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Journal Article
Bank capital standards for foreign exchange and other market risks
Levonian, Mark E. (1994)
The Basle Committee on Banking Supervision has proposed methods for incorporating consideration of market risks--exchange rate, interest rate, and equity price risks--into risk-based capital standards for banks. This paper shows that the separate and seemingly different proposed approaches to the three sources of risk are consistent with one another, reflecting a single unifying theme. That theme is the measurement of risk through a weighting of two different measures of portfolio size, the gross position and the net position. A simple theoretical model demonstrates that such an approach ...
Economic Review

Journal Article
Downhill racers' dollars
Rusk, Karen (1970-10)
Economic Review , Issue Oct , Pages 196-197

Journal Article
Tax incentives for corporate leverage in the 1980s
Furlong, Frederick T. (1990-10)
Economic Review , Issue Fall , Pages 3-17

Journal Article
Expectations, money, and the forecasting of inflation
Pigott, Charles (1980-04)
Economic Review , Issue Spr , Pages 30-49

Journal Article
Measurement and policy
anonymous (1982-04)
Economic Review , Issue Spr , Pages 4-5

Journal Article
Hedonic-based price indexes for housing: theory, estimation, and index construction
Wallace, Nancy (1996)
Housing price indexes should not confound the effect of changes in quality with the effects of changing house prices. A recent nonparametric regression technique, loess, allows flexible estimation of the hedonic price function and centers the estimation at fixed points, such as the beginning or ending period housing characteristics. Indexes using these estimates are consistent with the requirements of Laspeyres and Paasche price indexes. The technique is used to obtain indexes for fifteen municipalities in Alameda County from 1970:Q1 through 1995:Q1. The nonparametric hedonic-based ...
Economic Review

Journal Article
The Japan - U.S. bilateral trade
Sakamoto, Tomohiko (1988-04)
Economic Review , Issue Spr , Pages 3-13

Journal Article
Methods for evaluating value-at-risk estimates
Lopez, Jose A. (1999)
Since 1998, U.S. commercial banks with significant trading activities have been required to hold capital against their defined market risk exposure. Under the "internal models" approach embodied in the current regulatory guidelines, the capital charges are a function of banks' own value-at-risk (VaR) estimates. VaR estimates are simply forecasts of the maximum portfolio loss that could occur over a given holding period with a specified confidence level. Clearly, the accuracy of these VaR estimates is of concern to both banks and their regulators. ; To date, two hypothesis-testing methods ...
Economic Review

Journal Article
Federal Reserve credibility and inflation scares
Lansing, Kevin J.; Huh, Chan Guk (1998)
We develop a simple, quantitative model of the U.S. economy to demonstrate how an "inflation scare " may occur when the Federal Reserve lacks full credibility. In particular, we show that the long-term nominal interest rate may undergo a sudden increase if an adverse movement in the inflation rate triggers a deterioration in the public's beliefs about the Federal Reserve's commitment to maintaining low inflation in the future. We find that simulations from our model capture some observed patterns of U.S. interest rates in the 1980s.
Economic Review

Journal Article
Indexes, inflation, and public policy
Runyon, Herbert (1981-04)
Economic Review , Issue Spr , Pages 44-56

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