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Working Paper
The devil's in the tail: residential mortgage finance and the U.S. Treasury
White, Lawrence J.; Frame, W. Scott; Wall, Larry D. (2012)
This paper seeks to contribute to the U.S. housing finance reform conversation by providing a critical assessment of the various types of policy proposals that have been offered. There appears to be a broad consensus to maintain explicit government guarantees for certain narrowly defined borrower populations, such as Federal Housing Administration insurance guarantees for low- and moderate-income and first-time homebuyers. However, the expected role of the federal government in the broader housing finance system is in dispute. The expected role ranges from no role to insuring against only ...
FRB Atlanta Working Paper , Paper 2012-12

Working Paper
Forecasts of inflation and interest rates in no-arbitrage affine models
Wei, Bin; Gospodinov, Nikolay (2016-02-01)
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological side, we propose a novel way of incorporating information from these markets into an affine model. On the empirical side, two main findings emerge from our analysis. First, incorporating information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of ...
FRB Atlanta Working Paper , Paper 2016-3

Working Paper
Minimal state variable solutions to Markov-switching rational expectations models
Zha, Tao; Waggoner, Daniel F.; Farmer, Roger E. A. (2008)
We develop a new method for computing minimal state variable solutions (MSV) to Markov-switching rational expectations models. We provide an algorithm to compute an MSV solution and show how to test a given solution for uniqueness and boundedness. We construct an example that is calibrated to U.S. data and show that the MSV solution in our example is unique. This solution can potentially explain in three different ways the observed reduction in the variance of inflation and the interest rate after 1980: The policy rule might have changed, the variance of the fundamental shocks might have ...
FRB Atlanta Working Paper , Paper 2008-23

Working Paper
Energy price shocks and the macroeconomy: the role of consumer durables
Dhawan, Rajeev; Jeske, Karsten (2006)
So far, the literature on dynamic stochastic general equilibrium models with energy price shocks uses energy on the production side only. In these models, energy shocks are responsible for only a negligible share of output fluctuations. We study the robustness of this finding by explicitly modeling private consumption of energy at the household level in addition to energy use at the firm level to account for total energy use in the economy. Additionally, we distinguish between investment in consumer durables and investment in capital goods. The model economy is calibrated to match total ...
FRB Atlanta Working Paper , Paper 2006-09

Working Paper
Fracking and Mortgage Default
Cunningham, Chris; Gerardi, Kristopher S.; Shen, Yannan (2017-03-01)
This paper ?nds that increased hydraulic fracturing, or "fracking," along the Marcellus Formation in Pennsylvania had a signi?cant, negative effect on mortgage credit risk. Controlling for potential endogeneity bias by utilizing the underlying geologic properties of the land as instrumental variables for fracking activity, we ?nd that mortgages originated before the 2007 boom in shale gas, were, post-boom, signi?cantly less likely to default in areas with greater drilling activity. The weight of evidence suggests that the greatest bene?t from fracking came from strengthening the labor ...
FRB Atlanta Working Paper , Paper 2017-4

Working Paper
Bid-ask spreads in multiple dealer settings: Some experimental evidence
Church, Bryan K.; Ackert, Lucy F. (1998)
We report the results of an experiment designed to investigate the behavior of quoted spreads in multiple-dealer markets. We manipulate verbal communication (not allowed and allowed) and order preferencing (not allowed, allowed, and allowed with order-flow payment) between eighteen sessions. Without preferencing, spreads are wider when communication is allowed. With preferencing (and no order-flow payments), individuals do not have incentives to narrow the spread and a wide spread may be maintained without a collusive agreement. However, spreads narrow somewhat when individuals are given the ...
FRB Atlanta Working Paper , Paper 98-9

Working Paper
Corporate social responsibility and shareholder's value: an event study analysis
Hasan, Iftekhar; Becchetti, Leonardo; Ciciretti, Rocco (2007)
Corporate social responsibility (CSR) is increasingly a core component of corporate strategy in the global economy. In recent years its importance has become even greater, primarily because of the financial scandals, investors? losses, and reputational damage to listed companies. While corporations are busy adopting and enhancing CSR practices, there is (beyond very few notable exceptions) no established empirical research on CSR?s impact and relevance in the capital market. This paper investigates this issue by tracing the market reaction to corporate entry and exit from the Domini 400 ...
FRB Atlanta Working Paper , Paper 2007-06

Working Paper
Immediate disclosure or secrecy? the release of information in experimental asset markets
Gillette, Ann B.; Church, Bryan K.; Ackert, Lucy F. (2001)
The Federal Reserve has made significant changes in its predisposition to release information over time. This paper reports the results of experimental asset markets designed to investigate how the public disclosure of uncertain information affects market and individual outcomes. In one set of markets, no information is released at the beginning of each trading year. In two other sets, an imperfect pre-announcement of the state of nature is disclosed. The reliability of the pre-announcement (60 percent and 90 percent) varies across treatments. Halfway through each trading year, the state of ...
FRB Atlanta Working Paper , Paper 2001-5

Working Paper
Identifying business cycle turning points in real time
Chauvet, Marcelle; Piger, Jeremy M. (2002)
This paper evaluates the ability of a statistical regime-switching model to identify turning points in U.S. economic activity in real time. The authors work with Markov-switching models of real GDP and employment that, when estimated on the entire post-war sample, provide a chronology of business cycle peak and trough dates very close to that produced by the National Bureau of Economic Research (NBER). Next, they investigate how accurately and quickly the models would have identified turning points had they been used in real-time for the past forty years. In general, the models identify ...
FRB Atlanta Working Paper , Paper 2002-27

Working Paper
Irrational expectations and econometric practice: discussion of Orphanides and Williams, \"Inflation scares and forecast-based monetary policy\"
Ireland, Peter N. (2003)
Athanasios Orphanides and John C. Williams' excellent conference paper, "Inflation Scares and Forecast-Based Monetary Policy," contributes importantly to the new and rapidly growing branch of the literature on bounded rationality and learning in macroeconomics. Their paper, like many others, derives interesting and useful theoretical results that show how the introduction of bounded rationality and learning impacts on the effects of monetary policy shocks and the characteristics of optimal monetary policy rules. This note suggests that some additional empirical work-some "irrational ...
FRB Atlanta Working Paper , Paper 2003-22

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