Monetary Economics 50, 2003
Also available as NBER Working Paper No. 9192

 

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
Lutz Kilian and Tao Zha
Working Paper 99-21 (December)
Also available as CEPR Discussion Paper No. 2334
Published in Journal of Applied Econometrics, March–April 2002

 

A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility
Steven L. Heston and Saikat Nandi
Working Paper 99-20 (November)

 

A Public Finance Analysis of Multiple Reserve Requirements
Marco Espinosa-Vega and Steven Russell
Working Paper 99-19 (November)

 

Consumption and Asset Prices with Recursive Preferences: Continuous-Time Approximations to Discrete-Time Models
Mark Fisher
Working Paper 99-18 (November)

 

Consumption and Asset Prices with Homothetic Recursive Preferences
Mark Fisher and Christian Gilles
Working Paper 99-17 (November)

 

Why Didn't the United States Establish a Central Bank until after the Panic of 1907?
Jon R. Moen and Ellis W. Tallman
Working Paper 99-16 (November)

 

Liquidity Crises in Emerging Markets: Theory and Policy
Roberto Chang and Andres Velasco
Working Paper 99-15 (October)
Published in NBER macroeconomics annual 14, 1999

 

Portable Random Number Generators
Gerald P. Dwyer Jr. and K.B. Williams
Working Paper 99-14 (October)
Published in Journal of Economic Dynamics and Control 27, 2003

 

Prior Parameter Uncertainty: Some Implications for Forecasting and Policy Analysis with VAR Models
John C. Robertson and Ellis W. Tallman
Working Paper 99-13 (October)

 

Financial Regulatory Structure and the Resolution of Conflicting Goals
Larry D. Wall and Robert A. Eisenbeis
Working Paper 99-12 (August)
Published in Journal of Financial Services Research, September–December 1999
Published in Financial Modernization and Regulation, 2000

 

Payment Intermediation and the Origins of Banking
James McAndrews and William Roberds
Working Paper 99-11 (August)

 

Settlement Risk under Gross and Net Settlement
Charles M. Kahn, James McAndrews, and William Roberds
Working Paper 99-10a (Revised November)
Published in Journal of Money, Credit, and Banking, No. 4, 2003

 

Does It Take Two? The Effect of Partners' Characteristics on Teenage Pregnancy
Madeline Zavodny
Working Paper 99-9a (Revised September)

 

Expected Stock Returns and Volatility in a Production Economy: A Theory and Some Evidence
Padamja Singal and Stephen D. Smith
Working Paper 99-8 (July)

 

Concentrated Shareholdings and the Number of Outside Analysts
Sanjiv Sabherwal and Stephen D. Smith
Working Paper 99-7 (July)

 

Barriers to International Capital Flows: Who Should Erect Them and How Big Should They Be?
Marco A. Espinosa-Vega, Bruce D. Smith, and Chong K. Yip
Working Paper 99-6 (July)

 

Efficiency in Index Options Markets and Trading in Stock Baskets
Lucy F. Ackert and Yisong S. Tian
Working Paper 99-5 (June)
Published in Journal of Banking and Finance, No. 9, 2001

 

The Effect of Forecast Bias on Market Behavior: Evidence from Experimental Asset Markets
Lucy F. Ackert, Bryan K. Church, and Ping Zhang
Working Paper 99-4 (June)

 

Improving Forecasts of the Federal Funds Rate in a Policy Model
John C. Robertson and Ellis W. Tallman
Working Paper 99-3 (March)
Published in Journal of Business and Economic Statistics, No. 3, 2001

 

Heterogeneity and the Welfare Cost of Dynamic Factor Taxes
Zsolt Becsi
Working Paper 99-2 (March)

 

An Experimental Study of Circuit Breakers: The Effects of Mandated Market Closures and Temporary Halts on Market Behavior
Lucy F. Ackert, Bryan K. Church, and Narayanan Jayaraman
Working Paper 99-1 (March)
Published in Journal of Financial Markets, No. 2, 2001

1998

Conditional Forecasts in Dynamic Multivariate Models
Daniel F. Waggoner and Tao Zha
Working Paper 98-22 (December)
Published in Review of Economics and Statistics, September 1999

 

Real-Time Gross Settlement and the Costs of Immediacy
Charles M. Kahn and William Roberds
Working Paper 98-21a (Revised November 1999)
Published in Journal of Monetary Economics, April 2001

 

Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach
Steven L. Heston and Saikat Nandi
Working Paper 98-20 (December)

 

Fiscal Competition and Reality: A Time Series Approach
Zsolt Becsi
Working Paper 98-19 (September)

 

The Effects of Subject Pool and Design Experience on Rationality in Experimental Asset Markets
Lucy F. Ackert and Bryan K. Church
Working Paper 98-18 (September)
Published in Journal of Psychology and Financial Markets 2, 2001

