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Working Paper
The Effects of Macroeconomic Shocks: Household Financial Distress Matters
Mustre-del-Rio, Jose; Sanchez, Juan M.; Mather, Ryan; Athreya, Kartik B.
(2023-09-11)
When a macroeconomic shock arrives, variation in household balance-sheet health (captured by the presence of financial distress “FD”), leads to differential access to credit, and hence a distribution of consumption responses. As we document, though, over the past two recessions, households in prior FD also experienced macroeconomic shocks more intensely than others, leading to a distribution of shock severity. Quantifying the importance of each dimension of heterogeneity (FD or shock severity) for consumption requires a structural model. We find that heterogeneity in FD matters more than ...
Working Papers
, Paper 2019-025
Working Paper
Employment in the Great Recession : How Important Were Household Credit Supply Shocks?
Garcia, Daniel I.
(2018-11-13)
I pool data from all large multimarket lenders in the U.S. to estimate how many of the over seven million jobs lost in the Great Recession can be explained by reductions in the supply of mortgage credit. I construct a mortgage credit supply instrument at the county level, the weighted average (by prerecession mortgage market shares) of liquidity-driven lender shocks during the recession. The reduction in mortgage supply explains about 15 percent of the employment decline. The job losses are concentrated in construction and finance.
Finance and Economics Discussion Series
, Paper 2018-074
Working Paper
Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default
Darst, Matt; Refayet, Ehraz
(2016-04-19)
This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when firms internalize the credit spread changes, the incentive to issue safe rather than risky bonds is fundamentally altered. Issuing safe debt requires a transfer of profits from good states to bad states to ensure full repayment. Alternatively, issuing risky bonds maximizes profits in good states at the ...
Finance and Economics Discussion Series
, Paper 2016-042
Working Paper
Credit Migration and Covered Interest Rate Parity
Liao, Gordon Y.
(2019-08)
This paper examines the connection between deviations in covered interest rate parity and differences in the credit spread of bonds of similar risk but different currency denomination. These two pricing anomalies are highly aligned in both the time series and the cross-section of currencies. The composite of these two pricing deviations ? the corporate basis ? represents the currency-hedged borrowing cost difference between currency regions and explains up to a third of the variation in the aggregate corporate debt issuance flow. I show that arbitrage aimed at exploiting one type of security ...
International Finance Discussion Papers
, Paper 1255
Working Paper
Liquidity Traps and Monetary Policy: Managing a Credit Crunch
Buera, Francisco J.; Nicolini, Juan Pablo
(2014-07-18)
We study a model with heterogeneous producers that face collateral and cash-in-advance constraints. These two frictions give rise to a nontrivial financial market in a monetary economy. A tightening of the collateral constraint results in a recession generated by a credit crunch. The model can be used to study the effects on the main macroeconomic variables, and on the welfare of each individual of alternative monetary and fiscal policies following the credit crunch. The model reproduces several features of the recent financial crisis, such as the persistent negative real interest rates, the ...
Working Papers
, Paper 714
Working Paper
Competition and Bank Fragility
Sengupta, Rajdeep; Marsh, W. Blake
(2017-06-01)
Research Working Paper
, Paper RWP 17-6
Report
Government Guarantees and the Valuation of American Banks
Weill, Pierre-Olivier; D'Avernas, Adrien; Eisfeldt, Andrea L.; Atkeson, Andrew
(2018-06-19)
Banks' ratio of the market value to book value of their equity was close to 1 until the 1990s, then more than doubled during the 1996-2007 period, and fell again to values close to 1 after the 2008 financial crisis. Sarin and Summers (2016) and Chousakos and Gorton (2017) argue that the drop in banks' market-to-book ratio since the crisis is due to a loss in bank franchise value or profitability. In this paper we argue that banks' market-to-book ratio is the sum of two components: franchise value and the value of government guarantees. We empirically decompose the ratio between these two ...
Staff Report
, Paper 567
Working Paper
Consumption in the Great Recession: The Financial Distress Channel
Athreya, Kartik B.; Sanchez, Juan M.; Mather, Ryan; Mustre-del-Rio, Jose
(2019-08-29)
During the Great Recession, the collapse of consumption across the US varied greatly but systematically with house-price declines. Our message is that household financial health matters for understanding this relationship. Two facts are essential for our finding: (1) the decline in house prices led to an increase in household financial distress (FD) prior to the decline in income during the recession, and (2) at the zip-code level, the prevalence of FD prior to the recession was positively correlated with house-price declines at the onset of the recession. We measure the power of the ...
