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Working Paper
Bank diversification, market structure and bank risk taking: theory and evidence from U.S. commercial banks
Goetz, Martin R. (2012)
This paper studies how a bank?s diversification affects its own risk taking behavior and the risk taking of competing, nondiversified banks. By combining theories of bank organization, market structure and risk taking, I show that greater geographic diversification of banks changes a bank?s lending behavior and market interest rates, which also has ramifications for nondiversified competitors due to interactions in the banking market. Empirical results obtained from the U.S. commercial banking sector support this relationship as they indicate that a bank?s risk taking is lower when its ...
Supervisory Research and Analysis Working Papers , Paper QAU12-2

Working Paper
International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals?
Ahmed, Shaghil; Coulibaly, Brahima; Zlate, Andrei (2017-06-05)
We assess the importance of economic fundamentals in the transmission of international shocks to financial markets in various emerging market economies (EMEs), covering the so-called taper-tantrum episode of 2013 and seven other episodes of severe EME-wide financial stress since the mid-1990s. Cross-country regressions lead us to the following results: (1) EMEs with relatively better economic fundamentals suffered less deterioration in financial markets during the 2013 taper-tantrum episode. (2) Differentiation among EMEs set in relatively early and persisted through this episode. (3) During ...
Supervisory Research and Analysis Working Papers , Paper RPA 17-2

Working Paper
Household debt repayment behaviour: what role do institutions play?
Grant, Charles; Duygan-Bump, Burcu (2008)
Household debt repayment behavior has been understudied, especially empirically, despite the heightened debate on rising household debt, personal bankruptcy filings, and arrears. In this paper, we use data from the European Community Household Panel to analyze the determinants of household debt arrears. The paper's primary aim is to understand the role of institutions in household arrears by exploiting cross-country differences and the panel nature of the data set. We start our analysis by showing that falling into arrears has important long-term consequences for employment, self-employment, ...
Supervisory Research and Analysis Working Papers , Paper QAU08-3

Working Paper
Liquidity Shocks, Dollar Funding Costs, and the Bank Lending Channel during the European Sovereign Crisis
Zlate, Andrei; Correa, Ricardo; Sapriza, Horacio (2016-09-30)
This paper documents a new type of cross-border bank lending channel using a novel dataset on the balance sheets of U.S. branches of foreign banks and their syndicated loans. We show that: (1) The U.S. branches of euro-area banks suffered a liquidity shock in the form of reduced access to large time deposits during the European sovereign debt crisis in 2011. The shock was related to their euro-area affiliation rather than to country- or bank-specific characteristics. (2) The affected branches received additional funding from their parent banks, but not enough to offset the lost deposits. (3) ...
Supervisory Research and Analysis Working Papers , Paper RPA 16-4

Working Paper
Demonstration effects in preventive care
Banerjee, Ritesh; Cohen-Cole, Ethan; Zanella, Giulio (2007)
Using a unique dataset composed of female employees at a large medical organization, this paper explores the role of social interactions among female co-workers and neighbors in the decision to obtain breast cancer screening exams. In our theoretical framework, the experience of other women is salient because it alters the tolerance for ambiguity about their own vulnerability, via a comparative ignorance effect. We find that the social multiplier ranges from 2 to 3: the equilibrium effect of an exogenous shock that impacts the probability of performing a mammogram is two to three times the ...
Supervisory Research and Analysis Working Papers , Paper QAU07-7

Working Paper
Optimal portfolio choice with predictability in house prices and transaction costs
Fillat, Jose; Corradin, Stefano; Vergara-Alert, Carles (2010)
We study a model of portfolio choice, in which housing prices are predictable and adjustment costs must be paid when there is a housing transaction. We show that two state variables affect the agent's decisions: (i) his wealth-house ratio; and (ii) the time-varying expected growth rate of housing prices. The agent buys (sells) his housing assets only when the wealth-house ratio reaches an optimal upper (lower) boundary. These boundaries are time-varying and depend on the expected growth rate of housing prices. Finally, we use household level data from the PSID and SIPP surveys to test and ...
Supervisory Research and Analysis Working Papers , Paper QAU10-2

Working Paper
Model uncertainty and the deterrent effect of capital punishment
Fagan, Jeffrey; Nagin, Daniel; Cohen-Cole, Ethan; Durlauf, Steven N. (2007)
The reintroduction of capital punishment after the end of the Supreme Court moratorium has permitted researchers to employ state level heterogeneity in the use of capital punishment to study deterrent effects. However, no scholarly consensus exists as to their magnitude. A key reason this has occurred is that the use of alternative models across studies produces differing estimates of the deterrent effect. Because differences across models are not well motivated by theory, the deterrence literature is plagued by model uncertainty. We argue that the analysis of deterrent effects should ...
Supervisory Research and Analysis Working Papers , Paper QAU07-3

Working Paper
Risk, returns, and multinational production
Garetto, Stefania; Fillat, Jose (2010)
This paper starts by unveiling a new empirical regularity: multinational corporations systematically tend to exhibit higher stock market returns and earnings yields than non-multinational firms. Within non-multinationals, exporters tend to exhibit higher earnings yields and returns than firms selling only in their domestic market. To explain this pattern, we develop a real option value model where firms are heterogeneous in productivity, and have to decide whether and how to sell in a foreign market where demand is risky. Firms can serve the foreign market through trade or foreign direct ...
Supervisory Research and Analysis Working Papers , Paper QAU10-5

Working Paper
Offshoring, Low-skilled Immigration, and Labor Market Polarization
Zlate, Andrei; Mandelman, Federico S. (2016-09-30)
During the last three decades, the U.S. labor market has been characterized by its employment polarization. As jobs in the middle of the skill distribution have shrunk, employment has expanded in high- and low-skill occupations. Real wages have not followed the same pattern. While earnings for high-skill occupations have risen robustly, wages for both low- and middle-skill workers have remained subdued. We attribute this outcome to the rise in offshoring and low-skilled immigration, and develop a three-country stochastic growth model to rationalize their asymmetric effect on employment and ...
Supervisory Research and Analysis Working Papers , Paper RPA 16-3

Working Paper
Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique
Prono, Todd (2009)
A pricing restriction is developed to test the validity of the CAPM conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Distinguishing this pricing restriction from competing tests also based upon the relative efficiency of the proxy return is a consideration for the proxy's mismeasurement of the market return. Failure to account for this mismeasurement biases tests of the CAPM towards rejection by overstating the inefficiency of the proxy. A time-varying version of this pricing restriction links mismeasurement of the ...
Supervisory Research and Analysis Working Papers , Paper QAU09-3

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