 

Uncertain Litigation Cost and Seller Behavior: Evidence from an Auditing Game
Ping Zhang, Bryan K. Church, and Lucy F. Ackert
Working Paper 98-17 (September)

 

Costly Intermediation and the Big Push
Zsolt Becsi, Ping Wang, and Mark A. Wynne
Working Paper 98-16 (August)
Published in Journal of Development Economics, August 1999

 

Endogenous Market Structures and Financial Development
Zsolt Becsi, Ping Wang, and Mark A. Wynne
Working Paper 98-15 (August)

 

Time-Varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets: A Multivariate Analysis
Marie D. Racine and Lucy F. Ackert
Working Paper 98-14 (August)
Published in Journal of Financial Research 23, 2000

 

Stochastic Trends and Cointegration in the Market for Equities
Lucy F. Ackert and Marie D. Racine
Working Paper 98-13 (August)
Published in Journal of Economics and Business 51, 1999

 

Does Monetary Policy Generate Recessions?
Christopher A. Sims and Tao A. Zha
Working Paper 98-12 (July)

 

The Asian Liquidity Crisis
Roberto Chang and Andrés Velasco
Working Paper 98-11 (July)
Also available as C.V. Starr Center for Applied Economics Working Paper No. 98-27
Also available as NBER Working Paper No. 6796

 

Financial Crises in Emerging Markets: A Canonical Model
Roberto Chang and Andrés Velasco
Working Paper 98-10 (July)
Published in Quarterly Journal of Economics 116, 2001
Also available as C.V. Starr Center for Applied Economics Working Paper No. 46
Also available as NBER Working Paper No. 6606

 

Bid-Ask Spreads in Multiple Dealer Settings: Some Experimental Evidence
Lucy F. Ackert and Bryan K. Church
Working Paper 98-9 (June)
Published in Financial Management, Spring 1999

 

Institutional Investors, Analyst Following, and the January Anomaly
Lucy F. Ackert and George Athanassakos
Working Paper 98-8 (June)

 

Voluntary Disclosure under Imperfect Competition: Experimental Evidence
Lucy F. Ackert, Bryan K. Church, and Mandira Roy Sankar
Working Paper 98-7 (June)
Published in International Journal of Industrial Organization, January 2000

 

The Long-Run Real Effects of Monetary Policy: Keynesian Predictions from a Neoclassical Model
Marco Espinosa-Vega and Steven Russell
Working Paper 98-6 (April)

 

Demandable Debt as a Means of Payment: Banknotes versus Checks
Charles M. Kahn and William Roberds
Working Paper 98-5 (April)
Published in Journal of Money, Credit, and Banking, August 1999

 

The Effects of Official English Laws on Limited-English-Proficient Workers
Madeline Zavodny
Working Paper 98-4a (Revised December)
Published in Journal of Labor Economics 18, 2000

 

Determinants of Recent Immigrants' Locational Choices
Madeline Zavodny
Working Paper 98-3 (April)

 

On Government Credit Programs
Marco Espinosa-Vega, Bruce D. Smith, and Chong K. Yip
Working Paper 98-2 (February)
Published in Journal of Financial Intermediation 11, 2002

 

A Public Finance Analysis of Multiple Reserve Requirements
Marco Espinosa-Vega and Steven Russell
Working Paper 98-1 (January)

1997

Jump Risk, Time-Varying Risk Premia, and Technical Trading Profits
Chenyang Feng and Stephen D. Smith
Working Paper 97-17 (November)

 

Financial Fragility and the Exchange Rate Regime
Roberto Chang and Andres Velasco
Working Paper 97-16 (November)
Published in Journal of Economic Theory, May 2000

 

A Transitional Analysis of the Welfare Cost of Inflation
Clark A. Burdick
Working Paper 97-15 (November)

 

Macroeconomic Fluctuations in Europe: Demand or Supply, Permanent or Temporary?
Peter R. Hartley and Joseph A. Whitt Jr.
Working Paper 97-14 (November)
Published in European Economic Review 47, 2003

 

The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited
Robert R. Bliss and David C. Smith
Working Paper 97-13a (Revised March 1998)

 

Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry
J. David Cummins, Richard D. Phillips, and Stephen D. Smith
Working Paper 97-12 (November)
Published in Journal of Risk and Insurance 68, 2001

 

Normalization, Probability Distribution, and Impulse Responses
Daniel F. Waggoner and Tao Zha
Working Paper 97-11 (November)

 

Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
Daniel F. Waggoner
Working Paper 97-10 (November)

 

A Closed Form GARCH Option Pricing Model
Steven L. Heston and Saikat Nandi
Working Paper 97-9 (November)
Published in Review of Financial Studies, Fall 2000

 

