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Working Paper
Pricing kernels, inflation, and the term structure of interest rates
Craig, Ben R.; Haubrich, Joseph G. (2003)
We estimate a discrete-time multivariate pricing kernel for the term structure of interest rates, using both yields and inflation rates. This gives a separate estimate of the real kernel and the nominal kernel, taking into account a relatively sophisticated dynamical structure and mutual interaction between the real and nominal side of the economy. Along with obtaining an estimate of the real term structure, we use the estimates to obtain a new perspective on how real and nominal influences interact to produce the observed term structure.
Working Papers (Old Series) , Paper 0308

Journal Article
Credit spreads and subordinated debt
Haubrich, Joseph G.; Thomson, James B. (2007-03)
Stock and bond prices contain all sorts of information about investors? beliefs and expectations. For example, the interest rate on bank debt not insured by the FDIC has information about the health of the banks issuing the debt. Unfortunately, difficulties in extracting information from these subordinated debt prices reduces the information? usefulness to regulators and policymakers.
Economic Commentary , Issue Mar

Conference Paper
Federal credit allocation: theory, evidence, and history; a conference sponsored by the Federal Reserve Bank of Cleveland, October 17-19, 1993.
Haubrich, Joseph G.; Thomson, James B. (1994-08)
Proceedings , Issue Aug

Working Paper
Executive compensation: a calibration approach
Popova, Ivilina; Haubrich, Joseph G. (1994)
A study that uses principal-agent theory to produce quantitative predictions about executive compensation, showing that observed incentives closely match optimal predicted incentives.
Working Papers (Old Series) , Paper 9416

Conference Paper
Getting the most out of mandatory subordinated debt requirement
Ritchken, Peter H.; Haubrich, Joseph G.; Fan, Rong; Thomson, James B. (2003)
Proceedings , Paper 848

Working Paper
The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997
Bordo, Michael D.; Haubrich, Joseph G. (2004)
This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes with low credibility (high persistence of inflation) tend to have better predictability.
Working Papers (Old Series) , Paper 0402

Working Paper
Deep recessions, fast recoveries, and financial crises: evidence from the American record
Bordo, Michael D.; Haubrich, Joseph G. (2012)
Do steep recoveries follow deep recessions? Does it matter if a credit crunch or banking panic accompanies the recession? Moreover, does it matter if the recession is associated with a housing bust? We look at the American historical experience in an attempt to answer these questions. The answers depend on the definition of a financial crisis and on how much of the recovery is considered. But in general recessions associated with financial crises are generally followed by rapid recoveries. We find three exceptions to this pattern: the recovery from the Great Contraction in the 1930s; the ...
Working Papers (Old Series) , Paper 1214

Journal Article
Why are interest rates so low?
Haubrich, Joseph G. (2013-04)
Interest rates have been at historical lows for some time now. There are many possible reasons why that is so. We make use of recent work done at the Federal Reserve Bank of Cleveland that allows us to look at individual components of interest rates and see which are exerting the biggest influence. Knowing why rates are where they are now helps to predict where interest rates will likely be in the near future.
Economic Commentary , Issue Apr

Working Paper
Loan sales, implicit contracts, and bank structure
Haubrich, Joseph G.; Thomson, James B. (1993)
A documentation of some recent changes in the market for loan sales, using a tobit model to relate quantities of loans bought and sold to bank size, capital, risk, and funding mode.
Working Papers (Old Series) , Paper 9307

Journal Article
Sharing with a risk-neutral agent
Haubrich, Joseph G. (2001-01)
In the standard solution to the principal?agent problem, a risk-neutral agent bears all the risk. The author shows that, in fact, multiple solutions exist, and often the risk-neutral agent is not the sole bearer of risk. As risk aversion approaches zero, the unique risk-averse solution converges to the risk-neutral solution, wherein the agent bears the least amount of risk. Even a small degree of risk aversion can result in agents bearing significantly less risk than the standard solution suggests.
Economic Review , Issue Q I , Pages 2-8

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