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Working Paper
On the aggregate welfare cost of Great Depression unemployment
Chatterjee, Satyajit; Corbae, Dean (2006)
The potential benefit of policies that eliminate a small likelihood of economic crises is calculated. An economic crisis is defined as an increase in unemployment of the magnitude observed during the Great Depression. For the U.S., the maximum-likelihood estimate of entering a depression is found to be about once every 83 years. The welfare gain from setting this small probability to zero can range between 1 and 7 percent of annual consumption in perpetuity. For most estimates, more than half of these large gains result from a reduction in individual consumption volatility. ; This paper ...
Working Papers , Paper 06-18

Working Paper
Bayesian Estimation and Comparison of Conditional Moment Models
Simoni, Anna; Shin, Minchul; Chib, Siddhartha (2019-12-09)
We provide a Bayesian analysis of models in which the unknown distribution of the outcomes is speci?ed up to a set of conditional moment restrictions. This analysis is based on the nonparametric exponentially tilted empirical likelihood (ETEL) function, which is constructed to satisfy a sequence of unconditional moments, obtained from the conditional moments by an increasing (in sample size) vector of approximating functions (such as tensor splines based on the splines of each conditioning variable). The posterior distribution is shown to satisfy the Bernstein-von Mises theorem, subject to a ...
Working Papers , Paper 19-51

Working Paper
Has COVID Reversed Gentrification in Major U.S. Cities? An Empirical Examination of Residential Mobility in Gentrifying Neighborhoods During the COVID-19 Crisis
Ding, Lei; Hwang, Jackelyn (2022-08-17)
This paper examines whether neighborhoods that had been gentrifying lost their appeal during the pandemic because of COVID-induced health risks and increased work-from-home arrangements. By following the mobility pattern of residents in gentrifying neighborhoods in 39 major U.S. cities, we note a larger increase of 1.2 percentage points in the outmigration rate from gentrifying neighborhoods by the end of 2021, relative to nongentrifying ones, with out-of-city moves accounting for over 71 percent of the increased flight. The share of out-of-city moves into gentrifying neighborhoods also ...
Working Papers , Paper 22-20

Working Paper
A quality and risk-adjusted cost function for banks: evidence on the \" too-big-to-fail\" doctrine
Mester, Loretta J.; Hughes, Joseph P. (1991)
Working Papers , Paper 91-21

Working Paper
The importance of the tax system in determining the marginal cost of funds
Croushore, Dean; Ahmed, Shaghil (1994)
Working Papers , Paper 94-7

Working Paper
Identification Through Sparsity in Factor Models
Freyaldenhoven, Simon (2020-06-22)
Factor models are generally subject to a rotational indeterminacy, meaning that individual factors are only identified up to a rotation. In the presence of local factors, which only affect a subset of the outcomes, we show that the implied sparsity of the loading matrix can be used to solve this rotational indeterminacy. We further prove that a rotation criterion based on the 1-norm of the loading matrix can be used to achieve identification even under approximate sparsity in the loading matrix. This enables us to consistently estimate individual factors, and to interpret them as structural ...
Working Papers , Paper 20-25

Working Paper
Resolving the puzzle of the underissuance of national bank notes
Calomiris, Charles W.; Mason, Joseph R. (2005)
The puzzle of underissuance of national bank notes disappears when one disaggregates data, takes account of regulatory limits, and considers differences in opportunity costs. Banks with poor lending opportunities maximized their issuance. Other banks chose to limit issuance. Redemption costs do not explain cross-sectional variation in issuance, and the observed relationship between note issuance and excess reserves is inconsistent with the redemption risk hypothesis of underissuance. National banks did not enter primarily to issue national bank notes, and a ?pure arbitrage? strategy of ...
Working Papers , Paper 05-19

Working Paper
Explaining the dramatic changes in performance of U.S. banks: technological change, deregulation, and dynamic changes in competition.
Berger, Allen N.; Mester, Loretta J. (2002)
The authors investigate the effects of technological change, deregulation, and dynamic changes in competition on the performance of U.S. banks. The authors' most striking result is that during 1991-1997, cost productivity worsened while profit productivity improved substantially, particularly for banks engaging in mergers. The data are consistent with the hypothesis that banks tried to maximize profits by raising revenues as well as reducing costs. Banks appeared to provide additional or higher quality services that raised costs but also raised revenues by more than the cost increases. The ...
Working Papers , Paper 01-6

Working Paper
When does the prime rate change?
Mester, Loretta J.; Saunders, Anthony (1990)
Working Papers , Paper 90-16

Working Paper
Minimum consumptions requirements: theoretical and quantitative implications for growth and distribution
Ravikumar, B.; Chatterjee, Satyajit (1997)
The authors study the impact of a minimum consumption requirement on the rate of economic growth and the evolution of wealth distribution. The requirement introduces a positive dependence between the intertemporal elasticity of substitution and household wealth. This dependence implies a transition phase during which the growth rate of per-capita quantities rise toward their steady-state values and the distributions of wealth, consumption, and permanent income become more unequal. The authors calibrate the minimum consumption requirement to match estimates available for a sample of Indian ...
Working Papers , Paper 97-15

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