Financial Aggregates as Conditioning Information for Australian Output and Inflation
Ellis W. Tallman and Naveen Chandra
Working Paper 97-8 (November)
Also available as Reserve Bank of Australia Discussion Paper No. RDP9704

 

Trends in Velocity and Policy Expectations
David B. Gordon, Eric M. Leeper, and Tao Zha
Working Paper 97-7 (November)
Published in Carnegie-Rochester Series on Public Policy, December 1998

 

Interest Rate Swaps and Economic Exposure
Gautam Goswami and Milind Shrikhande
Working Paper 97-6 (October)
Published in Global Finance Journal, Spring-Summer 1998

 

Is the Male Marriage Premium Due to Selection? The Effect of Shotgun Weddings on the Return to Marriage
Donna Ginther and Madeline Zavodny
Working Paper 97-5a (Revised October 1998)
Published in Journal of Population Economics, June 2001

 

A General Equilibrium Analysis of Check Float
James McAndrews and William Roberds
Working Paper 97-4 (October)
Published in Journal of Financial Intermediation, October 1999

 

The Cost of Doing Business Abroad and International Capital Market Equilibrium
Milind Shrikhande
Working Paper  97-3 (July)

 

Insider Trading, Costly Monitoring, and Managerial Incentives
Jie Hu and Thomas H. Noe
Working Paper 97-2 (May)
Published in Journal of Banking and Finance, April 2001

 

Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities
Robert R. Bliss and Ehud I. Ronn
Working Paper 97-1 (March)
Published in Journal of Business, April 1998

1996

Exchange Rate Pass-through and the Role of International Distribution Channels
Ramarao Desiraju and Milind Shrikhande
Working Paper 96-22 (December)
Published in International Journal of Business 2, 1997

 

Pricing S&P 500 Index Options Using a Hilbert Space Basis
Peter A. Abken, Dilip B. Madan, and Sailesh Ramamurtie
Working Paper 96-21 (December)

 

Credible Monetary Policy with Long-Lived Agents: Recursive Approaches
Roberto Chang
Working Paper 96-20 (November)
Published in Journal of Economic Theory, August 1998

 

Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers
J. David Cummins, Richard D. Phillips, and Stephen D. Smith
Working Paper 96-19 (November)
Published in North American Actuarial Journal 1, 1997

 

Are There Optimal Multiple Reserve Requirements?
Marco Espinosa and Steven Russell
Working Paper 96-18 (November)
Published in Journal of Financial Intermediation, January 2001

 

MLE Is Alive and Well in the Financial Markets
B. Sailesh Ramamurtie and Scott Ulman
Working Paper 96-17 (November)

 

Price Reactions to Public Announcements
B. Sailesh Ramamurtie and Michael J. Rebello
Working Paper 96-16 (November)

 

Specifying a Consistent Joint Maximum-Likelihood (JMLE) Approach to Testing Bond Models
B. Sailesh Ramamurtie and Scott Ulman
Working Paper 96-15 (November)

 

The Information Content of Financial Aggregates in Australia
Ellis W. Tallman and Naveen Chandra
Working Paper 96-14 (November)
Published as Reserve Bank of Australia Research Discussion Paper No. RDP9606

 

Bayesian Methods for Dynamic Multivariate Models
Christopher A. Sims and Tao Zha
Working Paper 96-13 (October)
Published in International Economic Review 39, November 1998

 

Testing Term Structure Estimation Methods
Robert R. Bliss
Working Paper 96-12a (Revised November)
Published in Advances in Futures and Options Research, 1997

 

Endogenous Term Premia and Anomalies in the Term Structure of Interest Rates: Explaining the Predictability Smile
William Roberds and Charles H. Whiteman
Working Paper 96-11 (October)
Published in Journal of Monetary Economics, December 1999

 

Payment System Settlement and Bank Incentives
Charles M. Kahn and William Roberds
Working Paper 96-10 (October)
Published in Review of Financial Studies 11, Winter 1998

 

Pricing and Hedging Index Options under Stochastic Volatility: An Empirical Examination
Saikat Nandi
Working Paper 96-9 (August)
Published in Journal of Banking and Finance 22, 1998

 

Identification, Vector Autoregression, and Block Recursion
Tao Zha
Working Paper 96-8 (August)
Published in Journal of Econometrics 90, 1999

 

Emerging Debt and Equity Markets: An Exploratory Investigation of Integration Using Daily Data
Mandeep S. Chahal, Michael J. Rebello, and Stephen D. Smith
Working Paper 96-7 (July)

 

The Impact of a Dealer's Failure on OTC Derivatives Market Liquidity during Volatile Periods
Larry D. Wall, Ellis W. Tallman, and Peter A. Abken
Working Paper 96-6 (July)
Published in Research in Banking and Finance, 2000

 

