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

Working Paper
The Savings and loan rescue of 1989: causes and perspective

Working Paper Series, Issues in Financial Regulation , Paper 89-23

Working Paper
The equity premium puzzle and the risk-free rate puzzle at long horizons

The failure of consumption based asset pricing models to match the stochastic properties of the equity premium and the risk-free rate has been attributed by some authors to frictions, transaction costs or durability. However, such frictions would primarily affect the higher frequency data components: consumption-based pricing models that concentrate on long-horizon returns should be more successful. ; We consider three consumption-based models of the asset-pricing kernel: time-separable utility, and the models of Abel (1990) and Constantinides (1990). We estimate a vector ARCH model that ...
Working Paper Series, Issues in Financial Regulation , Paper WP-96-4

Working Paper
Do vulnerable economies need deposit insurance?: lessons from the U.S. agricultural boom and bust of 1920s

Working Paper Series, Issues in Financial Regulation , Paper 89-18

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
Optimal contingent bank liquidation under moral hazard

Working Paper Series, Issues in Financial Regulation , Paper 91-13

Working Paper
Capital adequacy and the growth of U.S. banks

Working Paper Series, Issues in Financial Regulation , Paper 92-11

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
The impact of deposit insurance on S&L shareholders' risk/return trade- offs

Working Paper Series, Issues in Financial Regulation , Paper 1989-24

Working Paper
Requiem for a market marker: the case of Drexel Burham Lambert and below-investment-grade bonds

Working Paper Series, Issues in Financial Regulation , Paper WP-97-25

Working Paper
Payments system risk issues in a global economy

Working Paper Series, Issues in Financial Regulation , Paper 90-12

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