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Author:Bennett, Paul 

Journal Article
Falling reserve balances and the federal funds rate

The growth of "sweeps"--a banking practice in which depository institutions shift funds out of customer accounts subject to reserve requirements--has reduced the required balances held by banks in their accounts at the Federal Reserve. This development could lead to greater volatility in the federal funds rate as banks try to manage their accounts with very low balances. An analysis of the evidence suggests that the volatility of the funds rate is rising slightly, but not enough to disrupt the federal funds market or affect the implementation of monetary policy.
Current Issues in Economics and Finance , Volume 3 , Issue May

Journal Article
Mortgage refinancing and the concentration of mortgage coupons

Because of the concentrated distribution of interest rates on outstanding mortgages, modest interest rate declines in 1997 and 1998 made refinancing a smart choice for a record number of homeowners. In addition, the strong economy and the age of mortgage loans likely contributed to the surge in refinancing activity.
Current Issues in Economics and Finance , Volume 5 , Issue Mar

Journal Article
Credit, equity, and mortgage refinancings

Using a unique loan level data set that links individual household credit ratings with property and loan characteristics, the authors test the extent to which homeowners' credit ratings and equity affect the likelihood that mortgage loans will be refinanced as interest rates fall. Their logit model estimates strongly support the importance of both the credit and equity variables. Furthermore, the authors' results suggest that a change in the overall lending environment over the past decade has increased the probability that a homeowner will refinance.
Economic Policy Review , Volume 3 , Issue Jul , Pages 83-99

Journal Article
Are U.S. reserve requirements still binding?

Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Economic Policy Review , Volume 8 , Issue May , Pages 53-68

Journal Article
Enhancing the liquidity of U.S. Treasury securities in an era of surpluses

Economic Policy Review , Issue Apr , Pages 89-119

Report
Implied mortgage refinancing thresholds

The optimal prepayment model asserts that rational homeowners would refinance if they can reduce the current value of their liabilities by an amount greater than the refinancing threshold, defined as the cost of carrying the transaction plus the time value of the embedded call option. To compute the notional value of the refinancing threshold, researchs have traditionally relied on a discrete option-pricing model. Using a unique loan level dataset that links homeowner attributes with property and loan characteristics, this study proposes an alternative approach of estimating the implied value ...
Staff Reports , Paper 49

Journal Article
The influence of financial changes on interest rates and monetary policy: a review of recent evidence

Quarterly Review , Volume 15 , Issue Sum

Journal Article
The international transmission of stock prices disruption in October 1987

Quarterly Review , Volume 13 , Issue Sum

Report
Rational bias in macroeconomic forecasts

This paper develops a model of macroeconomic forecasting in which a forecaster's wage is a function of his accuracy as well as the publicity he generates for his firm by being correct. In the resulting Nash equilibrium, forecasters with identical models, information, and incentives nevertheless produce a variety of predictions, consciously biasing them in order to maximize expected wages. In the case of heterogeneous incentives, the forecasters whose wages are most closely tied to publicity, as opposed to accuracy, produce the forecasts that deviate most from the consensus. We find empirical ...
Research Paper , Paper 9617

Report
Effects of household creditworthiness on mortgage refinancings

Using a unique loan level data set that links individual household credit ratings with property and loan characteristics, we test the extent to which homeowners' equity and credit ratings affect the likelihood that mortgage loans will be refinanced as interest rates fall. The logit model estimates strongly support the importance of both the equity and credit ratings affect the likelihood that mortgage loans will be refinanced as interest rates fall. The logit model estimates strongly support the importance of both the equity and credit variable. These results are interesting both from the ...
Research Paper , Paper 9622

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