Search Results
Showing results 1 to 10 of approximately 52.
(refine search)
Working Paper
Simultaneous Spatial Panel Data Models with Common Shocks
Lu, Lina
(2017-08-09)
I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two estimation approaches, a quasi-maximum likelihood (QML) method and an iterative generalized principal components (IGPC) method. I develop full inferential theories for the estimation approaches and study the trade-off between the model specifications and their respective asymptotic properties. I further ...
Supervisory Research and Analysis Working Papers
, Paper RPA 17-3
Working Paper
Financing constraints and unemployment: evidence from the Great Recession
Duygan-Bump, Burcu; Levkov, Alexey; Montoriol-Garriga, Judit
(2010)
This paper exploits the differential financing needs across industrial sectors and provides strong empirical evidence that financing constraints of small businesses are important in explaining the unemployment dynamics around the Great Recession. In particular, we show that workers in small firms are more likely to become unemployed during the 2007-2009 financial crisis if they work in industries with high external financing needs. According to our estimates, eliminating financial constraints of small firms could add up to 850,000 jobs to the economy. We suggest that policies aimed at making ...
Supervisory Research and Analysis Working Papers
, Paper QAU10-6
Working Paper
Is obesity contagious?: social networks vs. environmental factors in the obesity epidemic
Fletcher, Jason M.; Cohen-Cole, Ethan
(2008)
This note?s aim is to investigate the sensitivity of Christakis and Fowler?s claim (NEJM July 26, 2007) that obesity has spread through social networks. It is well known in the economics literature that failure to include contextual effects can lead to spurious inference on ?social network effects.? We replicate the NEJM results using their specification and a complementary dataset. We find that point estimates of the ?social network effect? are reduced and become statistically indistinguishable from zero once standard econometric techniques are implemented. We further note the presence of ...
Supervisory Research and Analysis Working Papers
, Paper QAU08-2
Working Paper
Cross-Sectional Factor Dynamics and Momentum Returns
Avramov, Doron; Hore, Satadru
(2015-10-22)
This paper proposes and implements an inter-temporal model wherein aggregate consumption and asset-specific dividend growths jointly move with two mean-reverting state variables. Consumption beta varies through time and cross sectionally due to variation in half-lives and stationary volatilities of the dividend signals. Winner (Loser) stocks exhibit high (low) half-lives and stationary volatilities, and thus exhibit high (low) consumption beta commanding high (low) risk-premium. The model also rationalizes the "momentum crashes" phenomenon discussed in Daniel and Moskowitz (2014). High ...
Supervisory Research and Analysis Working Papers
, Paper RPA 15-2
Working Paper
Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia; Labonne, Claire
(2018-07-12)
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. We combine bank-to-bank loan data with detailed supervisory information on banks? cross-border and cross-sector exposures. We study the impact of the credit risk on banks? balance sheets on their access to, and the price paid for, interbank liquidity, controlling for sovereign-dependence risk and lenders? liquidity shocks. We find that (i) high non-performing loan ratios on the GIIPS portfolio hinder banks? access to the interbank market ...
Supervisory Research and Analysis Working Papers
, Paper RPA 18-3
Working Paper
Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique
Prono, Todd
(2009)
A pricing restriction is developed to test the validity of the CAPM conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Distinguishing this pricing restriction from competing tests also based upon the relative efficiency of the proxy return is a consideration for the proxy's mismeasurement of the market return. Failure to account for this mismeasurement biases tests of the CAPM towards rejection by overstating the inefficiency of the proxy. A time-varying version of this pricing restriction links mismeasurement of the ...
Supervisory Research and Analysis Working Papers
, Paper QAU09-3
Working Paper
Macroprudential Policy: Case Study from a Tabletop Exercise
Zlate, Andrei; de Fontnouvelle, Patrick; Yang, Emily; Adrian, Tobias
(2015-09-30)
Since the global financial crisis of 2007-09, policy makers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that aimed at confronting Federal Reserve Bank presidents with a plausible, albeit hypothetical, macro-financial scenario that would lend itself to macroprudential considerations. In the tabletop exercise, the primary macroprudential objective was to reduce the likelihood and severity of possible future financial disruptions associated with the hypothetical overheating ...
Supervisory Research and Analysis Working Papers
, Paper RPA 15-1
Working Paper
Model uncertainty and the deterrent effect of capital punishment
Fagan, Jeffrey; Nagin, Daniel; Cohen-Cole, Ethan; Durlauf, Steven N.
(2007)
The reintroduction of capital punishment after the end of the Supreme Court moratorium has permitted researchers to employ state level heterogeneity in the use of capital punishment to study deterrent effects. However, no scholarly consensus exists as to their magnitude. A key reason this has occurred is that the use of alternative models across studies produces differing estimates of the deterrent effect. Because differences across models are not well motivated by theory, the deterrence literature is plagued by model uncertainty. We argue that the analysis of deterrent effects should ...
