Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Offshore Production and Business Cycle Dynamics with Heterogeneous Firms
Zlate, Andrei (2016-02-17)
To examine the effect of offshoring through vertical FDI on the international transmission of business cycles, I propose a two-country model in which firms endogenously choose the location of their production plants over the business cycle. Firms face a sunk cost to enter the domestic market and an additional fixed cost to produce offshore. As such, the offshoring decision depends on the firm-specific productivity and on fluctuations in the relative cost of effective labor. The model generates a procyclical pattern of offshoring and dynamics along its extensive margin that are consistent with ...
Supervisory Research and Analysis Working Papers , Paper RPA 16-1

Working Paper
Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system
Fillat, Jose; Montoriol-Garriga, Judit (2010)
The pro-cyclical effect of bank capital requirements has attracted much attention in the post-crisis discussion of how to make the financial system more stable. This paper investigates and calibrates a dynamic provision as an instrument for addressing pro-cyclicality. The model for the dynamic provision is adopted from the Spanish banking regulatory system. We argue that, had U.S. banks set aside general provisions in positive states of the economy, they would have been in a better position to absorb their portfolios? loan losses during the recent financial turmoil. The allowances accumulated ...
Supervisory Research and Analysis Working Papers , Paper QAU10-4

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
Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?
Macchiavelli, Marco; Eisenbach, Thomas M.; Anadu, Kenechukwu E.; Cipriani, Marco; La Spada, Gabriele; Wang, J. Christina; Huang, Catherine; Malfroy-Camine, Antoine; Azar, Pablo D.; Landoni, Mattia (2023-08-24)
Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to investor behavior during the money market fund runs of 2008 and 2020. We document that, similar to money market fund investors, stablecoin investors engage in flight-to-safety, with net flows from riskier to safer stablecoins during run periods. However, whereas in money market funds run risk has ...
Supervisory Research and Analysis Working Papers , Paper SRA 23-02

Working Paper
Macroprudential Policy: Case Study from a Tabletop Exercise
Zlate, Andrei; de Fontnouvelle, Patrick; Yang, Emily; Adrian, Tobias (2015-09-30)
Since the global financial crisis of 2007-09, policy makers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that aimed at confronting Federal Reserve Bank presidents with a plausible, albeit hypothetical, macro-financial scenario that would lend itself to macroprudential considerations. In the tabletop exercise, the primary macroprudential objective was to reduce the likelihood and severity of possible future financial disruptions associated with the hypothetical overheating ...
Supervisory Research and Analysis Working Papers , Paper RPA 15-1

Working Paper
Forgive and forget: who gets credit after bankruptcy and why?
Cohen-Cole, Ethan; Montoriol-Garriga, Judit; Duygan-Bump, Burcu (2009)
Conventional wisdom about individuals who have gone bankrupt is that they find it very difficult to get credit for at least some time after their bankruptcy. However, there is very little non-survey based empirical evidence on the availability of credit post-bankruptcy. This paper makes two contributions using data from one of the largest credit bureaus in the US. First, we show that individuals who file for bankruptcy can indeed get credit very quickly after they file. Indeed, 90% of individuals have access to some sort of credit within the 18 months after filing for bankruptcy, and 66% have ...
Supervisory Research and Analysis Working Papers , Paper QAU09-2

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
Reach for Yield by U.S. Public Pension Funds
Zlate, Andrei; Pritsker, Matthew; Anadu, Kenechukwu E.; Bohn, James; Lu, Lina (2019-06-06)
This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds? risk-taking behavior, we first present a simple theoretical model relating risk-taking to the level of risk-free rates, to their underfunding, and to the fiscal condition of their state sponsors. The theory identifies two distinct channels through which interest rates and other factors may affect risk-taking: by altering plans? funding ratios, and by changing risk premia. The theory also shows the effect of state finances on funds? risk-taking ...
Supervisory Research and Analysis Working Papers , Paper RPA 19-2

Working Paper
Variable Annuities: Underlying Risks and Sensitivities
Chahboun, Imad; Hoover, Nathaniel (2019-04-09)
This paper presents a quantitative model designed to understand the sensitivity of variable annuity (VA) contracts to market and actuarial assumptions and how these sensitivities make them a potentially important source of risk to insurance companies during times of stress. VA contracts often include long dated guarantees of market performance that expose the insurer to multiple nondiversifiable risks. Our modeling framework employs a Monte Carlo simulation of asset returns and policyholder behavior to derive fair prices for variable annuities in a risk neutral framework and to estimate ...
Supervisory Research and Analysis Working Papers , Paper RPA 19-1

Working Paper
Managing Risk in Cards Portfolios: Risk Appetite and Limits
Eder, Tiffany; Labonne, Claire; O'Loughlin, Caitlin; Sharma, Krish (2024-02-15)
We describe an important risk management tool at financial institutions, risk appetite frameworks. We observe those frameworks for credit cards portfolios at four large banks and analyze when and why banks adjust them. The risk appetite frameworks for these banks monitor 40 to 150 metrics. We focus on metrics related to outstanding balances of which we identified 79. Overall, we find that these frameworks are sticky. Most adjustments occur during scheduled annual reviews and are relatively limited. Limit breaches are rare. Thresholds are often changed the month after a breach or after the ...
Supervisory Research and Analysis Working Papers , Paper 24-01

show more (42)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords