Search Results
Journal Article
Fiscal Dominance and the Return of Zero-Interest Bank Reserve Requirements
As a matter of arithmetic, the trends of US government debt and deficits will eventually result in an outrageously high government debt-to-GDP ratio. But when exactly will the United States hit the constraint of infeasibility and how exactly will policy adjust to it? This article considers fiscal dominance, which is the possibility that accumulating government debt and deficits can produce increases in inflation that "dominate" central bank intentions to keep inflation low. Is it a serious possibility for the United States in the near future? And how might various policies change (especially ...
Journal Article
Commentary on \\"Disclosure, volatility and transparency: an empirical investigation into the value of bank disclosure.\\"
This paper was part of the conference "Beyond Pillar 3 in International Banking Regulation: Disclosure and Market Discipline of Financial Firms," cosponsored by the Federal Reserve Bank of New York and the Jerome A. Chazen Institute of International Business at Columbia Business School, October 2-3, 2003.
Conference Paper
The subprime turmoil: what’s old, what’s new, and what’s next
Working Paper
Big Data Meets the Turbulent Oil Market
This paper introduces novel news-based measures for tracking global energy markets. These measures compress thousands of news articles into a parsimonious set of real-time indicators and are successful in-sample forecasters of oil spot, futures, and energy company stock returns, and of changes in oil volatility, production, and inventories, complementing and extending traditional (non-text) predictors. In out-of-sample tests, text-based measures predict oil futures returns and changes in oil spot prices better than traditional predictors, although the latter are more useful for forecasting ...
Working Paper
Credit card securitization and regulatory arbitrage
This paper explores the motivations and desirability of off-balance-sheet financing of credit card receivables by banks. We explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits banks to economize on capital by avoiding regulatory minimum capital requirements, and whether banks' avoidance of minimum capital regulation through securitization with implicit recourse has been undesirable from a regulatory standpoint. We show that this intermediation structure could be motivated ...
Conference Paper
Credit card securitization, recourse, and regulatory arbitrage