Supervisory Research and Analysis Working Papers
, Paper QAU07-3
Working Paper
Looking behind the aggregates: a reply to “Facts and Myths about the Financial Crisis of 2008”
Cohen-Cole, Ethan; Fillat, Jose; Montoriol-Garriga, Judit; Duygan-Bump, Burcu
(2008)
As Chari et al (2008) point out in a recent paper, aggregate trends are very hard to interpret. They examine four common claims about the impact of financial sector phenomena on the economy and conclude that all four claims are myths. We argue that to evaluate these popular claims, one needs to look at the underlying composition of financial aggregates. Our findings show that most of the commonly argued facts are indeed supported by disaggregated data.
Supervisory Research and Analysis Working Papers
, Paper QAU08-5
Working Paper
Bank deregulation and racial inequality in America
Rubinstein, Yona; Levkov, Alexey; Levine, Ross
(2012)
We use the cross-state, cross-time variation in bank deregulation across the U.S. states to assess how improvements in banking systems affected the labor market opportunities of black workers. Bank deregulation from the 1970s through the 1990s improved bank efficiency, lowered entry barriers facing nonfinancial firms, and intensified competition for labor throughout the economy. Consistent with Becker?s (1957) seminal theory of racial discrimination, we find that deregulation-induced improvements in the banking system boosted blacks?relative wages by facilitating the entry of new firms and ...
Supervisory Research and Analysis Working Papers
, Paper RPA 12-5
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of Boston 52 items
FILTER BY Series
FILTER BY Content Type
Working Paper 52 items
FILTER BY Author
Cohen-Cole, Ethan 13 items
Zlate, Andrei 7 items
Duygan-Bump, Burcu 6 items
Montoriol-Garriga, Judit 5 items
Anadu, Kenechukwu E. 4 items
Fillat, Jose 4 items
Lu, Lina 4 items
Landoni, Mattia 3 items
Levkov, Alexey 3 items
Pritsker, Matthew 3 items
Prono, Todd 3 items
Anadu, Ken 2 items
Azar, Pablo D. 2 items
Cipriani, Marco 2 items
Eisenbach, Thomas M. 2 items
Huang, Catherine 2 items
La Spada, Gabriele 2 items
Labonne, Claire 2 items
Macchiavelli, Marco 2 items
Malfroy-Camine, Antoine 2 items
Sekeris, Evan G. 2 items
Shaffer, Sanders 2 items
Wang, J. Christina 2 items
Zanella, Giulio 2 items
Adrian, Tobias 1 items
Ahmed, Shaghil 1 items
Avramov, Doron 1 items
Baklanova, Viktoria 1 items
Banerjee, Ritesh 1 items
Bohn, James 1 items
Bolmatis, Athanasios 1 items
Brady, Steffanie 1 items
Cetorelli, Nicola 1 items
Chahboun, Imad 1 items
Cooper, Nathaniel R. 1 items
Corradin, Stefano 1 items
Correa, Ricardo 1 items
Coulibaly, Brahima 1 items
Davis, J. Scott 1 items
Durlauf, Steven N. 1 items
Eder, Tiffany 1 items
Fagan, Jeffrey 1 items
Fletcher, Jason M. 1 items
Gabrieli, Silvia 1 items
Garetto, Stefania 1 items
Goetz, Martin R. 1 items
Grant, Charles 1 items
Hoover, Nathaniel 1 items
Hore, Satadru 1 items
Kowalik, Michal 1 items
Kruttli, Mathias S. 1 items
Levine, Ross 1 items
Li, Kunpeng 1 items
Li, Qi 1 items
Liu, Lily Y. 1 items
Mandelman, Federico S. 1 items
Martinez-Garcia, Enrique 1 items
McCabe, Patrick E. 1 items
Morse, Jonathan 1 items
Nagin, Daniel 1 items
O'Loughlin, Caitlin 1 items
Osambela, Emilio 1 items
Parkinson, Patrick M. 1 items
Rosengren, Eric S. 1 items
Rubinstein, Yona 1 items
Sapriza, Horacio 1 items
Sharma, Krish 1 items
Shin, Chaehee 1 items
Suarez, Gustavo A. 1 items
Tanner, Noam 1 items
Vergara-Alert, Carles 1 items
Willen, Paul S. 1 items
Yang, Emily 1 items
de Fontnouvelle, Patrick 1 items
show more (69)
show less
FILTER BY Jel Classification
G23 7 items
G21 5 items
C13 3 items
G10 3 items
G12 3 items
G20 3 items
G32 3 items
C38 2 items
E43 2 items
E58 2 items
F41 2 items
G01 2 items
G11 2 items
G15 2 items
G28 2 items
C14 1 items
C15 1 items
C31 1 items
C32 1 items
C33 1 items
C51 1 items
C58 1 items
D02 1 items
D20 1 items
D47 1 items
D82 1 items
D86 1 items
E5 1 items
E50 1 items
E52 1 items
F16 1 items
F22 1 items
F23 1 items
F3 1 items
F31 1 items
F32 1 items
F34 1 items
F4 1 items
F65 1 items
