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Keywords:Capital market 

Working Paper
Rational expectations equilibrium in an economy with segmented capital asset markets

We develop a model of noisy rational expectations equilibrium in segmented markets. The noise emerges endogenously through intermarket effects rather than through exogenous supply noise from liquidity or naive trading as in standard noisy rational expectations equilibrium of the Hellwig type. Existence of and persistence of segmentation in equilibrium is established. A metric to determine welfare effects of the degree of segmentation is also derived. This metric is structurally different from the metric derived in the standard models and includes the latter as a special case. Empirical ...
FRB Atlanta Working Paper , Paper 95-16

Journal Article
Interest rates in U.S. capital markets

Federal Reserve Bulletin , Issue Nov

Working Paper
The pre-commitment approach: using incentives to set market risk capital requirements

This paper develops a model of bank behavior that focuses on the interaction between the incentives created by fixed-rate deposit insurance and a bank's choice of its loan portfolio and its market-traded financial instruments. The model is used to analyze the consequences of the Federal Reserve Board's proposed pre-commitment approach (PCA) for setting market risk capital requirements for bank trading portfolios. Under the PCA, a bank determines its own market risk capital requirement and is subject to a known regulatory penalty should its trading activities generate subsequent losses that ...
Finance and Economics Discussion Series , Paper 1997-14

Working Paper
Internal net worth and the investment process: an application to U.S. agriculture

Finance and Economics Discussion Series , Paper 124

Report
Financial intermediaries and monetary economics

We reconsider the role of financial intermediaries in monetary economics. We explore the hypothesis that financial intermediaries drive the business cycle by way of their role in determining the price of risk. In this framework, balance sheet quantities emerge as a key indicator of risk appetite and hence of the "risk-taking channel" of monetary policy. We document evidence that the balance sheets of financial intermediaries reflect the transmission of monetary policy through capital market conditions. We find short-term interest rates to be important in influencing the size of financial ...
Staff Reports , Paper 398

Working Paper
Financial integration, entrepreneurial risk and global dynamics

How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? This paper investigates this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk---a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. Our contribution is then to show that this friction provides a simple explanation for the emergence of global imbalances, a simple resolution to the empirical ...
Finance and Economics Discussion Series , Paper 2010-54

Conference Paper
A national snapshot for rural equity market innovation

Proceedings – Rural and Agricultural Conferences , Issue Aug , Pages 59-70

Working Paper
A framework for analyzing the process of financial innovation

The following note presents a framework for analyzing financial management techniques and financial product innovation. The framework attempts to illustrate how characteristics of the economic system and its participants motivate financing needs and encourage innovations in financing techniques. New sets of financial contracts are the joint product of (1) changes in technology and in the international macro environment of asset prices; (2) the interplay of individual market participant's existing financial exposures; and (3) the presence of fruitful cross-market arbitrage opportunities based ...
International Finance Discussion Papers , Paper 283

Working Paper
Investment smoothing with working capital: new evidence on the impact of financial constraints

Working Paper Series, Macroeconomic Issues , Paper 90-18

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