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Working Paper
International Transmission of Japanese Monetary Shocks Under Low and Negative Interest Rates: A Global Favar Approach
Tai, Andrew; Spiegel, Mark M. (2017-02-28)
We examine the implications of Japanese monetary shocks under recent very low and sometimes negative interest rates to the Japanese economy as well as three of its major trading partners: Korea, China and the United States. We follow the literature in using movements in 2-year Japanese government bond rates as proxies for changes in monetary conditions in the neighborhood of the zero lower bound. We examine the implications of shocks to the 2-year rate in a series of factor-augmented vector autoregressive?or FAVAR?models, in which both local and global conditions are proxied by latent factors ...
Working Paper Series , Paper 2017-8

Working Paper
Capital controls and optimal Chinese monetary policy
Spiegel, Mark M.; Chang, Chun; Liu, Zheng (2013)
We examine optimal monetary policy under prevailing Chinese policies> ? including capital controls, nominal exchange rate targets, and costly sterilization of foreign capital inflows. China?s combination of capital controls and exchange rate pegs disrupts its monetary policy, precluding adjustments that could maintain macroeconomic stability following a set of shocks that mirror its experience during the global financial crisis. However, comparing different policy regimes in a consistent DSGE framework, we find that the bulk of welfare gains achieved under full liberalization can be obtained ...
Working Paper Series , Paper 2012-13

Working Paper
Small Business Lending Under the PPP and PPPLF Programs
Lopez, Jose A.; Spiegel, Mark M. (2021-04-08)
We examine the effects of the Paycheck Protection Program (PPP) and the PPP Liquidity Facility (PPPLF) on small business lending. The PPP was launched under the CARES Act of March 2020 to provide support for small businesses under the COVID-19 pandemic, while the PPPLF was an affiliated program administered by the Federal Reserve to facilitate the maintenance of liquidity among banks participating in the PPP. We use Call Report data to examine the contributions of these two programs on small business and farm lending by individual commercial banks in the United States. As participation in the ...
Working Paper Series , Paper 2021-10

Working Paper
\"Burden sharing\" in sovereign debt reduction
Spiegel, Mark M. (1994)
We examine a concerted debt reduction deal between a sovereign debtor, a private creditor, and an official creditor, who insures the deposits of the commercial bank. Our results show that a weakening of the financial position of the commercial bank reduces the contribution of the commercial bank and increases that of the official creditor, without affecting the net terms faced by the debtor. This result is robust to changes in seniority. Moreover, leaving both creditor values unchanged requires that commercial banks retire debt at "unfairly" high prices, while official creditors make a net ...
Working Papers in Applied Economic Theory , Paper 94-18

Journal Article
Did quantitative easing by the Bank of Japan "work"?
Spiegel, Mark M. (2006)
The success, or lack thereof, of the Bank of Japan's quantitative easing program is of interest not only as an important experience in Japanese economic history, but more generally as an unprecedented experiment in monetary policy under very low nominal interest rates. In this Economic Letter, I review the evidence that has emerged to date concerning the impact of the quantitative easing policy.
FRBSF Economic Letter

Journal Article
Small Business Lending and the Paycheck Protection Program
Mueller, Jack; Spiegel, Mark M. (2023-04-10)
The Paycheck Protection Program (PPP) and the PPP Liquidity Facility were launched early in the pandemic to help many small businesses survive. These programs encouraged banks to lend more extensively to small businesses over the first half of 2020. Since then, however, banks have reduced their exposure to these loans, leaving no significant changes in small business lending associated with participation in these programs over the three-year period from 2020 through 2022. This raises some doubt that emergency lending programs encourage long-term relationships that outlast the programs.
FRBSF Economic Letter , Volume 2023 , Issue 10 , Pages 6

Journal Article
Monetary and financial integration: evidence from the EMU
Spiegel, Mark M. (2004)
FRBSF Economic Letter

Working Paper
Persistent Effects of the Paycheck Protection Program and the PPPLF on Small Business Lending
Dufresne, Lora; Spiegel, Mark M. (2024-08-07)
Using bank-level U.S. Call Report data, we examine the longer-term effects of the Paycheck Protection Program (PPP) and the PPP Liquidity Facility on small business (SME) lending. Our sample runs through the end of 2023H1, by which time almost all PPP loans were forgiven or repaid. To identify a causal impact of program participation, we instrument based on historical bank relationships with the Small Business Administration and the Federal Reserve discount window prior to the onset of the pandemic. Elevated bank participation in both programs was positively associated with a substantial ...
Working Paper Series , Paper 2024-26

Working Paper
Institutional Efficiency, Monitoring Costs, and the Investment Share of FDI
Aizenman, Joshua; Spiegel, Mark M. (2003-03-01)
This paper models and tests the implications of institutional efficiency on the pattern of foreign direct investment (FDI). We posit that domestic agents have a comparative advantage over foreign agents in overcoming some of the obstacles associated with corruption and weak institutions. We model these circumstances in a principal-agent framework with costly ex-post monitoring and enforcement of an ex-ante labor contract. Ex-post monitoring and enforcement costs are assumed to be lower for domestic entrepreneurs than for foreign ones, but foreign producers enjoy a countervailing productivity ...
Working Paper Series , Paper 2003-06

Working Paper
Optimal Foreign Reserve Intervention and Financial Development
Davis, J. Scott; Huang, Kevin X. D.; Liu, Zheng; Spiegel, Mark M. (2025-11-13)
We document evidence of a U-shaped relationship between financial development and the adjustments of foreign exchange (FX) reserve holdings in response to a U.S. interest rate increase. Countries with intermediate levels of financial development sell reserves aggressively, while those with low or high development adjust little. Domestic interest rate responses are not systematically related to financial development. A model with borrowing constraints and foreign-currency debt rationalizes these findings: the associated pecuniary externality is maximized at intermediate levels of financial ...
Working Paper Series , Paper 2025-27

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