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

Working Paper
Junk bond holdings, premium tax offsets, and risk exposure at life insurance companies

Working Paper Series, Issues in Financial Regulation , Paper 93-3

Working Paper
\"Peso problem\" explanations for term structure anomalies

We examine the empirical evidence on the expectation hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive methodology. We argue that anomalies in the U.S. term structure, documented by Campbell and Shiller (1991), may be due to a generalized peso problem in which a high-interest rate regime occurred less frequently in the sample of U.S. data than was rationally anticipated. We formalize this idea as a regime-switching model of short-term interest rates estimated with ...
Working Paper Series, Issues in Financial Regulation , Paper WP-97-07

Working Paper
Noisy trade disclosure and liquidity

Working Paper Series, Issues in Financial Regulation , Paper 95-18

Working Paper
The role of the financial services industry in the local economy

Working Paper Series, Issues in Financial Regulation , Paper WP-97-21

Working Paper
A framework for estimating the value and interest rate risk of retail bank deposits

Working Paper Series, Issues in Financial Regulation , Paper 92-30

Working Paper
How should financial institutions and markets be structured? Analysis and options for financial system design

Working Paper Series, Issues in Financial Regulation , Paper WP-96-20

Working Paper
Deregulation, cost economies and allocative efficiency of large commercial banks

Working Paper Series, Issues in Financial Regulation , Paper 90-19

Working Paper
On biases in tests of the expectations hypothesis of the term structure of interest rates

We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions for these biases, and we characterize the small-sample distributions of these test statistics under a simple first-order autoregressive data generating process for the short rate. The biases are also present when the short rate is modeled with a more realistic regime-switching process. The differences ...
Working Paper Series, Issues in Financial Regulation , Paper WP-96-3

Working Paper
Is the banking and payments system fragile?

Working Paper Series, Issues in Financial Regulation , Paper 94-28

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

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

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