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Working Paper
Risk overhang and loan portfolio decisions
Winton, Andrew; DeYoung, Robert; Gron, Anne (2005)
Despite operating under substantial regulatory constraints, we find that commercial banks manage their investments largely consistent with the predictions of portfolio choice models with capital market imperfections. Based on 1990-2002 data for small (assets less than $1 billion) U.S. commercial banks, net new lending to the business, real estate, and consumer sectors increased with expected sector profitability, tended to decrease with the illiquidity of existing (overhanging) loan stocks, and was responsive to correlations in cross-sector returns. Small banks are most appropriate for this ...
Working Paper Series , Paper WP-05-04

Working Paper
The Federal Reserve’s Evolving Monetary Policy Implementation Framework: 1914-1923
Chabot, Benjamin (2017-01-18)
The Federal Reserve has relied upon a number of different monetary policy implementation frameworks throughout its history. This paper describes the original implementation framework that evolved between 1914 and 1923 in response to new policy objectives and changing market conditions.
Working Paper Series , Paper WP-2017-1

Working Paper
Measurement errors in Japanese Consumer Price Index
Shiratsuka, Shigenori (1999)
In Japan, the Consumer Price Index (CPI) is widely used as a measure of inflation or the cost of living. The CPI is constructed by using a fixed-weight Laspeyres formula. This formula is used mainly because of its ease of calculation and comprehension, thus limiting the total cost of constructing the statistics. However, such simplicity makes it difficult for the CPI to reflect dynamic changes in economic activity such as changes in consumers' behavior between goods in response to relative price fluctuation, the introduction of new goods, and the disappearance of old goods. As a result, ...
Working Paper Series , Paper WP-99-2

Working Paper
Estimation of a transformation model with truncation, interval observation and time-varying covariates
Hu, Luojia; Honore, Bo E. (2009)
Abrevaya (1999b) considered estimation of a transformation model in the presence of left-truncation. This paper observes that a cross-sectional version of the statistical model considered in Frederiksen, Honor, and Hu (2007) is a generalization of the model considered by Abrevaya (1999b) and the generalized model can be estimated by a pairwise comparison version of one of the estimators in Frederiksen, Honor, and Hu (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time- varying explanatory variables.
Working Paper Series , Paper WP-09-16

Working Paper
The cost of banking panics in an age before “Too Big to Fail”
Chabot, Benjamin (2011)
How costly were the banking panics of the National Banking Era (1861-1913)? I combine two hand-collected data sets - the weekly statements of the New York Clearing House banks and the monthly holding period return of every stock listed on the NYSE - to estimate the cost of banking panics in an era before ?too big to fail.? The bank statements allow me to construct a hypothetical insurance contract which would have allowed investors to insure against sudden deposit withdrawals and the cross-section of stock returns allow us to draw inferences about the marginal utility during panic states. ...
Working Paper Series , Paper WP-2011-15

Working Paper
The effect of school finance reform on population heterogeneity
Aaronson, Daniel (1998)
This paper tests whether state school finance reform alters neighborhood income homogeneity. One implication of the Tiebout model is that within-community homogeneity declines as a result of an exogenous decrease in the ability of jurisdictions to set local tax and expenditure levels. The property tax revolt and the school finance equalization reform of the 1970s and 1980s offer a test of the role of state fiscal reform on aggregate population sorting behavior. The results show that school finance has a significant effect on school district income sorting, especially among low income ...
Working Paper Series , Paper WP-98-11

Working Paper
Cognitive abilities and household financial decision making
Agarwal, Sumit; Mazumder, Bhashkar (2011)
We analyze the effects of cognitive abilities on two examples of consumer financial decisions where suboptimal behavior is well defined. The first example refers to consumers who transfer the entire balance from an existing credit card account to a new account, but use the new card for convenience transactions, resulting in higher interest charges. The second example refers to consumers who face higher APRs because they inaccurately estimate their property value on a home equity loan or line of credit application. We match individuals from the US military for whom we have detailed test scores ...
Working Paper Series , Paper WP-2010-16

Working Paper
Human Capital Risk, Contract Enforcement, and the Macroeconomy
Krebs, Tom; Wright, Mark L. J.; Kuhn, Moritz (2014-10-22)
We use data from the Survey of Consumer Finance and Survey of Income Program Participation to show that young households with children are under-insured against the risk that an adult member of the household dies. We develop a tractable macroeconomic model with human capital risk, age-dependent returns to human capital investment, and endogenous borrowing constraints due to the limited pledgeability of human capital (limited contract enforcement). We show analytically that, consistent with the life insurance data, in equilibrium young households are borrowing constrained and under-insured ...
Working Paper Series , Paper WP-2014-9

Working Paper
Dynamic trade liberalization analysis: steady state, transitional and inter-industry effects
Kouparitsas, Michael A. (1998)
Despite their complexity, existing policy evaluation methods ignore many features of the real world that are pertinent for welfare analysis of trade policy. The main limitation of these technics is that they are static, which means they ignore important dynamic consequences of trade liberalization. This paper develops dynamic tools that overcome many of these weaknesses. I apply these technics to the North American Free Trade Agreement (NAFTA). My analysis suggests that while the steady state gains from NAFTA are significant, the transitional costs associated with moving to the liberalized ...
Working Paper Series , Paper WP-98-15

Working Paper
Banking market structure, financial dependence and growth: international evidence from industry data
Gambera, Michele; Cetorelli, Nicola (1999)
This paper explores the empirical relevance of banking market structure on growth. There is substantial evidence of a positive relationship between the level of development of the banking sector of an economy and its long-run output growth. Little is known, however, about the role played by the market structure of the banking sector on the dynamics of capital accumulation. This paper provides evidence that bank concentration promotes the growth of those industrial sectors that are more in need of external finance by facilitating credit access to younger firms. However, we also find evidence ...
Working Paper Series , Paper WP-99-8

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