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Bank:Federal Reserve Bank of San Francisco  Series:Proceedings 

Conference Paper
An empirical evaluation of the McKinnon proposal

Proceedings , Issue Aug , Pages 61-80

Conference Paper
The stock market and capital accumulation

The value of a firm's securities measures the value of the firm's productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measures the value of the capital. Finally, if the price of the capital can be measured or inferred, the quantity of the firm's capital is the value divided by the price. A standard model of adjustment costs enables the inference of the price of installed capital. I explore the implications of the proposition using data from U.S. non-farm, non-financial corporations over the past 50 years. The data ...
Proceedings , Issue Apr

Conference Paper
Dollars and deficits: where do we go from here?

Proceedings , Issue Feb

Conference Paper
Vintage and credit rating: what matters in the ABX data during the credit crunch?

The mortgage backed securities market has dramatically declined during the credit crunch of 2007-2008. To understand the factors driving its demise we utilise a latent factor model representing common effects, asset rating effects, vintage of issuance effects and liquidity effects - extending the recent representation of CDO pricing in Longstaff and Rajan (2008). Common and liquidity effects are shown to have an increasing influence on the performance of the ABX-HE indices, with the role of vintage factors changing dramatically over the sample period of January 2006 to May 2008. Consistent ...
Proceedings , Issue Jan

Conference Paper
Econometric modeling in Malaysia

Proceedings , Issue 1 , Pages 271-293

Conference Paper
Fire, flood, and lifeboats: policy responses to the global crisis of 2007-09 - commentary

Proceedings , Issue Oct , Pages 251-257

Conference Paper
The impact of creditor protection on stock prices in the presence of credit crunches

A Tobin q model of investment is used to show that stronger creditor protection increases the expected level and lowers the variance of stock prices in the presence of credit crunches. There are two main channels through which creditor protection enhances the performance of the stock market: (1) The credit-constrained stock price increases with better protection of creditors; (2) The probability of a credit crunch leading to a binding credit constraint falls with strong protection of creditors. ; The paper tests the predictions of the model by using cross?country panel regressions of stock ...
Proceedings , Issue Jan

Conference Paper
The limits of transparency

This paper probes the limits of transparency in monetary policymaking along two dimensions: feasibility and desirability. It argues that even central banks that are considered champions of openness are not very clear about their measures of the output gap and about their beliefs regarding the effects of policy on inflationary expectations. This is due mainly to limited knowledge about the economy. It implies that feasibility constraints on transparency are more serious than stylized models of the transmission mechanism would imply. In addition no central bank has made clear statements about ...

Conference Paper
Interest rate swaps and corporate financing choices

Proceedings , Issue Nov

Conference Paper
Advanced economy monetary policy and emerging market economies

Opening address : Prospects for Asia and the global economy -- a conference sponsored by the Federal Reserve Bank of San Francisco, November 3-5, 2013.
Proceedings , Issue Nov , Pages 1-17




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anonymous 42 items

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