Working Paper
, Paper 19-13
Working Paper
Credit-Market Sentiment and the Business Cycle
López-Salido, J. David; Zakrajšek, Egon; Stein, Jeremy C.
(2015-04-25)
Using U.S. data from 1929 to 2015, we show that elevated credit-market sentiment in year t-2 is associated with a decline in economic activity in years t and t+1. Underlying this result is the existence of predictable mean reversion in credit-market conditions. When credit risk is aggressively priced, spreads subsequently widen. The timing of this widening is, in turn, closely tied to the onset of a contraction in economic activity. Exploring the mechanism, we find that buoyant credit-market sentiment in year t-2 also forecasts a change in the composition of external finance: Net debt ...
Finance and Economics Discussion Series
, Paper 2015-28
Report
Banking globalization, transmission, and monetary policy autonomy
Goldberg, Linda S.
(2013-09-01)
International financial linkages, particularly through global bank flows, generate important questions about the consequences for economic and financial stability, including the ability of countries to conduct autonomous monetary policy. I address the monetary autonomy issue in the context of the international policy trilemma: Countries seek three typically desirable but jointly unattainable objectives?stable exchange rates, free international capital mobility, and monetary policy autonomy oriented toward, and effective at, achieving domestic goals. I argue that global banking entails some ...
Staff Reports
, Paper 640
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N32 1 items
O24 1 items
O30 1 items
O31 1 items
O33 1 items
O53 1 items
Q20 1 items
Q35 1 items
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FILTER BY Keywords
monetary policy 74 items
financial frictions 30 items
COVID-19 23 items
liquidity 23 items
Financial crises 18 items
financial crisis 17 items
Inflation 16 items
business cycles 16 items
Great Recession 15 items
bank lending 15 items
Bankruptcy 13 items
quantitative easing 13 items
leverage 12 items
financial stability 12 items
Financial Distress 11 items
investment 11 items
Banking 10 items
Consumption 10 items
International Spillovers 10 items
Mortgage 10 items
misallocation 10 items
asset prices 10 items
Default 9 items
Delinquency 9 items
Asset pricing 9 items
credit card debt 9 items
Sovereign default 8 items
zombie firms 8 items
Banks 8 items
DSGE models 8 items
Debt 8 items
Foreclosure 8 items
Interest rates 8 items
Uncertainty 8 items
banking panics 8 items
evergreening 8 items
Learning 7 items
Open Economy Macroeconomics 7 items
Panel Data Estimation 7 items
financial intermediation 7 items
Incomplete markets 7 items
Inequality 7 items
Macroprudential policy 7 items
Recession 7 items
Unconventional monetary policy 7 items
collateral constraints 7 items
contagion 7 items
financial shocks 7 items
firm dynamics 7 items
heterogeneous firms 7 items
Treasury securities 6 items
excess bond premium 6 items
household debt 6 items
Bank runs 6 items
Bargaining 6 items
Consumer credit 6 items
Credit 6 items
Credit crunch 6 items
Employment 6 items
Forward guidance 6 items
Tail Risk 6 items
systemic risk 6 items
Federal Reserve System 5 items
Multiplicity 5 items
Self-fulfilling debt crises 5 items
bank closures 5 items
federal funds rates 5 items
Capital requirements 5 items
Convenience yields 5 items
Credit constraints 5 items
Credit supply 5 items
Search 5 items
adverse selection 5 items
collateral 5 items
emerging markets 5 items
exchange rates 5 items
financial markets 5 items
money markets 5 items
repo 5 items
shadow banking 5 items
Agency securities 4 items
Banking system 4 items
Equity and bond yields 4 items
Geography 4 items
Great Moderation 4 items
Large-Scale Asset Purchases (LSAP) 4 items
Over-the-counter market 4 items
Panic of 1907 4 items
Price informativeness 4 items
Stagnations 4 items
TIPS 4 items
Treasury bond short interest 4 items
Welfare 4 items
bond risk premia 4 items
