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Working Paper
Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
Lansing, Kevin J.; Ma, Jun; LeRoy, Stephen F. (2018-12-03)
We use a consumption based asset pricing model to show that the predictability of excess returns on risky assets can arise from only two sources: (1) stochastic volatility of model variables, or (2) departures from rational expectations that give rise to predictable investor forecast errors and market inefficiency. From an empirical perspective, we investigate whether 1-month ahead excess returns on stocks can be predicted using measures of consumer sentiment and excess return momentum, while controlling directly and indirectly for the presence of stochastic volatility. A variable that ...
Working Paper Series , Paper 2018-14

Working Paper
Financial Frictions, the Housing Market, and Unemployment
Petrosky-Nadeau, Nicolas; Branch, William A.; Rocheteau, Guillaume (2014-11)
We develop a two-sector search-matching model of the labor market with imperfect mobility of workers, augmented to incorporate a housing market and a frictional goods market. Homeowners use home equity as collateral to finance idiosyncratic consumption opportunities. A financial innovation that raises the acceptability of homes as collateral raises house prices and reduces unemployment. It also triggers a reallocation of workers, with the direction of the change depending on firms? market power in the goods market. A calibrated version of the model under adaptive learning can account for ...
Working Paper Series , Paper 2014-26

Working Paper
Monetary policy in a small open economy with a preference for robustness
Dennis, Richard; Leitemo, Kai; Soderstrom, Ulf (2007)
We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, semi-structural, small-open-economy model of the U.K. Compared to the closed economy, the presence of an exchange rate channel for monetary policy not only produces new trade-offs for monetary policy, but it also introduces an additional source of specification errors. We find that exchange rate shocks are an important contributor to volatility in the model, and that the exchange rate equation is particularly vulnerable to model misspecification, along with the equation for domestic ...
Working Paper Series , Paper 2007-04

Working Paper
Impact of deposit rate deregulation in Hong Kong on the market value of commercial banks
Kwan, Simon H. (2001)
This paper examines the effects of deposit rate deregulation in Hong Kong on the market value of banks. The release of the Consumer Council's Report in 1994 recommending interest rate deregulation is found to produce negative abnormal returns, while the announcement in 1995 terminating the deregulation program led to positive abnormal returns. Furthermore, news about resumption of interest rate deregulation in 1998 and the official announcement in 2000 to abolish the interest rate rules produced negative abnormal returns. The evidence suggests that Hong Kong banks earned rents from deposit ...
Working Paper Series , Paper 2001-11

Working Paper
Downward Nominal Wage Rigidities Bend the Phillips Curve
Hobijn, Bart; Daly, Mary C. (2013)
We show that the existence of downward nominal wage rigidities bends the short-run wage Phillips curve. We introduce a model of monetary policy with downward nominal wage rigidities and show that both the slope and curvature of the Phillips curve depend on the level of inflation and the extent of downward nominal wage rigidities. This is true for the both the long-run and the short-run Phillips curve. Comparing simulation results from the model with data on U.S. wage changes since the onset of the Great Recession, we show that downward nominal wage rigidities have likely played a role in ...
Working Paper Series , Paper 2013-08

Working Paper
Measuring the natural rate of interest redux
Laubach, Thomas; Williams, John C. (2015-10-31)
Persistently low real interest rates have prompted the question whether low interest rates are here to stay. This essay assesses the empirical evidence regarding the natural rate of interest in the United States using the Laubach-Williams model. Since the start of the Great Recession, the estimated natural rate of interest fell sharply and shows no sign of recovering. These results are robust to alternative model specifications. If the natural rate remains low, future episodes of hitting the zero lower bound are likely to be frequent and long-lasting. In addition, uncertainty about the ...
Working Paper Series , Paper 2015-16

Working Paper
Safe and sound banking, 20 years later: what was proposed and what has been adopted
Furlong, Frederick T.; Kwan, Simon H. (2006)
In 1986, a task force of banking academics organized and sponsored by the American Bankers Association convened to examine the banking industry and the efficacy of its regulatory system. The group was charged with reviewing the problems of ensuring the safety and soundness of the banking system and evaluating a number of policy options to improve the efficiency, performance, and safety of the system by changing the structure of the deposit insurance system and the bank regulatory and supervisory process. The results of the work of the task force were published by the MIT Press as the book, ...
Working Paper Series , Paper 2006-27

Working Paper
Some implications of using prices to measure productivity in a two-sector growth model
Marquis, Milton H.; Trehan, Bharat (2003)
We construct a 2 sector growth model with sector specific technology shocks where one sector produces intermediate goods while the other produces final goods. Theoretical restrictions from this model are used to compute the time series for sector-specific TFPs based solely on factor prices and the relative price of intermediate goods to final goods over the 1959-2000 period. An aggregate TFP measure based on these series appears quite similar to the multifactor productivity measure constructed by the BLS. We find statistical evidence of structural breaks in the growth rate of our productivity ...
Working Paper Series , Paper 2001-10

Working Paper
The Extent and Cyclicality of Career Changes: Evidence for the U.K
Visschers, Ludo; Hobijn, Bart; Carrillo-Tudela, Carlos; She, Powen (2014-08-27)
U.K. data from 1993-2012 suggest that in economic downturns a smaller fraction of unemployed workers change their career when starting a new job. The proportion of total hires involving a career change also drops. This implies that career changes decline during recessions. The results indicate that recessions are times of subdued reallocation rather than of accelerated and involuntary structural transformation.
Working Paper Series , Paper 2014-21

Working Paper
Physician Payments Under Health Care Reform
Dunn, Abe; Shapiro, Adam Hale (2013)
This study assesses the impact of major health insurance reform in Massachusetts on the prices of services paid to physicians in the privately insured market. We estimate that the reform caused physician payments to increase at least 10.8 percentage points. This impact occurred while the legislation was materializing but before the final compromised version of the reform was enacted in April 2006. This finding is consistent with prices being set in a forward-looking manner, in anticipation of the reform. Overall, one-sixth of physician service price growth in Massachusetts between 2003 and ...
Working Paper Series , Paper 2013-36

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