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Author:Spiegel, Mark M. 

Working Paper
Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds

We assess the impact of news concerning the reforms associated with ?Abenomics? using an arbitrage-free term structure model of nominal and real yields. Our model explicitly accounts for the deflation protection enhancement embedded in Japanese inflation-indexed bonds issued since 2013, which pay their original nominal principal when deflation has occurred from issue to maturity. The value of this enhancement is sizable and time-varying, with substantive impacts on estimates of expected inflation compensation. After properly accounting for deflation protection, our results suggest that ...
Working Paper Series , Paper 2019-15

Working Paper
Sterilization of capital inflows through the banking sector: evidence from Asia

This paper develops an open-economy version of the Bernanke-Blinder model which indicates that sterilization efforts through increases in reserve requirements will have limited impact if viable financial alternatives to the commercial banking sector exists. We then examine the capital inflow surge experiences of seven developing Asian nations. Our analysis yields three stylized conclusions: First, the timing of capital inflow surges indicates a causal role for both domestic and foreign factors. Second, there is little general rule as to the most effective sterilization instrument. Finally, ...
Pacific Basin Working Paper Series , Paper 95-06

Working Paper
Modernization and Discrete Measures of Democracy

We reassess the empirical evidence for a positive relationship between income and democracy, commonly known as the ?modernization hypothesis,? using discrete democracy measures. While discrete measures have been advocated in the literature, they pose estimation problems under fixed effects due to incidental parameter issues. We use two methods to address these issues, the bias-correction method of Fernandez-Val, which directly computes the marginal effects, and the parameterized Wooldridge method. Estimation under the Fernandez-Val method consistently indicates a statistically and ...
Working Paper Series , Paper 2014-1

Working Paper
The disposition of failed Japanese bank assets: lessons from the U.S. savings and loan crisis

This paper reviews the Japanese experience with put guarantees recently offered in the sale of several failed banks. These guarantees, meant to address information asymmetry problems, are shown to create moral hazard problems of their own. In particular, the guarantees make acquiring banks reluctant to accept first-best renegotiations with problem borrowers. These issues also arose in the U.S. Savings and Loan crisis. Regulators in that crisis turned to an alternative guarantee mechanism known as loss-sharing arrangements, with apparently positive results. I introduce a formal debt model to ...
Pacific Basin Working Paper Series , Paper 2002-01

Journal Article
The Bretton Woods System: are we experiencing a revival? (symposium summary)

The Economic Letter summarizes the papers presented at the symposium "Revived Bretton Woods System: a new paradigm for Asian development?" held at the Federal Reserve Bank of San Francisco on February 4, 2005, under the joint sponsorship of the Bank's Center for Pacific Basin Studies and the University of California at Berkeley's Clausen Center for International Economics. The papers are listed at the end and are available at
FRBSF Economic Letter

Working Paper
Sterilization costs and exchange rate targeting

This paper examines the movements of exchange rates and capital flows in an environment where an optimizing central bank pursuing the joint goals of inflation and output targeting engages in costly sterilization activities. Our results predict that when faced with increased sterilization costs, the central bank will choose to limit its sterilization activities allowing target variables, such as the nominal exchange rate, to adjust. ; We then test the predictions of a linearized version of the saddle-path solution to the model for a cross-country panel of developing countries. We use IV, GMM ...
Pacific Basin Working Paper Series , Paper 99-03

Journal Article
Financial crises in emerging markets

This Economic Letter briefly reviews 11 papers that provide analytical perspectives and new empirical evidence on the causes of these crises as well as the appropriate policy responses. These papers, prepared for a conference sponsored by the Federal Reserve Bank of San Francisco?s Center for Pacific Basin Monetary and Economic Studies, have been collected in Financial Crises in Emerging Markets (edited by R. Glick, R. Moreno, and M. Spiegel), published in 2001 by Cambridge University Press.
FRBSF Economic Letter

Journal Article
How Persistent Are the Effects of Sentiment Shocks?

People?s feelings about the economy have been shown to be strongly connected to a state?s current economic health over short horizons. So, how well do such consumer sentiment measures coincide with economic growth over a longer period? Sentiment shocks are associated with large and statistically significant changes in state economic output over as long as a three-year horizon. While the sentiment shocks initially affect state consumption expenditures to a smaller degree, the impact tends to be more persistent, continuing as long as five years after the initial shock.
FRBSF Economic Letter

Journal Article
New evidence on state economic development spending and manufacturing employment

FRBSF Economic Letter

Working Paper
Bank charter value and the viability of the Japanese convoy system

This paper compares the performance of a convoy banking system, similar to that which prevailed in Japan, to a fixed-premium deposit insurance regime. Under this system, failed banks are merged with healthy banks, rather than closed, so that the banking system itself provides the safety net for guaranteed deposits. While neither regime is generally preferable over the other, the results show that the performance of the convoy system is more sensitive to changes in bank charter values and the overall health of the banking system. The recent breakdown of the convoy system may therefore be ...
Pacific Basin Working Paper Series , Paper 99-06


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