global financial cycle 4 items
heterogeneity 4 items
interbank markets 4 items
liquidity risk 4 items
local projections 4 items
public debt 4 items
stochastic volatility 4 items
Bank regulation 4 items
Consumer bankruptcy 4 items
Financial Conditions 4 items
Fiscal policy 4 items
Identification 4 items
Lending Channel 4 items
Macroeconomic announcements 4 items
Present bias 4 items
Survey Forecasts 4 items
Unemployment 4 items
Volatility 4 items
Bank Profitability 3 items
Bayesian VARs 3 items
Bayesian methods 3 items
Credit Card 3 items
Fed funds market 3 items
Federal Reserve 3 items
Heterogeneous agents 3 items
Home ownership 3 items
Liquidity requirements 3 items
Liquidity trap 3 items
Macroeconomic Releases, FOMC 3 items
Optimal monetary policy 3 items
Price discovery 3 items
Ricardian equivalence 3 items
Risk Premium 3 items
Startup rates 3 items
Sufficient statistics 3 items
Syndicated loans 3 items
TRACE 3 items
U.S. monetary policy spillovers 3 items
Variance Risk 3 items
Yield curve 3 items
event study 3 items
financial fragility 3 items
financial market frictions 3 items
interbank network 3 items
interbank networks 3 items
internal capital markets 3 items
international finance 3 items
monetary policy transmission 3 items
mortgage finance 3 items
mortgages 3 items
quantitative tightening 3 items
risk premia 3 items
structural breaks 3 items
term structure 3 items
zero lower bound 3 items
zombie lending 3 items
Asymmetric Information 3 items
Bank Credit 3 items
Business cycle 3 items
Credit easing 3 items
bank loans 3 items
bubbles 3 items
call loan rate 3 items
capital flows 3 items
convergence 3 items
credit channel 3 items
Agency costs 2 items
Banking conditions 2 items
Bayesian VAR 2 items
Bayesian estimation 2 items
Belief-driven business cycles 2 items
Beliefs 2 items
CDS 2 items
CGE models 2 items
Capital 2 items
Capital Reallocation 2 items
Capital tax 2 items
Chinese economy 2 items
Collateral channel 2 items
Covered interest rate parity 2 items
Credit Spreads 2 items
Density Forecasts 2 items
ELB 2 items
Effective lower bound 2 items
Endogenous security markets 2 items
Equity premium 2 items
European crisis 2 items
FinTech 2 items
Financial constraints 2 items
Fire sales 2 items
Firm heterogeneity 2 items
Forecasting 2 items
Great Inflation 2 items
Information asymmetry 2 items
Intangible Capital 2 items
Lending standards 2 items
Liquidity traps 2 items
Low interest rates 2 items
Macroeconomic priorities 2 items
Macroeconomic volatility 2 items
Minnesota Prior 2 items
Monetary Policy Implementation 2 items
Monetary policy cooperation 2 items
Money 2 items
National Banking system 2 items
Negative Interest Rates 2 items
Optimal level of government debt 2 items
Public information 2 items
QE 2 items
QT 2 items
Quantile Regressions 2 items
Reallocation 2 items
Sovereign debt crises 2 items
Stock market 2 items
Structural VAR 2 items
Structural shocks 2 items
Temptation and self-control 2 items
Term Premium 2 items
Term Structure of Interest Rates 2 items
Uncertainty shocks 2 items
Welfare cost of business cycles 2 items
World Interest Rate 2 items
agency mortgage-backed securities 2 items
aggregate fluctuations 2 items
ambiguity aversion 2 items
asset purchases 2 items
bank 2 items
bargaining shocks 2 items
central bank credibility 2 items
corporate debt 2 items
currency premium 2 items
debt crisis 2 items
debt management 2 items
economic development 2 items
economic reform 2 items
endogenous TFP 2 items
expectation formation 2 items
federal funds market 2 items
financial development 2 items
financial spillovers 2 items
firm debt 2 items
foreign debt 2 items
global 2 items
global banks 2 items
global financial risk 2 items
global imbalances 2 items
haircut 2 items
historical narrative 2 items
house prices 2 items
housing 2 items
housing boom 2 items
housing prices 2 items
immoderation 2 items
inflation expectations 2 items
inflation risk premium 2 items
input-output linkages 2 items
instrumental variables 2 items
