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Author:Estrella, Arturo 

Working Paper
Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis

For years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. Since the publication of the classic Lucas (1976) critique, researchers have endeavored to specify models that capture the underlying dynamic decision-making behavior of consumers and firms who require forecasts of future events. By uncovering "deep" structural parameters that characterize these fundamental behaviors, and by explicitly modeling expectations, it is argued one can capture the dependence of agents' behavior on the functions describing policy. However, relatively little effort ...
Working Papers , Paper 99-4

Journal Article
Estimating the funding gap of the Pension Benefit Guaranty Corporation

Quarterly Review , Volume 13 , Issue Aut , Pages 45-59

Report
Corporate leverage and taxes in the U.S. economy

Research Paper , Paper 9023

Report
Monetary cycles, financial cycles, and the business cycle

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper, we propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries. When monetary tightening is associated with a flattening of the term spread, it reduces net interest margin, which in turn makes lending less ...
Staff Reports , Paper 421

Journal Article
The yield curve as a predictor of U.S. recessions

The yield curve--specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill--is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.
Current Issues in Economics and Finance , Volume 2 , Issue Jun

Journal Article
Capital ratios as predictors of bank failure

The current review of the 1988 Basel Capital Accord has put the spotlight on the ratios used to assess banks? capital adequacy. This article examines the effectiveness of three capital ratios?the first based on leverage, the second on gross revenues, and the third on risk-weighted assets?in forecasting bank failure over different time frames. Using 1988-93 data on U.S. banks, the authors find that the simple leverage and gross revenue ratios perform as well as the more complex risk-weighted ratio over one- or two-year horizons. Although the risk-weighted measures prove more accurate in ...
Economic Policy Review , Issue Jul , Pages 33-52

Report
The implicit liabilities of the Pension Benefit Guaranty Corporation

Research Paper , Paper 8905

Report
Consistent covariance matrix estimation in probit models with autocorrelated errors

Some recent time-series applications use probit models to measure the forecasting power of a set of variables. Correct inferences about the significance of the variables requires a consistent estimator of the covariance matrix of the estimated model coefficients. A potential source of inconsistency in maximum likelihood standard errors is serial correlation in the underlying disturbances, which may arise, for example, from overlapping forecasts. We discuss several practical methods for constructing probit autocorrelation-consistent standard errors, drawing on the generalized method of moments ...
Staff Reports , Paper 39

Report
Options positions: risk management and capital requirements

Research Paper , Paper 9415

Journal Article
Formulas or supervision? Remarks on the future of regulatory capital

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 6, "The role of capital regulation in bank supervision." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review , Volume 4 , Issue Oct , Pages 191-200

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