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Author:Kurtzman, Robert J. 

Working Paper
Loan Modifications and the Commercial Real Estate Market

Banks modify more CRE loans than CMBS, contributing to better loan performance when property incomes decline. However, banks have higher delinquency rates for less-stressed loans, consistent with modification policies encouraging strategic default. Motivated by these facts, we develop a tradeoff theory model in which lenders vary in their modification technologies. Modification frictions discourage strategic renegotiation, enabling CMBS to offer higher LTV loans and attract borrowers seeking higher leverage. The model produces cross-lender differences in LTVs and spreads consistent with the ...
Finance and Economics Discussion Series , Paper 2022-050

Working Paper
On Commercial Construction Activity's Long and Variable Lags

We use microdata on the phases of commercial construction projects to document three facts regarding time-to-plan lags: (1) plan times are long--about 1.5 years on average--and highly variable, (2) roughly one-third of projects are abandoned in planning, (3) property price appreciation reduces the likelihood of abandonment. We construct a model with endogenous planning starts and abandonment that matches these facts. Endogenous abandonment makes short-term building supply more elastic, as price shocks immediately affect the exercise of construction options rather than just planning starts. ...
Finance and Economics Discussion Series , Paper 2024-016

Working Paper
Across the Universe: Policy Support for Employment and Revenue in the Pandemic Recession

Using data from 14 government sources, we develop comprehensive estimates of U.S. economic activity by sector, legal form of organization, and firm size to characterize how four government direct lending programs—the Paycheck Protection Program, the Main Street Lending Program, the Corporate Credit Facilities, and the Municipal Lending Facilities—relate to these classes of economic activity in the United States. The classes targeted by these programs are vast—accounting for 97 percent of total U.S. employment—though entityspecific financial criteria limit coverage within specific ...
Finance and Economics Discussion Series , Paper 2020-099r1

Working Paper
Aggregate Implications of Deviations from Modigliani-Miller: A Sufficient Statistics Approach

A few sufficient statistics can identify the aggregate effects of distortions to firm investment in a class of general equilibrium models that can accommodate rich general equilibrium effects including endogenous firm entry. This result does not depend on the microfoundation of the distortion; one can generate inferences about aggregate effects that apply for multiple microfoundations or in cases where a fully specified model is difficult to solve. To demonstrate the relevance of themethodology, we use it to quantify the aggregate consequences of costly external equity financing and a ...
Finance and Economics Discussion Series , Paper 2023-045

Discussion Paper
An Aggregate View of Bank Lending Standards and Demand

The Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS) provides information about the supply of, and demand for, bank credit in the United States on a quarterly basis. SLOOS responses are used internally by Federal Reserve staff in monitoring bank lending conditions and as an input into research and analysis about broader economic and financial conditions.
FEDS Notes , Paper 2020-05-04

Working Paper
Accounting for Productivity Dispersion over the Business Cycle

This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue ...
Finance and Economics Discussion Series , Paper 2016-045

Discussion Paper
Accounting for COVID-19 Related Funding, Credit, Liquidity, and Loan Facilities in the Financial Accounts of the United States

Beginning in late February 2020, market liquidity for corporate bonds dried up and corporate bond credit spreads soared amid broad financial market dislocations related to the COVID-19 pandemic. The causes of this liquidity dry-up and the spike in corporate bond spreads remain subjects of debate.
FEDS Notes , Paper 2021-07-30-1

Discussion Paper
From-Whom-to-Whom Relationships in the Financial Accounts of the United States A New Methodology and Some Early Results

The Financial Accounts of the United States (the Accounts or FAUS) provide data on the financial assets and liabilities of major sectors of the United States economy, disaggregated by financial instrument. The Accounts can thus serve many purposes, such as sizing sectors and instruments, analyzing changes in credit flows, and assessing the net worth of households.
FEDS Notes , Paper 2023-03-24-3

Working Paper
How do Capital Requirements Affect Loan Rates? Evidence from High Volatility Commercial Real Estate

We study how bank loan rates responded to a 50% increase in capital requirements for a subcategory of construction lending, High Volatility Commercial Real Estate (HVCRE). To identify this effect, we exploit variation in the loan terms determining whether a loan is classified as HVCRE and the time that a treated loan would be subject to the increased capital requirements. We estimate that the HVCRE rule increases loan rates by about 40 basis points for HVCRE loans, indicating that a one percentage point increase in required capital raises loan rates by about 9.5 basis points.
Finance and Economics Discussion Series , Paper 2018-079

Working Paper
On Commercial Construction Activity's Long and Variable Lags

We use microdata on the phases of commercial construction projects to document three facts regarding time-to-plan lags: (1) plan times are long--about 1.5 years on average--and highly variable, (2) roughly one-third of projects are abandoned in planning, (3) property price appreciation reduces the likelihood of abandonment. We construct a model with endogenous planning starts and abandonment that matches these facts. Endogenous abandonment makes short-term building supply more elastic, as price shocks immediately affect the exercise of construction options rather than just planning starts. ...
Finance and Economics Discussion Series , Paper 2024-016

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