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Bank:Federal Reserve Bank of Cleveland  Series:Working Papers (Old Series) 

Working Paper
Private money creation and the Suffolk Banking System

Recent legislation has removed U.S. legal impediments to issuing private bank notes. At the same time, improved transaction technologies have enabled banks and other entities to issue various forms of "e-cash." Consequently, developed economies may soon see the reemergence of privately issued substitutes for currency. The authors examine the potential economic consequences using the Bank of Suffolk as a model.
Working Papers (Old Series) , Paper 9821

Working Paper
Diagnosing labor market search models: a multiple-shock approach

We construct a multiple shock, discrete time version of the Mortensen-Pissarides labor market search model to investigate the basic model?s well-known tendency to underpredict the volatility of key labor market variables. In addition to the standard labor productivity shock, we introduce shocks to matching effi ciency and job separation. We conduct two set of experiments. First, we estimate the joint probability distribution of shocks that simultaneously satisfy the observed data and the fi rst-order conditions of the multiple-shock model, and then simulate its properties. Although the ...
Working Papers (Old Series) , Paper 1211

Working Paper
Systemic risk analysis using forward-looking distance-to-default series

Based on contingent claims theory, this paper develops a method to monitor systemic risk in the European banking system. Aggregated Distance-to-Default series are generated using option prices information from systemically important banks and the DJ STOXX Banks Index. These indicators provide methodological advantages in monitoring vulnerabilities in the banking system over time: 1) they capture interdependences and joint risk of distress in systemically important banks; 2) their forward-looking feature endow them with early signaling properties compared to traditional approaches in the ...
Working Papers (Old Series) , Paper 1005

Working Paper
The Impact of Tobacco-Free School Laws on Student and Staff Smoking Behavior

A number of US states have enacted bans on tobacco use by students, staff, and visitors anywhere on the grounds of public elementary and secondary schools statewide. These laws are intended to reduce tobacco use, reduce exposure to secondhand smoke, reinforce anti-tobacco curricula taught in schools, and prevent children from viewing their teachers and fellow students using tobacco products. We examine the impact that the laws have on the smoking behavior of students, teachers, and other school staff by estimating difference-in-differences models that exploit the time variation in adoption of ...
Working Papers (Old Series) , Paper 1724

Working Paper
Bank mergers and deposit interest rate rigidity

In this paper I revisit the debate on the impact of bank and market characteristics on the rigidity of retail bank interest rates. Whereas existing research in this area has been exclusively concerned with static measures of bank and market structure, I adopt a dynamic approach which explores the rigidity effects of the changes of bank and market structure generated by bank mergers. I find that bank mergers significantly affect the frequency of changes to deposit rates. In particular, the probability of adjusting deposit rates in response to shocks in money market rates significantly drops ...
Working Papers (Old Series) , Paper 1131

Working Paper
Estimating the cost of U.S. indexed bonds

A presentation of an equilibrium bond-pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The models parameters are estimated using a maximum-likelihood technique based on a Kalman filter.
Working Papers (Old Series) , Paper 9701

Working Paper
Information gathering by a principal

In the standard principal-agent model, the information structure is fixed. In this paper allow the principal to choose his level of informedness before he contracts with the agent. During the contracting phase, the agent never learns what the principal knows about the state of the world. I examine the cases where the agent observes and does not observe the level of informedness that the principal chooses. The strategic nature of the model environment implies that there are both direct and indirect costs associated with the existence of high quality information. The implications for ...
Working Papers (Old Series) , Paper 0307

Working Paper
Monitoring core inflation

An analysis of the use of limited-information estimators as measures of core inflation, showing that these estimators, such as the median of the cross-sectional distribution of inflation, have a higher correlation with past money growth and deliver improved forecasts of future inflation relative to the Consumer Price Index.
Working Papers (Old Series) , Paper 9304

Working Paper
Posted rates as signals in mortgage lending markets

A discussion of how mortgage lenders might use posted lending terms to signal both their eagerness to take new loan applications and their lending standards.
Working Papers (Old Series) , Paper 9419

Working Paper
False security: how securitization failed to protect arrangers and investors from borrower claims

The future of housing finance is in a state of flux. In February 2011, the Obama Administration released a proposal outlining three plans for the future of housing finance. In all three plans, Freddie Mac and Fannie Mae will be phased out over a period of years and replaced with a private securitization market, which may be backed, in whole or in part, by a government guarantee. Whether the final plan relies upon government-guaranteed securities or private-label securities, Congress will have to resolve a range of complex legal aspects of securitization, from the bankruptcy remoteness of ...
Working Papers (Old Series) , Paper 1109

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