G13 1 items
G17 1 items
G18 1 items
G22 1 items
G38 1 items
H74 1 items
L1 1 items
show more (41)
show less
FILTER BY Keywords
financial stability 5 items
Bankruptcy 4 items
Banks and banking 3 items
Global financial crisis 3 items
Risk 3 items
Money market funds 3 items
money market mutual funds 3 items
Bank capital 2 items
Bank competition 2 items
Financial crises 2 items
High dimensionality 2 items
Inferential theory 2 items
Maximum likelihood estimation 2 items
capital asset pricing model 2 items
crypto assets 2 items
financial stability 2 items
liquidity transformation 2 items
runs 2 items
stablecoins 2 items
systemic risk 2 items
Credit cards 2 items
Monetary policy 2 items
Mutual funds 2 items
Sovereign risk 2 items
Accounting 1 items
Asset pricing 1 items
Asset-backed financing 1 items
Bank assets 1 items
Bank liabilities 1 items
Bank liquidity 1 items
Bank supervision 1 items
Banks and banking - Accounting 1 items
Bayesian Filtering 1 items
Branch banks 1 items
Capital punishment 1 items
Commercial credit 1 items
Commercial paper 1 items
Common shocks 1 items
Constrained factor models 1 items
Consumer credit 1 items
Credit 1 items
Cross-Sectional Dynamics 1 items
Default (Finance) 1 items
Discount window 1 items
Discrimination in consumer credit 1 items
Dynamic mechanism design 1 items
Emerging market economies 1 items
Fair value 1 items
Federal Home Loan Banks 1 items
Federal Reserve Bank of Boston 1 items
Federal funds market (United States) 1 items
Finance, Personal 1 items
Financial crises - United States 1 items
Housing - Prices 1 items
Incidental parameters 1 items
Interbank market 1 items
International business enterprises 1 items
International labor migration 1 items
Investments 1 items
Labor market 1 items
Labor unions 1 items
Liquidity (Economics) 1 items
Long-Run Risk 1 items
Medical care 1 items
Momentum 1 items
Mortgage loans 1 items
Non-transferable utility 1 items
Obesity 1 items
Offshore production 1 items
Optimal delegation 1 items
Panel data model 1 items
Principal components 1 items
Recessions 1 items
Securities 1 items
Sequential screening 1 items
Simultaneous effects 1 items
Simultaneous equations system 1 items
Social choice 1 items
Stock - Prices 1 items
Stock market 1 items
Stress Testing 1 items
Troubled Asset Relief Program 1 items
U.S. public pension funds 1 items
Unemployment 1 items
Value at Risk 1 items
Wages 1 items
asset management 1 items
banking 1 items
banking supervision 1 items
business cycle dynamics 1 items
counterfactual VAR 1 items
country risk 1 items
credit rationing 1 items
credit risks 1 items
daily rebalancing 1 items
depreciation pressure 1 items
derivative pricing 1 items
duration-matched discount rates 1 items
economic fundamentals 1 items
exchange rates 1 items
exchange-traded funds 1 items
extensive margin 1 items
financial overheating 1 items
financial spillovers 1 items
financial stress 1 items
fire sales 1 items
firm entry 1 items
fragmentation 1 items
heterogeneous firms 1 items
heterogeneous workers 1 items
inclusion effects 1 items
index investing 1 items
indexing 1 items
insurance risk 1 items
interbank markets 1 items
international banking 1 items
labor market polarization 1 items
leveraged and inverse exchange-traded products 1 items
liquidity coverage ratio 1 items
liquidity management. 1 items
macroprudential policy 1 items
market discipline 1 items
market risk 1 items
market volatility 1 items
monitoring 1 items
net capital inflows 1 items
network externalities 1 items
nonbanks 1 items
offshoring 1 items
passive investing 1 items
policyholder behavior 1 items
reach for yield 1 items
risk appetite framework 1 items
risk limits 1 items
risk management 1 items
short-term funding markets 1 items
small business finance 1 items
spatial models 1 items
state public debt. 1 items
structural VAR 1 items
tabletop exercise 1 items
taper tantrum 1 items
task upgrading 1 items
terms of labor 1 items
time series analysis 1 items
trilemma 1 items
underfunding 1 items
variable annuities 1 items
vulnerability index 1 items
show more (151)
show less