Estimation of Risk-Neutral and Statistical Densities by Hermite Polynomial Approximation: With an Application to Eurodollar Futures Options
Peter A. Abken, Dilip B. Madan, and Sailesh Ramamurtie
Working Paper 96-5 (June)

 

An Endogenous Growth Model of Money Banking and Financial Repression
Marco Espinosa and Chong K. Yip
Working Paper 96-4 (June)
Published in Economic Theory 20, 2002

 

Suspension of Payments Bank Failures and the Nonbank Public's Losses
Gerald P. Dwyer Jr. and Iftekhar Hasan
Working Paper 96-3 (May)
Forthcoming in Journal of Monetary Economics

 

Applying Economic Restrictions to Foreign Exchange Rate Dynamics: Spot Rates, Futures, and Options
Michael Dothan, Sailesh Ramamurtie, and Scott Ulman
Working Paper 96-2 (March)

 

Nonaddictive Habit Formation and the Equity Premium Puzzle
Milind M. Shrikhande
Working Paper 96-1 (February)
Published in European Financial Management, November 1997

1995

Asymmetric Information about Volatility and Option Markets
Saikat Nandi
Working Paper 95-19 (December)
Published in Journal of Derivatives Research 3, 1999

 

Financial Market Breakdown Due to Strategy Constraints and Information Asymmetry
Jie Hu
Working Paper 95-18 (December)

 

Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash
Gerald P. Dwyer Jr., Peter Locke, and Wei Yu
Working Paper 95-17 (November)
Published in Review of Financial Studies, Spring 1996

 

Rational Expectations Equilibrium in an Economy with Segmented Capital Asset Markets
Amin H. Amershi and B. Sailesh Ramamurtie
Working Paper 95-16 (November)

 

An Intertemporal Model of Consumption and Portfolio Allocation
Hans Andersson, B. Sailesh Ramamurtie, and Bharat Ramaswami
Working Paper 95-15 (November)

 

Off-Farm Income and Risk Reduction in Agriculture: When Does It Matter?
Hans Andersson, B. Sailesh Ramamurtie, and Bharat Ramaswami
Working Paper 95-14 (November)
Published in Journal of Economic Behavior and Organization 50, 2003

 

Empirical Tests of Two State-Variable HJM Models
Robert R. Bliss and Peter Ritchken
Working Paper 95-13 (November)
Published in Journal of Money, Credit, and Banking, August 1996

 

The Implied Volatility of U.S. Interest Rates: Evidence from Callable U.S. Treasuries
Robert R. Bliss and Ehud I. Ronn
Working Paper 95-12 (November)
Published in Journal of Business 71, 1998

 

On the Efficiency of Cash Settlement
Charles M. Kahn and William Roberds
Working Paper 95-11 (November)

 

Fiscal and Monetary Policy Interactions In an Endogenous Growth Model with Financial Intermediaries
Marco A. Espinosa and Chong K. Yip
Working Paper 95-10 (November)
Published in International Economic Review, August 1999

 

Clearinghouse Access and Bank Runs: Comparing New York and Chicago during the Panic of 1907
Jon R. Moen and Ellis W. Tallman
Working Paper 95-9 (October)
Published as “Clearinghouse Membership and Deposit Contraction During the Panic of 1907” (with Jon R. Moen), Journal of Economic History, March 2000

 

Bankruptcy Law Capital Allocation and Aggregate Effects: A Dynamic Heterogeneous Agent Model with Incomplete Markets
Tao Zha
Working Paper 95-8 (October)
Published in Annals of Economics and Finance 2, 2001

 

Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates
David O. Cushman and Tao Zha
Working Paper 95-7 (October)
Published in Journal of Monetary Economics, August 1997

 

Error Bands for Impulse Responses
Christopher A. Sims and Tao Zha
Working Paper 95-6 (September)
Published in Econometrica, September 1999

 

Collusion in Uniform-Price Auctions: Experimental Evidence and Implications for Treasury Auctions
Gautam Goswami, Thomas Noe, and Michael Rebello
Working Paper 95-5 (September)
Published in Review of Financial Studies, Fall 1996

 

Information Quality Performance Measurement and Security Demand in Rational Expectations Economics
Thomas H. Noe and Buddhavarapu Sailesh Ramamurtie
Working Paper 95-4 (June)
Published in Journal of Finance, March 1995

 

Political Party Negotiations Income Distribution and Endogenous Growth
Roberto Chang
Working Paper 95-3 (June)
Published in Journal of Monetary Economics, April 1998

 

Insider Trading and the Problem of Corporate Agency
Thomas H. Noe
Working Paper 95-2 (May)
Published in Journal of Law, Economics, and Organization, October 1997

 

European Monetary Union: Evidence from Structural VARs
Joseph A. Whitt Jr.
Working Paper 95-1 (March)

1994

Working Paper 1994-17 (PDF)
Contractual Opportunism, Limited Liability, and the Role of Financial Coalitions