intermediary asset pricing 2 items
international business cycles 2 items
investment banking 2 items
liftoff 2 items
liquidity premium 2 items
macro-finance 2 items
macroprudential regulations 2 items
monetary policy shocks 2 items
natural rate of interest 2 items
net interest margins 2 items
nominal rigidities 2 items
optimal contracting 2 items
over-the-counter 2 items
pandemics 2 items
preferred-habitat 2 items
productivity growth 2 items
rate hikes 2 items
rational bubbles 2 items
real estate 2 items
real-time forecasts 2 items
recessions 2 items
repurchase agreements 2 items
reserves 2 items
return predictability 2 items
risk 2 items
runs 2 items
securities dealers 2 items
securities lending 2 items
securitization 2 items
sovereign bond markets 2 items
sovereign bonds 2 items
sovereign defaults 2 items
spillovers 2 items
strategic complementarities 2 items
sudden stops 2 items
term premiums 2 items
term spread 2 items
term structure modeling 2 items
term structures 2 items
threshold effects 2 items
time-varying uncertainty 2 items
transmission 2 items
tri-party repos 2 items
trilemma 2 items
wholesale funding 2 items
yield curves 2 items
Balance Sheet Policy 2 items
Bank Capital 2 items
Bond Return Predictability 2 items
Borrowing Constraint 2 items
Borrowing Constraints 2 items
Central Bank Communication 2 items
Company Level Matching 2 items
Adaptive expectations 1 items
Aggregate matching efficiency 1 items
Anchoring of inflation expectations 1 items
Animal spirits 1 items
Asset directed search 1 items
Asset liquidity 1 items
Asset price 1 items
Asset price volatility 1 items
Asset return predictability 1 items
Bailouts 1 items
Balance sheet management 1 items
Balance sheet policy surprises 1 items
Balance sheet recession 1 items
Bank and nonbank financial institutions 1 items
Bank concentration 1 items
Bank credit allocation 1 items
Bank financial position 1 items
Bank financial soundness 1 items
Bank lending channel 1 items
Bank leverage 1 items
Bank losses 1 items
Bank risk 1 items
Bank size distribution 1 items
Bank valuation 1 items
Banking industry dynamics 1 items
Banking panic 1 items
Bayesian maximum likelihood 1 items
Big Data 1 items
Bilateral matching 1 items
Bond term premium 1 items
Borrowing premia 1 items
Breakeven 1 items
Bretton Woods II 1 items
Broker-dealers 1 items
Business Cycle Fluctuations 1 items
CIP deviations 1 items
CMBS 1 items
Capital Controls 1 items
Capital Search 1 items
Capital flow management 1 items
Capital structure 1 items
Central Bank Swap Lines 1 items
Central Banking 1 items
Central bank lending authority 1 items
China 1 items
Climate 1 items
Cointegration 1 items
Collateralized loan obligations 1 items
Commercial and industrial loans 1 items
Commercial loans 1 items
Commercial real estate 1 items
Commodity prices 1 items
Constant conditional correlation model. 1 items
Consumer Debt 1 items
Convenience Yield 1 items
Corporate bond market 1 items
Corporate intangible capital 1 items
Corporate investment 1 items
Corporate profits 1 items
Cost Of Capital 1 items
Costly state verification 1 items
Credit Cycles 1 items
Credit Default Swaps 1 items
Credit Lines 1 items
Credit Reallocation 1 items
Credit channel of monetary policy 1 items
Credit frictions 1 items
Credit market segmentation 1 items
Credit policies 1 items
Credit risk 1 items
Credit standards 1 items
Credit-market sentiment 1 items
Cross-Sectional 1 items
Cross-Sectional Skewness 1 items
Cross-country analysis 1 items
Currency misalignments 1 items
Currency options 1 items
Current account 1 items
Current account adjustment 1 items
DSGE Model 1 items
Debt dilution 1 items
Debt maturity 1 items
Default Risk 1 items
Deflation floor 1 items
Demand-driven recession 1 items
Depository institutions 1 items
Directed search 1 items
Disaster Probability 1 items
Dividend policy 1 items
Dollar convenience yield 1 items
Dollarization 1 items
Downside risk 1 items
Dynamic Factor Models 1 items
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