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Bank:Federal Reserve Bank of Chicago  Series:Working Paper Series, Issues in Financial Regulation 

Working Paper
Alligators in the swamp: the impact of derivatives on the financial performance of depository institutions

It has been argued that underpriced federal deposit insurance provides incentive for insured institutions to increase the value of shareholder equity by expanding into activities that shift risk onto the deposit insurer. Derivative instruments have been used by firms to change their risk exposure. Permitting firms with substantial moral hazard incentives to utilize interest-rate derivative instruments could lead to higher rather than lower exposure to risk. This article, using a sample of savings and loan associations (S&Ls), examines the proposition that involvement with interest-rate ...
Working Paper Series, Issues in Financial Regulation , Paper WP-96-6

Working Paper
Bank capital standards for market risk: a welfare analysis

We develop a model of commodity money and use it to analyze the following two questions motivated by issues in monetary history: What are the conditions under which Gresham's Law holds? And, what are the mechanics of a debasement (lowering the metallic content of coins)? The model contains light and heavy coins, imperfect information, and prices determined via bilateral bargaining. There are equilibria with neither, both, or only one type of coin in circulation. When both circulate, coins may trade by weight or by tale. We discuss the extent to which Gresham's Law holds in the various cases. ...
Working Paper Series, Issues in Financial Regulation , Paper WP-97-09

Working Paper
Are some banks too large to fail? Myth and reality

Working Paper Series, Issues in Financial Regulation , Paper 89-14

Working Paper
Variability and stationarity of term premia

Working Paper Series, Issues in Financial Regulation , Paper 89-16

Working Paper
An investigation of returns conditional on trading performance

Working Paper Series, Issues in Financial Regulation , Paper 92-24

Working Paper
A Model of borrowing and lending with fixed and variable interest rates

Working Paper Series, Issues in Financial Regulation , Paper 89-17

Working Paper
Trading activity, program trading, and the volatility of stock returns

Working Paper Series, Issues in Financial Regulation , Paper 92-16

Working Paper
Preferred sources of market discipline: depositors vs. subordinated debt holders

Working Paper Series, Issues in Financial Regulation , Paper 92-21

Working Paper
Financial distress and the role of capital contributions by the owner manager

This paper examines the implications of bankruptcy law for owner managed firms. These firms are typically (i) smaller, (ii) their value is closely tied to the skills of the owner manager, and (iii) the owner manager represents a feasible source of capital contributions if the firm is in financial distress. The terms of such capital infusions, codified as the new value exception (NVE) to the absolute priority rule (APR), has been the source of considerable controversy, both in terms of its existence, and the economic benefit, if any, that it provides. We show that when the owner manager cannot ...
Working Paper Series, Issues in Financial Regulation , Paper WP-96-22

Working Paper
The effect of bank-held derivatives on credit accessibility

Working Paper Series, Issues in Financial Regulation , Paper 94-5

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