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Working Paper
Financial crisis and bank lending
This paper estimates the amount of tightening in bank commercial and industrial (C&I) loan rates during the financial crisis. After controlling for loan characteristics and bank fixed effects, as of 2010:Q1, the average C&I loan spread was 66 basis points or 23 percent above normal. From about 2005 to 2008, the loan spread averaged 23 basis points below normal. Thus, from the unusually loose lending conditions in 2007 to the much tighter conditions in 2010:Q1, the average loan spread increased by about 1 percentage point. I find that large and medium-sized banks tightened their loan rates ...
Conference Paper
The certification value of bank loans
Journal Article
On forecasting future monetary policy: has forward-looking language mattered?
This Economic Letter reviews the changes in the content of the FOMC statements over the past several years and examines how the accuracy of market forecasts of monetary policy has evolved. The analysis complements prior research showing that, as the FOMC took steps to foster greater transparency, the accuracy of the fed funds futures market in predicting future fed funds rates has improved. In recent years, the level of precision improved further as forward-looking language was included in the FOMC statements.
Journal Article
An analysis of inefficiencies in banking: a stochastic cost frontier approach
This paper examines the properties of X-inefficiency and the relations of X-inefficiency with risk-taking and stock returns for U.S. banking firms. After controlling for scale differences, the average small size banking firm is found to be relatively less efficient than the average large firm. Small firms also exhibit higher variations in X-inefficiencies than their larger counterparts. While the average X-inefficiency appears to be declining over time, the rank orderings of X-inefficiency are found to be quite persistent. Furthermore, less efficient banking firms are found to be associated ...
Journal Article
Risk of Business Insolvency during Coronavirus Crisis
Many businesses had amassed high levels of debt, or leverage, before the COVID-19 pandemic. Out of precaution or necessity, firms increased their borrowing further after the onset. Although the shock to those firms’ value significantly increased their risk, measured by their distance-to-default, the default risk remains relatively small for most corporate debt. Nevertheless, the amount of outstanding liabilities among firms with elevated risk of insolvency is more than two times higher than at the peak of the global financial crisis.
Journal Article
Inflation expectations: how the market speaks
This Economic Letter discusses the structure of Treasury Inflation-Protected Security (TIPS) contracts, the development of the market in recent years, and the measure of inflation compensation derived from comparing TIPS yields to nominal yields.