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Working Paper
Assessing the Historical Role of Credit: Business Cycles, Financial Crises, and the Legacy of Charles S. Peirce
Jordà, Òscar (2013-07-01)
This paper provides a historical overview on financial crises and their origins. The objective is to discuss a few of the modern statistical methods that can be used to evaluate predictors of these rare events. The problem involves prediction of binary events and therefore fits modern statistical learning, signal processing theory, and classification methods. The discussion also emphasizes the need to supplement statistics and computational techniques with economics. A forecast?s success in this environment hinges on the economic consequences of the actions taken as a result of the forecast, ...
Working Paper Series , Paper 2013-19

Working Paper
Financial signal processing: a self calibrating model
Jamieson, Barbara M.; Elliott, Robert J.; Hunter, William C. (2000)
Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain explicit expressions for the prices of zero-coupon bonds and other securities. Discretizing our model allows the use of signal processing techniques from Hidden Markov Models. This means we can estimate not only the unobserved Markov chain but also the parameters of the model, so the model is ...
Working Paper Series , Paper WP-00-21

Working Paper
A Hitchhiker’s Guide to Empirical Macro Models
Canova, Fabio; Ferroni, Filippo (2021-09-04)
This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other models with classical or Bayesian methods. The toolbox allows a researcher to conduct inference under various prior assumptions on the parameters, to produce point and density forecasts, to measure spillovers and to trace out the causal effect of shocks using a number of identification schemes. The toolbox is equipped to handle missing observations, mixed frequencies and time series with large cross-section information (e.g. panels of VAR and FAVAR). It also contains a number ...
Working Paper Series , Paper WP-2021-15

Working Paper
Loan Officers and Relationship Lending to SMEs
Udell, Gregory F.; Uchida, Hirofumi; Yamori, Nobuyoshi (2008-07-01)
Previous research suggests that loan officers play a critical role in relationship lending by producing soft information about SMEs. For the first time, we empirically confirm this hypothesis. We also examine whether the role of loan officers differs from small to large banks as predicted by Stein (2002). While we find that small banks produce more soft information, the capacity and manner in which loan officers produce soft information does not seem to differ between large and small banks. This suggests that, although large banks may produce more soft information, they likely tend to ...
Working Paper Series , Paper 2008-17

Working Paper
Technology Providers and Financial Stability: Overview of Risks and Regulatory Frameworks
Garza, Lorenzo; Chmielewski, Rebecca; Schulhofer-Wohl, Sam; Cowperthwait, Patricia K.; Cho, Meeoak; Amromin, Gene; Solimine, Brett; Anadu, Kenechukwu E.; Sanders, Siobhan; Chapel, Amy; Weiss, Emma; Hull, Cindy E.; Bräuning, Falk (2025-06-23)
Technology-focused Third-Party Service Providers (TPSPs) have become important players in the operations of financial institutions and the financial markets. This paper summarizes micro- and macro-prudential regulatory frameworks in place to address risks that TPSPs pose to the financial system. The key takeaways are as follows: First, in the U.S., TPSPs operate under limited comprehensive prudential regulatory oversight, aimed primarily at ensuring that their products are safe and resilient on an ongoing basis. Second, while banks rely on multiple TPSPs and hundreds of their services daily ...
Working Paper Series , Paper WP 2025-08

Working Paper
Understanding the effects of a shock to government purchases
Fisher, Jonas D. M.; Edelberg, Wendy; Eichenbaum, Martin S. (1998)
This paper investigates the consequences of an exogenous increase in U.S. government purchase. We find the in response to such a shock, employment, output, and nonresidential investment rise, while real wages, residential investment and consumption expenditures fall. The paper argues that a simple variant of neoclassical growth model which distinguishes between nonresidential and residential investment is consistent with this evidence.
Working Paper Series , Paper WP-98-7

Working Paper
Identification of search models with initial condition problems
Nagaraja, H. N.; Barlevy, Gadi (2006)
This paper extends previous work on the identification of search models in which observed worker productivity is imperfectly observed. In particular, it establishes that these models remain identified even when employment histories are left-censored (i.e. we do not get to follow workers from their initial job out of unemployment), as well as when workers set different reservation wages from one another. We further show that allowing for heterogeneity in reservation can affect the empirical estimates we obtain, specifically estimates of the rate at which workers receive job offers.
Working Paper Series , Paper WP-06-03

Working Paper
Monetary and Fiscal Policies in Times of Large Debt: Unity is Strength
Faccini, Renato; Melosi, Leonardo; Bianchi, Francesco (2020-05-11)
The Covid-19 pandemic found policymakers facing constraints on their ability to react to an exceptionally large negative shock. The current low interest rate environment limits the tools the central bank can use to stabilize the economy, while the large public debt curtails the efficacy of fiscal interventions by inducing expectations of costly fiscal adjustments. Against this background, we study the implications of a coordinated fiscal and monetary strategy aimed at creating a controlled rise of inflation to wear away a targeted fraction of debt. Under this coordinated strategy, the fiscal ...
Working Paper Series , Paper WP 2020-13

Working Paper
Risk taking and the quality of informal insurance: gambling and remittances in Thailand
Paulson, Anna L.; Miller, Douglas L. (2007)
More than 35% of Thai households either give or receive remittances, and remittances account for about one-third of the income of the receiving households. Remittance relationships may be an important source of protection against adverse events for the individuals involved. This paper provides evidence that remittances behave in a way that is consistent with insurance: they are sensitive to shocks to regional rainfall and they respond to household level events. The paper goes on to consider how the quality of insurance that is offered through remittances affects household risk taking ...
Working Paper Series , Paper WP-07-01

Working Paper
Last-in first-out oligopoly dynamics
Campbell, Jeffrey R.; Abbring, Jaap H. (2006)
This paper extends the static analysis of oligopoly structure into an infinite- horizon setting with sunk costs and demand uncertainty. The observation that exit rates decline with firm age motivates the assumption of last-in first- out dynamics: An entrant expects to produce no longer than any incumbent. This selects an essentially unique Markov-perfect equilibrium. With mild restrictions on the demand shocks, a sequence of thresholds describes firms? equilibrium entry and survival decisions. Bresnahan and Reiss?s (1993) empirical analysis of oligopolists? entry and exit assumes that such ...
Working Paper Series , Paper WP-06-28

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