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Working Paper
Using subjective expectations to forecast longevity: do survey respondents know something we don't know?
Future old-age mortality is notoriously difficult to predict because it requires not only an understanding of the process of senescence, which is influenced by genetic, environmental and behavioral factors, but also a prediction of how these factors will evolve going forward. In this paper, I argue that individuals are uniquely qualified to predict their own mortality based on their own genetic background, as well as environmental and behavioral risk factors that are often known only to the individual. Using expectations data from the 1992 HRS, I construct subjective cohort life tables that ...
Discussion Paper
The Cross-Border Trail of the Treasury Basis Trade
Recent regulatory data collections on hedge funds indicate a massive increase in Cayman Islands hedge fund exposures to U.S. Treasury securities over the last two years, corresponding to a simultaneous surge in hedge funds' Treasury cash-futures basis trade positions (the ""basis trade""). While other data sources, including Coordinated Portfolio Investment Survey (CPIS) data, confirm this rise, statistics from official U.S. Treasury International Capital (TIC) data do not show a significant increase in Treasury securities held by Cayman Islands hedge funds.
Working Paper
Escaping the Samaritan's Dilemma: implications of a dynamic model of altruistic intergenerational transfers
This paper explores how altruistic parents structure transfer rules in response to potential incentive problems and how the investment behavior of children is influenced by these transfer policies. To investigate these issues, I develop a dynamic model of altruistic transfers in which transfers can be tied to the purchase of human capital investment. Numerical solutions are examined to provide insight into the predictions of the model for transfer behavior and investment by family size. The dynamic framework developed in the paper is used to guide the interpretation of data on transfers and ...
Discussion Paper
Accounting for Mortgage Charge-Offs in the Financial Accounts of the United States
The level of outstanding home mortgage debt in the United States has declined about $1.5 trillion, or 13 percent, since its peak six years ago. This large drop in mortgage debt has been the primary driver of the reduction in household liabilities often referred to as "household deleveraging" and frequently measured by statistics such as aggregate household debt relative to income.
Discussion Paper
Central Clearing Counterparties in the Financial Accounts of the United States
The March 7, 2024, release of the Z.1 Financial Accounts of the United States (the Accounts) introduced a new supplementary table, Central Clearing Counterparties (table L.132.c), which separately reports financial assets and liabilities of central clearing counterparties (CCPs). CCPs in the Accounts are financial intermediaries that support the functioning of financial markets by taking on counterparty credit risk and providing clearing and settlement of securities and derivatives.
Discussion Paper
Funding Agreement-Backed Securities in the Enhanced Financial Accounts
This note describes new data on funding agreement-backed securities (FABS) that is being provided as part of the Enhanced Financial Accounts (EFA) initiative.