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Keywords:Distribution 

Working Paper
Option-Implied Libor Rate Expectations across Currencies

In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger?s (1978) result regarding the relationship between option prices and implied probabilities for the underlying to estimate full probability density functions for future Libor rates. I use these estimates in case studies, detailing the evolution of probabalistic expectations for future Libor rates over the course of several important market events. Next, I compute distributional moments from ...
International Finance Discussion Papers , Paper 1182

Working Paper
Updates to the Sampling of Wealthy Families in the Survey of Consumer Finances

Participation in household surveys has fallen over time, making it harder to produce a household survey-like the Survey of Consumer Finances (SCF)-in a timely manner. To address these challenges, the reference year of the sampling frame data for the 2016 SCF wealthy oversample was shifted back one year, allowing the oversample to be selected earlier than the past. In implementing this change, though, we risk identifying an outdated set of families and introducing variability in the sampling process. However, we show that the set of families selected in the new frame are observationally ...
Finance and Economics Discussion Series , Paper 2017-114

Working Paper
Re-examining Regional Income Convergence: A Distributional Approach

We re-examine recent trends in regional income convergence, considering the full distribution of income rather than focusing on the mean. Measuring similarity by comparing each percentile of state distributions to the corresponding percentile of the national distribution, we find that state incomes have become less similar (i.e. they have diverged) within the top 20 percent of the income distribution since 1969. The top percentile alone accounts for more than half of aggregate divergence across states over this period by our measure, and the top five percentiles combine to account for 93 ...
Opportunity and Inclusive Growth Institute Working Papers , Paper 065

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