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Conference Paper
Regulatory reforms to reduce financial fragility

Proceedings , Paper 1136

Journal Article
An introduction to complete markets

Review , Issue Mar , Pages 32-57

Journal Article
First quarters in the national income and product accounts

Prompted by their expectations of an initial estimate of a marked slowdown in U.S. real gross domestic product growth in the first quarter of 2015, commentators and analysts have drawn attention to an apparent ?first-quarter effect? in the U.S. national income and product accounts
Research Rap Special Report , Issue May

Household heterogeneity and real exchange rates

Typical incomplete markets models in international economics make two assumptions. First, households are not able to fully insure themselves against country-specific shocks. Second, there is a representative household within each country, so that households are fully insured against idiosyncratic shocks. We assume instead that cross-household risk-sharing is limited within countries, but cross-country risk-sharing is complete. We consider two types of limited risk-sharing: domestically incomplete markets (DI) and private information-Pareto optimal (PIPO) risk-sharing. We show that the models ...
Staff Report , Paper 372

Working Paper
Explaining asset pricing puzzles associated with the 1987 market crash

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features ...
Working Paper Series , Paper WP-2010-10

Journal Article
President's message: The limits of limiting financial innovation

Econ Focus , Volume 16 , Issue 1Q , Pages 1

How well do the markets understand Fed policy?

Presentation to the Center for Financial Studies, Frankfurt, Germany - Nov. 30, 2000
Speech , Paper 64

Working Paper
Market run-ups, market freezes, inventories, and leverage

This paper is superseded by Working Paper No. 13-14.> We study trade between a buyer and a seller who have existing inventories of assets similar to those being traded. We analyze how these inventories affect trade, information dissemination, and prices. We show that when traders? initial leverages are moderate, inventories increase price and trade volume (a market ?run-up?), but when leverages are high, trade is impossible (a market ?freeze?). Our analysis predicts a pattern of trade in which prices and volumes first increase, and then markets break down. Moreover, the presence of competing ...
Working Papers , Paper 12-8

Working Paper
Entry, exit and the determinants of market structure

Market structure is determined by the entry and exit decisions of individual producers. These decisions are driven by expectations of future profits which, in turn, depend on the nature of competition within the market. In this paper we estimate a dynamic, structural model of entry and exit in an oligopolistic industry and use it to quantify the determinants of market structure and long-run firm values for two U.S. service industries, dentists and chiropractors. We find that entry costs faced by potential entrants, fixed costs faced by incumbent producers, and the toughness of short-run price ...
Working Papers (Old Series) , Paper 0907

Working Paper
Interest rates and prices in an inventory model of money with credit

Using a segmented market model that includes state-dependent asset market decisions along with access to credit, we analyze the impact that transactions credit has on interest rates and prices. We find that the availability of credit substantially changes the dynamics in the model, allowing agents to significantly smooth consumption and reduce the movements in velocity. As a result, prices become quite flexible and liquidity effects are dampened. Thus, adding another medium of exchange whose use is calibrated to U.S. data has important implications for economic behavior in a segmented markets ...
Working Papers , Paper 13-05



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Bond, Philip 4 items

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Athreya, Kartik B. 2 items

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